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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (157)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0022199614001226
Full text for ScienceDirect subscribers only

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

Journal of International Economics is currently edited by Martin Uribe and Costas Arkolakis

More articles in Journal of International Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().