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


  • John Cairns
  • Corrinne Ho
  • Robert McCauley


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.

Suggested Citation

  • John Cairns & Corrinne Ho & Robert McCauley, 2007. "Exchange rates and global volatility: implications for Asia-Pacific currencies," BIS Quarterly Review, Bank for International Settlements, March.
  • Handle: RePEc:bis:bisqtr:0703f

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    References listed on IDEAS

    1. Guonan Ma & Corrinne Ho & Robert N McCauley, 2004. "The markets for non-deliverable forwards in Asian currencies," BIS Quarterly Review, Bank for International Settlements, June.
    2. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
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    Cited by:

    1. Mohammed Umar & Jauhari Dahalan, 2016. "An Application of Asymmetric Toda–Yamamoto Causality on Exchange Rate-inflation Differentials in Emerging Economies," International Journal of Economics and Financial Issues, Econjournals, vol. 6(2), pages 420-426.
    2. repec:ebl:ecbull:v:13:y:2007:i:2:p:1-7 is not listed on IDEAS
    3. 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.
    4. 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.
    5. repec:spr:pharme:v:4:y:2014:i:1:p:71-79 is not listed on IDEAS
    6. Kaizoji, Taisei, 2010. "Carry Trade, Forward Premium Puzzle and Currency Crisis," MPRA Paper 21432, University Library of Munich, Germany.
    7. repec:spr:jecfin:v:41:y:2017:i:3:d:10.1007_s12197-016-9378-2 is not listed on IDEAS
    8. Ergun Ermisoglu & Yasin Akcelik & Arif Oduncu & Temel Taskin, 2014. "Effects of additional monetary tightening on exchange rates," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 4(1), pages 71-79, June.
    9. International Monetary Fund, 2008. "Thailand; Selected Issues," IMF Staff Country Reports 08/194, International Monetary Fund.
    10. Liu, Tao, 2014. "The onshore-offshore interaction of RMB market: a high-frequency analysis," MPRA Paper 63905, University Library of Munich, Germany.
    11. Hideki Nishigaki, 2007. "Relationship between the yen carry trade and the related financial variables," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-7.
    12. 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.
    13. Sanjay Kalra, 2008. "Global Volatility and Forex Returns in East Asia," IMF Working Papers 08/208, International Monetary Fund.
    14. 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.
    15. Harendra Kumar Behera, 2011. "Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 4(1), pages 43-55.
    16. Philippe Burger, 2014. "Inflation and Market Uncertainty in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 82(4), pages 583-602, December.
    17. Robert N McCauley & Chang Shu & Guonan Ma, 2014. "Non-deliverable forwards: 2013 and beyond," BIS Quarterly Review, Bank for International Settlements, March.
    18. Chayawadee Chai-Anant & Corinna Ho, 2008. "Understanding Asian equity flows, market returns and exchange rates," BIS Working Papers 245, Bank for International Settlements.
    19. 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.
    20. Marie Briere & Bastien Drut, 2009. "The Revenge of Purchasing Power Parity on Carry Trades during Crises," Working Papers CEB 09-013.RS, ULB -- Universite Libre de Bruxelles.
    21. Chadwick, Meltem Gülenay & Fazilet, Fatih & Tekatli, Necati, 2015. "Understanding the common dynamics of the emerging market currencies," Economic Modelling, Elsevier, vol. 49(C), pages 120-136.
    22. Gabriele Galati & Alexandra Heath & Patrick McGuire, 2007. "Evidence of carry trade activity," BIS Quarterly Review, Bank for International Settlements, September.
    23. Vallet, Guillaume, 2016. "The role of the swiss franc in Switzerland’s European stance," Research in International Business and Finance, Elsevier, vol. 38(C), pages 35-44.
    24. Robert N. McCauley, 2010. "Managing Recent Hot Money Inflows in Asia," Chapters,in: Managing Capital Flows, chapter 5 Edward Elgar Publishing.

    More about this item

    JEL classification:

    • F3 - International Economics - - International Finance
    • G1 - Financial Economics - - General Financial Markets


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