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International Currency Exposures, Valuation Effects, and the Global Financial Crisis

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  • Agustín S. Bénétrix
  • Philip R. Lane
  • Jay C. Shambaugh

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

  • Agustín S. Bénétrix & Philip R. Lane & Jay C. Shambaugh, 2015. "International Currency Exposures, Valuation Effects, and the Global Financial Crisis," NBER Working Papers 20820, National Bureau of Economic Research, Inc.
  • Handle: RePEc:nbr:nberwo:20820
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    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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