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Accumulation of foreign currency reserves and risk-taking

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  • Fatum, Rasmus
  • Yetman, James

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.

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  • Fatum, Rasmus & Yetman, James, 2020. "Accumulation of foreign currency reserves and risk-taking," Journal of International Money and Finance, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:jimfin:v:102:y:2020:i:c:s0261560619305455
    DOI: 10.1016/j.jimonfin.2019.102097
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    2. Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2023. "Reserves and risk: Evidence from China," Journal of International Money and Finance, Elsevier, vol. 134(C).

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    More about this item

    Keywords

    Foreign exchange reserves; Risk-taking; Implied volatility; Credit default swaps;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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