IMF paper explores currency value at times of risk aversion
A working paper, published by the IMF, finds the flight to or from currencies following a spike in global equity prices is increasingly dependent on the yield they carry.
The authors, Reinout De Bock and Irineu de Carvalho Filho, observe the behaviour of exchange rates after large fluctuations in the volatility of equity prices. The Japanese yen, Swiss franc, and US dollar all appreciate against other G-10 and emerging market currencies, the authors say.
High-yield currencies tend to depreciate
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