Tipos de cambio en la crisis

Marion Kohler
marion.kohler@bis.org

Exchange rates during financial crises1
Exchange rate movements during the global financial crisis of 2007–09 were unusual. Unlike in two previous episodes – the Asian crisis of 1997–98 and the crisis following the Russian debt default in 1998 – in 2008 many countries that were not at the centre of the crisis saw their currencies depreciate sharply. Suchcrisis-related movements reversed strongly for a number of countries. Two factors are likely to have contributed to these developments. First, during the latest crisis, safe haven effects went against the typical pattern of crisis-related flows. Second, interest rate differentials explain more of the crisis-related exchange rate movements in 2008–09 than in the past. This probably reflectsstructural changes in the determinants of exchange rate dynamics such as the increased role of carry trade activity.
JEL classification: F3, G01.

Financial crises are often associated with significant movements in exchange rates, which reflect both increasing risk aversion and changes in the perceived risk of investing in certain currencies. The global financial crisis of 2007–09 was no exception.Previous work on exchange rate movements during the crisis has concentrated on the unusual (and unexpected) appreciation of the US dollar (McCauley and McGuire (2009), McGuire and von Peter (2009)). This feature investigates the flip side of this development and focuses on movements in the exchange rates of a number of emerging markets and small advanced economies against three major currencies: theJapanese yen, the Swiss franc and the US dollar. During the crisis, a large number of currencies that were not at the centre of the turmoil depreciated. These movements reversed within a year or so. Both these experiences stand out when compared with those seen during the Asian financial crisis of 1997–98 or the crisis that followed the Russian debt default in mid-1998. We concentrate on twofactors that can explain part of these unusual developments. First, during the most recent episode safe haven flows went against the typical crisis-related pattern: instead of fleeing the

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The author thanks Claudio Borio, Ben Cohen, Petra Gerlach, Corrinne Ho, Michael King, Robert McCauley and Christian Upper for useful comments and discussions. Emir Emiray and Jimmy Shek provided excellentresearch assistance. The views expressed in this article are those of the author and do not necessarily reflect those of the BIS.

BIS Quarterly Review, March 2010

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country at the epicentre of the crisis, they moved into it. Second, interest rate differentials played a bigger role than in the past in explaining some of the crisis-related exchange rate movements. The increase in carry tradeactivity over the past 15 years could be one explanation for this finding. If so, the dynamics of exchange rate movements around crises may have changed more fundamentally. In the next section, we briefly review exchange rate movements during late 2008 and 2009 and compare them with those in the Asian financial crisis and the crisis following the Russian debt default. We then analyse measures fromcurrency options, implied volatility and risk reversals, to gauge risk aversion and market perceptions of uncertainty and “safe haven” currencies during these episodes. Extending previous BIS work, we then investigate the role of interest rates for exchange rate movements during both the crisis and its immediate aftermath. The last section concludes.

Comparison of three episodes
Three recentfinancial crises were accompanied by substantial movements in exchange rates: the Asian financial crisis of 1997–98, the crisis that followed the Russian debt default in August 1998 and the global financial crisis of 2007–09. Of course, the first two crises differed from the most recent one in a number of ways, including their place of origin, whether they were accompanied by currency crises and...