Discussion paper

DP10325 International Currency Exposures, Valuation Effects and the Global Financial Crisis

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.

£6.00
Citation

Lane, P, J Shambaugh and (eds) (2015), “DP10325 International Currency Exposures, Valuation Effects and the Global Financial Crisis”, CEPR Press Discussion Paper No. 10325. https://new.cepr.org/publications/dp10325