The behavior of currencies during risk-off episodes /:
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 curren...
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| Corporate Authors: | , |
| Other Authors: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
©2013.
|
| Series: | IMF working paper ;
WP/13/8. |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| 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 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. |
| Item Description: | Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). "Monetary and Capital Markets Department, Research Department." "January 2013." |
| Physical Description: | 1 online resource (34 pages) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9781475536102 1475536100 9781616353162 1616353163 |
Staff View
MARC
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| 245 | 1 | 4 | |a The behavior of currencies during risk-off episodes / |c prepared by Reinout De Bock and Irineu de Carvalho Filho. |
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| 500 | |a Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). | ||
| 520 | |a 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. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Monetary and Capital Markets Department, Research Department." | ||
| 500 | |a "January 2013." | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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. | |
| 505 | 8 | |a 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? | |
| 505 | 8 | |a 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. | |
| 650 | 0 | |a Foreign exchange. |0 http://id.loc.gov/authorities/subjects/sh85050496 | |
| 650 | 0 | |a Foreign exchange |x Econometric models. | |
| 650 | 0 | |a Foreign exchange rates. |0 http://id.loc.gov/authorities/subjects/sh91004893 | |
| 650 | 0 | |a Foreign exchange rates |x Econometric models. | |
| 650 | 0 | |a Money |v Tables. |0 http://id.loc.gov/authorities/subjects/sh85086793 | |
| 650 | 6 | |a Change. | |
| 650 | 6 | |a Change |x Modèles économétriques. | |
| 650 | 6 | |a Taux de change. | |
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| 700 | 1 | |a Carvalho Filho, Irineu de. |0 http://id.loc.gov/authorities/names/no2010063735 | |
| 710 | 2 | |a International Monetary Fund. |b Monetary and Capital Markets Department. |0 http://id.loc.gov/authorities/names/no2006113696 | |
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| 776 | 0 | 8 | |i Print version: |a De Bock, Reinout. |t Behavior of currencies during risk-off episodes. |d [Washington, D.C.] : International Monetary Fund, ©2013 |z 9781557755308 |
| 830 | 0 | |a IMF working paper ; |v WP/13/8. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| author | De Bock, Reinout |
| author2 | Carvalho Filho, Irineu de |
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| author_GND | http://id.loc.gov/authorities/names/n2006051083 http://id.loc.gov/authorities/names/no2010063735 |
| author_corporate | International Monetary Fund. Monetary and Capital Markets Department International Monetary Fund. Research Department |
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| author_facet | De Bock, Reinout Carvalho Filho, Irineu de International Monetary Fund. Monetary and Capital Markets Department International Monetary Fund. Research Department |
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| 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. |
| ctrlnum | (OCoLC)824813135 |
| dewey-full | 332.45 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.45 |
| dewey-search | 332.45 |
| dewey-sort | 3332.45 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| genre | Tables fast |
| genre_facet | Tables |
| id | ZDB-4-EBU-ocn824813135 |
| illustrated | Not Illustrated |
| indexdate | 2025-03-18T14:27:42Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no2006113696 http://id.loc.gov/authorities/names/n77001219 |
| isbn | 9781475536102 1475536100 9781616353162 1616353163 |
| language | English |
| oclc_num | 824813135 |
| open_access_boolean | |
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| physical | 1 online resource (34 pages) |
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| publishDate | 2013 |
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| spelling | De Bock, Reinout. http://id.loc.gov/authorities/names/n2006051083 The behavior of currencies during risk-off episodes / prepared by Reinout De Bock and Irineu de Carvalho Filho. [Washington, D.C.] : International Monetary Fund, ©2013. 1 online resource (34 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/13/8 Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). 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. Includes bibliographical references. "Monetary and Capital Markets Department, Research Department." "January 2013." Print version record. 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. Foreign exchange. http://id.loc.gov/authorities/subjects/sh85050496 Foreign exchange Econometric models. Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Foreign exchange rates Econometric models. Money Tables. http://id.loc.gov/authorities/subjects/sh85086793 Change. Change Modèles économétriques. Taux de change. Taux de change Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Money fast Foreign exchange fast Foreign exchange Econometric models fast Foreign exchange rates fast Foreign exchange rates Econometric models fast Tables fast Carvalho Filho, Irineu de. http://id.loc.gov/authorities/names/no2010063735 International Monetary Fund. Monetary and Capital Markets Department. http://id.loc.gov/authorities/names/no2006113696 International Monetary Fund. Research Department. http://id.loc.gov/authorities/names/n77001219 has work: The behavior of currencies during risk-off episodes (Text) https://id.oclc.org/worldcat/entity/E39PCG8btvhvFgXvgt3RD49hpP https://id.oclc.org/worldcat/ontology/hasWork Print version: De Bock, Reinout. Behavior of currencies during risk-off episodes. [Washington, D.C.] : International Monetary Fund, ©2013 9781557755308 IMF working paper ; WP/13/8. http://id.loc.gov/authorities/names/no89010263 |
| spellingShingle | De Bock, Reinout The behavior of currencies during risk-off episodes / IMF working paper ; 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. Foreign exchange. http://id.loc.gov/authorities/subjects/sh85050496 Foreign exchange Econometric models. Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Foreign exchange rates Econometric models. Money Tables. http://id.loc.gov/authorities/subjects/sh85086793 Change. Change Modèles économétriques. Taux de change. Taux de change Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Money fast Foreign exchange fast Foreign exchange Econometric models fast Foreign exchange rates fast Foreign exchange rates Econometric models fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85050496 http://id.loc.gov/authorities/subjects/sh91004893 http://id.loc.gov/authorities/subjects/sh85086793 |
| title | The behavior of currencies during risk-off episodes / |
| title_auth | The behavior of currencies during risk-off episodes / |
| title_exact_search | The behavior of currencies during risk-off episodes / |
| title_full | The behavior of currencies during risk-off episodes / prepared by Reinout De Bock and Irineu de Carvalho Filho. |
| title_fullStr | The behavior of currencies during risk-off episodes / prepared by Reinout De Bock and Irineu de Carvalho Filho. |
| title_full_unstemmed | The behavior of currencies during risk-off episodes / prepared by Reinout De Bock and Irineu de Carvalho Filho. |
| title_short | The behavior of currencies during risk-off episodes / |
| title_sort | behavior of currencies during risk off episodes |
| topic | Foreign exchange. http://id.loc.gov/authorities/subjects/sh85050496 Foreign exchange Econometric models. Foreign exchange rates. http://id.loc.gov/authorities/subjects/sh91004893 Foreign exchange rates Econometric models. Money Tables. http://id.loc.gov/authorities/subjects/sh85086793 Change. Change Modèles économétriques. Taux de change. Taux de change Modèles économétriques. BUSINESS & ECONOMICS Finance. bisacsh Money fast Foreign exchange fast Foreign exchange Econometric models fast Foreign exchange rates fast Foreign exchange rates Econometric models fast |
| topic_facet | Foreign exchange. Foreign exchange Econometric models. Foreign exchange rates. Foreign exchange rates Econometric models. Money Tables. Change. Change Modèles économétriques. Taux de change. Taux de change Modèles économétriques. BUSINESS & ECONOMICS Finance. Money Foreign exchange Foreign exchange Econometric models Foreign exchange rates Foreign exchange rates Econometric models Tables |
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