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

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

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

Rasmus Fatum (Contact Author)

University of Alberta - Department of Marketing, Business Economics & Law ( email )

Edmonton, Alberta T6G 2R6
Canada
780-492-3951 (Phone)
780-492-3325 (Fax)

HOME PAGE: http://www.bus.ualberta.ca/rfatum

James Yetman

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Register to save articles to
your library

Register

Paper statistics

Downloads
36
Abstract Views
196
PlumX Metrics