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Author: Stijn Claessens Publisher: World Bank Publications ISBN: Category : Circulacion monetaria Languages : en Pages : 46
Book Description
By choosing the appropriate currency composition of their external debts, developing countries can reduce the exposures associated with exchange rate, interest rate, and commodity price uncertainties.
Author: Stijn Claessens Publisher: World Bank Publications ISBN: Category : Circulacion monetaria Languages : en Pages : 46
Book Description
By choosing the appropriate currency composition of their external debts, developing countries can reduce the exposures associated with exchange rate, interest rate, and commodity price uncertainties.
Author: Elias Papaioannou Publisher: ISBN: Category : Bank reserves Languages : en Pages : 72
Book Description
Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater liquidity in other major currencies, and the rising current account deficits and external debt of the United States have increased the pressure on central banks to diversify away from the US dollar. A major portfolio shift would significantly affect exchange rates and the status of the dollar as the dominant international currency. We develop a dynamic mean-variance optimization framework with portfolio rebalancing costs to estimate optimal portfolio weights among the main international currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro has changed this allocation. We then perform simulations for the optimal currency allocations of four large emerging market countries (Brazil, Russia, India and China), adding constraints that reflect a central bank's desire to hold a sizable portion of its portfolio in the currencies of its peg, its foreign debt and its international trade. Our main results are: (i) The optimizer can match the large share of the US dollar in reserves, when the dollar is the reference (risk-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may already enjoy an enhanced role as an international reserve currency ("punching above its weight"). (iii) Growth in issuance of euro-denominated securities, a rise in euro zone trade with key emerging markets, and increased use of the euro as a currency peg, would all work towards raising the optimal euro shares, with the last factor being quantitatively the most important.
Author: International Monetary Fund Publisher: International Monetary Fund ISBN: 1589060601 Category : Business & Economics Languages : en Pages : 327
Book Description
This Guide provides clear, up-to-date guidance on the concepts, definitions, and classifications of the gross external debt of the public and private sectors, and on the sources, compilation techniques, and analytical uses of these data. The Guide supersedes the previous international guidance on external debt statistics available in External Debt: Definition, Statistical Coverage, and Methodology (known as the Gray Book), 1988. The Guides conceptual framework derives from the System of National Accounts 1993 and the fifth edition of the IMFs Balance of Payments Manual(1993). Preparation of the Guide was undertaken by an Inter-Agency Task Force on Finance Statistics, chaired by the IMF and involving representatives from the BIS, the Commonwealth Secretariat, the European Central Bank, Eurostat, the OECD, the Paris Club Secretariat, UNCTAD, and the World Bank.
Author: Stijn Claessens
Author: Stijn Claessens
Author: 
Author: Pier Giorgio Gawronski
Author: Pier Giorgio Gawronski
Author: Thórarinn G. Pétursson
Author: Aninda Nath
Author: Ken Kroner
Author: Elias Papaioannou
Author: Patrick de Fontenay
Author: International Monetary Fund