TY  - CHAP
AB  - This chapter analyses the impact of the global credit crisis on the money market and discusses its potential implications. The turbulence in money markets has spilled over to foreign exchange (FX)-swap markets amid a reappraisal of counterparty risks during the recent financial turmoil. We examine the situations of six currencies: the euro, the British pound, the Australian dollar, the Japanese yen, the Hong Kong dollar, and the Singapore dollar. We find that (i) the risk premiums have indeed gone in tandem with the spreads of money market rates over their corresponding overnight index swaps across the economies, a popular measure of potential banking insolvency; and (ii) the risk premiums bear a negative relationship with the strength of the spot rates of the respective currencies, which is consistent with the increased pressure in the money and swap markets.
VL  - 9
SN  - 978-0-85724-745-2, 978-0-85724-746-9/1574-8715
DO  - 10.1108/S1574-8715(2011)0000009009
UR  - https://doi.org/10.1108/S1574-8715(2011)0000009009
AU  - Genberg Hans
AU  - Hui Cho-Hoi
AU  - Wong Alfred
AU  - Chung Tsz-Kin
ED  - Yin-Wong Cheung
ED  - Vikas Kakkar
ED  - Guonan Ma
PY  - 2011
Y1  - 2011/01/01
TI  - Chapter 4 The Link between FX Swaps and Currency Strength during the Credit Crisis of 2007–2008
T2  - The Evolving Role of Asia in Global Finance
T3  - Frontiers of Economics and Globalization
PB  - Emerald Group Publishing Limited
SP  - 83
EP  - 94
Y2  - 2024/04/24
ER  -