Foreign currency loan conversions and currency mismatches

被引：1

作者：

Fischer, Andreas M. ^{[1
,2
]}

Yesin, Pinar ^{[3
]}

机构：

[1] Univ Carlo Cattaneo LIUC, Corso Matteotti 22, I-21053 Castellenza, VA, Italy

[2] CEPR, Ist Econ, Corso Matteotti 22, I-21053 Castellenza, VA, Italy

[3] Swiss Natl Bank, Boersenstr 15, CH-8022 Zurich, Switzerland

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2022年 / 122卷

关键词：

Loan conversion programs; Emerging markets; Currency mismatch; SYSTEMIC RISK; TRANSMISSION; HOUSEHOLDS; BANKING; POLICY; RATES;

D O I：

10.1016/j.jimonfin.2021.102499

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper examines the effect of currency conversion programs from Swiss franc denominated loans to other currency loans on currency risk for banks in Central and Eastern Europe (CEE). Swiss franc mortgage loans proliferated in CEE countries prior to the financial crisis and contributed to the volume of non-performing loans as the Swiss franc strongly appreciated during the post-crisis period. Empirical findings suggest that Swiss franc loan conversion programs reduced currency mismatches in Swiss francs but increased currency mismatches in other foreign currencies in individual countries. This asymmetric effect of conversion programs arises from the loan restructuring from Swiss francs to a non-local currency and the existing high level of euro mismatches in the CEE banking system.(c) 2021 Elsevier Ltd. All rights reserved.

引用

页数：14

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