Accumulation of Foreign Currency Reserves and Risk-taking

Rasmus Fatum and James Yetman

No HIAS-E-89, Discussion paper series from Hitotsubashi Institute for Advanced Study, Hitotsubashi University

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: 33 pages
Date: 2019-09
New Economics Papers: this item is included in nep-sea
Note: 3 September 2019
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/30532/070_hiasDP-E-89.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)
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:hit:hiasdp:hias-e-89

Access Statistics for this paper

More papers in Discussion paper series from Hitotsubashi Institute for Advanced Study, Hitotsubashi University Contact information at EDIRC.
Bibliographic data for series maintained by Digital Resources Section, Hitotsubashi University Library ().