We simulate the impact on the nonbank liabilities of banks in a multiplex interbank environment arising from changes in currency exposure. Currency shocks as a source of financial contagion in the banking sector have not, so far, been considered. Our model considers two sources of contagion: shocks to nonbank assets and exchange rate shocks. Interbank loans can mature at different times. We demonstrate that a dominant currency can be a significant source of financial contagion. We also find evidence of asymmetries in losses stemming from large currency depreciations versus appreciations. A variety of scenarios are considered allowing for differences in the sparsity of the banking network, the relative size and number of banks, changes in nonbank assets and equity, the possibility of bank breakups, and the dominance of a particular currency. Policy implications are also drawn.

我们模拟了货币敞口变化对银行同业拆借环境中银行非银行负债的影响。迄今为止，尚未考虑将货币冲击作为银行业金融传染的来源。我们的模型考虑了两个传染源：对非银行资产的冲击和汇率冲击。同业拆借可在不同时间到期。我们证明了主导货币可能是金融传染的重要来源。我们还发现了货币大幅贬值与升值造成的损失不对称的证据。考虑到银行网络的稀疏性、银行的相对规模和数量、非银行资产和股权的变化、银行分拆的可能性以及特定货币的主导地位等方面的差异，考虑了多种情况。