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International Currency Exposures, Valuation Effects and the Global Financial Crisis

Agustín Bénétrix (), Philip Lane () and Jay Shambaugh

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)
New Economics Papers: this item is included in nep-ifn and nep-opm
Date: 2015-01
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Journal Article: International currency exposures, valuation effects and the global financial crisis (2015) Downloads
Working Paper: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2015) Downloads
Working Paper: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2015) Downloads
Chapter: International Currency Exposures, Valuation Effects, and the Global Financial Crisis (2014)
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