Hidden Bibliographic Details
| Other authors / contributors: | Carvalho Filho, Irineu de.
International Monetary Fund. Monetary and Capital Markets Department.
International Monetary Fund. Research Department.
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| ISBN: | 9781475536102
1475536100
9781616353162
1616353163
1475536100
9781475536102
9781557755308
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| Notes: | Title from PDF title page (IMF Web site, viewed Jan. 22, 2013).
"Monetary and Capital Markets Department, Research Department."
"January 2013."
Includes bibliographical references.
Print version record.
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| 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.
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| Other form: | Print version: De Bock, Reinout. Behavior of currencies during risk-off episodes. [Washington, D.C.] : International Monetary Fund, ©2013 9781557755308
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| Standard no.: | 10.5089/9781475536102.001
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