paper By me, Hiro Ito, and Robert Macaulay. From abstraction.
Will the central bank rebalance its currency share? We explore this problem by using different types of data sets from the global summary level, country level, and panel context. At the decomposition level, we found a mixed bag; some economies did rebalance, while others did not. However, our random analysis shows that the United States has not rebalanced. Switzerland is an advanced economy that has not joined the G3, and it does seem to be rebalancing foreign exchange reserves. Its currency composition has nothing to do with changes in the US dollar exchange rate. We also explored the issue of rebalancing through panel data analysis and found that on average our sample economies will not be rebalanced. Emerging market economies (EME) will not rebalance, while advanced economies will rebalance. Larger economies maintain a stable currency composition, while reserves in smaller economies are more susceptible to exchange rate shocks.
The analysis relies on data at the central bank level. For example, here are the reserves of the Swiss National Bank.
figure 2 From Chin, Ito, Macaulay (2021).
Hiro Ito will discuss the basic data set of this analysis, compiled by him and Robert McCauley, and used in this analysis for the first time. paper, In Thursday NBER meeting on data sources [live YouTube link]
2:30 PM [Eastern time]
Michael Klein Introduction
2:35 PM Historical international macro financial data sources (overview)3:00 PM National Debt: The Composition of Global Government Debt from 1900 to 2020
3:25 PM Currency composition of foreign exchange reserves (Slideshow)4:15 PM Measuring the terms of trade of developing countries
