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
Subjects
Economic crisis
Emerging markets
Foreign exchange rates
Global economy
International currency exposures
International finance
Studies
Valuation
Valuation channel
Valuation methods
International currency exposures
Valuation channel
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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