An unconventional FX tail risk story

IF 2.8 2区 经济学 Q2 BUSINESS, FINANCE Journal of International Money and Finance Pub Date : 2024-08-13 DOI:10.1016/j.jimonfin.2024.103152
Carlos Cañon , Eddie Gerba , Alberto Pambira , Evarist Stoja
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Abstract

We examine how the tail risk of currency returns over the past 20 years were impacted by central bank monetary and liquidity measures across the globe with an original and unique dataset that we make publicly available. Using a standard factor model, we derive theoretical measures of tail risks of currency returns which we then relate to the various policy instruments employed by central banks. We find empirical evidence for the existence of a cross-border transmission channel of central bank policy through the FX market. The tail impact is particularly sizeable for asset purchases and swap lines. The effects last for up to 1 month, and are proportionally higher for joint QE actions. This cross-border source of tail risk is largely undiversifiable, even after controlling for the U.S. dollar dominance and the effects of its own monetary policy stance.

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非传统外汇尾部风险故事
我们利用公开的独创数据集,研究了过去 20 年来货币回报的尾部风险是如何受到全球央行货币和流动性措施的影响的。利用标准因子模型,我们得出了货币回报尾部风险的理论测量值,然后将其与央行采用的各种政策工具联系起来。我们发现了中央银行政策通过外汇市场跨境传导渠道的经验证据。尾部影响对资产购买和互换额度的影响尤为显著。这种影响可持续长达 1 个月,而联合量化宽松行动的影响则更大。这种尾部风险的跨境来源在很大程度上是不可分散的,即使在控制了美元的主导地位及其自身货币政策立场的影响之后也是如此。
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来源期刊
CiteScore
4.20
自引率
4.00%
发文量
141
期刊介绍: Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.
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Editorial Board Synthetic leverage and fund risk-taking The role of hedge funds in the Swiss franc foreign exchange market The development of local currency bond markets and uncovered interest rate parity Corporate response to monetary policies: Do foreign subsidiaries and local firms behave differently?
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