Global currency interactions have taken centre stage in international economics in recent years, with new analysis by IMF now suggesting previously unsuspected exposures.

A team of researchers has now constructed a new dataset on the currency composition of the international investment position (IIP) building on earlier estimates

"A key refinement in our new dataset... centers on the expansion of available actual data, made possible thanks to a recent IMF survey on the currency composition of the main IIP components," Luciana Juvenal, lead author on the report said. 

The IMF paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017.

 Currencies of denomination were broken down into the five Special Drawing Rights (SDR) currencies (i.e. US dollar, euro, Japanese yen, Pound sterling and renminbi), domestic currency (if different from the five SDRs), and “other currencies” which bundle up all other foreign currencies not included in the previous two categories.

This new data obtained via the IMF survey was then complemented with other sources of actual data to improve predictive capacity.  Based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods.

The paper illustrates current and new uses of these data, with particular focus on the evolution of currency exposures of cross-border positions.

"The empirical analysis on the determinants of currency exposures reveals that trade openness (driven by advanced economies) and output volatility are associated with longer positions in foreign currency, while exchange rate volatility (due to emerging economies) and EMU membership are associated with shorter aggregate positions in foreign currency," Juvenal concludes.

Read this working paper in full:

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