English, Article, Journal or magazine article edition: Financial exchange rates and international currency exposures Lane, Philip R.; Shambaugh, Jay C

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Bookmark: http://trove.nla.gov.au/version/191853
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Financial Exchange Rates and International Currency Exposures
Author
  • Lane, Philip R.
  • Shambaugh, Jay C
Physical Description
  • preprint
Notes
  • Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange rate indices are insufficient to understand the financial impact of currency movements. We show that our currency measure has high explanatory power for the valuation term in net foreign asset dynamics: exchange rate valuation shocks are sizable, not quickly reversed and may entail substantial wealth redistributions. Further, we demonstrate that many developing countries hold short foreign-currency positions, leaving them open to negative valuation effects when the domestic currency depreciates. However, we also show that many of these countries have substantially reduced their foreign currency exposure over the last decade.
  • Financial integration, capital flows, external assets and liabilities
  • RePEc:zbw:bubdp1:7561
  • Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange rate indices are insufficient to understand the financial impact of currency movements. Further, we demonstrate that many developing countries hold short foreign-currency positions, leaving them open to negative valuation effects when the domestic currency depreciates. However, we also show that many of these countries have substantially reduced their foreign currency exposure over the last decade. Last, we show that our currency measure has high explanatory power for the valuation term in net foreign asset dynamics: exchange rate valuation shocks are sizable, not quickly reversed and may entail substantial wealth shocks.
  • capital flows; external assets and liabilities; Financial integration
  • RePEc:cpr:ceprdp:6473
Language
  • English
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