Does the Accumulation of Foreign Currency Reserves Affect Risk-Taking? An Event Study Approach
12 Pages Posted: 6 Apr 2018
Date Written: March 2018
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