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Basel II and Bank Lending to Emerging Markets: Micro Evidence from German Banks

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Author Info
Liebig, Thilo
Porath, Daniel
Weder di Mauro, Beatrice
Wedow, Michael

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Abstract

This paper investigates whether the new Basel Accord will induce a change in bank lending to emerging markets using a new loan level data set on German banks' foreign exposure. We test two interlinked hypotheses on the conditions under which the change in the regulatory capital would leave lending flows unaffected. This would be the case if (i) the new regulatory capital requirement remains below the economic capital, and (ii) banks' economic capital to emerging markets already adequately reflects risk. On both accounts the evidence indicates that the new Basel Accord should have a limited effect on lending to emerging markets.

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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 5163.

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Date of creation: Aug 2005
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Handle: RePEc:cpr:ceprdp:5163

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Related research
Keywords: banking regulation Basel accord international lending

Find related papers by JEL classification:
F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions
F34 - International Economics - - International Finance - - - International Lending and Debt Problems
G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82. [Downloadable!]
  2. Richard Cantor & Frank Packer, 1996. "Determinants and impact of sovereign credit ratings," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 37-53. [Downloadable!]
    Other versions:
  3. Australian Prudential Regulation Authority, 1999. "Credit Risk Modelling: Current Practices and Applications," BASEL Committee Papers bc0002, Australian Prudential Regulation Authority. [Downloadable!]
  4. Beatrice Weder & Michael Wedow, 2002. "Will Basel II Affect International Capital Flows to Emerging Markets?," OECD Development Centre Working Papers 199, OECD Development Centre. [Downloadable!]
  5. Linda S. Goldberg, 2001. "When Is U.S. Bank Lending to Emerging Markets Volatile?," NBER Working Papers 8209, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Blundell, Richard & Bond, Stephen, 1998. "Initial conditions and moment restrictions in dynamic panel data models," Journal of Econometrics, Elsevier, vol. 87(1), pages 115-143, August. [Downloadable!] (restricted)
    Other versions:
  7. Powell, Andrew, 2002. "A capital accord for emerging economies?," Policy Research Working Paper Series 2808, The World Bank. [Downloadable!]
  8. Guillermo Calvo & Alejandro Izquierdo & Luis-Fernando Mejía, 2004. "On the empirics of Sudden Stops: the relevance of balance-sheet effects," Proceedings, Federal Reserve Bank of San Francisco, issue Jun. [Downloadable!]
    Other versions:
  9. Windmeijer, Frank, 2005. "A finite sample correction for the variance of linear efficient two-step GMM estimators," Journal of Econometrics, Elsevier, vol. 126(1), pages 25-51, May. [Downloadable!] (restricted)
  10. Claudia M. Buch, 2000. "Information or Regulation: What Is Driving the International Activities of Commercial Banks?," Kiel Working Papers 1011, Kiel Institute for the World Economy. [Downloadable!]
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