Université de Lausanne
Ecole des HEC
Département d'économétrie et d'économie politique

DEEP-EPFL Seminars in Macroeconomics

Mercredi 19 décembre 2007, 12h00
Internef, Dorigny, salle 123

Philip LANE
(IIIS, Trinity College Dublin, Ireland)

Financial Exchange Rates and International Currency Exposures

Abstract
Our goal in this project is to gain a better empirical understanding of the international financial implications of currency movements. To this end, we construct a database of international currency exposures for a large panel of countries over 1990-2004. We show that trade-weighted exchange rate indices are insufficient to understand the financial impact of currency movements. Further, we demonstrate that many developing countries hold short foreign-currency positions, leaving them open to negative valuation effects when the domestic currency depreciates. However, we also show that many of these countries have substantially reduced their foreign currency exposure over the last decade. Last, we show that our currency measure has high explanatory power for the valuation term in net foreign asset dynamics: exchange rate valuation shocks are sizable, not quickly reversed and may entail substantial wealth shocks.

Site web du séminaire (avec texte en ligne): http://www.hec.unil.ch/deep/evenements-english/e-sem-all-2007-08.htm