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FX Funding Risks and Exchange Rate Volatility–Korea’s Case, Jack Ree, Kyoungsoo Yoon, Hail Park

Creator
Abstract
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.
Table Of Contents
Cover; Contents; I. Introduction; II. Why Were Korean Banks Hit so Hard During the GFC?; Figures; 1. Bank External Debt and Current Account; Boxes; 1. External Borrowing and Lending: Korea, Australia, and Hungary; Tables; 1. Companies' FX Forwards Selling and Buying; 2. Determinants of Korean Banks' ST External Debt; 3. Variables Used in the Estimation; 2. Foreign Bank Branches' Typical Positioning; 3 Korean Banks: Liquidity Mismatch; 4. Composition of Forward Book; III. Why is the Korean Won so Volatile?; 5. Korean Won's Volatility; 6. Korea's FX and Equity Volatilities
Language
eng
Literary Form
non fiction
Note
"November 2012" -- verso of t.p
Physical Description
1 online resource (30 p.)
Specific Material Designation
remote
Form Of Item
online
Isbn
9781475527315

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