Yen carry trade and the subprime crisis

IMF Staff Papers

Volumn 56, Issue 2, 2009, Pages 384-409

  Hattori, Masazumi ^a   Shin, Hyun Song ^b  

^a Inst for Monetary Economic Studies   (Japan)

^b PRINCETON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 66949152933     PISSN: 10207635     EISSN: 15645150     Source Type: Book Series    
DOI: 10.1057/imfsp.2009.2     Document Type: Article

References (17)

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2. Adrian, Tobias, and Hyun Song Shin, 2008a, "Liquidity, Monetary Policy and Financial Cycles," Current Issues in Economics and Finance, Vol. 14, No. 1, Federal Reserve Bank of New York. Available via the Internet: www.newyorkfed.org/research/current_issues/cil4-1.pdf.
3. Adrian, Tobias, and Hyun Song Shin, 2008b, "Financial Intermediary Leverage and Value at Risk," Federal Reserve Bank of New York and Princeton University Working Paper. Available via the Internet: www.prineeton.edu/~hsshin/working.htm.
4. Bank for International Settlements (BIS), 2008, 78th Annual Report (Basel, Bank for International Settlements).
5. Bernanke, B., 2004a, Central Bank Talk and Monetary Policy, Remarks at the Japan Society Corporate Luncheon, New York, October 7. Available via the Internet: www.federalreserve.gov/boarddoes/speeches/ 2004/200410072/default.htm.
6. Bernanke, B., 2004b, The Logic of Monetary Policy, Remarks at the National Economists Club, December 2. Available via the Internet: www.federalreserve.gov/boarddoes/speeches/2004/20041202/default.htm.
7. Blinder, Alan, 1988, Central Banking in Theory and Practice (Cambridge, Massachusetts, MIT Press).
8. Brunnermeier, Markus, forthcoming, "De-Ciphering the Credit Crisis of 2007," Journal of Economic Perspectives.
9. Brunnermeier, Markus, forthcoming, Stefan Nagel, and Lasse Pedersen, 2009, "Carry Trades and Currency Crashes," NBER Macroeconomics Annual 2008 (Cambridge, Massachusetts, National Bureau of Economic Research).
10. Burnside, Craig, Martin Eichenbaum, Isaac Kleshchelski, and Sergio Rebelo, 2007, "The Returns to Currency Speculation," NBER Working Paper No. 12489 (Cambridge, Massachusetts, National Bureau of Economic Research).
11. Gagnon, Joseph E., and Alain Chaboud, 2007, "What Can the Data Tell Us About Carry Trades in Japanese Yen?" FRB International Finance Discussion Paper No. 899 (Washington, Board of Governors, Federal Reserve System).
12. Greenlaw, D., J. Hatzius, A. Kashyap, and H.S. Shin, 2008, Leveraged Losses: Lessons from the Mortgage Market Meltdown, Report of the U.S. Monetary Form, No. 2. Available via the Internet: www.chicagogsb.edu/ usmpf/does/usmpf2008confdraft.pdf.
13. Gyntelberg, Jacob, and Eli M. Remolona, 2007, "Risk in Carry Trades: A Look at Target Currencies in Asia and the Pacific," in BIS Quarterly Review, December (Basel, Bank for International Settlements).
14. International Monetary Fund (IMF), 2008, Global Financial Stability Report, Economic and Financial Surveys (Washington, April).
15. Jimenez, G., and J. Saurina, 2006, "Credit Cycles, Credit Risk, and Prudential Regulation," International Journal of Central Banking, Vol. 2, No. 2, pp. 65-98.
16. Plantin, Guillaume, and Hyun Song Shin, 2006, "Carry Trades and Speculative Dynamics," London Business School and Princeton University Working Paper.
17. Shin, H.S., 2008, "Risk and Liquidity in a System Context," Journal of Financial Intermediation, Vol. 17, No. 3, pp. 315-29.