Della Corte, Pasquale, Sarno, Lucio, Schmeling, Maik, Wagner, Christian. 2021. Default expectations and currency movements. VoxEU, 17.05.21
BibTeX
Abstract
In fixed exchange rate systems, default risks tend to have devastating effects on currencies, usually leading to sharp devaluations. However, little is known about the relationship between default expectations and exchange rates in floating rate regimes. This column uses data from a broad set of currencies to uncover a strong link between exchange rate movements and sovereign risk across all exchange rate regimes. This relationship is largely caused by countries’ exposure to global sovereign risk factors and shown to be driven by changes in default expectations.
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| Status of publication | Published |
|---|---|
| Affiliation | WU |
| Type of publication | Magazine/newspaper article |
| Language | English |
| Title | Default expectations and currency movements |
| Title of journal | VoxEU |
| Year | 2021 |
| Date | May 17, 2021 |
| URL | https://voxeu.org/article/default-expectations-and-currency-movements |
Associations
- People
- Wagner, Christian (Details)
- External
- Della Corte, Pasquale (Imperial College London, United Kingdom)
- Sarno, Lucio (University of Cambridge, United Kingdom)
- Schmeling, Maik (Goethe University Frankfurt, Germany)
- Organization
- Institute for Finance, Banking and Insurance IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5361 Financial management (Details)