| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8250 |
| DP8250 A New Index of Currency Mismatch and Systemic Risk | |
| Aaron Tornell; Romain Rancière; Athanasios Vamvakidis | |
| 发表日期 | 2011-02-14 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | International Macroeconomics |
| 关键词 | Currency mismatch Emerging economies Financial crises Systemic risk |
| URL | https://cepr.org/publications/dp8250 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537088 |
| 推荐引用方式 GB/T 7714 | Aaron Tornell,Romain Rancière,Athanasios Vamvakidis. DP8250 A New Index of Currency Mismatch and Systemic Risk. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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