International Currency Exposures, Valuation Effects, and the Global Financial Crisis

Jay Shambaugh

Working Papers from The George Washington University, Institute for International Economic Policy

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: valuation effects; exchange rates; currency exposure; global financial crisis (search for similar items in EconPapers)
JEL-codes: F30 F31 F36 (search for similar items in EconPapers)
Pages: 50 pages
Date: 2015-08
New Economics Papers: this item is included in nep-cna
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Citations: View citations in EconPapers (139)

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http://www.gwu.edu/~iiep/assets/docs/papers/2015WP/ShambaughIIEPWP20153.pdf (application/pdf)

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)
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Persistent link: https://EconPapers.repec.org/RePEc:gwi:wpaper:2015-3

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