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Foreign Exchange Intervention: A Dataset of Public Data and Proxies

Author

Listed:
  • Gustavo Adler
  • Kyun Suk Chang
  • Rui Mano
  • Yuting Shao

Abstract

A better understanding of foreign exchange intervention (FXI) is often hindered by the lack of data. This paper provides a new dataset of FXI covering a large number of countries since 2000 at monthly and quarterly frequencies. It includes published official data for about 40 countries as well as carefully constructed estimates for 122 countries. Estimates account for a wide range of central bank operations, including both spot and derivative transactions. These estimates improve upon traditional proxies based on changes in reserves, by adjusting for valuation changes, income flows, and changes in other foreign-currency balance sheet positions (both vis-à-vis residents and non-residents)—the first estimates to do the latter to our knowledge—thus providing a more accurate measure of operations that change the central bank’s foreign currency position. The dataset also provides a classification of FXI operations into sterilized or not sterilized, a key dimension for economic analysis. Finally, the paper discusses the merits of the new estimates relative to traditional proxies, and presents stylized facts. The dataset is updated regularly. Data available through the link above.

Suggested Citation

  • Gustavo Adler & Kyun Suk Chang & Rui Mano & Yuting Shao, 2021. "Foreign Exchange Intervention: A Dataset of Public Data and Proxies," IMF Working Papers 2021/047, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:2021/047
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    Citations

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    Cited by:

    1. Albagli, Elias & Ceballos, Luis & Claro, Sebastian & Romero, Damian, 2024. "UIP deviations: Insights from event studies," Journal of International Economics, Elsevier, vol. 148(C).
    2. Cezar, Rafael & Monnet, Eric, 2023. "Capital controls and foreign reserves against external shocks: Combined or alone?," Journal of International Money and Finance, Elsevier, vol. 137(C).
    3. Marcel Fratzscher & Tobias Heidland & Lukas Menkhoff & Lucio Sarno & Maik Schmeling, 2023. "Foreign Exchange Intervention: A New Database," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 71(4), pages 852-884, December.
    4. Eugenio Cerutti & Haonan Zhou, 2024. "Uncovering CIP Deviations in Emerging Markets: Distinctions, Determinants, and Disconnect," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 72(1), pages 196-252, March.
    5. Ahmed, Rashad & Aizenman, Joshua & Saadaoui, Jamel & Uddin, Gazi Salah, 2023. "On the effectiveness of foreign exchange reserves during the 2021-22 U.S. monetary tightening cycle," Economics Letters, Elsevier, vol. 233(C).
    6. David de Villiers & Hylton Hollander & Dawie van Lill, 2023. "The effectiveness of macroprudential policies in managing extreme capital flow episodes," Working Papers 06/2023, Stellenbosch University, Department of Economics.
    7. Heimonen, Kari & Rönkkö, Risto, 2024. "The RMB's global role as an anchor currency: No evidence," BOFIT Discussion Papers 5/2024, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Alain Naef, 2020. "Blowing against the Wind? A Narrative Approach to Central Bank Foreign Exchange Intervention," Working Papers 0188, European Historical Economics Society (EHES).
    9. Adler, Gustavo & Chang, Kyun Suk & Wang, Zijiao, 2021. "Patterns of foreign exchange intervention under inflation targeting," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 2(4).
    10. Flavio Abanto Salcedo, 2024. "Is Foreign Exchange Intervention through derivative instruments effective? An analysis of the Peruvian case," IHEID Working Papers 17-2024, Economics Section, The Graduate Institute of International Studies.
    11. Kim, Daehwan & Nilsen, Jeffrey, 2023. "A Gordon growth formula for wealth-income ratios and its implications on cross-country differences," Finance Research Letters, Elsevier, vol. 58(PD).
    12. Zheng, Huanhuan, 2023. "Original sin redux and deviations from covered interest parity," Journal of International Money and Finance, Elsevier, vol. 139(C).
    13. Aslam, Maqsood & Farvaque, Etienne, 2022. "Once bitten, twice bold? Early life tragedy and central bankers’ reaction to COVID-19," Finance Research Letters, Elsevier, vol. 44(C).
    14. Bergant, Katharina & Forbes, Kristin, 2023. "Policy packages and policy space: Lessons from COVID-19☆," European Economic Review, Elsevier, vol. 158(C).
    15. Fredy Gamboa-Estrada & José Vicente Romero, 2022. "Common and idiosyncratic movements in Latin-American exchange rates," International Economics, CEPII research center, issue 171, pages 174-190.
    16. Linda S. Goldberg & Oliver Zain Hannaoui, 2024. "Drivers of Dollar Share in Foreign Exchange Reserves," Staff Reports 1087, Federal Reserve Bank of New York.
    17. David Castañeda-Arévalo & Fredy Gamboa-Estrada, 2021. "Los determinantes de la liquidez en Colombia: un análisis del mercado de divisas de contado," Borradores de Economia 1185, Banco de la Republica de Colombia.
    18. Lodge, David & Manu, Ana-Simona & Van Robays, Ine, 2023. "China’s footprint in global financial markets," Working Paper Series 2861, European Central Bank.
    19. M. Ramachandran, 2023. "Official Intervention, Reserve Accumulation and Exchange Rate Volatility," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 21(2), pages 269-287, June.
    20. Kim, Minsuk & Mano, Rui C. & Mrkaic, Mico, 2024. "Do FX interventions lead to higher FX debt? Evidence from firm-level data," Journal of International Money and Finance, Elsevier, vol. 148(C).
    21. Aftab, Muhammad & Phylaktis, Kate, 2022. "Economic integration and exchange market pressure in a policy uncertain world," Journal of International Money and Finance, Elsevier, vol. 128(C).
    22. Arslanalp, Serkan & Eichengreen, Barry & Simpson-Bell, Chima, 2022. "The stealth erosion of dollar dominance and the rise of nontraditional reserve currencies," Journal of International Economics, Elsevier, vol. 138(C).
    23. Olanubi, Sijuola Orioye, 2023. "Foreign exchange intervention and the Dutch disease under incomplete information," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    24. Naef, Alain, 2024. "Blowing against the Wind? a narrative approach to central Bank foreign exchange intervention," Journal of International Money and Finance, Elsevier, vol. 146(C).
    25. Vanessa Olakemi Dovonou, 2023. "Trilemma revisited with dollar dominance in trade and finance," Working Papers 2023.05, International Network for Economic Research - INFER.

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