Research Documents & Data Sources

Key academic papers, data sources, and institutional reports that inform the BAAL methodology

Data Sources

Federal Reserve H.10 Foreign Exchange Rates

Weekly release of foreign exchange rates by the Federal Reserve

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Bank for International Settlements (BIS) Statistical Warehouse

Comprehensive statistics on the global financial system

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IMF International Financial Statistics

Global financial data including exchange rates, interest rates, and balance of payments

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World Bank Global Inflation Database

Inflation data across various countries and regions

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World Gold Council Historical Data

Historical data on gold prices and demand

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London Bullion Market Association (LBMA)

Information on the global over-the-counter market for gold and silver

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Key Academic Papers

Hovanov et al. (2004)

"Computing Currency Invariant Indices with an application to minimize variance in the currency basket"

Journal of Economic Dynamics and Control, 28(8), 1481-1504

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Burkhardt & Ulrych (2023)

"Sparse and Stable International Portfolio Optimization"

Journal of International Money and Finance

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Sarno & Taylor (2002)

"Purchasing Power Parity and the Real Exchange Rate"

IMF Staff Papers, 49(1), 65-105

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Engle (2002)

"Dynamic Conditional Correlation: A Simple Class of Multivariate GARCH Models"

Journal of Business & Economic Statistics, 20(3), 339-350

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Baur & Lucey (2010)

"Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold"

Financial Analysts Journal, 66(4), 1-12

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Libra or Librae?

"Basket based stablecoins to mitigate foreign exchange volatility spillover"

Journal of International Financial Markets, Institutions and Money

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Additional Research Papers

Giudici & Spelta (2016)

"Graphical Network Models for International Financial Flows"

Journal of Business & Economic Statistics, 34(1), 128-138

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Giudici & Green (1999)

"Decomposable Graphical Gaussian Model Determination"

Biometrika, 86(4), 785-801

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BIS Working Papers Series

A series of research papers covering various aspects of the global financial system

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Institutional Sources

IMF SDR Valuation Reports (2022)

Reports detailing the valuation of the Special Drawing Right (SDR)

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World Bank Currency Basket Studies

Analyses of currency baskets used in various financial contexts

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BIS Triennial Central Bank Survey (2022)

Comprehensive survey of global foreign exchange and derivatives markets

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World Gold Council Central Bank Gold Reserves Survey (2024-2025)

Survey of gold reserves held by central banks worldwide

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