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dc.contributor.authorMelvin, Michaelen
dc.contributor.authorTaylor, Mark P.en
dc.date.accessioned2009-07-31-
dc.date.accessioned2010-05-14T08:23:01Z-
dc.date.available2010-05-14T08:23:01Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2707en
dc.subject.jelF30en
dc.subject.jelF31en
dc.subject.ddc330en
dc.subject.keywordfinancial crisisen
dc.subject.keywordforeign exchangeen
dc.subject.keywordexchange ratesen
dc.subject.keywordtransaction costsen
dc.subject.stwFinanzmarktkriseen
dc.subject.stwDevisenmarkten
dc.subject.stwWechselkursen
dc.subject.stwVolatilitäten
dc.subject.stwKapitalertragen
dc.subject.stwTransaktionskostenen
dc.subject.stwInternationaler Finanzmarkten
dc.subject.stwRisikoen
dc.subject.stwIndexen
dc.subject.stwWelten
dc.titleThe crisis in the foreign exchange market-
dc.typeWorking Paperen
dc.identifier.ppn605747970en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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