2023-12-06-IMF-外部资产负债表货币_50页_783kb
报告摘要
- Despite some prevalent views, the US dollar and the euro still dominate global external balance sheets, collectively accounting for about 50% of cross-border holdings as of 2020.
- There were substantial changes in currency composition across countries since the 1990s; emerging markets have increasingly shifted from short to long positions in foreign currency, moving away from "original sin" exposure and reducing balance sheet vulnerabilities.
- Financial and trade-weighted exchange rates are weakly correlated, indicating that commonly used trade-weighted indices may not adequately reflect the wealth effects of currency movements, as they often fail to capture valuation changes fully.
- During the Global Financial Crisis, wealth transfers reduced global imbalances, acting as a stabilizing factor, but during the COVID-19 crisis, wealth transfers increased global imbalances, leading to destabilizing valuation changes and exacerbating stock imbalances.
- The study uses a dataset for 50 major economies (covering over 90% of global GDP) combining actual and synthetic data to examine currency composition, revealing improvements in currency exposures, especially in emerging markets.
The paper underscores the importance of analyzing both asset class-specific currency exposures and aggregate net exposures for understanding international financial integration and vulnerability to exchange rate shocks.
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