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Title page 1

Contents 4

ABSTRACT 3

1. INTRODUCTION 5

2. INTERNATIONAL CURRENCIES AND DATA 6

Three Functions of an International Currency 6

Computing the Economic Size of the Major Currency Zones 7

Computed Shares of the Major Currency Zones 8

3. TRENDS IN THE USE OF CURRENCIES FOR THE DIFFERENT INTERNATIONAL PURPOSES 9

Compositions of Currencies Used for the Different International Purposes 9

Correlations Between the Shares of Currencies Used for Different International Purposes 13

4. DETERMINANTS OF THE SHARES OF CURRENCIES USED FOR THE DIFFERENT INTERNATIONAL PURPOSES 15

Literature on the Determinants of the currency Compositions of Aggregate FX Reserves 15

The Estimation Model 17

Estimation Results 18

5. SCENARIO ANALYSIS FOR THE RMB 23

Simulation Procedures 23

Interpretation of the Simulation Results 26

6. CONCLUDING REMARKS 26

REFERENCES 29

APPENDIX I: DEFINITIONS AND SOURCES OF VARIABLES USED IN THE REGRESSION ANALYSIS 31

APPENDIX II: COMPUTATION OF THE ECONOMIC SIZE OF THE MAJOR CURRENCY ZONES 32

APPENDIX III: CONSTRUCTION OF THE FINANCIAL MARKET OPENNESS (FMO) INDEX 40

Tables 6

Table 1. Functions of an International Currency 6

Table 2. Correlation Coefficient Matrix for Each Major Currency and the Swiss Franc 14

Table 3. Correlation Coefficient Matrix for All Currencies and AE and EMDE Currencies 14

Table 4. Estimation of Currency Shares, ln(x/1-x), Without the Lagged Dependent Variable, for 1980-2021 19

Table 5. Estimation of Currency Shares, ln(x/1-x), with the Lagged Dependent Variable, for 1980-2021 20

Table 6. Estimation of the Major Currency Zone Share, ln(x/1-x), With and Without the Lagged Dependent Variable for 1980-2021 21

Table 7. Scenario Analyses for the RMB 25

Figures 8

Figure 1. Size of Major Currency Zones, % Share of World GDP, Including the Core Countries/Region, 1980-2023 8

Figure 2. Currency Compositions for Cross-border Bank Liabilities, FX Reserves, International Payments, FX Market Turnovers, and... 10

Figure 3. Shares of Major Currency Zones Formed by Peripheral Economies 12

Appendix Tables 34

Table AII-1. Frankel-Wei and Kawai-Pontines Estimation Results for India and South Africa 34

Table AII-2. Final Currency Weights Used for India and Africa, 1980-2023 37

Table AII-3. Estimated Size of Currency Zones for India and South Africa, 1980-2023 38

Table AII-4. Economic Size of Major Currency Zones, % Shares in World GDP, 1980-2023 39

초록보기

The US dollar (USD) has long been the dominant international currency. The euro (EUR), UK pound (GBP), Japanese yen (JPY), and other advanced economy (AE) currencies have played complementary roles to the USD as international currencies, while emerging market and developing economy (EMDE) currencies including the Chinese yuan (or renminbi, RMB) have been used to a much more limited extent. This paper identifies the determinants of the shares of both AE and EMDE currencies used for settling international payments, trading in foreign exchange (FX) markets, holding financial assets and liabilities (such as FX reserves, cross-border bank liabilities, and international debt securities), and anchoring other economies’ exchange rates and thus forging currency zones. Data for these currency shares, except the last one (i.e., anchor or currency zone shares), are readily available from the International Monetary Fund (IMF), the Bank for International Settlements (BIS), and the Society for Worldwide Interbank Financial Telecommunication SC (SWIFT). Drawing on the authors’ earlier study, this paper computes the economic size of the major currency zones (i.e., the USD, EUR, GBP, JPY, and RMB zones), which are defined by the core countries (i.e., the US, the Euro Area, the UK, Japan, and the People’s Republic of China (PRC)) as well as the peripheral economies that stabilize their currencies, at least partially, to the respective major currencies. Following and extending the literature on the determinants of aggregate FX reserves, this paper tests the hypothesis that currency shares are determined by a common set of the economic characteristics of the currency issuers, such as their economic size (defined by their share of global GDP), their per capita GDP, the rate of appreciation and volatility of their nominal effective exchange rate, the change in their general government debt as a ratio of GDP, the degrees of their financial market development and openness, and a lagged dependent variable representing network externalities and inertia. It turns out that economic size, financial market development, and the inertia effect are the primary determinants of currency shares, and that financial market openness also matters in some cases. Using estimated regression equations, the paper conducts a scenario analysis for the RMB. An important implication of the analysis is that it is likely that the US dollar will remain the dominant international currency for the foreseeable future. Potential challengers to the US and the dollar need to be large in economic size and to be equipped with developed and open financial markets to support their currency internationalization, but it will take time for their currencies to rival the dollar because of the strong inertia effect. However, it is relatively easier for them to increase their anchor currency roles for other economies and expand their currency zones because the inertia effect is weaker for the currency zone share than for the other types of currency share.

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