Front Matter Page
Research Department
Contents
1. Introduction
2. Related literature
3. A model of wholesale bank funding
3.1 Main building blocks
3.2 Solution of the model
4. The Data and Stylized Facts
4.1 Bank Balance Sheet Data
4.2 Foreign Currency Wholesale Funding
4.3 Risk Factors
4.4 Net Foreign Currency Exposure
5. Results
5.1 Full sample
5.2 Euro area vs. other European countries
5.3 Alternative global factor measures
6 Conclusion
References
Appendixs
A. Theoretical model
B. Data
C. Adjusting bank positions for exchange rate valuation effects
D. Appendix Figures
E. Appendix tables
Figures
1. The bank’s balance sheet structure
2. Foreign Currency Wholesale Funding
3. gbdl and the VIX
4. Net FX Exposure and Global Factors
5. Net foreign currency and domestic currency wholesale funding inflows
6. Net foreign currency and domestic currency wholesale funding inflows
7. Net foreign currency and domestic currency wholesale funding inflows
8. Net foreign currency exposure.
9. Net foreign currency exposure.
10. Net foreign currency exposure.
Tables
1. Data and descriptive statistics
2. Main regression for the full set of countries
3. Main regression for euro and non-euro samples separately
4. Alternative global factors
5. Estimates of currency weights in non-Swiss franc FX bank positions
6. Robustness to country specific cip and uip parameter estimates
7. Robustness to inclusion of additional controls
8. Regression for total cross border flows denominated in domestic currency
9. Regression using EUR as foreign currency for non-euro countries
10. Regression using EUR as foreign currency for non-euro countries