Decomposing the Riskiness of Corporate Foreign Currency Lending: the Case of Hungary

Dzsamila Vonnák ()

No 1528, CERS-IE WORKING PAPERS from Institute of Economics, Centre for Economic and Regional Studies

Abstract: I decompose the factors contributing to the riskiness of foreign currency borrowers. I compare counterfactual default probabilities of local and foreign currency borrowers estimated on disaggregated data. My results suggest that the currency mismatch with the depreciation of the local currency is the most important factor contributing to the riskiness of foreign currency borrowers, though boom-period excessive risk taking of banks is also concentrated in foreign currency lending.

Keywords: foreign currency debt; banking (search for similar items in EconPapers)
JEL-codes: F31 F34 G21 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2015-06
New Economics Papers: this item is included in nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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