skip to content
The behavior of currencies during risk-off episodes Preview this item
ClosePreview this item
Checking...

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...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

Find a copy online

Links to this item

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

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).
Contents: Cover; Abstract; Contents; I. Introduction; Figures; 1. FX Spot Returns at Different Horizons, Average of 8 Risk-off Episodes; II. Risk-off Episodes; A. Identifying Risk-off Episodes; 2. VIX and Risk-off Episodes; Tables; 1. Initial Dates of Risk-off Episodes; B. Why Have Risk-off Episodes Become More Frequent?; 3. Increased Financial Integration and Correlations; III. What Happens to Exchange Rates During Risk-off Episodes?; A. Are Risk-off Episodes Alike?; 2. Correlation of Spot Returns Across Episodes; B. Evidence From VARs. 3. Impulse Response Functions, Effect of Risk-off Episodes on Exchange Rates Versus the U.S. DollarIV. Explaining the Cross-sectional Variation; A. Policy Interest Rates; B. External Sector; C. Exchange Rate Misalignment; D. Currency Behavior Prior to the Risk-off Episode; E. Cost of Buying an Option and Tail Risk Insurance; F. Liquidity Conditions; G. Simple Regressions; 4. Bivariate Regressions of Depreciation Since the Beginning of the Risk-off Episode; H. Multivariate Analysis; V. Have Currency Risk Factors Changed Since 2007? 5. Multivariate Regressions of Depreciation Since the Beginning of Risk-off Episodes6. Risk-off Depreciations, Before and After the Global Financial Crisis; 4. Median of EM Currency Return Betas with VIX and AUDJPY; 5. Currency Return Betas for Select EM; VI. Conclusion and Policy Implications; 6. Impulse Response Functions, Effect of Risk-off Episodes on Exchange Rates Against the U.S. Dollar; Appendix; Volatility and Correlations of Key Variables; Exchange Rates Against the U.S. Dollar and Risk-off Episodes; References.
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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/824813135> # The behavior of currencies during risk-off episodes
    a schema:MediaObject, schema:CreativeWork, schema:Book ;
    library:oclcnum "824813135" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/dcu> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/1202905643#Place/washington_d_c> ; # Washington, D.C.
    rdfs:comment "Unknown 'gen' value: igp" ;
    schema:about <http://experiment.worldcat.org/entity/work/data/1202905643#Topic/business_&_economics_finance> ; # BUSINESS & ECONOMICS--Finance
    schema:about <http://id.worldcat.org/fast/931818> ; # Foreign exchange rates--Econometric models
    schema:about <http://id.worldcat.org/fast/931774> ; # Foreign exchange--Econometric models
    schema:about <http://id.loc.gov/authorities/subjects/sh2008120473> ; # Foreign exchange rates--Econometric models
    schema:about <http://id.worldcat.org/fast/931768> ; # Foreign exchange
    schema:about <http://id.loc.gov/authorities/subjects/sh2009125395> ; # Foreign exchange--Econometric models
    schema:about <http://dewey.info/class/332.45/e23/> ;
    schema:about <http://id.worldcat.org/fast/931816> ; # Foreign exchange rates
    schema:bookFormat schema:EBook ;
    schema:contributor <http://viaf.org/viaf/151244864> ; # International Monetary Fund. Research Department.
    schema:contributor <http://viaf.org/viaf/120562992> ; # Irineu de Carvalho Filho
    schema:contributor <http://viaf.org/viaf/312868188> ; # International Monetary Fund. Monetary and Capital Markets Department.
    schema:copyrightYear "2013" ;
    schema:creator <http://viaf.org/viaf/73282113> ; # Reinout De Bock
    schema:datePublished "2013" ;
    schema:description "Cover; Abstract; Contents; I. Introduction; Figures; 1. FX Spot Returns at Different Horizons, Average of 8 Risk-off Episodes; II. Risk-off Episodes; A. Identifying Risk-off Episodes; 2. VIX and Risk-off Episodes; Tables; 1. Initial Dates of Risk-off Episodes; B. Why Have Risk-off Episodes Become More Frequent?; 3. Increased Financial Integration and Correlations; III. What Happens to Exchange Rates During Risk-off Episodes?; A. Are Risk-off Episodes Alike?; 2. Correlation of Spot Returns Across Episodes; B. Evidence From VARs."@en ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/1202905643> ;
    schema:genre "Government publication"@en ;
    schema:genre "Electronic books"@en ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/1202905643#Series/imf_working_paper> ; # IMF working paper ;
    schema:isSimilarTo <http://worldcat.org/entity/work/data/1202905643#CreativeWork/behavior_of_currencies_during_risk_off_episodes> ;
    schema:name "The behavior of currencies during risk-off episodes"@en ;
    schema:productID "824813135" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/824813135#PublicationEvent/washington_d_c_international_monetary_fund_2013> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/1202905643#Agent/international_monetary_fund> ; # International Monetary Fund
    schema:url <http://www.myilibrary.com?id=457697> ;
    schema:url <http://public.eblib.com/choice/publicfullrecord.aspx?p=1607143> ;
    schema:url <http://public.ebookcentral.proquest.com/choice/publicfullrecord.aspx?p=1607143> ;
    schema:url <http://site.ebrary.com/id/10687571> ;
    schema:url <http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=547930> ;
    schema:url <http://elibrary.imf.org/view/IMF001/20203-9781557755308/20203-9781557755308/20203-9781557755308.xml> ;
    schema:url <http://bibpurl.oclc.org/web/24285/2013/wp1308.pdf> ;
    schema:url <http://www.imf.org/external/pubs/ft/wp/2013/wp1308.pdf> ;
    schema:url <http://proxy.library.carleton.ca/login?url=http://elibrary.imf.org/view/IMF001/20203-9781557755308/20203-9781557755308/20203-9781557755308.xml> ;
    schema:workExample <http://worldcat.org/isbn/9781475536102> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/824813135> ;
    .


