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  1. Currency mismatches and vulnerability to exchange rate shocks
    nonfinancial firms in Colombia
    Author: Barajas, Adolfo; Restrepo Ochoa, Sergio Iván; Steiner, Roberto; Medellín, Juan Camilo; Pabón, César
    Published: November 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    After building up foreign currency denominated (FC) liabilities over several years, Colombian firms might be vulnerable to a shift in external conditions. We undertake three empirical exercises to better understand these vulnerabilities. First, we... more

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    After building up foreign currency denominated (FC) liabilities over several years, Colombian firms might be vulnerable to a shift in external conditions. We undertake three empirical exercises to better understand these vulnerabilities. First, we identify the determinants of FC borrowing. Second, we investigate the implications for real activity, finding a balance sheet effect that transmits exchange rate fluctuations to investment and is asymmetric, much stronger for depreciations than for appreciations. Finally, we find that foreign exchange derivatives are not used solely for hedging, due in part to monetary authority intervention to smooth exchange rate volatility. However, a full explanation remains open for future research

     
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  2. A generalized framework for the assessment of household financial vulnerability
    Author: Leika, Mindaugas; Marchettini, Daniela
    Published: November 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Household financial fragility has received considerable attention following the global financial crisis, but substantial gaps remain in the analytical underpinnings of household financial vulnerability assessment, as well as in data availability.... more

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    Household financial fragility has received considerable attention following the global financial crisis, but substantial gaps remain in the analytical underpinnings of household financial vulnerability assessment, as well as in data availability. This paper aims at integrating the contributions in the literature in a coherent fashion. The study proposes also analytical and estimation extensions aimed at improving the quality of estimates and allowing the assessment of household financial vulnerability in presence of data limitations. The result of this effort is a comprehensive framework, that has wide applicability to both advanced and developing economies. For illustrative purposes the paper includes a detailed application to one developing country (Namibia)

     
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  3. Luxembourg
    financial sector assessment program : detailed assessment of observance : assessment of observance of the CPSS-IOSCO principles for financial market infrastructures : clearstream banking luxembourg
    Published: August 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This report assesses the risk management practices of Clearstream Banking Luxembourg (CBL) based on the Committee on Payment and Settlement Systems-International Organization of Securities Commissions (CPSS-IOSCO) Principles for Financial Market... more

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    This report assesses the risk management practices of Clearstream Banking Luxembourg (CBL) based on the Committee on Payment and Settlement Systems-International Organization of Securities Commissions (CPSS-IOSCO) Principles for Financial Market Infrastructures. The findings reveal that a range of principles are in broad observance. A key priority is to reduce CBL dependence on commercial banks in its daily operations. There is significant dependence on a limited number of depository and cash correspondent banks, in particular for the US and UK markets. This dependence could be actively mitigated through an increase in the number of contracted banks or, where possible, the establishment of direct links with local central securities depositories and central banks

     
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  4. Luxembourg
    financial sector assessment program : technical note : fund management: regulation, supervision, and systemic risk monitoring
    Published: August 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations made in the 2017 Financial Sector Assessment Program for Luxembourg in areas of regulation, supervision, and systemic risk monitoring of fund management. Certain structural elements of... more

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    This Technical Note discusses the findings and recommendations made in the 2017 Financial Sector Assessment Program for Luxembourg in areas of regulation, supervision, and systemic risk monitoring of fund management. Certain structural elements of the Luxembourg fund management industry, particularly the extensive use of delegation and concentration of fund directorships, merit increased supervisory analysis and attention beyond the current activities. The Luxembourg framework for liquidity management tools compares favorably with its peers at both the EU and international level. Information on leverage of funds is of potential relevance from a systemic risk perspective. The Luxembourg authorities have also been actively monitoring and contributing to discussions on the EU money market funds regulation

     
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  5. Luxembourg
    financial sector assessment program : technical note : macroprudential framework and policies
    Published: August 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations made in the 2017 Financial Sector Assessment Program for Luxembourg in areas of macroprudential framework and policies. Luxembourg has a large financial system that contributes a... more

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    This Technical Note discusses the findings and recommendations made in the 2017 Financial Sector Assessment Program for Luxembourg in areas of macroprudential framework and policies. Luxembourg has a large financial system that contributes a significant share of GDP and is globally interconnected. The institutional arrangement is broadly appropriate for effective macroprudential policy, but some areas should be strengthened. The monitoring and analysis of systemic risks by the Banque Centrale du Luxembourg is appropriate and performed on a timely basis. The authorities are encouraged to continue to increase efforts to monitor risks related to the investment fund industry

