Exchange rate shocks in multicurrency interbank markets
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DOI: 10.1016/j.jfs.2021.100888
Abstract: Abstract We simulate the impact on the nonbank liabilities of banks in a multiplex interbank environment arising from changes in currency exposure. Currency shocks as a source of financial contagion in the banking sector have… read more here.
Keywords: multicurrency interbank; currency; rate shocks; exchange rate ... See more keywords