منابع مشابه
Foreign Currency Lending - Borrower or Bank Driven?
Given current concerns on foreign currency exposures in emerging economies, we examine the currency denomination of bank loans. We compare the currency requested by borrowers and the currency decision subsequently made by a bank in Bulgaria prior to the current crisis. We analyze more than hundred thousand loans to sixty thousand different firms granted during the period 2003-2007. We relate th...
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Based on survey data from 193 banks in 20 countries we provide the first bank-level analysis of the determinants of foreign currency (FX) lending in emerging Europe. We find that FX lending by all banks, regardless of their ownership structure, is strongly determined by the macroeconomic environment. We find no evidence of foreign banks ‘pushing’ FX loans indiscriminately because of easier acce...
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This paper proposes a new framework which captures the systemic nature of funding liquidity risk. Using this framework we develop a set of indicators which measure different aspects of the systemic funding liquidity risk in the interbank foreign currency lending market: (i) systemic funding liquidity needs, (ii) systemic vulnerability, (iii) systemic importance and (iv) systemic liquidity short...
متن کاملForeign Currency Futures
The 1heoretical na1ure of risk premiums in roreign currency futures markets is derived and s1udied empirically. Eslimation problems encountered in using futures da1a are discussed. Since forward rates and fu1ures prices have been found to be approximately equal, and because risk premiums in forward markets are highly variable, consistency of the data requires time variation in daily risk premiu...
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The standard hypothesis concerning the behavior of asset returns states that they follow a random walk in discrete time or a Brownian motion in continuous time. The Brownian motion process is characterized by a quantity, called the Hurst exponent, which is related to some fractal aspects of the process itself. For a standard Brownian motion (sBm) this exponent is equal to 0.5. Several empirical...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2018
ISSN: 1556-5068
DOI: 10.2139/ssrn.3220260