FX funding risks and exchange rate volatility

Jack Joo K. Ree; Kyoungsoo Yoon; Hail Park

doi:10.1016/j.ememar.2015.08.002

FX funding risks and exchange rate volatility

Jack Joo K. Ree
, Kyoungsoo Yoon
, Hail Park

Research output: Contribution to journal › Article › peer-review

6 Citations (Scopus)

Abstract

This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidence that is strongly supportive of this.

Original language	English
Pages (from-to)	163-175
Number of pages	13
Journal	Emerging Markets Review
Volume	25
DOIs	https://doi.org/10.1016/j.ememar.2015.08.002
Publication status	Published - 1 Dec 2015

Bibliographical note

Publisher Copyright:
© 2015 Elsevier B.V..

Keywords

Capital flows
Dollar funding market
Exchange rate volatility
Foreign exchange liquidity mismatch
Macro-prudential measures

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10.1016/j.ememar.2015.08.002

Cite this

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title = "FX funding risks and exchange rate volatility",

abstract = "This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidence that is strongly supportive of this.",

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AU - Yoon, Kyoungsoo

AU - Park, Hail

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N2 - This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidence that is strongly supportive of this.

AB - This paper examines how exchange rate volatility and Korean banks' foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidence that is strongly supportive of this.

KW - Capital flows

KW - Dollar funding market

KW - Exchange rate volatility

KW - Foreign exchange liquidity mismatch

KW - Macro-prudential measures

UR - https://www.scopus.com/pages/publications/84945589339

U2 - 10.1016/j.ememar.2015.08.002

DO - 10.1016/j.ememar.2015.08.002

M3 - Article

AN - SCOPUS:84945589339

SN - 1566-0141

VL - 25

SP - 163

EP - 175

JO - Emerging Markets Review

JF - Emerging Markets Review

ER -

FX funding risks and exchange rate volatility

Abstract

Bibliographical note

Keywords

Access to Document

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