01877cas a2200253 a 4500 AALejournalIMF006994 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455212521 1018-5941 BD-DhAAL BD-DhAAL Dowling, Thomas. Interpreting Currency Movements During the Crisis : What's the Role of Interest Rate Differentials? / Thomas Dowling, Nicoletta Batini. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (44 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students Using an adaptation of the Uncovered Interest Parity (UIP) condition, this paper analyzes the drivers behind the large, symmetric exchange rate swings observed during the financial crisis of 2008-2010. Employing a Nelson-Siegel model, we estimate yield curves and decompose the exchange rate movements into changes we attribute to monetary policy and a residual. We find that the depreciation phase of the currencies in our sample was largely dominated by safe-haven effects rather than carry trade activity or other return considerations. For some countries, however, the appreciation that began at the end of 2008 seems largely to reflect downward movement in the cumulative revisions to nominal forward differentials, suggesting carry trade. Mode of access: Internet Batini, Nicoletta. IMF Working Papers; Working Paper ; No. 2011/014 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/014/001.2011.issue-014-en.xml IMF e-Library