Working Papers

(WP1/2019) The Currency Composition of International Portfolio Assets

Published Date: : January 2019
Authors:: Rogelio V. Mercado, Jr., Caroline Mehigan and Vahagn Galstyan


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 membership of the 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.