Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange rate indices are insufficient to understand the financial impact of currency movements. Further, we demonstrate that many developing countries hold short foreign-currency positions, leaving them open to negative valuation effects when the domestic currency depreciates. However, we also show that many of these countries have substantially reduced their foreign currency exposure over the last decade. Last, we show that our currency measure has high explanatory power for the valuation term in net foreign asset dynamics: exchange rate valuation shocks are sizable, not quickly reversed and may entail substantial wealth shocks.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
file. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Publisher Info
Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number
13433.
Length: Date of creation: Sep 2007 Date of revision: Handle: RePEc:nbr:nberwo:13433
Note: IFM Contact details of provider: Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A. Phone: 617-868-3900 Email: Web page: http://www.nber.org More information through EDIRC
For technical questions regarding this item, or to correct its listing, contact: ().
Philip R Lane & Jay C Shambaugh, 2007.
"Financial exchange rates and international currency exposures,"
CGFS Papers chapters,
in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 90-127
Bank for International Settlements.
[Downloadable!]
Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
This paper has been announced in the following NEP Reports:
References listed on IDEAS 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.:
Craig Burnside & Martin Eichenbaum & Isaac Kleshchelski & Sergio Rebelo, 2006.
"The Returns to Currency Speculation,"
NBER Working Papers
12489, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Maurice Obstfeld, 2004.
"External Adjustment,"
NBER Working Papers
10843, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007.
"Global Currency Hedging,"
NBER Working Papers
13088, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Cedric Tille & Eric van Wincoop, 2007.
"International Capital Flows,"
Working Papers
122007, Hong Kong Institute for Monetary Research.
[Downloadable!]
Other versions:
Cited by: (explanations, 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.)