Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/183488 
Erscheinungsjahr: 
2018
Schriftenreihe/Nr.: 
Bundesbank Discussion Paper No. 42/2018
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
Using transaction-level data on foreign exchange (FX) forward contracts, we document large demand-driven heterogeneity in banks' dollar hedging costs. For identification, we exploit regulatory end-of-quarter reporting that penalizes banks' currency exposure with capital surcharges. Contracts that reduce quarter-end currency exposure trade at higher prices, specifically for banks with high dollar funding gaps and high leverage, while access to internal dollar capital markets and bargaining power reduces prices. Spreads between similar contracts with and without initial margin widen with leverage. Our results suggest that banks' shadow costs of capital are important for the international propagation of shocks through FX derivatives markets.
Schlagwörter: 
FX markets
hedging
price determination
global banks
international finance
JEL: 
D40
E43
F30
F31
G15
ISBN: 
978-3-95729-513-2
Dokumentart: 
Working Paper
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