Hiro Ito and Robert McCauley have compiled a dataset(first mentioned on this 2019 working paper) of the forex composition of worldwide reserves over the 1999-2021 interval. This dataset was utilized in Ito and McCauley (2020), Chinn, Ito and McCauley (2022), and Chinn, Ito and Frankel (2024).
The IMF’s COFER solely presents combination forex shares. Different datasets of particular person central financial institution reserves are much less complete, and/or report gross fairly than web values (Iancu, et al. 2020).
For a person central financial institution, the variations will be hanging. Determine 13 for Sweden’s Riksbank relies on Iancu et al. (2020) information, Determine 14 relies on Ito and McCauley (2022) information.
Within the combination, there are variations between the related information units. The primary determine is for USD shares, the second is for EUR shares.
Determine 1: USD shares of worldwide reserves from IMF COFER (inexperienced), Iancu et al. (pink), and Ito and McCauley (blue).
Determine 2: EUR shares of worldwide reserves from IMF COFER (inexperienced), Iancu et al. (pink), and Ito and McCauley (blue).
The variations are attributable to protection (COFER covers in precept all reporting IMF members, whereas Iancu et al. and Ito-McCauley cowl completely different units of nations), and therapy of reserves.
We now have used this information set to analyze whether or not de-dollarization is happening within the BRICS.
Determine 3: Share of international alternate holdings in USD, by central financial institution. Supply: Ito-McCauley database,.
Hiro Ito has additionally accomplished an early test on nontraditional reserves via 2022:
Determine 4: Geometric common of reserve holdings (expressed in USD) for reporting central banks. Very incomplete information for 2022. Supply: Ito calculations on unpublished model of Ito-McCauley dataset.
The information set web site is right here (out there in both Excel or Stata codecs). Sadly, the protection on this publicly out there information set is smaller (63 international locations) than that utilized in Chinn-Ito-McCauley (73 international locations) or Chinn-Ito-Frankel (2024), as a consequence of confidentiality restrictions imposed by a number of Latin American central banks.
Not too long ago, Laser, Milhailov and Weidner (2024) have circulated a database on particular person central financial institution holdings for eight currencies. I believe protection for the reserve currencies comparable to CAD, AUD and CNY goes to be pretty spotty (and spotty for all currencies in 2022 and significantly 2023), given what info we now have within the Ito-McCauley dataset.
