What explains global exchange rate movements during the financial crisis?

Marcel Fratzscher

Journal of International Money and Finance, 2009, vol. 28, issue 8, 1390-1407

Abstract: A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar, rather than a weakening. Macroeconomic fundamentals and financial exposure of individual countries are found to have played a key role in the transmission process of US shocks: in particular countries with low FX reserves, weak current account positions and high direct financial exposure vis-à-vis the United States have experienced substantially larger currency depreciations during the crisis overall, and to US shocks in particular.

Keywords: Financial; crisis; Exchange; rates; Global; imbalances; Shocks; United; States; US; dollar; Transmission; channels (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (153)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:28:y:2009:i:8:p:1390-1407

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