arXiv 28 Jun 2022 · Finance — Statistical Finance · 3 citations (OpenAlex)
arXiv:2206.13751 · PDF · DOI · OpenAlex · Extracted main text
Central banks manage about $12 trillion in foreign exchange reserves, influencing global exchange rates and asset prices. However, some of the largest holders of reserves report minimal information about their currency composition, hindering empirical analysis. I describe a Hidden Markov Model to estimate the composition of a central bank's reserves by relating the fluctuation in the portfolio's valuation to the exchange rates of major reserve currencies. I apply the model to China and Singapore, two countries that collectively hold about $3.4 trillion in reserves and conceal their composition. I find that both China's reserve composition likely resembles the global average, while Singapore probably holds fewer US dollars.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Sheng, Liugang (2013) Did China Diversify Its Foreign Reserves? | 1.000 | 5 | 3 | 100% |
| 2 | Shi, Kai, Nie, Li (2017) Did China Effectively Manage Its Foreign Exchange Reserves? Revisiting the Currency Composition Change | 0.811 | 4 | 2 | 100% |
| 3 | Prasad, Eswar (2019) Has the dollar lost ground as the dominant international currency? | 0.737 | 3 | 2 | 100% |
| 4 | Ito, Hiro, McCauley, Robert (2020) Currency composition of foreign exchange reserves | 0.644 | 2 | 2 | 100% |
| 5 | Eichengreen, Barry, Mathieson, Donald (2000) The Currency Composition of Foreign Exchange Reserves: Retrospect and Prospect | 0.644 | 2 | 2 | 100% |
| 6 | Gopinath, Gita, Stein, Jeremy (2018) Trade Invoicing, Bank Funding, and Central Bank Reserve Holdings | 0.405 | 1 | 1 | 100% |
| 7 | DellaVigna, Stefano, Ferrara, Eliana La (2010) Detecting Illegal Arms Trade | 0.405 | 1 | 1 | 100% |
| 8 | Orlik, Tom, Glasser, Jeanne (2012) Understanding China's economic indicators: translating the data into investment opportunities | 0.405 | 1 | 1 | 100% |
| 9 | Chopin, Nicolas, Papaspiliopoulos, Omiros (2020) An Introduction to Sequential Monte Carlo | 0.405 | 1 | 1 | 100% |
| 10 | Zheng, Tingguo, Chen, Rong (2017) Dirichlet ARMA Models for Compositional Time Series | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 32 scored citations.