What explains global exchange rate movements during the financial crisis?
Marcel Fratzscher ()
No 1060, Working Paper Series from European Central Bank
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar, rather than a weakening. Macroeconomic fundamentals and financial exposure of individual countries are found to have played a key role in the transmission process of US shocks: in particular countries with low FX reserves, weak current account positions and high direct financial exposure vis-à-vis the United States have experienced substantially larger currency depreciations during the crisis overall, and to US shocks in particular. JEL Classification: F31, F4, G1
Keywords: exchange rates; financial crisis; global imbalances; shocks; transmission channels.; United States; US dollar (search for similar items in EconPapers)
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Journal Article: What explains global exchange rate movements during the financial crisis? (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20091060
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