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

By Agustín Bénétrix, Philip R. Lane, Jay C. Shambaugh. 2015

178 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/06a9d6d6bc36bee3e0280fc8291cfc8974fd9528

Citations in the corpus

• International Currencies and Capital Allocation (2020, unknown): “…and Rey (2007), and Curcuru et al. (2008).5 Our finding that foreigners avoid local-currency debt to such an extent that the external debt liabilities of countries are in large part denominated in foreign currency complements the work by Lane and Shambaugh (2010) and Bénétrix et al. (2015).”
• Breaking Free of the Triple Coincidence in International Finance (2016, unknown): “Bénétrix et al (2015) would score this as a smaller net foreign currency asset position for the economy.”
• If the Fed Sneezes, Who Catches a Cold? (2017, unknown): “…in Chinn and Ito (2006); d) US trade exposure and financial dollar exposure, the latter based on the currency composition of gross assets and liabilities in Benetrix et al. (2015); e) incidence of commod- 5This is a key reason why we do not use the shocks by Gertler and Karadi (2015) directly.”
• The Real Exchange Rate and Economic Growth: Revisiting the Case Using External Instruments (2017, unknown): “We consider separately countries with a positive or negative net foreign currency position, using the updated database of Benetrix et al. (2015), although we do not report results for brevity.”
• Corporate debt, firm size and financial fragility in emerging markets (2019, unknown): “We also explore whether our baseline results (which use bilateral exchange rates vis-à-vis the US dollar) are robust to replacing the bilateral exchange rate with the financial liabilities weighted effective exchange rate computed by Bénétrix et al. (2015). Column 2 of Table 4 shows that this is the”