FX Funding Risks and Exchange Rate Volatility - Korea's Case
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Kyoungsoo Yoon: The Bank of Korea
No 1361, 2013 Meeting Papers from Society for Economic Dynamics
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 evidences are strongly supportive of this.
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed013:1361
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More papers in 2013 Meeting Papers from Society for Economic Dynamics Society for Economic Dynamics Marina Azzimonti Department of Economics Stonybrook University 10 Nicolls Road Stonybrook NY 11790 USA. Contact information at EDIRC.
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