Bénétrix, Agustín S.
[VerfasserIn]
;
Shambaugh, Jay C.
[Sonstige Person, Familie und Körperschaft];
Lane, Philip R.
[Sonstige Person, Familie und Körperschaft]National Bureau of Economic Research
International Currency Exposures, Valuation Effects, and the Global Financial Crisis
Erschienen:
Cambridge, Mass: National Bureau of Economic Research, January 2015
Erschienen in:NBER working paper series ; no. w20820
Umfang:
1 Online-Ressource
Sprache:
Englisch
DOI:
10.3386/w20820
Identifikator:
Reproduktionsnotiz:
Hardcopy version available to institutional subscribers
Entstehung:
Anmerkungen:
Mode of access: World Wide Web
System requirements: Adobe [Acrobat] Reader required for PDF files
Beschreibung:
We examine the evolution of international currency exposures, with a particular focus on the 2002-12 period. During the run up to the global financial crisis, there was a widespread shift towards positive net foreign currency positions, such that relatively few countries exhibited the archetypal emerging-market \short foreign currency" position on the eve of the global financial crisis. During the crisis, the upheaval in currency markets generated substantial currency-generated valuation effects - much of which were not reversed. There is some evidence that the distribution of valuation effects was stabilizing in the sense of showing a negative covariation pattern with pre-crisis net foreign asset positions