DP8250 A New Index of Currency Mismatch and Systemic Risk
[size=-1]R Rancière, A Tornell… - 2011 - cepr.org
This paper constructs a new measure of currency mismatch in the banking sector that controls
for bank lending to unhedged borrowers. This measure explicitly takes into account the indirect
exchange rate risk that banks undertake when they lend to borrowers that will not be able ...
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