Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/30595
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dc.contributor.authorMelvin, Michaelen_US
dc.contributor.authorTaylor, Mark P.en_US
dc.date.accessioned2009-07-31en_US
dc.date.accessioned2010-05-14T08:23:01Z-
dc.date.available2010-05-14T08:23:01Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/30595-
dc.description.abstractThe financial crisis of 2007-2008 had major implications for the foreign exchange market. We review events and implications for exchange rates, volatility, returns to currency investing, and transaction costs. This blow-by-blow” narrative is intended to be a resource for researchers seeking a comprehensive review of the what, why and when” of the financial crisis in terms of foreign exchange market dynamics. An implementable financial stress index (FSI) is created and then used to illustrate the dramatic nature of the current crisis compared to earlier crises. We also examine how the global FSI might have been used to condition the exposure to the carry trade (long high interest rate currencies, short low interest rate currencies) and we show that such an index has potential value in protecting a portfolio against loss during periods of stress, although this result is subject to the important caveats of controlling for transaction costs and timely recognition of the change in regime.en_US
dc.language.isoengen_US
dc.publisher|aCenter for Economic Studies and Ifo Institute (CESifo) |cMunichen_US
dc.relation.ispartofseries|aCESifo working paper |x2707en_US
dc.subject.jelF30en_US
dc.subject.jelF31en_US
dc.subject.ddc330en_US
dc.subject.keywordfinancial crisisen_US
dc.subject.keywordforeign exchangeen_US
dc.subject.keywordexchange ratesen_US
dc.subject.keywordtransaction costsen_US
dc.subject.stwFinanzmarktkriseen_US
dc.subject.stwDevisenmarkten_US
dc.subject.stwWechselkursen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwKapitalertragen_US
dc.subject.stwTransaktionskostenen_US
dc.subject.stwInternationaler Finanzmarkten_US
dc.subject.stwRisikoen_US
dc.subject.stwIndexen_US
dc.subject.stwWelten_US
dc.titleThe crisis in the foreign exchange marketen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn605747970en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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