Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/315107 
Year of Publication: 
2025
Series/Report no.: 
IES Working Paper No. 4/2025
Publisher: 
Charles University in Prague, Institute of Economic Studies (IES), Prague
Abstract: 
This study investigates the impact of exchange rate fluctuations on non-performing loans (NPLs), using a unique bank-by-bank dataset on lending to FX hedged and FX unhedged borrowers. Employing fixed effects and panel quantile regression, we analyze how changes in exchange rate affect the NPL ratio of hedged versus unhedged borrowers, differentiating between non-financial corporations and households and controlling for additional macroeconomic factors and bank-specific characteristics in Albania for the period from 2009 to 2023. Our empirical findings confirm that the sensitivity of unhedged non-financial corporations to exchange rate changes is higher than in the case of hedged borrowers. However, we find the opposite effect for households, where the risk seems to be for some reason higher for hedged borrowers.
Subjects: 
Nonperforming loans
hedging
exchange rate
panel quantile regression
households and non-financial corporations
JEL: 
C23
C31
E5
G3
Document Type: 
Working Paper

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