Measuring Systemic Funding Liquidity Risk in the Interbank Foreign Currency Lending Market

نویسنده

  • Seung Hwan Lee
چکیده

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 shortages. We also analyze the systemic funding liquidity risk of the Korean banking system under the new framework. The Korean banking system has become more vulnerable to the systemic funding liquidity risk of foreign currency debt since 2006. The systemic importance of foreign bank branches and the systemic vulnerability of domestic banks have simultaneously increased as the domestic banks have relied heavily on FX swap transactions with foreign bank branches to raise foreign currency funds. † Finance Studies Team, Institute for Monetary and Economic Research, the Bank of Korea, 110, 3-Ga, Namdaemun-Ro, Jugn-Gu, Seoul, 100-794, Republic of Korea. Email: [email protected]. This paper represents the author’s personal opinions and does not necessarily reflect the views of the Bank of Korea. JEL Field: G01, G11, G31. Keyword: funding liquidity, systemic risk, rollover risk. 1

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تاریخ انتشار 2010