The Cost of Holding Foreign Exchange Reserves

Overview

Replication files for ‘The Cost of Holding Foreign Exchange Reserves’ by Eduardo Levy-Yeyati and Juan Francisco Gomez, chapter 6 of “Asset Management at Central Banks and Monetary Authorities” edited by Jacob Bjorheim, published by Springer. Available at: https://www.springer.com/us/book/9783030434564

Working paper: CID Faculty Working Paper Series No. 353, May 2019, Harvard. Available at: https://www.hks.harvard.edu/centers/cid/publications/faculty-working-papers/holding-exchange-reserves

Installing this repository:

Git users are welcome to fork this repository or clone it for local use.

Non-Git users will probably find it easier to download the zip file by clicking on the “Clone or download” button on the right hand side of this screen, and then clicking “Download ZIP”. Once downloaded, always start by opening the ‘Rproj’ file (in this case: cost-holding-fx-reserves.Rproj).

Required Software:

• R

• Rstudio

• Api key of the Federal Reserve Bank of San Louis, available at: https://research.stlouisfed.org/docs/api/api_key.html. Once in hand, write it in line 6 of sample_stlouis_api_key.R and then change its name to stlouis_api_key.R.

Files structure

1. data_generator.R will install and load the required packages, download the data from public warehouses (i.e IMF, WB, St.Louis FED, S&P), save them in folder ‘raw_data’, and lastly build two panels saved in folder ‘Outputs’:

   • self_insurance_db.csv is the section 3 data base (‘DB’).
   • law_db.csv is the section 4 DB.

2. Exploratory_Data_Analysis.Rmd explores the data through tables and plots.

3. Self_Insurance_Regressions.Rmd loads the section 3 DB and performs the regressions.

4. Law_Model_analysis.Rmd loads the section 4 DB and perform the analytics.

Contributing

Comments are very welcome, usual disclaimers apply.

Author & Maintainer

• Juan Francisco Gomez