Currency compositions of international reserves – Ito and McCauley

Following my previous blog on currency composition of reserves, we can present the Ito-McCauley database on individual Central Bank reserve holdings.

The database is available here and is discussed in this EconBrowser post. The country coverage is larger than in Lars-Mihailov-Weidner. The behavior of CESEE countries is confirmed, after the euro crisis, they hold more international reserves and most of these reserves are euros.

Besides, you might be interested in my series on heat plots, see here.

Full code for pedagogical and teaching purposes:

use "C:\Users\jamel\Dropbox\Latex\PROJECTS\24-05-rer-tot-cesee\Data and Command\currency-composition-06-09-24\reserves_currency_share2021.dta"

describe

labmask cn, values(country_name)

xtset cn year
xtdes

summ year
  local x1 = `r(min)'
  local x2 = `r(max)'
heatplot res_usd i.cn year if res_usd>0 & res_usd<1, ///
 yscale(noline) ///
 ylabel(, nogrid labsize(*0.4)) ///
 xlabel(`x1'(3)`x2', labsize(*0.5) angle(vertical) ///
         nogrid) ///
 color(plasma, reverse) ///   
 cuts(0(0.1)1) ///
  ramp(right  space(14) label(0(0.1)1) format(%4.2f)) ///
  p(lcolor(black%10) lwidth(*0.1)) ///
  ytitle("") ///
  xtitle("", size(vsmall)) ///
  xdiscrete name(usd, replace) ///
 title("International Reserves in USD") ///
  note("Data source: Ito-McCauley-2024.", ///
  size(vsmall))
 
graph export res_usd.png, as(png) width(4000) replace

summ year
  local x1 = `r(min)'
  local x2 = `r(max)'
heatplot res_euro i.cn year if res_euro>0 & res_euro<1, ///
 yscale(noline) ///
 ylabel(, nogrid labsize(*0.4)) ///
 xlabel(`x1'(3)`x2', labsize(*0.5) angle(vertical) ///
         nogrid) ///
 color(plasma, reverse) ///   
 cuts(0(0.1)1) ///
  ramp(right  space(14) label(0(0.1)1) format(%4.2f)) ///
  p(lcolor(black%10) lwidth(*0.1)) ///
  ytitle("") ///
  xtitle("", size(vsmall)) ///
  xdiscrete name(euro, replace) ///
 title("International Reserves in EUR") ///
  note("Data source: Ito-McCauley-2024.", ///
  size(vsmall))
 
graph export res_euro.png, as(png) width(4000) replace

summ year
  local x1 = `r(min)'
  local x2 = `r(max)'
heatplot res_euro i.cn year if res_euro>0.5 & res_euro<1, ///
 yscale(noline) ///
 ylabel(, nogrid labsize(*0.4)) ///
 xlabel(`x1'(3)`x2', labsize(*0.5) angle(vertical) ///
         nogrid) ///
 color(plasma, reverse) ///   
 cuts(0.5(0.1)1) ///
  ramp(right  space(14) label(0.5(0.1)1) format(%4.2f)) ///
  p(lcolor(black%10) lwidth(*0.1)) ///
  ytitle("") ///
  xtitle("", size(vsmall)) ///
  xdiscrete name(eurolarge, replace) ///
 title("International Reserves in EUR (Large Holders)") ///
  note("Data source: Ito-McCauley-2024.", ///
  size(vsmall))
 
graph export res_eurolarge.png, as(png) width(4000) replace

summ year
  local x1 = `r(min)'
  local x2 = `r(max)'
heatplot res_jy i.cn year if res_jy>0 & res_jy<1, ///
 yscale(noline) ///
 ylabel(, nogrid labsize(*0.4)) ///
 xlabel(`x1'(3)`x2', labsize(*0.5) angle(vertical) ///
         nogrid) ///
 color(plasma, reverse) ///   
 cuts(0(0.1)0.6) ///
  ramp(right  space(14) label(0(0.1)0.6) format(%4.2f)) ///
  p(lcolor(black%10) lwidth(*0.1)) ///
  ytitle("") ///
  xtitle("", size(vsmall)) ///
  xdiscrete name(jy, replace) ///
 title("International Reserves in JPY") ///
  note("Data source: Ito-McCauley-2024.", ///
  size(vsmall))
 
graph export res_jy.png, as(png) width(4000) replace

summ year
  local x1 = `r(min)'
  local x2 = `r(max)'
heatplot res_bp i.cn year if res_bp>0 & res_bp<1, ///
 yscale(noline) ///
 ylabel(, nogrid labsize(*0.4)) ///
 xlabel(`x1'(3)`x2', labsize(*0.5) angle(vertical) ///
         nogrid) ///
 color(plasma, reverse) ///   
 cuts(0(0.1)0.5) ///
  ramp(right  space(14) label(0(0.1)0.5) format(%4.2f)) ///
  p(lcolor(black%10) lwidth(*0.1)) ///
  ytitle("") ///
  xtitle("", size(vsmall)) ///
  xdiscrete name(bp, replace) ///
 title("International Reserves in GBP") ///
  note("Data source: Ito-McCauley-2024.", ///
  size(vsmall))
 
graph export res_bp.png, as(png) width(4000) replace

That’s all folks for today!

Delighted to have my graphs included in the Econbrowser’s post (9/7): https://econbrowser.com/archives/2024/09/the-ito-mccauley-database-on-individual-central-bank-reserve-holdings