The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets

Detalhes bibliográficos
Autor(a) principal: Merz, Nadja Christina
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/26190
Resumo: This paper identifies the role of exchange rate movements as well as exchange rate volatility as determinants of non-performing loans (NPLs) using panel data across 62 countries from 2000 to 2014. Dynamic panel data estimations suggest that a depreciation of the domestic currency has a negative effect on NPLs: The results indicate that negative balance sheet effects generally outweigh gains in competitiveness in international markets. Exchange rate volatility, as a measure of uncertainty towards exchange rate movements, has a statistically significant and strong impact on default ratios. The estimation technique accounts for possible concerns of endogeneity, reverse causality and omitted variable bias. The results are robust to various specifications and a subsample of emerging markets only.
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spelling The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit marketsCredit riskNon-performing loansCurrency mismatchExchange rateExchange rate volatilityDynamic panel estimationDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis paper identifies the role of exchange rate movements as well as exchange rate volatility as determinants of non-performing loans (NPLs) using panel data across 62 countries from 2000 to 2014. Dynamic panel data estimations suggest that a depreciation of the domestic currency has a negative effect on NPLs: The results indicate that negative balance sheet effects generally outweigh gains in competitiveness in international markets. Exchange rate volatility, as a measure of uncertainty towards exchange rate movements, has a statistically significant and strong impact on default ratios. The estimation technique accounts for possible concerns of endogeneity, reverse causality and omitted variable bias. The results are robust to various specifications and a subsample of emerging markets only.André, RosárioRUNMerz, Nadja Christina2018-01-20T01:30:27Z2017-01-202017-01-20T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfapplication/pdfhttp://hdl.handle.net/10362/26190TID:201715902enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-10T15:41:12ZPortal AgregadorONG
dc.title.none.fl_str_mv The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
title The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
spellingShingle The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
Merz, Nadja Christina
Credit risk
Non-performing loans
Currency mismatch
Exchange rate
Exchange rate volatility
Dynamic panel estimation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
title_full The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
title_fullStr The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
title_full_unstemmed The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
title_sort The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
author Merz, Nadja Christina
author_facet Merz, Nadja Christina
author_role author
dc.contributor.none.fl_str_mv André, Rosário
RUN
dc.contributor.author.fl_str_mv Merz, Nadja Christina
dc.subject.por.fl_str_mv Credit risk
Non-performing loans
Currency mismatch
Exchange rate
Exchange rate volatility
Dynamic panel estimation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Credit risk
Non-performing loans
Currency mismatch
Exchange rate
Exchange rate volatility
Dynamic panel estimation
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description This paper identifies the role of exchange rate movements as well as exchange rate volatility as determinants of non-performing loans (NPLs) using panel data across 62 countries from 2000 to 2014. Dynamic panel data estimations suggest that a depreciation of the domestic currency has a negative effect on NPLs: The results indicate that negative balance sheet effects generally outweigh gains in competitiveness in international markets. Exchange rate volatility, as a measure of uncertainty towards exchange rate movements, has a statistically significant and strong impact on default ratios. The estimation technique accounts for possible concerns of endogeneity, reverse causality and omitted variable bias. The results are robust to various specifications and a subsample of emerging markets only.
publishDate 2017
dc.date.none.fl_str_mv 2017-01-20
2017-01-20T00:00:00Z
2018-01-20T01:30:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/26190
TID:201715902
url http://hdl.handle.net/10362/26190
identifier_str_mv TID:201715902
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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