Does the accumulation of foreign currency reserves affect risk-taking? An event study approach

Rasmus Fatum and James Yetman

A chapter in The price, real and financial effects of exchange rates, 2018, vol. 96, pp 41-52 from Bank for International Settlements

Abstract: Fatum and Yetman (2017) assess whether foreign currency reserves accumulation in the Asia-Pacific region is systematically associated with risk-taking, using an event study approach to examine the responses of various proxies of risk-taking to official announcements of reserves stocks. Across a wide range of specifications and robustness checks, we find little evidence that reserves accumulation has a significant influence on risk-taking.

Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:bis:bisbpc:96-06

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