|
on International Finance |
| By: | Falk Laser (ABC economics, Berlin); Alexander Mihailov (Department of Economics, University of Reading); Jan Weidner (Federal Ministry for Economic Affairs and Energy, Berlin) |
| Abstract: | This paper fills a gap in the data by country -- and the corresponding comparative analysis of patterns and trends over the past quarter century -- in the composition of foreign exchange (FX) reserves and monetary gold in total international reserves, typically held by central banks. The monetary mystique since the 1980s and the related unwillingness of central banks to disclose the composition of their official reserves until about the turn of the millennium have made such an area of study a terra incognita to the wider profession. Our ambition with this paper is to cast light, also providing the data online, on the relative importance and reshufflings of the US Dollar, the Euro, the Japanese Yen, the British Pound, the Australian Dollar, the Canadian Dollar, the Chinese Yuan or Renminbi and monetary gold as international reserves in the recent times of crises, wars and geopolitical reconfigurations. We find that the US Dollar retains its dominance inherited from the Bretton Woods system, but the Euro and perhaps the Yuan may increase their reserve shares in the decade ahead, with a return to gold in official reserves already obvious since at least the Global Financial Crisis. Our rich and diverse dataset, and the insights from it we highlight, is the most up-to-date and comprehensive overview of the field, covering 7 major currencies and 64 countries in terms of FX shares, and a subset of 50 for which we also provide the gold shares, in an unbalanced panel since the late 1990s. |
| Keywords: | currency denomination of foreign exchange reserves, central banks, gold shares in total international reserves, visualizations by country and region, stylized facts and key insights |
| JEL: | F31 F32 F33 F41 F62 N40 |
| Date: | 2025–03–24 |
| URL: | https://d.repec.org/n?u=RePEc:rdg:emxxdp:em-dp2025-01 |
| By: | Ana Fiorella Carvajal; Ricardo Bebczuk |
| Keywords: | Finance and Financial Sector Development-Capital Markets and Capital Flows |
| Date: | 2024–04 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:41408 |
| By: | Eichenauer, Vera; Köppl, Stefan; Köppl-Turyna, Monika |
| Abstract: | In this paper we analyze the effects of investment screening on cross-border venture capital investments in Europe between 2007 and 2022. The data we work with is originally based on PRISM data which has been extended by Eichenauer and Wang and which we combine with deal data from Preqin to assess investment activity. Our results point to unintended negative effects: while the number of actually blocked deals has remained very low, the associated uncertainty and an increase in transaction costs have led to a significant decline in cross-border deals. The effects are stronger in the case of financial (i.e. "non-strategic") investors, for late-stage venture capital deals, and for deals with investors from non-OECD countries. Moreover, we observe changes in the size of deals and their structure. This has profound policy implications for the financing of innovation in Europe. |
| Keywords: | cross-border venture capital, investment screening, Europe, transaction costs |
| JEL: | F55 F21 G24 L14 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:ifwkwp:313651 |
| By: | Bosetti, Isabella; Incardona, Rocco; Caloca, Antonio Rodríguez |
| Abstract: | This paper presents the estimation method used to break down the euro area portfolio investment liabilities in the international investment position (i.i.p.) and their corresponding income debits in the balance of payments (b.o.p.), by main geographical counterpart. Identifying non-resident investors in euro area portfolio investment liabilities (i.e. equity and debt securities issued by euro area residents) is a complex task, as securities are regularly traded in secondary markets and held via custodians and other financial intermediaries. Consequently, identifying the actual holders of euro area securities may be hampered by so-called “first-known counterparty” and/or “custodial” biases if statisticians cannot look through the chain of intermediaries. Owing to these difficulties, the geographical counterpart allocation of euro area portfolio investment liabilities cannot generally be directly collected from reporting agents (i.e. the issuers of euro area securities) but instead needs to be estimated. The estimation method presented in this document relies on a comprehensive set of so-called “mirror” datasets (i.e. information on the holders of euro area securities) supported by temporal disaggregation and econometric techniques. The results provide robust estimates of portfolio investment liabilities and income debits by geographical counterpart. JEL Classification: C22, C82 |
