What explains global exchange rate movements during the financial crisis?
A striking and unexpected feature of the financial crisis has been the sharp appreciation of the US dollar against virtually all currencies globally. The paper finds that negative US-specific macroeconomic shocks during the crisis have triggered a significant strengthening of the US dollar, rather than a weakening. Macroeconomic fundamentals and financial exposure of individual countries are found to have played a key role in the transmission process of US shocks: in particular countries with low FX reserves, weak current account positions and high direct financial exposure vis-à-vis the United States have experienced substantially larger currency depreciations during the crisis overall, and to US shocks in particular.
Year of publication: |
2009
|
---|---|
Authors: | Fratzscher, Marcel |
Published in: |
Journal of International Money and Finance. - Elsevier, ISSN 0261-5606. - Vol. 28.2009, 8, p. 1390-1407
|
Publisher: |
Elsevier |
Keywords: | Financial crisis Exchange rates Global imbalances Shocks United States US dollar Transmission channels |
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