     
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  6. Luxembourg
    financial sector assessment program : technical note : risk analysis
    Published: August 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note reviews the stability of Luxembourg's financial system. The financial soundness indicators for Luxembourg's financial system, which plays a key role in the intermediation of financial capital, have remained relatively robust in... more

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    This Technical Note reviews the stability of Luxembourg's financial system. The financial soundness indicators for Luxembourg's financial system, which plays a key role in the intermediation of financial capital, have remained relatively robust in recent years. Household stress test results suggest that households' solvency would be significantly affected by a drop in income and housing prices and a rise in unemployment. Bank liquidity displays broad resilience, but would be weakened should wholesale funding dry up or funding stress emerge in foreign currencies. Banks were found to be less vulnerable to direct contagion risk through bilateral exposure; however, most banks have considerable cross-border exposure

     
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  7. Luxembourg
    financial sector assessment program : technical note : selected issues in banking supervision
    Published: August 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note examines aspects of the banking supervision regime in Luxembourg. Significant progress has been made in relation to the recommendations made in the 2011 Financial Sector Assessment Program. The Finance Ministry is no longer... more

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    This Technical Note examines aspects of the banking supervision regime in Luxembourg. Significant progress has been made in relation to the recommendations made in the 2011 Financial Sector Assessment Program. The Finance Ministry is no longer responsible for the granting or revocation of banking licenses, the Commission for the Supervision of the Financial Sector (CSSF) is no longer charged with promoting industry, resources have increased substantially, and there has been a significant increase in the implementation of sanctioning powers. There still exists potential for government or industry interference in the operational independence of the CSSF. The frequency of on-site inspections of Luxembourg subsidiaries of significant institutions is also on the low side

     
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  8. Japan
    financial sector assessment program : detailed assessment of observance on basel core principles for effective banking supervision
    Published: September 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This report assesses the observance of Basel Core Principles for Effective Banking Supervision in Japan. Banking regulations and supervisory processes have undergone significant improvements since the last Financial Sector Assessment Program. The... more

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    This report assesses the observance of Basel Core Principles for Effective Banking Supervision in Japan. Banking regulations and supervisory processes have undergone significant improvements since the last Financial Sector Assessment Program. The Japan Financial Services Agency is in the process of reforming its supervisory practices and has been shifting its focus from assessing compliance with prudential requirements to a more sophisticated and forward-looking risk-based approach to supervising banks and bank holding companies. Although the supervisory framework is generally sound, some key priority areas need to be addressed. Corporate governance and risk management remains an area that needs further work to strengthen independence of boards

     
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  9. Japan
    financial sector assessment program : technical note : systemic risk analysis and stress testing the financial sector
    Published: September 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the results of stress testing of the financial sector in Japan. The Japanese financial system appears generally resilient to short-term risks, but pockets of vulnerability exist. Overall, banks appear to have sufficient... more

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    This Technical Note discusses the results of stress testing of the financial sector in Japan. The Japanese financial system appears generally resilient to short-term risks, but pockets of vulnerability exist. Overall, banks appear to have sufficient capital and liquidity buffers to cope with a scenario of severe recession owing to disruptions in global trade, and accompanied by a sharp increase in interest rates and risk premiums, and a decline in equity prices. Spillovers within the system also appear to be limited. At the same time, resilience is not equal among all institutions included in the analysis. Some life insurance companies and regional banks may need to strengthen their capital buffers

     
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  10. Sweden
    financial sector assessment program : technical note : banking regulation and supervision
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note evaluates banking regulation and supervision in Sweden. The Finansinspektionen (Financial Supervisory Authority, FI) has made considerable progress developing supervisory approaches and techniques, particularly structured risk... more

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    This Technical Note evaluates banking regulation and supervision in Sweden. The Finansinspektionen (Financial Supervisory Authority, FI) has made considerable progress developing supervisory approaches and techniques, particularly structured risk assessments for the four large banking groups. Concerns raised in the 2011 Financial Stability Assessment Program regarding insufficient granularity and frequency of reporting by supervised institutions has been addressed, starting in the third quarter of 2014. The FI has also implemented a new system for management of banking and insurance supervisory data. The IMF staff expressed satisfaction with the system's functionality and flexibility to produce custom reports. The work to put in place a standardized set of internal screening and analytical reports, however, is ongoing

