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International prudential policy spillovers: a global perspective

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  • Stefan Avdjiev
  • Catherine Koch
  • Patrick McGuire
  • Goetz von Peter

Abstract

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 deposits reacting more. Overall, our results suggest that the tightening of these macroprudential measures can be associated with international spillovers.

Suggested Citation

  • Stefan Avdjiev & Catherine Koch & Patrick McGuire & Goetz von Peter, 2016. "International prudential policy spillovers: a global perspective," BIS Working Papers 589, Bank for International Settlements.
  • Handle: RePEc:bis:biswps:589
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    Cited by:

    1. 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.
    2. Avdjiev, Stefan & Gambacorta, Leonardo & Goldberg, Linda S. & Schiaffi, Stefano, 2017. "The shifting drivers of global liquidity," CEPR Discussion Papers 12127, C.E.P.R. Discussion Papers.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Herzberg, Valerie & McQuade, Peter, 2018. "International bank flows and bank business models since the crisis," Financial Stability Notes 05-18, Central Bank of Ireland.
    9. 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.
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    11. repec:spr:weltar:v:155:y:2019:i:2:d:10.1007_s10290-019-00342-5 is not listed on IDEAS
    12. 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.
    13. Joshua Aizenman & Menzie D. Chinn & Hiro Ito, 2017. "Financial Spillovers and Macroprudential Policies," NBER Working Papers 24105, National Bureau of Economic Research, Inc.
    14. 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.
    15. 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.
    16. Golden, Brian & Hughes, Patrick, 2018. "Shining a light on Special Purpose Entities in Ireland," Economic Letters 11/EL/18, Central Bank of Ireland.
    17. 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.
    18. repec:bis:bisbpc:94-05 is not listed on IDEAS
    19. 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).

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    Keywords

    International banking; macroprudential measures; spillovers;

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