学术讲座：The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets

金融学院SBF论坛2019年第21讲

讲座题目：The Currency Composition of International Reserves, Demand for International Reserves, and Global Safe Assets

时间：6月13日（周四） 12：30-13：40

地点：博学楼303

主讲人：钱兴旺

主讲人简介：

钱兴旺，纽约州立大学布法罗州立分校经济金融系教授; 北卡罗莱纳大学教堂山分校任兼职教授。他还在香港金融管理局货币研究所(HKIMR), 国际清算银行(BIS),美国圣克鲁兹国际经济研究所(SCIIE)，香港城市大学GRU等研究机构拥有研究职位。其主要研究领域为宏观视角下的国际金融与贸易，专注于新兴经济体跨国资本流动，OFDI, 外汇储备，和资本控制。在Journal of International Money and Finance, Review of World Economy, Review of International Economics 等SSCI期刊上发表多篇论文。

讲座内容简介：

Abstract：This paper examines determinants of the international reserves (IR) currency composition before and after the Global Financial Crisis (GFC). Applying the annual data of 58 countries, we confirm that countries that trade more with the US, euro zone, UK, and Japan, and issue more debt denominated in the big four currencies (US dollar, euro, pound, yen) hoard more IR in these currencies. We find scale effects in which countries tend to diversify from the big four currencies as they increase their IR/GDP and that a growing shortage of global safe assets (GSAs) induces countries to hold more big four currencies. Countries hold less big four currencies as IR after the 2008 GFC, while they hold more of such currencies since the tapering of the Fed’s quantitative easing. The 2008 GFC and QE tapering weakened and sometimes reversed the effect of several economic factors. We also find that TARGET2 balances matter for the currency composition in the euro zone; commodity-exporting countries tend to diversify their IR from the big four currencies when their terms of trade improve; and that the valuation effects induced by Euro/USD exchange rate changes diminish the significance of the GFC in explaining the currency composition of IR.