Currency Mismatch in the Banking Sector in Latin America and the Caribbean
Martin Tobal ()
No 2017-05, Working Papers from Banco de México
Existing literature uses data based on the residence principle to proxy for currency mismatch. This paper collects data on assets and liabilities broken by currency of denomination in the banking sector in Latin America and the Caribbean. I show that the information used in the literature cannot substitute for data broken down by currency and present new facts. I observe a reduction in long foreign currency positions, with several banking sectors taking short positions after 2006. Employing a methodology that accounts for time-varying unobservable characteristics, this reduction is shown to be partially explained by the implementation of prudential policies.
Keywords: currency mismatch; prudential regulation; foreign currency risk; dollarization; synthetic control method (search for similar items in EconPapers)
JEL-codes: G18 G21 F30 (search for similar items in EconPapers)
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Journal Article: Currency Mismatch in the Banking Sector in Latin America and the Caribbean (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2017-05
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