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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.

Suggested Citation

  • Fatum, Rasmus & Yetman, James, 2019. "Accumulation of Foreign Currency Reserves and Risk-taking," Discussion paper series HIAS-E-89, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    • Handle: RePEc:hit:hiasdp:hias-e-89
    Note: 3 September 2019
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    Cited by:

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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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