FX Depreciation: Payback Time?

Barclays Capital FX Weekly Brief, November 2008

5 Pages Posted: 16 Feb 2011  

Reinout De Bock

International Monetary Fund (IMF)

Steven Englander

affiliation not provided to SSRN

Date Written: November 20, 2008

Abstract

Three factors have characterized FX returns in the recent round of currency moves, all of which can be thought of as measures of risk: the size of short-term liabilities relative to reserves, the deterioration of the current account in 2005-2007, and the closeness of the relationship with cyclical indicators such as the CRB index or AUD/JPY. The positive effects of reserves accumulation seem to have been less important than these vulnerabilities. Once these factors are taken into account, there was no significant difference in the average returns of G10 and EM currencies.

Keywords: Foreign Exchange, Reserves, Risk Appetite

JEL Classification: F31

Suggested Citation

De Bock, Reinout and Englander, Steven, FX Depreciation: Payback Time? (November 20, 2008). Barclays Capital FX Weekly Brief, November 2008. Available at SSRN: https://ssrn.com/abstract=1375343

Reinout De Bock (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Steven Englander

affiliation not provided to SSRN ( email )

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