IDEAS home Printed from https://ideas.repec.org/p/ags/cudawp/127238.html

Transmission of Shocks Through International Lending of Commercial Banks to LDCs

Author

Listed:
  • Shimokawa, Satoru
  • Kyle, Steven C.

Abstract

We analyze the transmission of shocks through international bank lending, as is suggested in Kaminsky and Reinhart [6], by examining the bank’s international lending behavior. We develop a portfolio selection model, which explicitly includes the economic condition of the bank’s home county. This model is estimated using data from the banks of the six largest international creditor countries over the 1989-99 period. Our results clarify the interrelationship between the condition of banks’ home country and international bank lending. This finding demonstrates two types of transmission of shocks through international bank lending: [i] transmission from a creditor country to debtor countries and [ii] transmission from a debtor country to other debtor countries via a creditor.

Suggested Citation

  • Shimokawa, Satoru & Kyle, Steven C., "undated". "Transmission of Shocks Through International Lending of Commercial Banks to LDCs," Working Papers 127238, Cornell University, Department of Applied Economics and Management.
    • Handle: RePEc:ags:cudawp:127238
    DOI: 10.22004/ag.econ.127238
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/127238/files/Cornell_Dyson_wp0327.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.127238?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Jeffrey Sachs & Harry Huizinga, 1987. "U.S. Commercial Banks and the Developing-Country Debt Crisis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 18(2), pages 555-606.
    2. Portes, Richard & Rey, Helene, 2005. "The determinants of cross-border equity flows," Journal of International Economics, Elsevier, vol. 65(2), pages 269-296, March.
    3. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-747, June.
    4. Graciela L. Kaminsky & Carmen Reinhart, 2003. "The Center and the Periphery: The Globalization of Financial Turmoil," NBER Working Papers 9479, National Bureau of Economic Research, Inc.
    5. Kyle, Steven C. & Wirick, Ronald G., 1990. "The impact of sovereign risk on the market valuation of U.S. bank equities," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 761-780, October.
    6. Hansen, Lars Peter & Heaton, John & Yaron, Amir, 1996. "Finite-Sample Properties of Some Alternative GMM Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 262-280, July.
    7. M. Parkin, 1970. "Discount House Portfolio and Debt Selection," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(4), pages 469-497.
    8. Henry S. Terrell, 1984. "Bank lending to developing countries: recent developments and some considerations for the future," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Oct, pages 755-763.
    9. Kaminsky, Graciela L. & Reinhart, Carmen M., 2000. "On crises, contagion, and confusion," Journal of International Economics, Elsevier, vol. 51(1), pages 145-168, June.
    10. Fackler, James S. & Rogers, John H., 1993. "An empirical open-economy macro model with credit," Journal of Macroeconomics, Elsevier, vol. 15(2), pages 203-224.
    11. Santomero, Anthony M, 1984. "Modeling the Banking Firm: A Survey," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 16(4), pages 576-602, November.
    12. Steven C. Kyle & Jeffrey Sachs, 1984. "Developing Country Debt and the Market Value of Large Commercial Banks," NBER Working Papers 1470, National Bureau of Economic Research, Inc.
    13. Ozler, Sule, 1993. "Have Commercial Banks Ignored History?," American Economic Review, American Economic Association, vol. 83(3), pages 608-620, June.
    14. Hansen, Lars Peter & Singleton, Kenneth J, 1982. "Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models," Econometrica, Econometric Society, vol. 50(5), pages 1269-1286, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Adesola Ibironke, 2021. "Africa’s Trade with China and US: Has COVID-19 Changed the Trends of Trade?," Journal of Economic Impact, Science Impact Publishers, vol. 3(2), pages 55-66.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2016. "Risks for the long run: Estimation with time aggregation," Journal of Monetary Economics, Elsevier, vol. 82(C), pages 52-69.
    2. Hansen, Lars Peter, 2013. "Uncertainty Outside and Inside Economic Models," Nobel Prize in Economics documents 2013-7, Nobel Prize Committee.
    3. Chang, Jinyuan & Chen, Song Xi & Chen, Xiaohong, 2015. "High dimensional generalized empirical likelihood for moment restrictions with dependent data," Journal of Econometrics, Elsevier, vol. 185(1), pages 283-304.
    4. Graciela L. Kaminsky, 2008. "Crises and Sudden Stops: Evidence from International Bond and Syndicated-Loan Markets," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 26, pages 107-130, December.
    5. Whitney K. Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. Mardi Dungey & Rene Fry & Vance L. Martin, 2006. "Correlation, Contagion, and Asian Evidence," Asian Economic Papers, MIT Press, vol. 5(2), pages 32-72, Spring/Su.
    7. Szafranek, Karol, 2017. "Flattening of the New Keynesian Phillips curve: Evidence for an emerging, small open economy," Economic Modelling, Elsevier, vol. 63(C), pages 334-348.
    8. Guilhem Bascle, 2008. "Controlling for endogeneity with instrumental variables in strategic management research," Post-Print hal-00576795, HAL.
    9. David M. Gould & Dror Y. Kenett & Georgi Panterov, 2021. "Multi‐dimensional economic connectivity: benefits, risks, and policy implications," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 6110-6127, October.
    10. Sabine Herrmann & Dubravko Mihaljek, 2010. "The determinants of cross-border bank flows to emerging markets: new empirical evidence on the spread of financial crises," BIS Working Papers 315, Bank for International Settlements.
    11. Clémentine Florens & Eric Jondeau & Hervé Le Bihan, 2001. "Assessing GMM Estimates of the Federal Reserve Reaction Function," Econometrics 0111003, University Library of Munich, Germany.
    12. Doris Neuberger, 1991. "Risk taking by banks and captial accumulation: A portfolio approach," Journal of Economics, Springer, vol. 54(3), pages 283-303, October.
    13. repec:pri:wwseco:dp229 is not listed on IDEAS
    14. Mikio Ito & Akihiko Noda, 2012. "The GEL estimates resolve the risk-free rate puzzle in Japan," Applied Financial Economics, Taylor & Francis Journals, vol. 22(5), pages 365-374, March.
    15. Fernanda Peixe & Alastair Hall & Kostas Kyriakoulis, 2006. "The Mean Squared Error of the Instrumental Variables Estimator When the Disturbance Has an Elliptical Distribution," Econometric Reviews, Taylor & Francis Journals, vol. 25(1), pages 117-138.
    16. Kalemli-Ozcan, Sebnem & Papaioannou, Elias & Perri, Fabrizio, 2013. "Global banks and crisis transmission," Journal of International Economics, Elsevier, vol. 89(2), pages 495-510.
    17. Imen Bedoui-Belghith & Slaheddine Hallara & Faouzi Jilani, 2023. "Crisis transmission degree measurement under crisis propagation model," SN Business & Economics, Springer, vol. 3(1), pages 1-27, January.
    18. Charles A. Fleischman, 1997. "The GMM parameter normalization puzzle," Finance and Economics Discussion Series 1997-43, Board of Governors of the Federal Reserve System (U.S.).
    19. Mercado, Rogelio & Noviantie, Shanty, 2020. "Financial flows centrality: Empirical evidence using bilateral capital flows," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 69(C).
    20. Graciela Kaminsky & Sergio L. Schmukler, 2002. "Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?," The World Bank Economic Review, World Bank, vol. 16(2), pages 171-195, August.
    21. Hazar Altınbaş & Vincenzo Pacelli & Edgardo Sica, 2022. "An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(2), pages 339-371, July.

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:cudawp:127238. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/dacorus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.