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International Prudential Policy Spillovers: A Global Perspective

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Listed:
  • Stefan Avdjiev

    (Bank for International Settlements)

  • Cathérine Koch

    (Bank for International Settlements)

  • Patrick McGuire

    (Bank for International Settlements)

  • Goetz von Peter

    (Bank for International Settlements)

Abstract

We evaluate the We combine the BIS international banking statistics with the IBRN Prudential Instruments Database in a global study analyzing the effect of prudential measures on international lending. Our bilateral setting, which features multiple home and destination countries, allows us to simultaneously estimate both the international transmission and the local effects of such measures. We find that changes in macroprudential policy via loan-to-value limits and local-currency reserve requirements have a significant impact on international bank lending. Balance sheet characteristics play an important role in determining the strength of these effects, with better-capitalized banking systems and those with more liquid assets and less core deposit funding reacting more. Overall, our results suggest that the tightening of these macroprudential measures can be associated with international spillovers.

Suggested Citation

  • Stefan Avdjiev & Cathérine Koch & Patrick McGuire & Goetz von Peter, 2017. "International Prudential Policy Spillovers: A Global Perspective," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 5-33, March.
  • Handle: RePEc:ijc:ijcjou:y:2017:q:1:a:18
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    References listed on IDEAS

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    Cited by:

    1. Jana Ohls & Marcus Pramor & Lena Tonzer, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from Germany," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 129-162, March.
    2. repec:eee:jmacro:v:56:y:2018:i:c:p:152-171 is not listed on IDEAS
    3. Funke, Michael & Kirkby, Robert & Mihaylovski, Petar, 2018. "House prices and macroprudential policy in an estimated DSGE model of New Zealand," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 152-171.
    4. Diana Bonfim & Sónia Costa, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from Portugal," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 341-377, March.
    5. Joshua Aizenman & Menzie D. Chinn & Hiro Ito, 2017. "Financial Spillovers and Macroprudential Policies," NBER Working Papers 24105, National Bureau of Economic Research, Inc.
    6. Buch, Claudia M. & Goldberg, Linda S., 2016. "Cross-border prudential policy spillovers: how much? How important? Evidence from the International Banking Research Network," Staff Reports 801, Federal Reserve Bank of New York.
    7. Golden, Brian & Hughes, Patrick, 2018. "Shining a light on Special Purpose Entities in Ireland," Economic Letters 11/EL/18, Central Bank of Ireland.
    8. Buch, Claudia M. & Bussierè, Matthieu & Goldberg, Linda & Hills, Robert, 2019. "The international transmission of monetary policy," Journal of International Money and Finance, Elsevier, vol. 91(C), pages 29-48.
    9. Stefan Avdjiev & Leonardo Gambacorta & Linda S. Goldberg & Stefano Schiaffi, 2017. "The Shifting Drivers of Global Liquidity," NBER Working Papers 23565, National Bureau of Economic Research, Inc.
    10. Alejandro Jara & Luis Cabezas, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from Chile," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 95-127, March.
    11. Toni Ahnert & Kristin Forbes & Christian Friedrich & Dennis Reinhardt, 2018. "Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?," NBER Working Papers 25083, National Bureau of Economic Research, Inc.
    12. repec:bis:bisbpc:94-05 is not listed on IDEAS
    13. repec:spr:weltar:v:155:y:2019:i:2:d:10.1007_s10290-019-00342-5 is not listed on IDEAS
    14. Jose M Berrospide & Ricardo Correa & Linda S Goldberg & Friederike Niepmann, 2017. "International Banking and Cross-Border Effects of Regulation: Lessons from the United States," International Journal of Central Banking, International Journal of Central Banking, vol. 13(2), pages 435-476, March.
    15. Becker, Chris & Ossandon Busch, Matias & Tonzer, Lena, 2017. "Macroprudential policy and intra-group dynamics: The effects of reserve requirements in Brazil," IWH Discussion Papers 21/2017, Halle Institute for Economic Research (IWH).
    16. Herzberg, Valerie & McQuade, Peter, 2018. "International bank flows and bank business models since the crisis," Financial Stability Notes 5/FS/18, Central Bank of Ireland.
    17. Lorenz Emter & Martin Schmitz & Marcel Tirpák, 2019. "Cross-border banking in the EU since the crisis: What is driving the great retrenchment?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(2), pages 287-326, May.
    18. Pierre-Richard Agénor & Luiz Awazu Pereira da Silva, 2019. "Global Banking, Financial Spillovers, and Macroprudential Policy Coordination," BIS Working Papers 764, Bank for International Settlements.
    19. Żochowski, Dawid & Franch, Fabio & Nocciola, Luca, 2019. "Cross-border effects of prudential regulation: evidence from the euro area," Working Paper Series 2285, European Central Bank.
    20. Herzberg, Valerie & McQuade, Peter, 2018. "International bank flows and bank business models since the crisis," Financial Stability Notes 05-18, Central Bank of Ireland.

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