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Does the accumulation of foreign currency reserves affect risk-taking? An event study approach

In: The price, real and financial effects of exchange rates

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  • Rasmus Fatum

    (University of Alberta)

  • James Yetman

    (Bank for International Settlements)

Abstract

Fatum and Yetman (2017) assess whether foreign currency reserves accumulation in the Asia-Pacific region is systematically associated with risk-taking, using an event study approach to examine the responses of various proxies of risk-taking to official announcements of reserves stocks. Across a wide range of specifications and robustness checks, we find little evidence that reserves accumulation has a significant influence on risk-taking.

Suggested Citation

  • Rasmus Fatum & James Yetman, 2018. "Does the accumulation of foreign currency reserves affect risk-taking? An event study approach," BIS Papers chapters, in: Bank for International Settlements (ed.), The price, real and financial effects of exchange rates, volume 96, pages 41-52, Bank for International Settlements.
    • Handle: RePEc:bis:bisbpc:96-06
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    References listed on IDEAS

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