The Crisis in the Foreign Exchange Market
By Michael Melvin, Mark P. Taylor. Social Science Research Network, 2009
368 citations recorded by the source corpus.
We provide an overview of the important events of the recent global financial crisis and their implications for exchange rates and market dynamics. Our goal is to catalogue all that was truly of major importance in this episode. We also construct a quantitative measure of crises that allows for a comparison of the current crisis to earlier events. In addition, we address whether one could have predicted costly events before they happened in a manner that would have allowed market participants to moderate their risk exposures and yield better returns from currency speculation.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ed0f3ab98bd63f34f55f4cb7f4a3913edc8e2aa0
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Lucio Sarno
- Lukas Menkhoff
- A. Schrimpf
- Maik Schmeling
- Dagfinn Rime
- Angelo Ranaldo
- Bořek Vašíček
- Jaromír Baxa
In Finance
- Lucio Sarno
- Lukas Menkhoff
- Maik Schmeling
- A. Schrimpf
- Carol Osler
- P. Söderlind
- Bořek Vašíček
- Jaromír Baxa
Citations in the corpus
- On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, positive): “This is also consistent with the study of Melvin and Taylor (2009), who consider August 16th 2007 as the beginning of the crisis in the foreign exchange markets.”
- Safe Haven Currencies (2010, positive): “As pointed out by Melvin and Taylor (2009), foreign exchange markets were hit by unprecedented phenomena such as contagion across asset classes, illiquidity and massive unwinding carry trade during this crisis.”
- Carry Trades and Global Foreign Exchange Volatility (2012, background): “Related to this finding, Melvin and Taylor (2009) show that proxies for market stress have some predictive power for carry trade returns.”
- Foreign Exchange Market Structure, Players and Evolution (2012, positive): “Collapsing swap volumes following the Lehman Brothers bankruptcy in late 2008 triggered a rapid expansion of central bank swap activity as authorities tried to stabilize the world banking system (Baba and Packer, 2009; Melvin and Taylor, 2009).”
- Beyond the Carry Trade: Optimal Currency Portfolios (2015, background): “3Melvin and Taylor (2009) provide a vivid narrative of the major events in the currency market during the crisis.”
- Predictability of Currency Carry Trades and Asset Pricing Implications (2013, neutral): “An analogous approach to constructing carry trades has been employed, among others, in Clarida, Davis, and Pedersen (2009), Melvin and Taylor (2009), and Ang and Chen (2010).”
- Limits to arbitrage during the crisis: funding liquidity constraints and covered interest parity (2011, positive): “Both Duffie and Huang (1996) and Melvin and Taylor (2009) emphasize this risk.”
- Oil Prices, Exchange Rates and Emerging Stock Markets (2011, neutral): “See also Melvin and Taylor (2009) for the implications of the deleveraging in financial markets on foreign exchange markets during the recent financial crisis. statistical significance.”
- Time-varying monetary-policy rules and financial stress: Does financial instability matter for monetary policy? (2011, methodology): “4 The IMF Financial Stress Index has been recently applied by Melvin and Taylor (2009) to analyze the exchange rate crises.”