EconPapers    
Economics at your fingertips  
 

Currency Crashes and Bond Yields in Industrial Countries

Joseph Gagnon

No 837, International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper examines episodes of sudden large exchange rate depreciations (currency crashes) in industrial countries and characterizes the behavior of government bond yields during and after these crashes. The most important determinant of changes in bond yields appears to be inflationary expectations. When inflation is high and rising at the time of a currency crash, bond yields tend to rise. Otherwise--and in every currency crash since 1985--bond yields tend to fall. Over the past 20 years, inflation rates have been remarkably stable in industrial countries after currency crashes.

Keywords: Exchange rate; Depreciation; Interest rate; Inflation (search for similar items in EconPapers)
JEL-codes: E43 F31 F41 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ifn, nep-mac and nep-mon
Date: 2005, Revised 2008-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://www.federalreserve.gov/pubs/ifdp/2005/837/ifdp837r.pdf Revision (application/pdf)
https://www.federalreserve.gov/pubs/ifdp/2005/837/ifdp837.pdf Original (application/pdf)

Related works:
Journal Article: Currency crashes and bond yields in industrial countries (2009) Downloads
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:fip:fedgif:837

Ordering information: This working paper can be ordered from
http://www.federalreserve.gov/pubs/ifdp/order.htm

Access Statistics for this paper

More papers in International Finance Discussion Papers from Board of Governors of the Federal Reserve System (U.S.) Contact information at EDIRC.
Bibliographic data for series maintained by Ryan Wolfslayer ().

 
Page updated 2019-10-16
Handle: RePEc:fip:fedgif:837