Accumulation of foreign currency reserves and risk-taking

Rasmus Fatum and James Yetman

Journal of International Money and Finance, 2020, vol. 102, issue C

Abstract: We assess whether the accumulation of foreign currency reserves in the Asia-Pacific region may have unintended consequences in the form of increased private sector risk-taking. To do so we carry out a country-specific daily data event study analysis of the relationship between official announcements of reserves stocks and various proxy measures of risk-taking. Overall, our results suggest that reserves accumulation exerts no systematic influence on risk-taking.

Keywords: Foreign exchange reserves; Risk-taking; Implied volatility; Credit default swaps (search for similar items in EconPapers)
JEL-codes: F31 G15 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Accumulation of foreign currency reserves and risk-taking (2019)
Working Paper: Accumulation of Foreign Currency Reserves and Risk-taking (2019)
Working Paper: Accumulation of foreign currency reserves and risk-taking (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305455

DOI: 10.1016/j.jimonfin.2019.102097

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