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BHC FX Exposure

Definition

Fee and interest income from loans in foreign offices BHCK4059 scaled by total interest income BHCK4107.

\text{FX Exposure}_{i,t}=\frac{\text{BHCK4059}_{i,t}}{\text{BHCK4107}_{i,t}}

where BHCK4059 and BHCK4107 are from the Bank Holding Company data by the Federal Reserve Bank of Chicago.1

Reference

Rampini, Viswanathan and Vuillemey (2020 JF).

  1. https://www.chicagofed.org/banking/financial-institution-reports/bhc-data. ↩

Last update: August 10, 2020

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