Foreign exchange reserve accumulation has risen dramatically in recent years. The introduction of the euro, greater … currencies. Making various assumptions on expected currency returns and the variance-covariance structure, we assess how the euro …-free) currency. (ii) The optimum portfolios show a much lower weight for the euro than is observed. This suggests that the euro may …

Volatility permeates modern financial theories and decision making processes. As such, accurate measures and good … forecasts of future volatility are critical for the implementation and evaluation of asset pricing theories. In response to this …, a voluminous literature has emerged for modeling the temporal dependencies in financial market volatility at the daily …

interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with …

euro might in the future rival or surpass the dollar as the world's leading international reserve currency appears to … currency? Unlike ten years ago, there now exists a credible competitor: the euro. This paper econometrically estimates … determinants of the shares of major currencies in the reserve holdings of the world's central banks. Significant factors include …

article, we provide evidence suggesting a recent rise in the use of the dollar, and fall of the use in the euro, with similar …

additional factors, a commodity currency factor and a “world” factor based on trading volumes, fits currency basket correlations …

Using tick-by-tick data of the dollar-yen and euro-dollar exchange rates recorded in the actual transaction platform, a …

The euro has arisen as a credible eventual competitor to the dollar as leading international currency, much as the … major currencies in the reserve holdings of the world's central banks. Significant factors include: size of the home country … euro over the period 1999-2007. This paper updates calculations regarding possible scenarios for the future. We exclude the …