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Dynamic estimation and analysis of the currency-asset portfolio of global foreign exchange reserves: A novel approach

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  • Wang, Xi
  • Ma, Yongjun

Abstract

Prior research has neglected the asset composition of national foreign exchange reserves (FER). This paper makes a novel contribution by constructing a currency-asset structure matrix of FER, deriving a dynamic evolution equation, and employing a rolling average regression (RAR) method to obtain accurate estimates of the currency-asset portfolio. Subsequently, focusing on four currencies (USD, EUR, GBP, JPY) and three asset types (sovereign bonds, stocks, and agency bonds), this study estimates and briefly analyzes the dynamic changes in the currency-asset portfolio of FER for 97 countries from 2003 to 2022.

Suggested Citation

  • Wang, Xi & Ma, Yongjun, 2025. "Dynamic estimation and analysis of the currency-asset portfolio of global foreign exchange reserves: A novel approach," Finance Research Letters, Elsevier, vol. 76(C).
    • Handle: RePEc:eee:finlet:v:76:y:2025:i:c:s1544612325002715
    DOI: 10.1016/j.frl.2025.107007
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    References listed on IDEAS

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    1. Ito, Hiro & McCauley, Robert N., 2020. "Currency composition of foreign exchange reserves," Journal of International Money and Finance, Elsevier, vol. 102(C).
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