How to order
IMF Publications

Working Papers in full text
2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 All


Other research-related activities and publications of the IMF can be found at IMF Research

Free Email Notification

Receive emails when we post new items of interest to you.

Subscribe or Modify your profile



The Behavior of Currencies during Risk-off Episodes

Author/Editor: De Bock, Reinout | Carvalho Filho, Irineu
Electronic Access: Free Full Text (PDF file size is 1,461KB)
Use the free Adobe Acrobat Reader to view this PDF file.
 
Disclaimer: This Working Paper should not be reported as representing the views of the IMF. The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate.

Summary: 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.
 
Order a print copy
Series: Working Paper No. 13/8
Subject(s): Currencies | Exchange rates | Capital flows
 
English  
    Published:   January 11, 2013        
    ISBN/ISSN:   9781557755308/2227-8885   Format:   Paper
    Stock No:   WPIEA2013008   Pages:   34
    Price:   US$18.00        
English  
    Published:   January 11, 2013        
    ISBN/ISSN:   9781557755308/2227-8885   Format:   Paper
    Stock No:   WPIEA213008   Pages:   34
    Price:   US$18.00        
     
Please address any questions about this title to publications@imf.org.