FX Funding Risks and Exchange Rate Volatility–Korea’s Case
Electronic Access:
Free Download. Use the free Adobe Acrobat Reader to view this PDF file
Summary:
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 evidences are strongly supportive of this.
Series:
Working Paper No. 2012/268
Subject:
Banking Currency markets Exchange rates External debt Financial institutions Financial markets Foreign banks Foreign exchange
English
Publication Date:
November 7, 2012
ISBN/ISSN:
9781475565171/1018-5941
Stock No:
WPIEA2012268
Pages:
29
Please address any questions about this title to publications@imf.org