International Currency Exposures, Valuation Effects and the Global Financial Crisis
51 Pages Posted: 23 Jan 2015
Date Written: January 2015
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.
Keywords: global financial crisis, international currency exposures, valuation effects
JEL Classification: F30, F31
Suggested Citation: Suggested Citation