国际清算银行-全球证券投资和外汇衍生品（英）

BIS Working Papers No 1273 Global portfolio investments and FX derivatives by Tsvetelina Nenova, Andreas Schrimpf and Hyun Song Shin Monetary and Economic Department June 2025 JEL classification: F31, F32, F42, G15 Keywords: global portfolio investments, FX hedging, financial conditions BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). © Bank for International Settlements 2025. All rights reserved. Brief excerpts may be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Global portfolio investments and FX derivativesTsvetelina Nenova∗Andreas Schrimpf†Hyun Song Shin‡June 18, 2025AbstractWe show that outstanding volumes in FX swaps serve as a good indicator for the hedg-ing activity associated with portfolio positions of advanced economy bond investors. Assuch, FX swaps serve as a key barometer of risk-taking and global financial conditions.We develop a simple portfolio choice model for international bond investors and use itto estimate the relationship between global FX hedging activity, relative investment op-portunities (captured by the yield curve slopes in respective economies), and the hedgingcosts associated with underlying investments. We find that higher FX hedging activity isclosely associated with US portfolio debt inflows and outflows, indicating that FX hedgingplays a crucial role in facilitating cross-border bond investments. This connection betweenFX hedging motives, portfolio bond flows, and the yield curve highlights a mechanism ofinternational financial spillovers—not only from the US but also from advanced economieswith significant accumulated wealth flowing into the US.Keywords: Global portfolio investments, FX hedging, financial conditionsJEL Classification: F31, F32, F42, G15∗Bank for International Settlements, Switzerland. E-mail: Tsvetelina.Nenova@bis.org†Bank for International Settlements, Switzerland and CEPR. E-mail: Andreas.Schrimpf@bis.org‡Bank for International Settlements and CEPR, Switzerland. E-mail: Hyunsong.Shin@bis.orgWe are grateful to Stefan Avdjiev, Gaston Gelos, Bryan Hardy, Marco Lombardi, Angelo Ranaldo, Cara Stromeyer,Damiano Sandri, Vladyslav Sushko and participants at the 2025 Goodhart lecture at the LSE and the inauguralconference of the International Finance Society for helpful discussions and comments. The views expressed are those ofthe authors and do not necessarily reflect those of the Bank for International Settlements.1IntroductionIn this paper, we show that outstanding volumes in FX swaps (and related FX derivatives)proxy