央行外汇储备货币构成的动态变化
Dynamics of the Currency Composition of Central Bank Reserves
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中文总结 AI 辅助
本文通过53国1999-2023年的非平衡面板数据，估计受限方程组，发现央行储备构成具全系统动态性，贸易联系和制裁是其核心决定因素。
中文摘要 AI 辅助
本文研究美国、欧元区和中国的宏观经济与地缘政治发展如何影响各国外汇储备的货币构成。利用1999-2023年53个国家储备份额的非平衡面板数据，我们估计了明确施加储备份额加总约束的受限方程组。结果显示储备持有存在显著持续性和明显的跨货币依赖性，支持储备构成存在全系统层面的动态变化。在个体固定效应设定中，发行方经济规模、不确定性、制裁、贸易联系及发行方可信度均与储备的货币分配显著相关；加入年份固定效应后，持续性和跨货币依赖性仍存在，而贸易联系和制裁成为储备构成最重要的决定因素。研究强调，分析全球储备持有决定因素时，需考虑储备份额的构成属性与相互依赖性。
英文摘要
We examine how macroeconomic and geopolitical developments in the United States, the euro area, and China affect the currency composition of central banks' foreign exchange reserves. Using an unbalanced panel of reserve shares for 53 countries over 1999-2023, we estimate a constrained system of equations that explicitly imposes the adding-up restriction on reserve shares. The results indicate substantial persistence in reserve holdings and significant cross-currency dependence, supporting a system-wide dynamics of reserve composition. In the country fixed-effects specification (1) issuer economic size, (2) uncertainty, (3) sanctions, (4) trade linkages, and (5) issuer credibility are significantly associated with reserve allocation across currencies. With the inclusion of year fixed effects, the persistence and cross-currency dependence remain, while trade linkages and sanctions emerge as the most important determinants of reserve composition. The results highlight the importance of accounting for the compositional nature and interdependence of reserve shares when examining the determinants of global reserve holdings.
