Accumulation of foreign currency reserves and risk-taking

Rasmus Fatum and James Yetman

No GRU_2019_019, GRU Working Paper Series from City University of Hong Kong, Department of Economics and Finance, Global Research Unit

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)
Pages: 31 pages
Date: 2019-08-14
New Economics Papers: this item is included in nep-sea
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https://www.cb.cityu.edu.hk/ef/doc/GRU/WPS/GRU%232019-019%20Fatum.pdf (application/pdf)

Related works:
Journal Article: Accumulation of foreign currency reserves and risk-taking (2020)
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:cth:wpaper:gru_2019_019

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