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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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  • 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.)

Suggested Citation

  • 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.
  • Handle: RePEc:bis:biscgc:29-07
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    References listed on IDEAS

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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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    More about this item

    JEL classification:

    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission
    • F34 - International Economics - - International Finance - - - International Lending and Debt Problems

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