Coverart for item
The Resource A new index of currency mismatch and systemic risk, prepared by Romain Ranciere, Aaron Tornell and Athanasios Vamvakidis

A new index of currency mismatch and systemic risk, prepared by Romain Ranciere, Aaron Tornell and Athanasios Vamvakidis

Label
A new index of currency mismatch and systemic risk
Title
A new index of currency mismatch and systemic risk
Statement of responsibility
prepared by Romain Ranciere, Aaron Tornell and Athanasios Vamvakidis
Creator
Contributor
Author
Issuing body
Subject
Genre
Language
eng
Summary
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
Member of
Cataloging source
E7B
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Ranciere, Romain
Illustrations
illustrations
Index
no index present
Language note
English
LC call number
HB615
LC item number
.R36 2010 ONLINE
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
  • Tornell, Aaron
  • Vamvakidis, Athanasios
  • International Monetary Fund
  • International Monetary Fund
Series statement
IMF Working Paper
Series volume
WP/10/263
http://library.link/vocab/subjectName
  • Financial crises
  • Risk
  • Financial crises
  • Risk
  • Developing countries
Label
A new index of currency mismatch and systemic risk, prepared by Romain Ranciere, Aaron Tornell and Athanasios Vamvakidis
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Bank Loans in Foreign Currency in Percent of Total Bank Loans, Emerging Europe, 2007; II. A New Measure of Currency Mismatch; III. Measuring Currency Mismatch in Emerging Europe; 2. Currency Mismatch in Emerging Europe, 1998-08; 3. Currency Mismatches in Emerging Europe, with and without Adjustment for Unhedged Lending, 2007; 1. Currency Mismatches in Emergency Europe in Percent of Bank Sector Assets: Adjusting for Unhedged Borrowing, 2004-07; 2. Currency Mismatch Measures in Emerging Europe, 2004-07
  • IV. Measuring Currency Mismatch in Emerging Economies4. Currency Mismatch in Emerging Economies, 2008; 5. Increase in Currency Mismatch in Emerging Economies before the Crisis (2004-07); V. Concluding Remarks; Appendix. Calculation of Currency Mismatch and Data Sources; 1. Currency Mismatch Data; 2. Currency Mismatch Data (using only IFS data for foreign assets and liabilities); References; Footnotes
Control code
698591344
Dimensions
unknown
Extent
1 online resource (25 pages)
Form of item
online
Isbn
9781455210701
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781455210961.001
Other physical details
color illustrations
Specific material designation
remote
System control number
  • imfWPIEA2010263
  • (IMF)WPIEA2010263
  • (OCoLC)698591344
Label
A new index of currency mismatch and systemic risk, prepared by Romain Ranciere, Aaron Tornell and Athanasios Vamvakidis
Publication
Copyright
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Bank Loans in Foreign Currency in Percent of Total Bank Loans, Emerging Europe, 2007; II. A New Measure of Currency Mismatch; III. Measuring Currency Mismatch in Emerging Europe; 2. Currency Mismatch in Emerging Europe, 1998-08; 3. Currency Mismatches in Emerging Europe, with and without Adjustment for Unhedged Lending, 2007; 1. Currency Mismatches in Emergency Europe in Percent of Bank Sector Assets: Adjusting for Unhedged Borrowing, 2004-07; 2. Currency Mismatch Measures in Emerging Europe, 2004-07
  • IV. Measuring Currency Mismatch in Emerging Economies4. Currency Mismatch in Emerging Economies, 2008; 5. Increase in Currency Mismatch in Emerging Economies before the Crisis (2004-07); V. Concluding Remarks; Appendix. Calculation of Currency Mismatch and Data Sources; 1. Currency Mismatch Data; 2. Currency Mismatch Data (using only IFS data for foreign assets and liabilities); References; Footnotes
Control code
698591344
Dimensions
unknown
Extent
1 online resource (25 pages)
Form of item
online
Isbn
9781455210701
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781455210961.001
Other physical details
color illustrations
Specific material designation
remote
System control number
  • imfWPIEA2010263
  • (IMF)WPIEA2010263
  • (OCoLC)698591344

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