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Title: International Currency Exposures, Valuation Effects and the Global Financial Crisis

Author(s): Agustín Bénétrix, Philip R. Lane and Jay C Shambaugh

Publication Date: January 2015

Keyword(s): global financial crisis, international currency exposures and valuation effects

Programme Area(s): International Macroeconomics

Abstract: 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.

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Bibliographic Reference

Bénétrix, A, Lane, P and Shambaugh, J. 2015. 'International Currency Exposures, Valuation Effects and the Global Financial Crisis'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=10325