TY  - JOUR
AU  - Bénétrix, Agustín S
AU  - Lane, Philip R
AU  - Shambaugh, Jay C
TI  - International Currency Exposures, Valuation Effects, and the Global Financial Crisis
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 20820
PY  - 2015
Y2  - January 2015
DO  - 10.3386/w20820
UR  - http://www.nber.org/papers/w20820
L1  - http://www.nber.org/papers/w20820.pdf
N1  - Author contact info:
Agustín S. Bénétrix
Department of Economics and IM-TCD
Trinity College
Dublin
E-Mail: benetria@tcd.ie

Philip Lane
Central Bank of Ireland
Dublin 2
Ireland
E-Mail: plane@tcd.ie

Jay C. Shambaugh
George Washington University
Elliot School for International Affairs
1957 E Street, N.W. Suite 502D
Washington, D.C. 20052
E-Mail: jshambaugh@gwu.edu
M1  - published as Agustin S. Bénétrix, Philip R. Lane, Jay C. Shambaugh. "International Currency Exposures, Valuation Effects, and the Global Financial Crisis," in Richard Clarida, Jeffrey Frankel, Francesco Giavazzi, and Hélène Rey, organizers, "NBER International Seminar on Macroeconomics 2014" Journal of International Economics, 96(S1) (2015)

M3  - presented at "International Seminar on Macroeconomics", June 27-28, 2014
AB  - 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.
ER  -