Front Matter Page
Treasurer’s Department
Table of Contents
I. Introduction
II. Recent Trends in the Composition of Foreign Exchange Reserves
III. The Characteristics of the SDR as a Reserve Asset
IV. The Role of the SDR in a Minimum Variance Portfolio
1. The data set
2. Comparison of individual investment alternatives
3. Comparison of alternative portfolios of reserve assets
4. The choice of the base currency
V. Concluding Remarks
Appendix The Variance of the SDR Relative to the Variance of a Weighted Average of its Components
Text Tables
1.1. Share of National Currencies in Official Holdings of Foreign Exchange by Type of Currency Among Industrial Countries; End of Year
1.2. Share of National Currencies in Official Holdings of Foreign Exchange by Type of Currency Among Developing Countries; End of Year
2. Pairwise Correlation Coefficients of Changes in Exchange Rates in Terms of the SDR, 1981-87
3. Average Absolute Daily Percentage Changes in Bilateral Exchange Rates
4. Simulation of Investments in SDR Components and in SDRs: U.S. Dollar-Based Investor
5. Simulation of Investments in SDR Components and in SDRs: Pound Sterling-Based Investor
6. Simulation of Investments in SDR Components and in SDRs: French Franc-Based Investor
7. Simulation of Investments in SDR Components and in SDRs: Deutsche Mark-Based Investor
8. Simulation of Investments in SDR Components and in SDRs: Japanese Yen-Based Investor
9. Simulation of Investments in SDR Components and in SDRs: SDR-Based Investor
10. Return Per Unit Risk
11. Composition of the Minimum Risk Portfolio
12. Composition of the Miminum Risk Portfolio, Including the Base Currency
Chart
1. Quarterly Average of Daily Percentage Movements of Exchange Rates Against the U.S. Dollar
2. Quarterly Average of Daily Percentage Movements of Exchange Rates Against the Japanese Yen
3. Quarterly Average of Daily Percentage Movements of Exchange Rates Against the Deutsche Mark
4. Quarterly Average of Daily Percentage Movements of Exchange Rates Against the Pound Sterling
5. Quarterly Average of Daily Percentage Movements of Exchange Rates Against the French franc
6. Efficiency Frontier
7. Efficiency Frontier
References