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Monetary policy spillovers and currency networks in cross-border bank lending

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Listed:
  • Stefan Avdjiev
  • Elod Takats

Abstract

We demonstrate that currency networks in cross-border bank lending have a significant impact on the size, distribution and direction of international monetary policy spillovers. Using the recently enhanced BIS international banking statistics, which simultaneously provide information on the lender, borrower and currency composition of cross-border bank claims, we map the major currency networks in international banking. Next, we show that during the 2013 Fed taper tantrum, exposure to dollar lending was associated with safe haven flows to the United States, virtually unchanged flow dynamics vis-à-vis other advanced economies, and strong outflows from emerging markets. Furthermore, this pattern was shaped by interbank lending rather than by lending to non-banks.

Suggested Citation

  • Stefan Avdjiev & Elod Takats, 2016. "Monetary policy spillovers and currency networks in cross-border bank lending," BIS Working Papers 549, Bank for International Settlements.
  • Handle: RePEc:bis:biswps:549
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    References listed on IDEAS

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    5. Stefan Afdjiev & Zsolt Kuti & Elod Takáts, 2012. "The euro area crisis and cross-border bank lending to emerging markets," BIS Quarterly Review, Bank for International Settlements, December.
    6. Eugenio M Cerutti & Stijn Claessens & Lev Ratnovski, 2014. "Global Liquidity and Drivers of Cross-Border Bank Flows," IMF Working Papers 14/69, International Monetary Fund.
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    Cited by:

    1. Lindner, Peter & Loeffler, Axel & Segalla, Esther & Valitova, Guzel & Vogel, Ursula, 2018. "International monetary policy spillovers through the bank funding channel," Discussion Papers 13/2018, Deutsche Bundesbank.
    2. repec:eee:jmacro:v:56:y:2018:i:c:p:172-187 is not listed on IDEAS

    More about this item

    Keywords

    Currency networks; cross-border banking flows; international monetary policy spillovers;

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