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008181116s2018    onc    #ot   f|0| 0 eng  
040 |aCaOODSP|beng
041 |aeng|bfre
043 |an-cn---
0861 |aFB3-5/2018-55E-PDF
24500|aMacroprudential FX regulations |h[electronic resource] : |bshifting the snowbanks of FX vulnerability? / |cby Toni Ahnert ... [et al.].
260 |a[Ottawa] : |bBank of Canada, |c2018.
300 |aiv, 59 p.
4901 |aBank of Canada staff working paper, |x1701-9397 ; |v2018-55
500 |a"November 2018."
504 |aIncludes bibliographic references.
520 |a"Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions. We confirm these predictions using a rich data set of macroprudential FX regulations. These empirical tests show that FX regulations (1) are effective in terms of reducing borrowing in foreign currency by banks; (2) have the unintended consequence of simultaneously causing firms to increase FX debt issuance; (3) reduce the sensitivity of banks to exchange rate movements; but (4) are less effective at reducing the sensitivity of corporates and the broader financial market to exchange rate movements. As a result, FX regulations on banks appear to be successful in mitigating the vulnerability of banks to exchange rate movements and the global financial cycle, but partially shift the snowbank of FX vulnerability to other sectors"--Abstract, p. ii.
546 |aIncludes abstract in French.
69207|2gccst|aInternational markets
69207|2gccst|aCurrency
7001 |aAhnert, Toni.
7102 |aBank of Canada.
830#0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2018-55|w(CaOODSP)9.806221
85640|qPDF|s943 KB|uhttps://publications.gc.ca/collections/collection_2018/banque-bank-canada/FB3-5-2018-55-eng.pdf