Accumulation of Foreign Currency Reserves and Risk-taking
Abstract:
We assess whether the accumulation of foreign currency reserves in the Asia-Pacific region may have unintended consequences in the form of increased private sector risk-taking. To do so we carry out a country-specific daily data event study analysis of the relationship between official announcements of reserves stocks and various proxy measures of risk-taking. Overall, our results suggest that reserves accumulation exerts no systematic influence on risk-taking.
| Report No.: | HIAS-E-89 |
|---|---|
| Author(s): | Rasmus Fatum(a), (b) James Yetman(c) |
| Affiliation: | (a) School of Business University of Alberta, Edmonton, Alberta, Canada T6G 2R6 (b) Hitotsubashi Institute for Advanced Study, Kunitachi, Tokyo 186-8601 Japan (c) Bank of International Settlements, Representative Office for Asia and the Pacific, 78th Floor, TWO IFC, 8 Finance Street, Central, Hong Kong |
| Issued Date: | September 2019 |
| Keywords: | Foreign exchange reserves, risk-taking, implied volatility, credit default swaps |
| JEL: | F31, G15 |
| Links: | PDF, HERMES-IR, RePEc |
