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

12 Pages Posted: 19 Jun 2012

See all articles by John Cairns

John Cairns

affiliation not provided to SSRN

Corrinne Ho

Bank for International Settlements

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

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

John Cairns

affiliation not provided to SSRN

Corrinne Ho (Contact Author)

Bank for International Settlements ( email )

Centralbahnplatz 2
CH-4002 Basel, Basel-Stadt
Switzerland
00 41 61 280 9100 (Fax)

Robert N. McCauley

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

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