Foreign Exchange Intervention: A Dataset of Public Data and Proxies
IMF Working Papers, February 19, 2021
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- Foreign Exchange Intervention: A Dataset of Public Data and Proxies
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Bibliographic details
- Authors: Gustavo Adler, Kyun Suk Chang, Rui Mano, Yuting Shao
- Published: February 19, 2021
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781513566672.001
Overview and scope
- Title: Foreign Exchange Intervention: A Dataset of Public Data and Proxies
- Authors: Gustavo Adler, Kyun Suk Chang, Rui Mano, Yuting Shao
- Publication date: February 19, 2021
- Series: Working Paper No. 2021/047
- Volume: 2021; Issue: 047; Pages: 55
- DOI: https://doi.org/10.5089/9781513566672.001
- ISBN: 9781513566672; ISSN: 1018-5941
- Frequency and coverage: dataset covers a large number of countries since 2000 at monthly and quarterly frequencies.
Key dataset features and methodological advances
- Coverage:
- Published official data for about 40 countries.
- Carefully constructed estimates for 122 countries.
- Transaction types included:
- Accounts for a wide range of central bank operations, including both spot and derivative transactions.
- Adjustments improving on traditional proxies based on changes in reserves:
- Adjusts for valuation changes.
- Adjusts for income flows.
- Adjusts for changes in other foreign-currency balance sheet positions (both vis-à-vis residents and non-residents) — noted as the first estimates to do the latter to the authors' knowledge.
- Classification:
- Provides classification of FXI operations into sterilized or not sterilized, a key dimension for economic analysis.
- Frequency of updates:
- The dataset is updated regularly.
Main findings and contributions
- The new estimates provide a more accurate measure of operations that change the central bank’s foreign currency position compared with traditional reserve-change proxies.
- Inclusion of derivative transactions extends measurement beyond spot-only approaches.
- Adjustments for valuation, income, and other balance sheet position changes reduce measurement error in FXI estimates.
- The paper discusses merits of the new estimates relative to traditional proxies and presents stylized facts (stylized facts are reported in the paper).
Subjects and keywords (as listed)
- Subjects: Asset and liability management, Central banks, Currencies, Foreign currency liquidity, Foreign exchange, Foreign exchange intervention, Money, Reserve currencies, Reserve positions
- Keywords: Africa, balance sheet position, Currencies, dataset of FXI, derivative transaction, derivatives FX markets, Eastern Europe, foreign currency, Foreign currency liquidity, Foreign Exchange Intervention, FXI data, FXI datum, FXI operations, FXI proxy, Global, International reserves, Reserve currencies, Reserve positions, Spot and derivatives FX markets, Spot and derivatives FX markets., WP
IMF Working Paper: Foreign Exchange Intervention: A Dataset of Public Data and Proxies (Working Paper No. 2021/047), Gustavo Adler, Kyun Suk Chang, Rui Mano, Yuting Shao, February 19, 2021.
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- Working Paper