The Behavior of Currencies During Risk-Off Episodes Reinout De Bock

ISBN: 9781616353162

Published: January 11th 2013

ebook

34 pages


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The Behavior of Currencies During Risk-Off Episodes  by  Reinout De Bock

The Behavior of Currencies During Risk-Off Episodes by Reinout De Bock
January 11th 2013 | ebook | PDF, EPUB, FB2, DjVu, audiobook, mp3, ZIP | 34 pages | ISBN: 9781616353162 | 10.68 Mb

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. dollarMoreEpisodes 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 currencys yield and relationship to broader risks in recent years.



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