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The behavior of currencies during risk-off episodes

Author: Reinout De Bock; Irineu de Carvalho Filho; International Monetary Fund. Monetary and Capital Markets Department.; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2013.
Series: IMF working paper, WP/13/8.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
De Bock, Reinout.
Behavior of currencies during risk-off episodes.
[Washington, D.C.] : International Monetary Fund, ©2013
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Reinout De Bock; Irineu de Carvalho Filho; International Monetary Fund. Monetary and Capital Markets Department.; International Monetary Fund. Research Department.
ISBN: 9781475536102 1475536100
OCLC Number: 824813135
Notes: Title from PDF title page (IMF Web site, viewed Jan. 22, 2013).
"Monetary and Capital Markets Department, Research Department."
"January 2013."
Description: 1 online resource (34 pages).
Series Title: IMF working paper, WP/13/8.
Responsibility: prepared by Reinout De Bock and Irineu de Carvalho Filho.

Abstract:

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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