International currency exposures, valuation effects and the global financial crisis

Agustín Bénétrix, Philip Lane and Jay Shambaugh

Journal of International Economics, 2015, vol. 96, issue S1, S98-S109

Abstract: 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.

Keywords: International currency exposures; Valuation channel (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (154)

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Related works:
Working Paper: International Currency Exposures, Valuation Effects and the Global Financial Crisis (2015)
Working Paper: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2015)
Working Paper: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2015)
Chapter: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:96:y:2015:i:s1:p:s98-s109

DOI: 10.1016/j.jinteco.2014.11.002

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