     
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  11. Sweden
    financial sector assessment program : technical note : stress testing
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note explains the stress testing approach of the 2016 Financial Sector Assessment Program in assessment of risk in the Swedish financial sector and provides the results of the tests. Stress tests covered three major segments of the... more

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    This Technical Note explains the stress testing approach of the 2016 Financial Sector Assessment Program in assessment of risk in the Swedish financial sector and provides the results of the tests. Stress tests covered three major segments of the domestic financial sector. The resilience of the Swedish banking system was tested against solvency, liquidity, and contagion risks. The solvency stress test suggests that banks would be resilient to severe economic distress. Bank liquidity stress tests suggest that banks could withstand severe funding and market liquidity shocks, but there are pockets of vulnerability. The overall stress testing exercise suggests that there is room for improvement in the individual components of authorities' stress testing framework

     
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  12. Sweden
    financial sector assessment program : technical note : supervision and oversight of financial market infrastructures
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations made in the Financial Sector Assessment Program for Sweden in the areas of supervision and oversight of financial market infrastructures (FMIs). FMIs in Sweden are subject to appropriate... more

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    This Technical Note discusses the findings and recommendations made in the Financial Sector Assessment Program for Sweden in the areas of supervision and oversight of financial market infrastructures (FMIs). FMIs in Sweden are subject to appropriate and effective supervision and oversight by the Finansinspektionen (Financial Supervisory Authority, FI) and Sveriges Riksbank (Riksbank). The scope, basis, and objectives of each authority's supervision and oversight are clearly defined and disclosed. There is evidence that the authorities' supervision and oversight have effectively improved risk management practices at Swedish FMIs. There is also effective cooperation between the FI and Riksbank in the supervision and oversight of FMIs. The risk management at Nasdaq Clearing appears to be sound

     
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  13. Sweden
    financial sector assessment program : technical note : systemic risk oversight framework and management
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations made in the Financial Sector Assessment Program for Sweden in the areas of the systemic risk oversight framework and management. To promote accountability, the law should clarify the... more

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    This Technical Note discusses the findings and recommendations made in the Financial Sector Assessment Program for Sweden in the areas of the systemic risk oversight framework and management. To promote accountability, the law should clarify the allocation of macroprudential powers between the government and the Finansinspektionen (Financial Supervisory Authority, FI) and grant the FI a clear legal mandate for macroprudential policy, with full operational independence. The Financial Stability Council, or a similar body-excluding the Ministry of Finance-should have the legal authority to issue recommendations, preferably with a 'comply or explain' approach. The law should also ensure that the Sveriges Riksbank's expertise in financial stability analysis finds a clear institutional role in the oversight of systemic risk

     
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  14. Spain
    financial system stability assessment
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This paper assesses the stability of the Spanish financial system as a whole. Spain's banking system has been steadily progressing since the last Financial System Assessment Program. The authorities have made a significant reform effort. Together... more

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    This paper assesses the stability of the Spanish financial system as a whole. Spain's banking system has been steadily progressing since the last Financial System Assessment Program. The authorities have made a significant reform effort. Together with the economic recovery, and support by the European Central Bank's accommodative policies, the banking system has strengthened its solvency and advanced in reducing nonperforming loans. It is critical to keep the reform process moving and to build on the advances made during 2012-16. Completing the restructuring of bank balance sheets is a priority. Enhanced monitoring and supervisory attention to interest rate and liquidity risks are also merited

     
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  15. Montenegro
    technical assistance report : macroprudential policy framework
    Published: October 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Assistance Report discusses technical advice and recommendations given by the IMF mission to the authorities of Montenegro regarding establishment of a macroprudential policy framework. The macroprudential policy mandate should rest... more

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    This Technical Assistance Report discusses technical advice and recommendations given by the IMF mission to the authorities of Montenegro regarding establishment of a macroprudential policy framework. The macroprudential policy mandate should rest with the Central Bank of Montenegro, with enhanced accountability, given its financial stability mandate and systemic risk analytical capacity. The mandate should be explicitly spelled out in a single published document that sets out a policy framework with clear objectives and specific indicators and instruments. Accountability for macroprudential policy decisions should also be strengthened

