Zuzana Gric, Jan Janků, Simona Malovaná
Using a sample of nearly 980,000 new derivative transactions from about 1,700 unique institutions, we explore sectoral differences in currency derivatives usage in the Czech financial sector from 2020 to 2022. We find that larger financial institutions, institutions that are part of complex financial groups, and institutions with higher foreign exposure are more likely to engage in currency derivative transactions. Contrary to other studies, we find that financially stable institutions use currency derivatives more frequently, reflecting the long-term stability of the Czech financial system. However, the significance of key characteristics varies across financial segments. Banks are less sensitive to changes in leverage, while liquidity is crucial for investment funds.
JEL codes: F30, G15, G23, G32
Keywords: Currency derivatives, EMIR, FX derivatives, GLEIF, market-based finance
Issued: October 2023
Download: CNB WP No. 12/2023 (pdf, 5 MB)