scholarly journals Skutki przewalutowania kredytów denominowanych we franku szwajcarskim na Węgrzech

Ekonomia ◽  
2018 ◽  
Vol 24 (1) ◽  
pp. 137-149
Author(s):  
Beata Sieńko-Kowalska
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Foreign Currency ◽  
Swiss Franc ◽  
Domestic Currency ◽  
Mortgage Loans ◽  
The Subject ◽  
The Exchange Rate ◽  
Currency Conversion

The effects of currency conversion in Swiss francs in HungarySubsequent legislative actions were taken in Hungary in 2010–2015 in order to successively eliminate denominated in foreign currency loans from the market and thus gradually contribute to a reduction in the indebtedness of Hungarians resulting from the mortgage loans in Swiss francs and other currencies drawn in masses during the recent years. The Hungarian legislators gradually, through prohibiting the banks to employ practices unfavorable for the customers currency spreads, unilateral increase in interest rates on loans arrived at the automatic conversion of denominated foreign currency loans to the domestic currency, i.e. the forint. The mechanism implemented in Hungary, consisting in automatic loan conversion at the current rate, was a compromise, as it encumbered not only the banks, but also the borrowers. The latter were held responsible for the increase in the exchange rate of the currency the Swiss franc, but they received compensation in the form of reimbursement of the amounts overpaid due to the unfavorable practices employed by the banks. Thus, the solution implemented in Hungary was to preserve the symmetry between the customers and the banks, since the mechanism of automatic conversion at the current rate as such resulted in the customers have been owning more forints after the conversion than on the date of entering into the loan agreement with the bank. As a result, the first effects of the conversion were fairly neutralized, however the subject has certainly not been exhausted.

scholarly journals Financial dollarization: Trojan horse for Ukraine?

Ekonomika ◽  
2015 ◽  
Vol 94 (3) ◽  
pp. 21-45
Author(s):  
Nataliia Versal ◽  
Andriy Stavytskyy
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Foreign Currency ◽  
Banking System ◽  
Inflation Expectations ◽  
Domestic Currency ◽  
Currency Exchange ◽  
Bank Deposits ◽  
The Exchange Rate ◽  
Financial Dollarization

The paper revisits the causes and consequences of financial dollarization in Ukraine during the past decade (monthly data). Dollarization in emerging markets plays a dual role: positive and negative. This study of financial dollarization is in the context of resident household holdings of foreign currency-denominated bank deposits and loans. If exchange rates are stable, deposit dollarization allows the withdrawal of money from the shadow economy, and loan dollarization allows the lending of long-term money, which is not possible with domestic currency due to inflation expectations. At the same time, the instability and lack of supply of foreign currencies in the market result in the collapse of household and bank finances, leading to currency risk, credit risk, and liquidity risk. Therefore, the study uses estimate indicators, the deposit dollarization index (DDI), household foreign currency deposits and loans, loan to deposit ratio (LTD), and inflation to find out the tendencies in the context of a changing domestic currency exchange rate. We present three models to reveal the influence of financial dollarization on banking stability. The first one explains the real value of domestic currency deposits through indicators such as M2 (positive), exchange rate (negative), domestic currency deposits (positive), and panic effects (negative). The second one describes the influence of the exchange rate (negative) and panic effects (negative) on foreign currency deposits. The third one explains the DDI through such the exchange rate, M2, and interest rates. The combined models provide an insight about the time necessary to stabilize the Ukrainian banking system.

scholarly journals Foreign Currency Loans and Stability of the Banking System in Poland

2018 ◽  
Vol 25 (3) ◽  
pp. 67-82 ◽  
Author(s):  
Grażyna A. Olszewska
Keyword(s):  
Exchange Rate ◽  
Banking Sector ◽  
Foreign Currency ◽  
Market Competition ◽  
Banking System ◽  
Mortgage Lending ◽  
Mortgage Loan ◽  
Swiss Franc ◽  
Mortgage Loans ◽  
The Stability

The aim of the study was to answer the question whether and to what extent foreign currency loans may pose a threat to the stability of the banking system in Poland. The reason for exploring this problem is the situation in which Swiss franc mortgage loan parties found themselves. The problem concerned not only Poland, but also appeared in Hungary, Spain and Ukraine. The aforementioned countries have adopted various strategies in order to solve this issue. Currently, there is a discussion in Poland over the form of solution to the situation in which the Swiss franc debtors have found themselves. This article presents the following hypotheses: (1) The credit policy of banks, which includes mortgage lending in Swiss francs, was a typical action in terms of risk management which in this case was two-way in nature. In addition, banks did not have the opportunity to significantly impose its policies on customers, as evidenced by the degree of market development and market competition. (2) Conversion of mortgage loans according to the CHF historic exchange rate can affect the stability of the banking system. The article presents the main types and sources of bank risks with particular emphasis on credit risk and foreign exchange risk. In addition, the paper shows the importance of this kind of risk in the context of the systemic stability of the banking sector in a situation of exchange rate stability disturbances. Verification of the research hypothesis was based on literature studies and analysis of statistical data.

