A New Index of Currency Mismatch and Systemic Risk

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 of a sharp depreciation. Such systemic risk READ MORE...

Publication date: November 2010
ISBN 9781455210701
$18.00

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