Foreign Exchange Intervention: A Dataset of Public Data and Proxies

By Gustavo Adler, Kyun Suk Chang, Rui Mano, Yuting Shao

February 19, 2021

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Gustavo Adler, Kyun Suk Chang, Rui Mano, and Yuting Shao. Foreign Exchange Intervention: A Dataset of Public Data and Proxies, (USA: International Monetary Fund, 2021) accessed November 13, 2024

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary

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.

Subject: Asset and liability management, Central Banks, Currencies, Foreign currency liquidity, Foreign exchange, Foreign exchange intervention, Money, Reserve currencies, Reserve positions

Keywords: Africa, Balance sheet position, Currencies, Dataset of FXI, Derivative transaction, Derivatives FX markets, Eastern Europe, Foreign currency, Foreign currency liquidity, Foreign Exchange Intervention, FXI data, FXI datum, FXI operations, FXI proxy, Global, International reserves, Reserve currencies, Reserve positions, Spot and derivatives FX markets, Spot and derivatives FX markets., WP

Publication Details

Pages:

55
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 2021/047
Stock No:

WPIEA2021047
ISBN:

9781513566672
ISSN:

1018-5941

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