Saturday, October 22, 2011

Risk-off episodes: déjà vu all over again?

Movements in exchange rates during periods of increased market volatility seem to repeat similar patterns. In the chart below, I show the cross-section of depreciation rates relative to the US dollar for the periods immediately after the Lehman failure in 2008 and the most recent increase in market volatility.

In both episodes, the yen strengthened and practically all the currencies of advanced and emerging economies weakened relative to the US dollar. Some emerging currencies (Brazilian real, Polish zloty, South African rand, Mexican peso, Korean won) stood among those with the largest depreciations in both episodes. My goal now is to understand why.

Thursday, October 13, 2011

28+ months later

Today I updated my panel data set with quarterly GDP up to the second quarter of 2011. Adding more data only strengthens my finding that IT countries have performed better than their peers since the global financial crisis.