Friday, December 21, 2012

The Behavior of Currencies during Risk-off Episodes (updated)

Joint work with Reinout De Bock. That was finally released as IMF Working Paper 13/8.

Abstract:

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.




Wednesday, December 5, 2012

2nd Workshop on “Financial Determinants of Exchange Rates”

Semana que vem, apresento meu working paper sobre fluxos de capitais para a Suíça nesta conferência em Roma.