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 eme...

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Bibliographic Details
Published inJournal of international economics Vol. 96; pp. S98 - S109
Main Authors Bénétrix, Agustin S., Lane, Philip R., Shambaugh, Jay C.
Format Journal Article
LanguageEnglish
Published Amsterdam Elsevier B.V 01.07.2015
Elsevier Sequoia S.A
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Summary: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.
ISSN:0022-1996
1873-0353
DOI:10.1016/j.jinteco.2014.11.002