Exchange rates during financial crises
AbstractExchange rate movements during the global financial crisis of 2007-09 were unusual. Unlike in two previous episodes - the Asian crisis of 1997-98 and the crisis following the Russian debt default in 1998 - in 2008 a large number of currencies depreciated sharply even though they were not at the centre of the crisis. Moreover, during 2009, the crisis-related movements reversed strongly for a number of countries. Two factors likely have contributed to these developments. First, during the latest crisis, safe haven effects went against the typical pattern of crisis-related flows. Second, interest rate differentials explain more of the crisis-related exchange rate movements in 2008-09 than in the past. This probably reflects structural changes in the determinants of exchange rate dynamics such as the increased role of carry-trade activity.
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): (2010)
Issue (Month): (March)
Find related papers by JEL classification:
- F3 - International Economics - - International Finance
- G01 - Financial Economics - - General - - - Financial Crises
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.:
- Steven Radelet & Jeffrey D. Sachs, 1998. "The East Asian Financial Crisis: Diagnosis, Remedies, Prospects," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 29(1), pages 1-90.
- Angelo Ranaldo & Paul Söderlind, 2007.
"Safe Haven Currencies,"
University of St. Gallen Department of Economics working paper series 2007
2007-22, Department of Economics, University of St. Gallen.
- Michael Melvin & Mark P. Taylor, 2009.
"The Crisis in the Foreign Exchange Market,"
CESifo Working Paper Series
2707, CESifo Group Munich.
- Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
- Robert R. Bliss & Nikolaos Panigirtzoglou, 2004. "Option-Implied Risk Aversion Estimates," Journal of Finance, American Finance Association, vol. 59(1), pages 407-446, 02.
- 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, December.
- Habib, Maurizio M. & Stracca, Livio, 2012.
"Getting beyond carry trade: What makes a safe haven currency?,"
Journal of International Economics,
Elsevier, vol. 87(1), pages 50-64.
- Habib, Maurizio Michael & Stracca, Livio, 2011. "Getting beyond carry trade: what makes a safe haven currency?," Working Paper Series 1288, European Central Bank.
- De Socio, Antonio, 2013. "The interbank market after the financial turmoil: Squeezing liquidity in a “lemons market” or asking liquidity “on tap”," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1340-1358.
- Daniela Gabor, 2011. "Paradigm shift? A critique of the IMF’s new approach to capital controls," Working Papers 1109, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
- Virginie Coudert & Valérie Mignon, 2011.
"The “Forward Premium Puzzle” and the Sovereign Default Risk,"
2011-17, CEPII research center.
- Coudert, Virginie & Mignon, Valérie, 2013. "The “forward premium puzzle” and the sovereign default risk," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 491-511.
- Virginie Coudert & Cyriac Guillaumin & Hélène Raymond, 2014.
"Looking at the other side of carry trades: Are there any safe haven currencies?,"
EconomiX Working Papers
2014-13, University of Paris West - Nanterre la Défense, EconomiX.
- Virginie Coudert & Cyriac Guillaumin & Hélene Raymond, 2014. "Looking at the Other Side of Carry Trades: Are there any Safe Haven Currencies?," Working Papers 2014-03, CEPII research center.
- Linda S. Goldberg & Christian Grisse, 2013.
"Time variation in asset price responses to macro announcements,"
626, Federal Reserve Bank of New York.
- Linda S. Goldberg & Christian Grisse, 2013. "Time Variation in Asset Price Responses to Macro Announcements," NBER Working Papers 19523, National Bureau of Economic Research, Inc.
- Linda S. Goldberg & Christian Grisse, 2013. "Time variation in asset price responses to macro announcements," Working Papers 2013-11, Swiss National Bank.
- Alfred Wong & Tom Fong, 2013. "Gauging the Safehavenness of Currencies," Working Papers 132013, Hong Kong Institute for Monetary Research.
- Enzo Cassino & Zoe Wallis, 2010. "The New Zealand dollar through the global financial crisis," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 73, pages 20-30, September.
- 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
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, vol. 33(C), pages 306-326.
- Eda Gulsen & Ibrahim Burak Kanli & Neslihan Kaya, 2010. "Kuresel Kriz Doneminde TCMB’nin Faiz Kararlarinin Kur Uzerindeki Etkisine Dair Bir Analiz," CBT Research Notes in Economics 1011, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
- Virginie Coudert & Cécile Couharde & Valérie Mignon, 2010.
"Exchange Rate Flexibility Across Financial Crises,"
2010-08, CEPII research center.
- Daniela Gabor, 2012. "Managing Capital Accounts in Emerging Markets: Lessons from the Global Financial Crisis," Journal of Development Studies, Taylor & Francis Journals, vol. 48(6), pages 714-731, June.
- Daniel Stavarek, 2011. "European exchange rates volatility and its asymmetrical components during the financial crisis," MENDELU Working Papers in Business and Economics 2011-17, Mendel University in Brno, Faculty of Business and Economics.
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.