Accumulation of Foreign Currency Reserves and Risk-Taking

32 Pages Posted: 19 Jun 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: June 2018

Abstract

We assess whether the accumulation of foreign currency reserves in the Asia-Pacific region may have unintended consequences in the form of increased private sector risk-taking. To do so we carry out a country-specific daily data event study analysis of the relationship between official announcements of reserves stocks and various proxy measures of risk-taking. Overall, our results suggest that reserves accumulation exerts no significant influence on risk-taking.

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

JEL Classification: F31, G15

Suggested Citation

Fatum, Rasmus and Yetman, James, Accumulation of Foreign Currency Reserves and Risk-Taking (June 2018). BIS Working Paper No. 728. Available at SSRN: https://ssrn.com/abstract=3198441

Rasmus Fatum

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 (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Register to save articles to
your library

Register

Paper statistics

Downloads
27
Abstract Views
164
PlumX Metrics