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dc.contributor.authorLANE, PHILIP RICHARD
dc.date.accessioned2010-01-25T15:35:01Z
dc.date.available2010-01-25T15:35:01Z
dc.date.issued2009
dc.date.submitted2009en
dc.identifier.citationPhilip R. Lane, Jay C. Shambaugh, `The long or short of it: Determinants of foreign currency exposure in external balance sheets? in Journal of International Economics, 80, (1), 2009, pp 33-44en
dc.identifier.otherY
dc.identifier.urihttp://hdl.handle.net/2262/36266
dc.descriptionPUBLISHEDen
dc.description.abstractA 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.en
dc.format.extent33-44en
dc.format.extent381505 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.publisherElsevieren
dc.relation.ispartofseriesJournal of International Economicsen
dc.relation.ispartofseries80en
dc.relation.ispartofseries1en
dc.rightsYen
dc.subjectFinancial globalizationen
dc.subjectExchange ratesen
dc.subjectInternational portfoliosen
dc.titleThe long or short of it: Determinants of foreign currency exposure in external balance sheetsen
dc.typeJournal Articleen
dc.type.supercollectionscholarly_publicationsen
dc.type.supercollectionrefereed_publicationsen
dc.identifier.peoplefinderurlhttp://people.tcd.ie/plane
dc.identifier.rssinternalid62003
dc.identifier.rssurihttp://dx.doi.org/10.1016/j.jinteco.2009.09.007


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