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International currency exposures, valuation effects and the global financial crisis

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  • Bénétrix, Agustin S.
  • Lane, Philip R.
  • Shambaugh, Jay C.

Abstract

We examine the evolution of international currency exposures, with a particular focus on the 2002–12 period. During the run up to the global financial crisis, there was a widespread shift towards positive net foreign currency positions, such that relatively few countries exhibited the archetypal emerging-market “short foreign currency” position on the eve of the global financial crisis. During the crisis, the upheaval in currency markets generated substantial currency-generated valuation effects — much of which were not reversed. There is some evidence that the distribution of valuation effects was stabilizing in the sense of showing a negative covariation pattern with pre-crisis net foreign asset positions.

Suggested Citation

  • Bénétrix, Agustin S. & Lane, Philip R. & Shambaugh, Jay C., 2015. "International currency exposures, valuation effects and the global financial crisis," Journal of International Economics, Elsevier, vol. 96(S1), pages 98-109.
  • Handle: RePEc:eee:inecon:v:96:y:2015:i:s1:p:s98-s109
    DOI: 10.1016/j.jinteco.2014.11.002
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    Full references (including those not matched with items on IDEAS)

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    Keywords

    International currency exposures; Valuation channel;

    JEL classification:

    • F30 - International Economics - - International Finance - - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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