International Currency Exposures, Valuation Effects, and the Global Financial Crisis / Agustín S. Bénétrix, Philip R. Lane, Jay C. Shambaugh.

Format:

Book

Author/Creator:

Bénétrix, Agustín S.

Contributor:

National Bureau of Economic Research.

Lane, Philip R.

Shambaugh, Jay C.

Series:

Working Paper Series (National Bureau of Economic Research) no. w20820.

NBER working paper series no. w20820

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2015.

Summary:

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.

Notes:

Print version record

January 2015.