Currency Mismatch: New Database and Indicators for Latin America and the Caribbean

Produced by: 
CEMLA
Available from: 
November 2013
Paper author(s): 
Martín Tobal (Centro de Estudios Monetarios Latinoamericanos)
Topic: 
Financial Economics
Year: 
2013

I construct a database on currency mismatch in the private banking sector that offers several advantages over existing data sources. The data are broken down by currency and, therefore, are better suited for calculating currency mismatches than the data based on the residence principle that are used in the literature. The data are comparable at the highest possible level across countries because the collection process is based on accounting manuals. The database is suitable for policy analysis and cross-country comparative studies since the data are collected quarterly, cover a wide range of economies and yield straight-forward measures of the success in implementing prudential policies. Employing the two indicators that I constructed, I show that the degree of currency mismatch differs across exchange rate regimes and is lower in countries that follow de-dollarization policies. I also demonstrate that the banking sector took short foreign currency positions in Latin America and the Caribbean for the first time in two decades beginning in the late 2000s.

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