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Currency mismatch, systemic risk and growth in emerging Europe

Author

Listed:
  • Romain Rancière

    (PSE - Paris-Jourdan Sciences Economiques - CNRS - Centre National de la Recherche Scientifique - ENPC - École des Ponts ParisTech - EHESS - École des hautes études en sciences sociales - INRA - Institut National de la Recherche Agronomique - ENS Paris - École normale supérieure - Paris, PSE - Paris School of Economics, IMF - International Monetary Fund - International Monetary Fund (IMF))

  • Aaron Tornall

    (UCLA - University of California [Los Angeles] - University of California)

  • Athanasio Vamvakidis

    (IMF - International Monetary Fund - International Monetary Fund (IMF))

Abstract

We would like to thank Enrique Alberola, Joshua Aizenman, Erik Berglöf, Guillermo Calvo, Jin Han, Andrea Ichino, Jean Imbs, Maurizio Mazzocco, Joe Ostroy, Amine Ouazad and Romain Wacziarg as well as participants at the Economic Policy panel meeting for helpful comments, and the following people for sharing their data sets with us: Reza Baqir (IMF Vulnerability Exercise for Emerging Economies); Herman Kamil (foreign currency borrowing by sector in Latin America); Stephanie Prat (foreign currency foreign assets and liabilities for various emerging economies); and Christoph Rosenberg and Marcel Tirpak (direct borrowing in East Europe from abroad). The views expressed in this paper are those of the authors and do not necessarily represent those of the IMF or IMF policy.The Managing Editor in charge of this paper was Tullio Jappelli.

Suggested Citation

  • Romain Rancière & Aaron Tornall & Athanasio Vamvakidis, 2010. "Currency mismatch, systemic risk and growth in emerging Europe," Post-Print halshs-00754418, HAL.
  • Handle: RePEc:hal:journl:halshs-00754418
    DOI: 10.1111/j.1468-0327.2010.00251.x
    Note: View the original document on HAL open archive server: https://hal-pjse.archives-ouvertes.fr/halshs-00754418
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    Cited by:

    1. Mykhaylova Olena & Staveley-O’Carroll James, 2014. "International transmission of productivity shocks with nonzero net foreign debt," The B.E. Journal of Macroeconomics, De Gruyter, vol. 14(1), pages 1-46, January.
    2. Loayza,Norman V. & Ouazad,Amine & Ranciere,Romain, 2017. "Financial development, growth, and crisis: is there a trade-off ?," Policy Research Working Paper Series 8237, The World Bank.
    3. Kátay, Gábor & Péter, Harasztosi, 2017. "Currency Matching and Carry Trade by Non-Financial Corporations," Working Papers 2017-02, Joint Research Centre, European Commission (Ispra site).
    4. Endrész, Marianna & Harasztosi, Péter, 2014. "Corporate foreign currency borrowing and investment: The case of Hungary," Emerging Markets Review, Elsevier, vol. 21(C), pages 265-287.
    5. Nephil Matangi Maskay & Sven Steinkamp & Frank Westermann, 2014. "On Remittances, Foreign Currency Exposure and Credit Constraints: Evidence from Nepal," CESifo Working Paper Series 5053, CESifo.
    6. Pinar Yesin, 2013. "Foreign currency loans and systemic risk in Europe," Review, Federal Reserve Bank of St. Louis, vol. 95(May), pages 219-236.
    7. Brown, M. & de Haas, R., 2010. "Foreign Currency Lending in Emerging Europe : Bank Level Evidence," Other publications TiSEM 29059e97-755d-4c51-b372-e, Tilburg University, School of Economics and Management.
    8. Eiji Fujii, 2020. "Currency Portfolio of External Debt, Exchange Rate Cyclicality, and Consumption Volatility," CESifo Working Paper Series 8287, CESifo.
    9. Aiba, Daiju & Odajima, Ken & Khou, Vouthy, 2018. "Foreign currency borrowing and risk-hedging behavior: Evidence from Cambodian households," Journal of Asian Economics, Elsevier, vol. 58(C), pages 19-35.
    10. Krzysztof Czerkas, 2016. "The foreign currency mortgage loans in the Polish banking sector and its possible macroeconomic and political consequences," Lodz Economics Working Papers 8/2016, University of Lodz, Faculty of Economics and Sociology.
    11. Ostry, Jonathan D., 2012. "Managing Capital Flows: What Tools to Use?," Asian Development Review, Asian Development Bank, vol. 29(1), pages 83-89.
    12. Alin Marius Andrieş & Simona Nistor, 2018. "Systemic Risk and Foreign Currency Positions of Banks: Evidence from Emerging Europe," Eastern European Economics, Taylor & Francis Journals, vol. 56(5), pages 382-421, September.
    13. Viktória Vidaházy & Pınar Yeşin, 2020. "Deleveraging and Foreign Currency Loan Conversion Programs in Europe," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 62(2), pages 215-241, June.
    14. Husnu C. Dalgic, 2018. "Financial Dollarization in Emerging Markets: An Insurance Arrangement," CRC TR 224 Discussion Paper Series crctr224_051_2018, University of Bonn and University of Mannheim, Germany.
    15. Joseph Crowley, 2015. "Central and Commercial Bank Balance Sheet Risk Before, During, and After the Global Financial Crisis," IMF Working Papers 15/47, International Monetary Fund.
    16. Mirna Dumičić & Vedran Šošić, 2014. "Credit cycles and central bank policy in Croatia: lessons from the 2000s," Chapters, in: Ewald Nowotny & Doris Ritzberger-Grünwald & Peter Backé (ed.),Financial Cycles and the Real Economy, chapter 7, pages 96-113, Edward Elgar Publishing.
    17. Fischer, Andreas M & Yesin, Pinar, 2019. "Foreign currency loan conversions and currency mismatches," CEPR Discussion Papers 13923, C.E.P.R. Discussion Papers.
    18. Mara Pirovano, 2013. "Household and firm leverage, capital flows and monetary policy in a small open economy," Working Paper Research 246, National Bank of Belgium.
    19. Beckmann, Elisabeth & Stix, Helmut, 2015. "Foreign currency borrowing and knowledge about exchange rate risk," Journal of Economic Behavior & Organization, Elsevier, vol. 112(C), pages 1-16.
    20. Romain Ranciere & Aaron Tornell & Athanasios Vamvakidis, 2010. "A New Index of Currency Mismatch and Systemic Risk," IMF Working Papers 10/263, International Monetary Fund.
    21. Philip Lane, 2013. "International Capital Flows and Domestic Financial Conditions: Lessons for Emerging Asia," The Institute for International Integration Studies Discussion Paper Series iiisdp438, IIIS.
    22. Svatopluk Kapounek, 2017. "The Impact of Institutional Quality on Bank Lending Activity: Evidence from Bayesian Model Averaging," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 67(5), pages 372-395, October.

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