Related Entities

<http://elibrary.imf.org/view/IMF001/20203-9781557755308/20203-9781557755308/20203-9781557755308.xml>
    rdfs:comment "IMF e-Library" ;
    rdfs:comment "IMF eLibrary (Restricted to University of Ottawa)" ;
    .

<http://experiment.worldcat.org/entity/work/data/1202905643#Agent/international_monetary_fund> # International Monetary Fund
    a bgn:Agent ;
    schema:name "International Monetary Fund" ;
    .

<http://experiment.worldcat.org/entity/work/data/1202905643#Place/washington_d_c> # Washington, D.C.
    a schema:Place ;
    schema:name "Washington, D.C." ;
    .

<http://experiment.worldcat.org/entity/work/data/1202905643#Series/imf_working_paper> # IMF working paper ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/824813135> ; # The behavior of currencies during risk-off episodes
    schema:name "IMF working paper ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/1202905643#Topic/business_&_economics_finance> # BUSINESS & ECONOMICS--Finance
    a schema:Intangible ;
    schema:name "BUSINESS & ECONOMICS--Finance"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2008120473> # Foreign exchange rates--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange rates--Econometric models"@en ;
    .

<http://id.loc.gov/authorities/subjects/sh2009125395> # Foreign exchange--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/931768> # Foreign exchange
    a schema:Intangible ;
    schema:name "Foreign exchange"@en ;
    .

<http://id.worldcat.org/fast/931774> # Foreign exchange--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/931816> # Foreign exchange rates
    a schema:Intangible ;
    schema:name "Foreign exchange rates"@en ;
    .

<http://id.worldcat.org/fast/931818> # Foreign exchange rates--Econometric models
    a schema:Intangible ;
    schema:name "Foreign exchange rates--Econometric models"@en ;
    .

<http://viaf.org/viaf/120562992> # Irineu de Carvalho Filho
    a schema:Person ;
    schema:familyName "Carvalho Filho" ;
    schema:givenName "Irineu de" ;
    schema:name "Irineu de Carvalho Filho" ;
    .

<http://viaf.org/viaf/151244864> # International Monetary Fund. Research Department.
    a schema:Organization ;
    schema:name "International Monetary Fund. Research Department." ;
    .

<http://viaf.org/viaf/312868188> # International Monetary Fund. Monetary and Capital Markets Department.
    a schema:Organization ;
    schema:name "International Monetary Fund. Monetary and Capital Markets Department." ;
    .

<http://viaf.org/viaf/73282113> # Reinout De Bock
    a schema:Person ;
    schema:familyName "De Bock" ;
    schema:givenName "Reinout" ;
    schema:name "Reinout De Bock" ;
    .

<http://worldcat.org/entity/work/data/1202905643#CreativeWork/behavior_of_currencies_during_risk_off_episodes>
    a schema:CreativeWork ;
    rdfs:label "Behavior of currencies during risk-off episodes." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/824813135> ; # The behavior of currencies during risk-off episodes
    .

<http://worldcat.org/isbn/9781475536102>
    a schema:ProductModel ;
    schema:isbn "1475536100" ;
    schema:isbn "9781475536102" ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.