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Exchange rates and global volatility: implications for Asia-Pacific currencies

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Author Info
John Cairns
Corrinne Ho
Robert McCauley

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Abstract

At times of heightened global equity and bond market volatility, high-yielding currencies tend to depreciate while low-yielding ones tend to serve as a "safe haven". The whole spectrum of sensitivity to global volatility is represented among Asia-Pacific currencies.

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Publisher Info
Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2007)
Issue (Month): (March)
Pages:
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Handle: RePEc:bis:bisqtr:0703f

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
G1 - Financial Economics - - General Financial Markets

Cited by:
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  1. Sanjay Kalra, 2008. "Global Volatility and Forex Returns in East Asia," IMF Working Papers 08/208, International Monetary Fund. [Downloadable!]
  2. Hideki Nishigaki, 2007. "Relationship between the yen carry trade and the related financial variables," Economics Bulletin, Economics Bulletin, vol. 13(2), pages 1-7. [Downloadable!]
  3. Marie Brière & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
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This page was last updated on 2009-12-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.