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Macroeconomic Shocks and Banks' Foreign Assets

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  • CLAUDIA M. BUCH
  • KAI CARSTENSEN
  • ANDREA SCHERTLER

Abstract

Recent developments in international financial markets have highlighted the role of banks in the transmission of shocks across borders. We employ dynamic panel methods for a sample of OECD countries to analyze whether banks' foreign assets react to macroeconomic shocks at home and abroad. We find that banks reduce their foreign assets in response to a relative increase in domestic interest rates, and they increase their foreign assets when the growth rate of world energy prices rises. The responses are characterized by a temporal overshooting and a dynamic adjustment process that extends over several quarters. Copyright (c) 2010 The Ohio State University.

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Bibliographic Info

Article provided by Blackwell Publishing in its journal Journal of Money, Credit and Banking.

Volume (Year): 42 (2010)
Issue (Month): 1 (02)
Pages: 171-188

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Handle: RePEc:mcb:jmoncb:v:42:y:2010:i:1:p:171-188

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Web page: http://www.blackwellpublishing.com/journal.asp?ref=0022-2879

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Cited by:
  1. Beatriz de Blas & Katheryn Russ, 2010. "FDI in the Banking Sector," Working Papers 108, University of California, Davis, Department of Economics.
  2. Victor Pontines & Reza Y. Siregar, 2012. "How Should We Bank With Foreigners? An Empirical Assessment of Lending Behaviour of International Banks to Six East Asian Economies," Occasional Papers, South East Asian Central Banks (SEACEN) Research and Training Centre, number occ54, June.
  3. Sebnem Kalemli-Ozcan, 2011. "Global Banks and Crisis Transmission," 2011 Meeting Papers 1376, Society for Economic Dynamics.
  4. Victor Pontines & Reza Siregar, 2012. "How Should We Bank With Foreigners? An Empirical Assessment of Lending Behaviour of International Banks to Six East Asian Countries," CAMA Working Papers 2012-04, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Müller, Oliver & Uhde, André, 2013. "Cross-border bank lending: Empirical evidence on new determinants from OECD banking markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 23(C), pages 136-162.
  6. Ralph De Haas & Neeltje Van Horen, 2013. "Running for the Exit? International Bank Lending During a Financial Crisis," Review of Financial Studies, Society for Financial Studies, vol. 26(1), pages 244-285.
  7. Sven Blank & Claudia M Buch, 2007. "International bank portfolios: short- and long-run responses to the business cycle," CGFS Papers chapters, in: Bank for International Settlements (ed.), Research on global financial stability: the use of BIS international financial statistics, volume 29, pages 128-155 Bank for International Settlements.
  8. Nikolaos Antonakakis & Johann Scharler, 2010. "The Synchronization of GDP Growth in the G7 during U.S. Recessions. Is this Time Different?," FIW Working Paper series 049, FIW.
  9. Claessens, Stijn, 2006. "Competitive implications of cross-border banking," Policy Research Working Paper Series 3854, The World Bank.

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