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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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|a Washington, D.C. :
|b International Monetary Fund,
|c 2013.
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|a 1 online resource (34 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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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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|a Mode of access: Internet
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|a de Carvalho Filho, Irineu.
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|a IMF Working Papers; Working Paper ;
|v No. 2013/008
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2013/008/001.2013.issue-008-en.xml
|z IMF e-Library
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