| Keywords: | balance of payments, data integration, portfolio investment, security-by-security data, temporal disaggregation, time series |
| Date: | 2025–03 |
| URL: | https://d.repec.org/n?u=RePEc:ecb:ecbsps:202550 |
| By: | Richard Davis; Robert Rusconi; Aaron Levine |
| Keywords: | Finance and Financial Sector Development-Finance and Development Social Protections and Labor-Social Funds and Pensions Macroeconomics and Economic Growth-Investment and Investment Climate Finance and Financial Sector Development-Capital Markets and Capital Flows |
| Date: | 2024–05 |
| URL: | https://d.repec.org/n?u=RePEc:wbk:wboper:41487 |
| By: | Falk Bräuning; Hillary Stein |
| Abstract: | This brief studies how regulation involving bank capital requirements affects the behavior of bank-affiliated primary dealers in the Treasury market. Specifically, it looks at the potential effects of changes to the supplementary leverage ratio (SLR) requirement, which determines how much capital a bank must hold in relation to its overall exposure, including exposure in its trading assets such as Treasuries. The SLR is a measure of a bank’s ability to absorb losses during periods of financial stress; the Federal Reserve sets a minimum requirement for the SLR to help protect the stability of the banking system by preventing excessive leverage. Our analysis presents evidence that relaxing the SLR constraint—that is, lowering the required SLR—can cause an increase in dealers’ Treasury trading activity, especially among dealers affiliated with more constrained (lower-SLR) banks. This finding implies that the SLR requirement is indeed binding for some banks—that it constrains their Treasury positions to levels they would not otherwise choose. |
| Keywords: | supplementary leverage ratio; Treasury market liquidity; Bank capital regulation |
| JEL: | G10 G12 G18 G21 |
| Date: | 2025–03–04 |
| URL: | https://d.repec.org/n?u=RePEc:fip:fedbcq:99642 |
| By: | Wegener, Christoph; Basse, Tobias; Maiani, Stefano; Nguyen, Tam Huu |
| Abstract: | This paper employs predictive regressions to explore the predictability of sovereign Credit Default Swap (CDS) spread dynamics of relevant oil-producing countries. By incorporating oil prices and additional control variables, we predict the rate of CDS spread changes for Brazil, the UK, Malaysia, Norway, Qatar, Russia, Saudi Arabia, the US, and Venezuela. Our findings reveal that (i) the empirical coefficients of determination (R 2 ) indicate low in-sample predictability for our entire period of analysis (2010-2024), the R 2 increases markedly when dividing the analysis period into more relevant sub-samples (2010-2016 and 2016-2024); (ii) oil prices are not significant predictors for the full period but become significant in many regressions within sub-samples; (iii) for countries where oil prices are significant in both sub-samples, the coefficient sign changes from negative to positive, suggesting that in more recent years, rising (falling) oil prices signal increasing (decreasing) geopolitical risk, positively (negatively) influencing CDS spreads. |
| Keywords: | oil prices, fiscal stability, predictive regressions |
| JEL: | G17 H63 C58 Q43 |
| Date: | 2025 |
| URL: | https://d.repec.org/n?u=RePEc:zbw:hwuaef:313644 |
| By: | Yufei Li (King's Business School, King's College London,); Liudas Giraitis (School of Economics and Finance, Queen Mary University of London); Genaro Sucarrat (BI Norwegian Business School) |
| Abstract: | The presence of autocorrelated nancial returns has major implications for investment decisions.Unsurprisingly, therefore, numerous studies have sought to shed light on whether returns areautocorrelated or not, to what extent, and when. Standard tests for autocorrelation rely onthe assumption of strict stationarity of returns, possibly after a suitable transformation. Recentstudies, however, reveal that intraday nancial returns are often characterised by a subtle formof non-stationarity that cannot be transformed away, namely non-stationary periodicity in thezero-process. Here, we propose tests for autocorrelation that are valid under this (and otherforms) of non-stationarity. The tests are simple to implement, and well-sized and powerful asdocumented in our Monte Carlo simulations. Next, in a study of the intraday returns of stocksand exchange rates, our robust tests document that returns are rarely autocorrelated. This is insharp contrast to the standard benchmark test, which spuriously detects a substantial numberof autocorrelations. Moreover, stability analyses with our robust tests suggest the signi canceof the autocorrelations is short-lived and very erratic. So it is unclear whether the short-livedautocorrelations can be used to inform decision-making. |
| Keywords: | robust correlation testing, zero-process, non-stationary periodicity |
| JEL: | C01 C12 C22 |
| Date: | 2024–02–26 |
| URL: | https://d.repec.org/n?u=RePEc:qmw:qmwecw:987 |