English, Article, Journal or magazine article edition: Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009 Cho-Hoi Hui; Hans Genberg; Tsz-Kin Chung

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Bookmark: http://trove.nla.gov.au/version/139278
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Liquidity, Risk Appetite and Exchange Rate Movements During the Financial Crisis of 2007-2009
Author
  • Cho-Hoi Hui
  • Hans Genberg
  • Tsz-Kin Chung
Physical Description
  • preprint
Notes
  • Given the deleveraging process in the banking sector, banks were reluctant to lend funds in the interbank market because of uncertainty about their own future need for funds during the financial crisis of 2007 - 2009. Aggregate liquidity then declined. This paper investigates the impact of the market-wide liquidity risk and carry-trade incentives on exchange rate movements. The results suggest that liquidity risk measured by the spread between LIBOR and the overnight index swap rate was a significant factor affecting the exchange-rate movements of the euro, British pound and Swiss franc, while carry trades were important for the Japanese yen, Australian dollar and New Zealand dollar.
  • Sub-prime crisis; carry trades; liquidity; leverage
  • RePEc:hkg:wpaper:0911
Language
  • English
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