Exchange rates and global volatility: implications for Asia-Pacific currencies
AbstractAt 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Bank for International Settlements in its journal BIS Quarterly Review.
Volume (Year): (2007)
Issue (Month): (March)
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G1 - Financial Economics - - General Financial Markets
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Guonan Ma & Corrinne Ho & Robert N McCauley, 2004. "The markets for non-deliverable forwards in Asian currencies," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, June.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance, Elsevier,
Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
- Anand Sinha, 2012. "Summary of the discussion," BIS Papers chapters, in: Bank for International Settlements (ed.), Financial sector regulation for growth, equity and stability, volume 62, pages 85-87 Bank for International Settlements.
- Hideki Nishigaki, 2007. "Relationship between the yen carry trade and the related financial variables," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-7.
- Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, September.
- repec:ebl:ecbull:v:13:y:2007:i:2:p:1-7 is not listed on IDEAS
- Drut, Bastien & BriÃ¨re, Marie, 2009.
"The Revenge of Purchasing Power Parity on Carry Trades during Crises,"
Economics Papers from University Paris Dauphine
123456789/7743, Paris Dauphine University.
- Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB, ULB -- Universite Libre de Bruxelles 09-013.RS, ULB -- Universite Libre de Bruxelles.
- Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
- Bong-Han Kim & Hyeongwoo Kim & Hong-Ghi Min, 2011.
"Reassessing the Link between the Japanese Yen and Emerging Asian Currencies,"
Auburn Economics Working Paper Series, Department of Economics, Auburn University
auwp2011-05, Department of Economics, Auburn University.
- Kim, Bong-Han & Kim, Hyeongwoo & Min, Hong-Ghi, 2013. "Reassessing the link between the Japanese yen and emerging Asian currencies," Journal of International Money and Finance, Elsevier, Elsevier, vol. 33(C), pages 306-326.
- HOROBET Alexandra Lavinia & DUMITRESCU Sorin-Adrian & DUMITRESCU Dan-Gabriel, 2009. "Exchange Rates And Volatility In Central And Eastern Europe: A Test For Uncovered Interest Parity," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 552-557, May.
- Robert N McCauley, 2011. "The euro and the yen as anchor currencies before and during the financial crisis - comments on Moss's paper "The euro: internationalised at birth" and Takagi's paper "Internationalising," BIS Papers chapters, in: Bank for International Settlements (ed.), Currency internationalisation: lessons from the global financial crisis and prospects for the future in Asia and the Pacific, volume 61, pages 93-104 Bank for International Settlements.
- Robert N McCauley & Patrick McGuire, 2009. "Dollar appreciation in 2008: safe haven, carry trades, dollar shortage and overhedging," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, December.
- Sanjay Kalra, 2008. "Global Volatility and Forex Returns in East Asia," IMF Working Papers 08/208, International Monetary Fund.
- Behera, Harendra, 2010. "Onshore and offshore market for Indian Rupee: recent evidence on volatility and shock spillover," MPRA Paper 22247, University Library of Munich, Germany.
- Robert N McCauley & Chang Shu & Guonan Ma, 2014. "Non-deliverable forwards: 2013 and beyond," BIS Quarterly Review, Bank for International Settlements, Bank for International Settlements, March.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Timo Laurmaa).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.