| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14909 |
| 来源ID | Working Paper 14909 |
| The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets | |
| Philip R. Lane; Jay C. Shambaugh | |
| 发表日期 | 2009-04-23 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | A major focus of the recent literature on the determination of optimal portfolios in open-economy macroeconomic models has been on the role of currency movements in determining portfolio returns that may hedge various macroeconomic shocks. However, there is little empirical evidence on the foreign currency exposures that are embedded in international balance sheets. Using a new database, we provide stylized facts concerning the cross-country and time-series variation in aggregate foreign currency exposure and its various subcomponents. In panel estimation, we find that richer, more open economies take longer foreign-currency positions. In addition, we find that an increase in the propensity for a currency to depreciate during bad times is associated with a longer position in foreign currencies, providing a hedge against domestic output fluctuations. We view these new stylized facts as informative in their own right and also potentially useful to the burgeoning theoretical literature on the macroeconomics of international portfolios. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w14909 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/572585 |
| 推荐引用方式 GB/T 7714 | Philip R. Lane,Jay C. Shambaugh. The Long or Short of it: Determinants of Foreign Currency Exposure in External Balance Sheets. 2009. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w14909.pdf（333KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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