Replication data for: Financial Exchange Rates and International Currency Exposures
Principal Investigator(s): View help for Principal Investigator(s) Philip R. Lane; Jay C. Shambaugh
Version: View help for Version V1
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Project Citation:
Lane, Philip R., and Shambaugh, Jay C. Replication data for: Financial Exchange Rates and International Currency Exposures. Nashville, TN: American Economic Association [publisher], 2010. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112334V1
Project Description
Summary:
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In order to gain a better empirical understanding of the international financial implications of currency movements, 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 and that our currency measures have 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 redistributions. Further, we show that many developing countries have substantially reduced their negative foreign currency positions over the last decade. (F31, F32, G15)
Scope of Project
JEL Classification:
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F31 Foreign Exchange
F32 Current Account Adjustment; Short-term Capital Movements
G15 International Financial Markets
F31 Foreign Exchange
F32 Current Account Adjustment; Short-term Capital Movements
G15 International Financial Markets
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