Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach

Fatum, Rasmus; Yetman, James

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Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach

BIS Paper No. 96c

12 Pages Posted: 6 Apr 2018

See all articles by Rasmus Fatum

Rasmus Fatum

University of Alberta - Department of Marketing, Business Economics & Law

James Yetman

Bank for International Settlements (BIS)

Date Written: March 2018

Abstract

Fatum and Yetman (2017) assess whether foreign currency reserves accumulation in the Asia-Pacific region is systematically associated with risk-taking, using an event study approach to examine the responses of various proxies of risk-taking to official announcements of reserves stocks. Across a wide range of specifications and robustness checks, we find little evidence that reserves accumulation has a significant influence on risk-taking.

Full Publication: The Price, Real and Financial Effects of Exchange Rates

Keywords: foreign exchange reserves, risk-taking, implied volatility, credit default swaps

JEL Classification: F31, G15

Suggested Citation: Suggested Citation

Fatum, Rasmus and Yetman, James, Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach (March 2018). BIS Paper No. 96c, Available at SSRN: https://ssrn.com/abstract=3154027