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BHC FX Exposure


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


Rampini, Viswanathan and Vuillemey (2020 JF).

Last update: August 1, 2020
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