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150128 ||| eng |
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|a 9781557755308
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|a De Bock, Reinout
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|a The Behavior of Currencies during Risk-off Episodes
|c Reinout De Bock, Irineu de Carvalho Filho
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| 260 |
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|a Washington, D.C.
|b International Monetary Fund
|c 2013
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| 300 |
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|a 34 pages
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| 700 |
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|a de Carvalho Filho, Irineu
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| 041 |
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7 |
|a eng
|2 ISO 639-2
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| 989 |
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|b IMF
|a International Monetary Fund
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| 490 |
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|a IMF Working Papers
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| 028 |
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|a 10.5089/9781557755308.001
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| 856 |
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|u http://elibrary.imf.org/view/journals/001/2013/008/001.2013.issue-008-en.xml
|x Verlag
|3 Volltext
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|a 330
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| 520 |
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|a Episodes of increased global risk aversion, also known as risk-off episodes, have become more frequent and severe since 2007. During these episodes, currency markets exhibit recurrent patterns, as the Japanese yen, Swiss franc, and U.S. dollar appreciate against other G-10 and emerging market currencies. The pattern of these moves can be explained by a combination of fundamental factors, such as the nominal interest rate, the international investment position and measures of exchange rate misalignment, and market-liquidity factors, such as bid-offer spreads and restrictions on international capital flows. We also find that currency performance in a risk-off episode has become more related to a currency?s yield and relationship to broader risks in recent years
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