FX Funding Risks and Exchange Rate Volatilityâ€“Koreaâ€™s Case
AbstractThis paper examines how exchange rate volatility and Korean banksâ€™ 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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Bibliographic InfoPaper provided by International Monetary Fund in its series IMF Working Papers with number 12/268.
Date of creation: 07 Nov 2012
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