International currency exposures, valuation effects and the global financial crisis

• 成果类型: Article; Proceedings Paper
• 署名作者: Benetrix, Agustin S.; Lane, Philip R.; Shambaugh, Jay C.
• 署名单位: Trinity College Dublin; Centre for Economic Policy Research - UK; George Washington University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2014.11.002
• 发表日期: 2015
• 页码: S98-S109
• 关键词: International currency exposures; Valuation channel

摘要

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. (C) 2015 Elsevier B.V. All rights reserved.