What Explains Global Exchange Rate Movements during the Financial Crisis
By Marcel Fratzscher. Social Science Research Network, 2009
238 citations recorded by the source corpus.
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar, rather than a weakening. Macroeconomic fundamentals and financial exposure of individual countries are found to have played a key role in the transmission process of US shocks: in particular countries with low FX reserves, weak current account positions and high direct financial exposure vis-a-vis the United States have experienced substantially larger currency depreciations during the crisis overall, and to US shocks in particular.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/c924aa9d2be1d8408ee28fdeb7768ee338d68e6a
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Citations in the corpus
- Global Crises and Equity Market Contagion (2012, unknown): “Note that equity returns in US dollar terms have been even more negative during the crisis given that almost all currencies (bar the Japanese yen, and a few pegged currencies) depreciated against the US dollar; see Fratzscher (2009).”
- Exchange Rate Predictability (2013, unknown): “For example, Andersen, Bollerslev, Diebold and Vega (2003), Ehrmann and Fratzscher (2005), Faust, Rogers, Wang and Wright (2007) and Fratzscher (2009) study whether, in-sample, exchange rates react in a very short window around the announcement.”
- Oil, Gold, US dollar and Stock market interdependencies: A global analytical insight (2017, background): “, 2013) as US financial assets are perceived as safe and liquid, triggering what is referred to as FTS ( flight-to-safety) phenomenon (Fratzscher, 2009).”
- Getting Beyond Carry Trade: What Makes a Safe Haven Currency? (2011, unknown): “Di¤erently, Fratzscher (2009) develops a more traditional fundamentals analysis , nding that countries with low foreign exchange reserves, weak current account positions and high direct nancial exposure vis-à-vis the United States depreciated the most during the crisis.”