Features of payments in foreign currency in budgetary institutions

2020 ◽  
pp. 19-28
Author(s):  
Larisa Gerasimova
Keyword(s):  
Exchange Rate ◽  
Foreign Currency ◽  
Fair Value ◽  
Budgetary Institutions ◽  
The Exchange Rate ◽  
Monetary Assets ◽  
Made In

The article discusses the procedure for accounting for objects in a foreign currency. It is shown that foreign currency assets, liabilities, and other items are recorded simultaneously in foreign currency and in rubles. Analyzed the accounting treatment of exchange rate differences, it is shown that their records depend on the period. Examples of currency monetary and non-monetary accounting items and the specifics of their reflection in accounting transactions are given. Monetary assets and liabilities are recorded at the exchange rate at the date of recognition. The option of recognition at the reporting date is possible. Non-monetary assets and liabilities are recognized at the date of recognition and are no longer restated. An example of accounting for non-monetary assets accepted by an institution at fair value as an exception to their rules is given. The article reflects that the revaluation of such assets at the new exchange rate is made in cases when the fair value of the object changes. It shows the mechanisms for accounting for the return of advances in foreign currency and options when such debt is recalculated or not recalculated after being accepted for accounting.

scholarly journals A Theory of Foreign Exchange Interventions

2021 ◽  
Author(s):  
Sebastián Fanelli ◽  
Ludwig Straub
Keyword(s):  
Exchange Rate ◽  
Central Bank ◽  
Interest Rates ◽  
Open Economy ◽  
Small Open Economy ◽  
Bond Markets ◽  
Pecuniary Externality ◽  
Optimal Intervention ◽  
The Exchange Rate ◽  
Intervention Policy

Abstract We study a real small open economy with two key ingredients (1) partial segmentation of home and foreign bond markets and (2) a pecuniary externality that makes the real exchange rate excessively volatile in response to capital flows. Partial segmentation implies that, by intervening in the bond markets, the central bank can affect the exchange rate and the spread between home- and foreign-bond yields. Such interventions allow the central bank to address the pecuniary externality, but they are also costly, as foreigners make carry trade profits. We analytically characterize the optimal intervention policy that solves this trade-off: (1) the optimal policy leans against the wind, stabilizing the exchange rate; (2) it involves smooth spreads but allows exchange rates to jump; (3) it partly relies on “forward guidance,” with non-zero interventions even after the shock has subsided; (4) it requires credibility, in that central banks do not intervene without commitment. Finally, we shed light on the global consequences of widespread interventions, using a multi-country extension of our model. We find that, left to themselves, countries over-accumulate reserves, reducing welfare and leading to inefficiently low world interest rates.

Pricing currency options in the Heston/CIR double exponential jump-diffusion model

2017 ◽  
Vol 04 (01) ◽  
pp. 1750013 ◽  
Author(s):  
Rehez Ahlip ◽  
Laurence A. F. Park ◽  
Ante Prodan
Keyword(s):  
Exchange Rate ◽  
Interest Rates ◽  
Analytical Formula ◽  
Jump Diffusion ◽  
Stochastic Volatility Model ◽  
Currency Options ◽  
Volatility Model ◽  
Double Exponential ◽  
Jump Diffusion Model ◽  
The Exchange Rate

We examine currency options in the double exponential jump-diffusion version of the Heston stochastic volatility model for the exchange rate. We assume, in addition, that the domestic and foreign stochastic interest rates are governed by the CIR dynamics. The instantaneous volatility is correlated with the dynamics of the exchange rate return, whereas the domestic and foreign short-term rates are assumed to be independent of the dynamics of the exchange rate and its volatility. The main result furnishes a semi-analytical formula for the price of the European currency call option in the hybrid foreign exchange/interest rates model.

scholarly journals Remittances and exchange rate - Empirical evidence from emerging economies

2016 ◽  
Vol 19 (1) ◽  
pp. 39-51
Author(s):  
Canh Phuc Nguyen
Keyword(s):  
Exchange Rate ◽  
Panel Data ◽  
Emerging Markets ◽  
Interest Rates ◽  
Emerging Economies ◽  
Global Financial Crisis ◽  
Balance Of Payments ◽  
The Exchange Rate ◽  
Remittance Flows ◽  
Macroeconomic Risks

The exchange rate plays an important role to trade, investment and macroeconomic risks of open economies. There are many factors that affect the exchange rate such as inflation, interest rates, balance of payments where remittance flows receive more and more attention of economists due to their increase in their values, particularly in emerging economies. This study uses data from 21 countries which are classified as emerging markets in the period between 2001 and 2013 to investigate the impacts of remittances on exchange rate. Through panel data estimations, we found that remittances increase the value of the local currencies, which is not altered by the 2008 global financial crisis.

scholarly journals Analysis of Effect Macro Variable on International Trade of Indonesia

2016 ◽  
Vol 6 (2) ◽  
pp. 228
Author(s):  
Evania Rahma Octavia ◽  
Dwi Wulandari
Keyword(s):  
International Trade ◽  
Exchange Rate ◽  
Interest Rates ◽  
Money Supply ◽  
Price Index ◽  
Time Series Data ◽  
Consumer Price Index ◽  
Series Data ◽  
The Exchange Rate ◽  
Macro Variables

This study aims to determine the effect of macro variables which include Indonesia's real gross domestic income, money supply, consumer price index and interest rates on international trade mediated by the exchange rate of rupiah against the dollar. This type of research is descriptive research with quantitative approach. Determination of the sample based on quarterly time series data 2010-2014. This study uses path analysis. The results showed domestic gross product, the money supply, and interest rates together  have a significant effect on the exchange rate but the consumer price index do not have significant effect on the exchange rate. The results also show that the exchange rate has no significant effect on imports and exports. 

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