Exchange Rates and Global Volatility: Implications for Asia-Pacific Currencies

Cairns, John; Ho, Corrinne; McCauley, Robert N.

Exchange Rates and Global Volatility: Implications for Asia-Pacific Currencies

BIS Quarterly Review, March 2007

12 Pages Posted: 19 Jun 2012

See all articles by John Cairns

Robert N. McCauley

Bank for International Settlements (BIS)

Date Written: March 2007

Abstract

At times of heightened global equity and bond market volatility, high-yielding currencies tend to depreciate while low-yielding ones tend to serve as a “safe haven”. The whole spectrum of sensitivity to global volatility is represented among Asia-Pacific currencies.

JEL Classification: F3, G1

Suggested Citation: Suggested Citation

Cairns, John and Ho, Corrinne and McCauley, Robert N., Exchange Rates and Global Volatility: Implications for Asia-Pacific Currencies (March 2007). BIS Quarterly Review, March 2007. Available at SSRN: https://ssrn.com/abstract=1600056