Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy?: An Econometric Study Using COFER Data
This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar depreciation/appreci...
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Washington, D.C
International Monetary Fund
2007
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Schriftenreihe: | IMF Working Papers
Working Paper No. 07/293 |
Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 URL des Erstveröffentlichers |
Zusammenfassung: | This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar depreciation/appreciation results in rebalancing switches vis-a-vis the other major reserve currency, the euro; valuation changes in the minor currencies tend to result in switches among themselves. The finding implies that currency diversifications in response to exchange rate changes have thus far tended to be stabilizing for exchange markets; it also helps explain the relative stability of reserve currency shares |
Beschreibung: | 1 Online-Ressource (22 p) |
ISBN: | 1451868561 9781451868562 |
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spelling | Lim, Ewe-Ghee Verfasser aut Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data Lim, Ewe-Ghee Washington, D.C International Monetary Fund 2007 1 Online-Ressource (22 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 07/293 This paper tests whether reserve portfolios respond to exchange rate changes with a portfolio rebalancing strategy, which requires the purchase of depreciating currencies and sale of appreciating ones. The paper finds empirical support for the strategy, in particular that dollar depreciation/appreciation results in rebalancing switches vis-a-vis the other major reserve currency, the euro; valuation changes in the minor currencies tend to result in switches among themselves. The finding implies that currency diversifications in response to exchange rate changes have thus far tended to be stabilizing for exchange markets; it also helps explain the relative stability of reserve currency shares Online-Ausg http://elibrary.imf.org/view/IMF001/08876-9781451868562/08876-9781451868562/08876-9781451868562.xml Verlag URL des Erstveröffentlichers Volltext |
spellingShingle | Lim, Ewe-Ghee Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data |
title | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data |
title_auth | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data |
title_exact_search | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data |
title_exact_search_txtP | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data |
title_full | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data Lim, Ewe-Ghee |
title_fullStr | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data Lim, Ewe-Ghee |
title_full_unstemmed | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? An Econometric Study Using COFER Data Lim, Ewe-Ghee |
title_short | Do Reserve Portfolios Respond to Exchange Rate Changes Using a Portfolio Rebalancing Strategy? |
title_sort | do reserve portfolios respond to exchange rate changes using a portfolio rebalancing strategy an econometric study using cofer data |
title_sub | An Econometric Study Using COFER Data |
url | http://elibrary.imf.org/view/IMF001/08876-9781451868562/08876-9781451868562/08876-9781451868562.xml |
work_keys_str_mv | AT limeweghee doreserveportfoliosrespondtoexchangeratechangesusingaportfoliorebalancingstrategyaneconometricstudyusingcoferdata |