Banks' foreign currency revaluations and liquidity creation

IF 4.4 2区经济学 Q1 BUSINESS, FINANCE

Emerging Markets Review Pub Date : 2026-03-01 Epub Date: 2025-12-09 DOI:10.1016/j.ememar.2025.101427

Vladimir Sokolov , Aleksei Gorodilov

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Abstract

We examine the relationship between net revaluations of foreign currency-denominated assets and liabilities and banks' liquidity creation. Our findings reveal a significant effect on FX-USD liquidity creation: revaluations enhance liquidity creation on the asset side but diminish it on the liability side, leading to a total neutral effect. Subsample analysis reveals that banks with positive FX mismatches face liquidity destruction in FX-USD liabilities during exchange rate shocks, whereas negatively FX-mismatched banks use these shocks to extend long-term FX loans, balancing total liquidity creation. For accounts denominated in the domestic currency, no significant effects of net revaluations are observed for liquidity creation on the full sample. For positively FX-mismatched banks net revaluations enhance total liquidity creation, while for negatively FX-mismatched banks reduce it, resulting in an overall neutral outcome for domestic currency liquidity creation. Furthermore, regulatory capital moderates the impact of revaluations on liquidity creation through the financial fragility mechanism. These results underscore the complex interplay of currency risks, balance sheet FX mismatches, and regulatory dynamics in influencing liquidity creation in emerging markets.

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银行的外汇重估和流动性创造

我们研究了外币计价资产和负债的净重估与银行流动性创造之间的关系。我们的研究结果揭示了对外汇-美元流动性创造的显著影响：重估增强了资产方面的流动性创造，但减少了负债方面的流动性创造，导致总体中性效应。子样本分析显示，在汇率冲击期间，外汇正错配的银行面临外汇-美元负债的流动性破坏，而外汇负错配的银行利用这些冲击延长长期外汇贷款，平衡总流动性创造。对于以本币计价的账户，在整个样本中没有观察到净重估对流动性创造的显著影响。对于正向外汇错配的银行，净重估提高了总流动性创造，而对于负向外汇错配的银行，净重估减少了总流动性创造，导致国内货币流动性创造的总体中性结果。此外，监管资本通过金融脆弱性机制缓和了货币重估对流动性创造的影响。这些结果强调了货币风险、资产负债表外汇错配和监管动态在影响新兴市场流动性创造方面的复杂相互作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Emerging Markets Review Multiple-

CiteScore

7.10

自引率

4.20%

发文量

审稿时长

100 days

期刊介绍： The intent of the editors is to consolidate Emerging Markets Review as the premier vehicle for publishing high impact empirical and theoretical studies in emerging markets finance. Preference will be given to comparative studies that take global and regional perspectives, detailed single country studies that address critical policy issues and have significant global and regional implications, and papers that address the interactions of national and international financial architecture. We especially welcome papers that take institutional as well as financial perspectives.