A New Index of Currency Mismatch and Systemic Risk:
This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event...
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Washington, D.C
International Monetary Fund
2010
|
| Schriftenreihe: | IMF Working Papers
Working Paper No. 10/263 |
| Online-Zugang: | UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext |
| Zusammenfassung: | This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not captured by indicators that are based only on banks' balance sheet data. The new measure is constructed for 10 emerging European economies and for a broader sample that includes 19 additional emerging economies, for the period 1998 - 2008. Comparisons with previous currency mismatch measures that do not adjust for unhedged foreign currency borrowing illustrate the advantages of the new approach. In particular, the new measure flagged the indirect currency mismatch vulnerabilities that were building up in a number of emerging economies before the recent global crisis. Measuring currency mismatch more accurately can help country authorities in their efforts to address vulnerabilities at the right time, avoiding hurting growth prospects |
| Beschreibung: | 1 Online-Ressource (25 p) |
| ISBN: | 1455210706 9781455210701 |
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| illustrated | Not Illustrated |
| index_date | 2024-07-03T20:13:27Z |
| indexdate | 2024-07-10T09:35:36Z |
| institution | BVB |
| isbn | 1455210706 9781455210701 |
| language | English |
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| series2 | IMF Working Papers |
| spelling | Ranciere, Romain Verfasser aut A New Index of Currency Mismatch and Systemic Risk Ranciere, Romain Washington, D.C International Monetary Fund 2010 1 Online-Ressource (25 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 10/263 This paper constructs a new measure of currency mismatch in the banking sector that controls for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect exchange rate risk that banks undertake when they lend to borrowers that will not be able to repay in the event of a sharp depreciation. Such systemic risk taking is not captured by indicators that are based only on banks' balance sheet data. The new measure is constructed for 10 emerging European economies and for a broader sample that includes 19 additional emerging economies, for the period 1998 - 2008. Comparisons with previous currency mismatch measures that do not adjust for unhedged foreign currency borrowing illustrate the advantages of the new approach. In particular, the new measure flagged the indirect currency mismatch vulnerabilities that were building up in a number of emerging economies before the recent global crisis. Measuring currency mismatch more accurately can help country authorities in their efforts to address vulnerabilities at the right time, avoiding hurting growth prospects Online-Ausg Tornell, Aaron Sonstige oth Vamvakidis, Athanasios Sonstige oth http://elibrary.imf.org/view/IMF001/11419-9781455210701/11419-9781455210701/11419-9781455210701.xml Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Ranciere, Romain A New Index of Currency Mismatch and Systemic Risk |
| title | A New Index of Currency Mismatch and Systemic Risk |
| title_auth | A New Index of Currency Mismatch and Systemic Risk |
| title_exact_search | A New Index of Currency Mismatch and Systemic Risk |
| title_exact_search_txtP | A New Index of Currency Mismatch and Systemic Risk |
| title_full | A New Index of Currency Mismatch and Systemic Risk Ranciere, Romain |
| title_fullStr | A New Index of Currency Mismatch and Systemic Risk Ranciere, Romain |
| title_full_unstemmed | A New Index of Currency Mismatch and Systemic Risk Ranciere, Romain |
| title_short | A New Index of Currency Mismatch and Systemic Risk |
| title_sort | a new index of currency mismatch and systemic risk |
| url | http://elibrary.imf.org/view/IMF001/11419-9781455210701/11419-9781455210701/11419-9781455210701.xml |
| work_keys_str_mv | AT ranciereromain anewindexofcurrencymismatchandsystemicrisk AT tornellaaron anewindexofcurrencymismatchandsystemicrisk AT vamvakidisathanasios anewindexofcurrencymismatchandsystemicrisk |