Working Paper: NBER ID: w20820
Authors: AgustÃn S. Benetrix; 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.
Keywords: international currency exposures; valuation effects; global financial crisis
JEL Codes: F3; F31
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Improved net foreign currency positions (F31) | Ability to withstand external shocks (E32) |
| Currency movements (F31) | Valuation impacts on net foreign asset positions (F31) |
| Valuation effects (D46) | Correction of external imbalances (F32) |
| Currency depreciation (F31) | Currency-induced valuation gains (F31) |