From the IMF (9/27/2024):
Dollar Share of World FX Reserves (thru Q2)
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Category Archives: exchange rates
Ten Year Treasury Yields, Dollar Index Down
Apparently some news:
The Ito-McCauley Database on Individual Central Bank Reserve Holdings
Hiro Ito and Robert McCauley have compiled a dataset(first discussed in this 2019 working paper) of the currency composition of international reserves over the 1999-2021 period. This dataset was used in Ito and McCauley (2020), Chinn, Ito and McCauley (2022), and Chinn, Ito and Frankel (2024).
Guest Contribution: “Exchange Rate Models are Better than You Think, and Why They Didn’t Work in the Old Days”
Today, we present a guest post written by Charles Engel, Donald D. Hester Distinguished Chair in Economics at UW Madison and Steve Pak Yeung Wu, Assistant Professor of Economics at UCSD.
“Yellen Rebuffs Trump Argument on Dollar Hurting US Manufacturing”
That’s a title of an article by Christopher Condon, in Bloomberg a few days ago. What’s the evidence? Figure 1 shows the typically referenced CPI deflated trade weighted dollar.
VoxEU: “The Russian sanctions and dollar foreign exchange reserves”
From a VoxEU article today, by Robert N. McCauley with Hiro Ito and Menzie Chinn:
Will the freezing of the Bank of Russia’s foreign exchange reserves undermine the dollar’s predominant role in official foreign exchange reserves? This column examines the aggregate evidence since end-2021 for any reduction in the dollar share of official foreign exchange reserves against a baseline constructed with data from 1999 through 2021. The observed dollar share in March 2024 differs little from the out-of-sample projection based on this baseline. On this showing, official reserve managers have not reduced the role of the dollar since the freeze of the Bank of Russia’s assets.
Exchange Rates and Interest Rates: Some Papers [updated to 7/15]
I’ve spent the last week seeing lots of presentations on macro and international finance. Of particular interest are some papers on interest rate parity:
Chinn, Frankel and Ito: “The Dollar versus the Euro as International Reserve Currencies”
The abstract from article (free access to August 11) forthcoming in the Journal of International Money and Finance [link to ungated working paper version]:
Eswar Prasad: “Top Dollar”
From a just-published article in Foreign Affairs:
News Impact Illustrated: Jobs, CPI, PPI Releases
Following up on the PPI release (discussed along with other core measures) discussed here, how have markets responded, in terms of Fed funds futures, the ten year rate?