文档介绍：ch01_6012_IIE 04/01/04 9:17 AM Page 1
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Introduction
In financial markets today, sovereigns, banks, nonfinancial firms, and
households make and receive payments not only in domestic but also in
foreign currency. Similarly, the position of their assets and
liabilities may differ. When an entity’ worth e (or both)
is sensitive to changes in the exchange rate, it is called a “currency mis-
match.”1 The “stock” aspect of a currency mismatch is given by the sensi-
tivity of the balance sheet (net worth) to changes in the exchange rate, and
the “flow” aspect is given by the sensitivity of the e statement (net
e) to changes in the exchange rate. The greater the degree of sensi-
tivity ( e) to exchange rate changes, the greater the
extent of the currency mismatch.
Suppose an individual raises a mortgage to buy an apartment in
London and then rents it out. Suppose also that he borrows in dollars
instead of pounds. He then is faced with a currency mismatch. The stock
aspect of the mismatch is that his asset (apartment) is denominated in
pounds but his liability (mortgage) is in dollars. The flow aspect is that the
rental e from the apartment is denominated in pounds but mort-
gage payments are in dollars. The consequence of this currency mismatch
is that the owner of the apartment gains or loses as the dollar falls or rises
against the pound even if the key parameters of his investment (., apart-
ment price and rent) do not change. In short, present value of his
investment project has e sensitive to changes in the dollar-pound
exchange rate.
1. This definition of currency mismatch is close to the one the Financial Stability Forum
(2000) has proposed.
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Borrowers in many emerging economies have at times faced currency
mismatches on a massive scale. Foreign currency–denominated liabilities
have frequently financed local-currency activities in emerging economies,
and, too