Exchange Rate Sensitivity and the Net Foreign Asset Composition
研究了26种货币在2002年4月至2019年12月期间，净外国资产构成如何影响汇率对全球金融市场不确定性变化的敏感程度，发现净外债增加敏感性，而净股权和FDI则无此效应。
Abstract Many currencies, especially from countries with negative net foreign assets, depreciate during financial turbulence. Using a panel of 26 currencies for the period April 2002 to December 2019, I show that the net foreign asset composition is related to the exchange rate sensitivity to global financial market uncertainty changes. Net foreign debt is associated with a higher sensitivity, whereas net equity and FDI are not. Ownership matters too, as this association is stronger for private net liabilities. In emerging markets, this vulnerability arises from net other investments, while G10 currencies are more sensitive the more private net portfolio debt the countries have.