International Currency Exposures, Valuation Effects, and the Global Financial Crisis

50 Pages Posted: 12 Jan 2015

See all articles by Agustín S. Bénétrix

Agustín S. Bénétrix

Trinity College (Dublin)

Philip R. Lane

Trinity College (Dublin) - Department of Economics; Centre for Economic Policy Research (CEPR); Central Bank of Ireland

Jay Shambaugh

Dartmouth College - Department of Economics; Georgetown University - Department of Strategy/Economics/Ethics/Public Policy

Multiple version iconThere are 2 versions of this paper

Date Written: January 2015

Abstract

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.

Suggested Citation

Bénétrix, Agustín and Lane, Philip R. and Shambaugh, Jay, International Currency Exposures, Valuation Effects, and the Global Financial Crisis (January 2015). NBER Working Paper No. w20820. Available at SSRN: https://ssrn.com/abstract=2548340

Agustín Bénétrix (Contact Author)

Trinity College (Dublin) ( email )

2-3 College Green
Dublin, Leinster
Ireland

Philip R. Lane

Trinity College (Dublin) - Department of Economics ( email )

Trinity College
Dublin 2
Ireland
+353 1 608 2259 (Phone)
+353 1 677 2503 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Central Bank of Ireland ( email )

P.O. Box 559
Dame Street
Dublin, 2
Ireland

Jay Shambaugh

Dartmouth College - Department of Economics ( email )

309 Rockefeller Hall
Hanover, NH 03755
United States
603-646-9345 (Phone)
603-646-2122 (Fax)

HOME PAGE: http://www.dartmouth.edu/~economic/faculty/Shambaugh/

Georgetown University - Department of Strategy/Economics/Ethics/Public Policy

Washington, DC 20057
United States

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