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Identifier to cite or link to this item: https://hdl.handle.net/10086/30532

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Title
Accumulation of Foreign Currency Reserves and Risk-taking
Creator
Creator Name
Fatum, Rasmus Fatum, Rasmus
Affiliation
Affiliation Name
University of Alberta
Affiliation
Affiliation Name
Hitotsubashi University
Creator Name
Yetman, James Yetman, James
Affiliation
Affiliation Name
Bank of International Settlements
Editor
Contributor Name
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Key Word
Foreign exchange reserves
risk-taking
implied volatility
credit default swaps
JEL
F31
G15
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.
Description
3 September 2019
Publisher
Hitotsubashi Institute for Advanced Study, Hitotsubashi University
Issued Date
2019-09
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion paper series ; No. HIAS-E-89
Number of Pages
33
Appears in Collections
Discussion paper series / Hitotsubashi Institute for Advanced Study, Hitotsubashi University
URL
https://hdl.handle.net/10086/30532