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狗万app講座:The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets

狗万appSBF論壇2019年第21講

講座題目:The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets

時間:6月13日(週四) 12:30-13:40

地點:博學樓303

主講人:錢興旺

主講人簡介:

錢興旺,紐約州立大學布法羅州立分校經濟金融系教授; 北卡羅萊納大學教堂山分校任兼職教授 。他還在香港金融管理局貨幣研究所(HKIMR), 國際清算銀行(BIS),美國聖克魯茲國際經濟研究所(SCIIE) ,香港城市大學GRU等研究機構擁有研究職位 。其主要研究領域爲宏觀視角下的國際金融與貿易,專注於新興經濟體跨國資本流動 ,OFDI, 外匯儲備 ,和資本控制。在Journal of International Money and Finance, Review of World Economy, Review of International Economics 等SSCI期刊上發表多篇論文 。

講座內容簡介:

Abstract:This paper examines determinants of the international reserves (IR) currency composition before and after the Global Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR in these currencies. We find scale effects in which countries tend to diversify from the big four currencies as they increase their IR/GDP and that a growing shortage of global safe assets (GSAs) induces countries to hold more big four currencies. Countries hold less big four currencies as IR after the 2008 GFC, while they hold more of such currencies since the tapering of the Fed’s quantitative easing. The 2008 GFC and QE tapering weakened and sometimes reversed the effect of several economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity-exporting countries tend to diversify their IR from the big four currencies when their terms of trade improve; and that the valuation effects induced by Euro/USD exchange rate changes diminish the significance of the GFC in explaining the currency composition of IR.