The impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit markets
Main Author: | |
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Publication Date: | 2017 |
Format: | Master thesis |
Language: | eng |
Source: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Download full: | http://hdl.handle.net/10362/26190 |
Summary: | 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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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 |
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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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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1777302952801730561 |