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The Currency Composition of International Portfolio Assets

Listed author(s):
  • Vahagn Galstyan

    ()

    (Trinity College Dublin)

  • Caroline Mehigan

    ()

    (OECD)

  • Rogelio Mercado

    ()

    (Northumbria University)

In this paper, we empirically assess the importance of gravity-type variables and measures of macroeconomic and financial volatilities in explaining portfolio holdings denominated across the main global currencies: US dollar (USD), euro (EUR), Pound sterling (GBP), Japanese yen (JPY) and Swiss franc (CHF). Our findings underscore the importance of trade ties and common membership euro area. We also find that international positions co-move with the level of macroeconomic and financial uncertainty. Importantly, we identify heterogeneous patterns at a currency level.

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File URL: https://www.tcd.ie/Economics/TEP/2017/TEP1017.pdf
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Paper provided by Trinity College Dublin, Department of Economics in its series Trinity Economics Papers with number tep1017.

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Length: 22 pages
Date of creation: Mar 2017
Handle: RePEc:tcd:tcduee:tep1017
Contact details of provider: Postal:
Trinity College, Dublin 2

Phone: (+ 353 1) 6081325
Fax: 6772503
Web page: http://www.tcd.ie/Economics/

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  1. Galstyan, Vahagn & Lane, Philip R. & Mehigan, Caroline & Mercado, Rogelio, 2016. "The holders and issuers of international portfolio securities," Journal of the Japanese and International Economies, Elsevier, vol. 42(C), pages 100-108.
  2. Maurice Obstfeld & Kenneth Rogoff, 2001. "The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?," NBER Chapters,in: NBER Macroeconomics Annual 2000, Volume 15, pages 339-412 National Bureau of Economic Research, Inc.
  3. Vahagn Galstyan & Adnan Velic, 2017. "International Investment Patterns: The Case of German Sectors," Trinity Economics Papers tep0217, Trinity College Dublin, Department of Economics.
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