     
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  16. Spain
    financial sector assessment program : technical note : institutional arrangements for financial sector oversight
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain regarding institutional arrangements for financial sector oversight. The macroprudential policy framework for banking is now in place,... more

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    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain regarding institutional arrangements for financial sector oversight. The macroprudential policy framework for banking is now in place, although the national macroprudential authority has not been established. Banco de Espana is the national designated authority for exercising certain macroprudential powers and, under the Banking Union, shares macroprudential oversight with the European Central Bank, which possesses 'top-up' powers. It is recommended that the macroprudential toolkit be expanded, particularly to include more effective tools to deal with risks associated with real estate exposures. Monitoring of system-wide trends also needs to be conducted with a greater focus on risks and macro-financial perspectives

     
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  17. Spain
    financial sector assessment program : technical note : insurance sector supervision and regulation
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain in the areas of insurance sector supervision and regulation. The Spanish insurance market is complex owing to the presence of large... more

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    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain in the areas of insurance sector supervision and regulation. The Spanish insurance market is complex owing to the presence of large numbers of insurance groups. The supervisory culture in the Directorate General of Insurance and Pension Funds (DGSFP) appears to be reactive or compliance focused. The supervisory focus should shift toward qualitative as well as quantitative review of the insurer's key methods and assumptions, including the proportionate verification of technical provisions and capital requirements. The DGSFP should also develop areas that are now relevant in the Solvency II framework, such as governance and risk management

     
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  18. Spain
    financial sector assessment program : technical note : stress testing banking system resilience
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the results of the stress testing of banking system resilience in Spain. The results indicate that some banks may have difficulty enduring additional pressures on their profitability. In addition, some banks are... more

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    This Technical Note discusses the results of the stress testing of banking system resilience in Spain. The results indicate that some banks may have difficulty enduring additional pressures on their profitability. In addition, some banks are vulnerable to market losses arising from a rapid increase in interest rates, given their significant exposures to fixed income securities. Near-term funding and liquidity risks seem limited, but funding challenges are likely to grow. Several banks are heavily reliant on central bank funding. Based on these findings, the authorities are encouraged to continue to monitor closely interest rate and government bond market risks in their stress testing exercises

     
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  19. Spain
    financial sector assessment program : technical note on supervision of Spanish banks : select issues
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program (FSAP) for Spain in the area of banking supervision. Banking regulation and supervision of Spanish banks have improved considerably since the... more

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    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program (FSAP) for Spain in the area of banking supervision. Banking regulation and supervision of Spanish banks have improved considerably since the 2012 FSAP. Swift and determined action addressed the major weaknesses that led to the accumulation of imbalances in the banking system in the period leading to the crisis. Further reforms are needed because the transformation of the banking supervision function is far from complete. Actions to address misclassification and underprovisioning of assets have shown very good progress, but oversight must continue

     
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  20. Spain
    financial sector assessment program : technical note : systemic risk oversight framework and macroprudential policy
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain in the areas of systemic risk oversight framework and macroprudential policy. Macroprudential oversight for banking is a shared... more

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    This Technical Note discusses the findings and recommendations in the Financial Sector Assessment Program for Spain in the areas of systemic risk oversight framework and macroprudential policy. Macroprudential oversight for banking is a shared responsibility between Banco de Espana (BdE) and the European Central Bank. The macroprudential policy stance appears broadly appropriate. BdE has put in place a framework for calibrating capital buffers. The countercyclical capital buffer is currently at zero given that a new financial cycle upturn has not started and a still-negative credit gap and weakly recovering housing prices. The existing macroprudential toolkit would benefit from expansion, particularly to include more effective tools to deal with risks associated with real estate exposures

     
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  21. Zambia
    financial sector assessment program : financial system stability assessment
    Published: November 2017
    Publisher:  International Monetary Fund, Washington, D.C.

