André, RosárioMerz, Nadja Christina2017-12-052018-01-202017-01-20http://hdl.handle.net/10362/26190This 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.engCredit riskNon-performing loansCurrency mismatchExchange rateExchange rate volatilityDynamic panel estimationmaster thesis201715902