International Currency Exposures, Valuation Effects and the Global Financial Crisis

Philip Lane, Jay Shambaugh and ,
Authors registered in the RePEc Author Service: Agustín S. Bénétrix

No 10325, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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: Global financial crisis; International currency exposures; Valuation effects (search for similar items in EconPapers)
JEL-codes: F30 F31 (search for similar items in EconPapers)
Date: 2015-01
New Economics Papers: this item is included in nep-ifn and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (160)

Downloads: (external link)
https://cepr.org/publications/DP10325 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Journal Article: 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:cpr:ceprdp:10325

Ordering information: This working paper can be ordered from
https://cepr.org/publications/DP10325

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().