Cross-Border Currency Exposures

IMF Working Papers, December 27, 2019

Source details

Paper provides a dataset on the currency composition of the international investment position for a group of 50 countries for the period 1990-2017.
Improves available data based on estimates by incorporating actual data reported by statistical authorities and refining estimation methods.
Illustrates current and new uses of these data, with particular focus on the evolution of currency exposures of cross-border positions.
Authors: Agustin Benetrix, Deepali Gautam, Luciana Juvenal, Martin Schmitz.
Date: December 27, 2019.

Coverage: 50 countries; period: 1990-2017.
Core improvement: incorporation of actual data reported by statistical authorities.
Methodological refinement: enhanced estimation methods to improve prior estimated currency-composition data.
Data product: dataset on the currency composition of the international investment position.
Link to data for this title: ZIP (as indicated on the source page).

Primary analytical focus: evolution of currency exposures of cross-border positions.
Intended uses illustrated in the paper:
- Analysis of currency composition of assets and liabilities in the international investment position.
- Assessment of foreign currency exposure and valuation effects on external positions.
- Enhanced empirical work on exchange rate risks, reserve asset composition, and external position vulnerabilities.

Subject: Currencies, Exchange rates, External position, Foreign currency exposure, Foreign exchange, International investment position, Money.
Keywords: Currencies, Currency composition, debt liability, domestic currency, exchange rate, Exchange rates, financial crisis, foreign currency, Foreign currency exposure, foreign currency exposures, Global, International investment position, pound sterling, reserve asset, valuation effect, WP.