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Accumulation of foreign currency reserves and risk-taking

Author

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  • Rasmus Fatum

    (University of Alberta)

  • James Yetman

    (BIS)

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

  • Rasmus Fatum & James Yetman, 2019. "Accumulation of foreign currency reserves and risk-taking," GRU Working Paper Series GRU_2019_019, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
    • Handle: RePEc:cth:wpaper:gru_2019_019
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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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