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International bank portfolios: short- and long-run responses to the business cycle

In: Research on global financial stability: the use of BIS international financial statistics

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Author Info

  • Sven Blank

    (University of Tuebingen)

  • Claudia M Buch

    (University of Tuebingen and IAW)

Abstract

International bank portfolios constitute a large component of international country portfolios. Yet, their response to macroeconomic conditions and their impact on the international transmission of business cycles developments remains largely unexplored. We use a novel dataset on banks’ international portfolios to answer three questions. First, what are the long-run determinants of banks’ international portfolios? Second, how do banks’ international portfolios adjust to short-run macroeconomic developments? Third, does the speed of adjustment change with the degree of financial integration? We provide evidence of significant long-run cointegration relationships between cross-border assets and liabilities of banks and key macroeconomic variables. Both, the long-run determinants of banks’ international portfolios as well as the short-run dynamics show a significant degree of heterogeneity across countries and, to some extent, over time. Gravitytype variables help explaining differences in the speed of adjustment to new equilibria.

(This abstract was borrowed from another version of this item.)

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This chapter was published in:

  • Bank for International Settlements, 2007. "Research on global financial stability: the use of BIS international financial statistics," CGFS Papers, Bank for International Settlements, number 29, July.
    This item is provided by Bank for International Settlements in its series CGFS Papers chapters with number 29-07.

    Handle: RePEc:bis:biscgc:29-07

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    1. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, 2005. "Testing for PPP: Should we use panel methods?," Empirical Economics, Springer, vol. 30(1), pages 77-91, January.
    2. Buch, Claudia M. & Carstensen, Kai & Schertler, Andrea, 2010. "Macroeconomic shocks and banks’ foreign assets," Munich Reprints in Economics 19988, University of Munich, Department of Economics.
    3. M Ayhan Kose & Eswar Prasad & Kenneth Rogoff & Shang-Jin Wei, 2009. "Financial Globalization: A Reappraisal," IMF Staff Papers, Palgrave Macmillan, vol. 56(1), pages 8-62, April.
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    Cited by:
    1. Alicia Garcia-Herrero & Fielding Chen, 2013. "Deleveraging from Emerging Markets: the Case of Euro-area Banks," Working Papers 1313, BBVA Bank, Economic Research Department.

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