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

2017-01-20Dissertação de mestrado Acesso aberto
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datacite.subject.fosCiências Sociais::Economia e Gestãopt_PT
dc.contributor.advisorAndré, Rosário
dc.contributor.authorMerz, Nadja Christina
dc.date.accessioned2017-12-05T10:19:13Z
dc.date.available2018-01-20T01:30:27Z
dc.date.issued2017-01-20
dc.description.abstractThis 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.pt_PT
dc.identifier.tid201715902pt_PT
dc.identifier.urihttp://hdl.handle.net/10362/26190
dc.language.isoengpt_PT
dc.subjectCredit riskpt_PT
dc.subjectNon-performing loanspt_PT
dc.subjectCurrency mismatchpt_PT
dc.subjectExchange ratept_PT
dc.subjectExchange rate volatilitypt_PT
dc.subjectDynamic panel estimationpt_PT
dc.titleThe impact of foreign currency debt on credit risk; analyzing exchange rate risk in international credit marketspt_PT
dc.typemaster thesis
dspace.entity.typePublication
rcaap.rightsembargoedAccesspt_PT
rcaap.typemasterThesispt_PT
thesis.degree.nameA Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economicspt_PT

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