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

Agustín Bénétrix, Philip Lane and Jay Shambaugh

No 20820, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: F3 F31 (search for similar items in EconPapers)
Date: 2015-01
New Economics Papers: this item is included in nep-ifn and nep-opm
Note: IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (157)

Published as International Currency Exposures, Valuation Effects, and the Global Financial Crisis , Agustin S. Bénétrix, Philip R. Lane, Jay C. Shambaugh. in NBER International Seminar on Macroeconomics 2014 , Clarida, Frankel, Giavazzi, and Rey. 2015
Published as Bénétrix, Agustin S. & Lane, Philip R. & Shambaugh, Jay C., 2015. "International currency exposures, valuation effects and the global financial crisis," Journal of International Economics, Elsevier, vol. 96(S1), pages S98-S109.

Downloads: (external link)
http://www.nber.org/papers/w20820.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)
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:nbr:nberwo:20820

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w20820

Access Statistics for this paper

More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().