Język Polski
English
Published
:
2011-04-30
Foreign Exchange Fluctuations versus Security of Banks
Artur Stefański
Emilia Stola
Abstract
The aim of this paper is an attempt to estimate and evaluate the relationship between the security of commercial banks and fluctuations of the world's basic foreign exchange rates. The undertaken study will make it possible to verify whether there is a statistical dependence between the solvency rate reflecting a bank's security level alongside the share of irregular debts/receivables in the volume of foreign currency loans and exchange fluctuations. The analysis encompassed one of the commercial banks operating in the Polish banking sector. The author has used monthly data comprising a 18-month period starting at December 2007 ending at June 2009. On the basis of the study we can observe that there is a strong, almost linear, correlation between the level of irregular foreign currency loans and foreign exchange rates. Thus we can state that alongside an increase in the euro and dollar exchange rate there is a growing amount of loans outstanding around three months. In case of the solvency rate variable we could observe a strong statistical negative correlation with reference to the euro and dollar with a 6-month delay. Thus an increase in exchange rates brings about a decrease in the above-mentioned bank's solvency rate with a 6-month delay and vice versa. (original abstract)Keywords:
Exchange rates, Exchange rate instability, Banking sector, Currency creditMost read articles by the same author(s)
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Stefański, A., & Stola, E. (2011). Foreign Exchange Fluctuations versus Security of Banks. Zeszyty Naukowe Wyższej Szkoły Bankowej W Poznaniu, 33(33). Retrieved from https://journals.wsb.poznan.pl/index.php/znwsb/article/view/1496