FX funding risks and exchange rate volatility
Jack Joo K. Ree,
Kyoungsoo Yoon and
Emerging Markets Review, 2015, vol. 25, issue C, 163-175
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.
Keywords: Foreign exchange liquidity mismatch; Exchange rate volatility; Capital flows; Macro-prudential measures; Dollar funding market (search for similar items in EconPapers)
JEL-codes: F31 G01 G15 G21 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:25:y:2015:i:c:p:163-175
Access Statistics for this article
Emerging Markets Review is currently edited by Jonathan A. Batten
More articles in Emerging Markets Review from Elsevier
Series data maintained by Dana Niculescu ().