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A New Index of Currency Mismatch and Systemic Risk

A New Index of Currency Mismatch and Systemic Risk »

Source: A New Index of Currency Mismatch and Systemic Risk

Volume/Issue: 2010/263

Series: IMF Working Papers

Author(s): Romain Ranciere , Aaron Tornell , and Athanasios Vamvakidis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

ISBN: 9781455210701

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...

A New Index of Currency Mismatch and Systemic Risk

A New Index of Currency Mismatch and Systemic Risk »

Volume/Issue: 2010/263

Series: IMF Working Papers

Author(s): Romain Ranciere , Aaron Tornell , and Athanasios Vamvakidis

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2010

DOI: http://dx.doi.org/10.5089/9781455210701.001

ISBN: 9781455210701

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...