Series: IMF Working Papers
Author(s): Romain Ranciere , Aaron Tornell , and Athanasios Vamvakidis
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2010
Keywords: Currency Mismatch, Emerging Economies, foreign currency, foreign assets, foreign exchange, foreign currencies, Financial Markets and the Macroeconomy, International Lending and Debt Problems,
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 b...