    This paper discusses the findings of the assessment of the financial system in Zambia. Nonperforming loans have risen and private sector credit growth has turned negative, owing to the severe pressures of 2015-16. The pressures included slower... more

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    This paper discusses the findings of the assessment of the financial system in Zambia. Nonperforming loans have risen and private sector credit growth has turned negative, owing to the severe pressures of 2015-16. The pressures included slower economic growth, sharply lower copper prices, electricity shortages, very tight monetary policy, and mounting fiscal arrears and severe fiscal funding pressures. Looking ahead, the financial system faces considerable risks, owing to high dependence on copper exports, rising public debt and funding pressures, and an uncertain monetary policy regime. A sharper-than-expected global slowdown may lead to copper price declines and additional pressures on government finance and the exchange rate. A lack of fiscal adjustment may worsen government payments arrears, further impacting asset quality

     
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  22. Belgium
    financial sector assessment program : technical note - stress testing the banking and insurance sectors and systemic risk analysis
    Published: March 2018
    Publisher:  International Monetary Fund, Washington, D.C.

    This Technical Note discusses the results of the stress testing of Belgium's banking and insurance sectors. Belgium's financial sector remains resilient in the face of the rising cyclical vulnerabilities, but there is a need for closely monitoring... more

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    This Technical Note discusses the results of the stress testing of Belgium's banking and insurance sectors. Belgium's financial sector remains resilient in the face of the rising cyclical vulnerabilities, but there is a need for closely monitoring risks. Stress tests on banks and insurance companies confirm that they can absorb credit, sovereign, and market losses in the event of a severe deterioration in macro-financial conditions. All banks meet minimum capital requirements and none needs to draw down its capital conservation buffer over the stress horizon. The risk of interbank contagion through direct exposures is low. Insurance companies are also generally resilient and losses incurred in the stress scenarios by those that belong to banking groups do not threaten the soundness of those groups

     
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  23. Welfare gains from market insurance
    the case of Mexican oil price risk
    Author: Ma, Chang; Valencia, Fabian
    Published: March 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by... more

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    Over the past two decades, Mexico has hedged oil price risk through the purchase of put options. We examine the resulting welfare gains using a standard sovereign default model calibrated to Mexican data. We show that hedging increases welfare by reducing income volatility and reducing risk spreads on sovereign debt. We find welfare gains equivalent to a permanent increase in consumption of 0.44 percent with 90 percent of these gains stemming from lower risk spreads

     
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  24. Shadow banking and market discipline on traditional banks
    Author: Ari, Anil; Darracq Pariès, Matthieu; Kok Sørensen, Christoffer; Żochowski, Dawid
    Published: December 2017
    Publisher:  International Monetary Fund, [Washington, D.C.]

    We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally... more

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    We present a model in which shadow banking arises endogenously and undermines market discipline on traditional banks. Depositors' ability to re-optimize in response to crises imposes market discipline on traditional banks: these banks optimally commit to a safe portfolio strategy to prevent early withdrawals. With costly commitment, shadow banking emerges as an alternative banking strategy that combines high risk-taking with early liquidation in times of crisis. We bring the model to bear on the 2008 financial crisis in the United States, during which shadow banks experienced a sudden dry-up of funding and liquidated their assets. We derive an equilibrium in which the shadow banking sector expands to a size where its liquidation causes a fire-sale and exposes traditional banks to liquidity risk. Higher deposit rates in compensation for liquidity risk also weaken threats of early withdrawal and traditional banks pursue risky portfolios that may leave them in default. Policy interventions aimed at making traditional banks safer such as liquidity support, bank regulation and deposit insurance fuel further expansion of shadow banking but have a net positive impact on financial stability. Financial stability can also be achieved with a tax on shadow bank profits

     
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  25. Carry trade vs. deposit-driven euroization
    Author: Geng, Nan; Scutaru, Tiberiu; Wiegand, Johannes
    Published: March 2018
    Publisher:  International Monetary Fund, [Washington, D.C.]

    Financial 'euroization'-or 'dollarization' outside of Central and Eastern Europe-is typically analyzed as a singular phenomenon that can be traced to a common set of factors. This paper argues that two types of euroization need to be distinguished,... more

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    Financial 'euroization'-or 'dollarization' outside of Central and Eastern Europe-is typically analyzed as a singular phenomenon that can be traced to a common set of factors. This paper argues that two types of euroization need to be distinguished, which have different causes, economic consequences, and policy implications: carry trade euroization that emerges when households and corporations seek to exploit interest rate differentials between foreign currency loans and local currency deposits, and deposit-driven euroization that is rooted in distrust in the local currency as a savings vehicle. We present a theoretical framework that sketches key features of both euroization types, and test it with data from 28 Emerging European and Central Asian economies

     
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