Format:
Online-Ressource
,
graph. Darst.
Edition:
Online-Ausg. 2013 Electronic reproduction; Available via World Wide Web
ISBN:
9781475565171
Series Statement:
IMF working paper 12/268
Content:
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.
Note:
"November 2012" -- verso of t.p
,
At head of title: Asia and Pacific Department -- verso of t.p
,
Includes bibliographical references
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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
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7. Daily Exchange Rate Variation During Appreciating and Depreciating Spells2. Were There Expectations of a Trend Currency Appreciation?; 8. Global Turnover as % of GDP by Currency; 9. Bid-ask Spreads, Its Volatility, and FX Spot Turnover; IV. What has Changed Since?; 10. Composition of Foreign Investors in Korean Bonds; V. Has the FX Volatility Become Less Responsive to Global Shocks?; 11. Bank CDS Spreads; 4. Determinants of the Exchange Rate Volatility; VI. Policy Implications; 12. Korea: Exchange Rate Volatility and VIX; Annex; References
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Electronic reproduction; Available via World Wide Web
,
Systemvoraussetzungen: Acrobat Reader.
Additional Edition:
9781475565171
Additional Edition:
Erscheint auch als Druck-Ausgabe FX Funding Risks and Exchange Rate Volatility?Korea's Case
Language:
English
Keywords:
Arbeitspapier
;
Graue Literatur
URL:
Volltext
(lizenzpflichtig)
