The exposure of international bank loans to third-country risk: an empirical analysis of overdue claims
The paper analyses the performance outcomes on foreign credits made by UK-owned banks to borrowers in 17 foreign countries between 1991 and 2000. The analysis is unique in its use of bank-specific data on overdue credits in individual countries. Results indicate that credit repayment in a given country is influenced by exports to, and economic activity in, another country linked by trading relationships. The observed cross-country interdependence is relevant to the understanding of risk management practices of international banks.
|Date of creation:||Jan 2005|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +44 (0)171 601 4030
Fax: +44 (0)171 601 5196
Web page: http://www.bankofengland.co.uk/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Peek, Joe & Rosengren, Eric S, 1997.
"The International Transmission of Financial Shocks: The Case of Japan,"
American Economic Review,
American Economic Association, vol. 87(4), pages 495-505, September.
- Joe Peek & Eric S. Rosengren, 1996. "The International Transmission of Financial Shocks: The Case of Japan," Boston College Working Papers in Economics 357, Boston College Department of Economics.
- Joe Peek & Eric S. Rosengren, 1996. "The international transmission of financial shocks: the case of Japan," Working Papers 96-1, Federal Reserve Bank of Boston.
- Allen N. Berger, 1994.
"The relationship between capital and earnings in banking,"
Finance and Economics Discussion Series
94-2, Board of Governors of the Federal Reserve System (U.S.).
- Berger, Allen N, 1995. "The Relationship between Capital and Earnings in Banking," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 432-56, May.
- Allen Berger, 1994. "The Relationship Between Capital and Earnings in Banking," Center for Financial Institutions Working Papers 94-17, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Kristin Forbes & Roberto Rigobon, 1999.
"No Contagion, Only Interdependence: Measuring Stock Market Co-movements,"
NBER Working Papers
7267, National Bureau of Economic Research, Inc.
- Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
- Walter, Ingo, 1981. "Country risk, portfolio decisions and regulation in international bank lending," Journal of Banking & Finance, Elsevier, vol. 5(1), pages 77-92, March.
- Dornbusch, Rudiger & Park, Yung Chul & Claessens, Stijn, 2000. "Contagion: Understanding How It Spreads," World Bank Research Observer, World Bank Group, vol. 15(2), pages 177-97, August.
- Massimo Sbracia & Andrea Zaghini, 2001. "Crises and contagion: the role of the banking system," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 241-260 Bank for International Settlements.
- Stefan Weber & Kay Giesecke, 2003. "Credit Contagion and Aggregate Losses," Computing in Economics and Finance 2003 246, Society for Computational Economics.
- Van Rijckeghem, Caroline & Weder, Beatrice, 2001. "Sources of contagion: is it finance or trade?," Journal of International Economics, Elsevier, vol. 54(2), pages 293-308, August.
- Renee Fry & Vance Martin & Brenda GonzÃ¡lez-Hermosillo & Mardi Dungey, 2002. "International Contagion Effects from the Russian Crisis and the LTCM Near-Collapse," IMF Working Papers 02/74, International Monetary Fund.
- DeYoung, Robert & Nolle, Daniel E, 1996. "Foreign-Owned Banks in the United States: Earning Market Share or Buying It?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 622-36, November.
- Giesecke, Kay & Weber, Stefan, 2002. "Credit contagion and aggregate losses," SFB 373 Discussion Papers 2002,73, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Iftekhar Hasan & Anthony Saunders & Viral V. Acharya, 2002.
"Should banks be diversified? Evidence from individual bank loan portfolios,"
BIS Working Papers
118, Bank for International Settlements.
- Viral V. Acharya & Iftekhar Hasan & Anthony Saunders, 2006. "Should Banks Be Diversified? Evidence from Individual Bank Loan Portfolios," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1355-1412, May.
- Hammes, Wolfgang & Shapiro, Mark, 2001. "The implications of the new capital adequacy rules for portfolio management of credit assets," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 97-114, January.
- Meeker, Larry G. & Gray, Laura, 1987. "A note on non-performing loans as an indicator of asset quality," Journal of Banking & Finance, Elsevier, vol. 11(1), pages 161-168, March.
- Douglas Nigh & Kang Rae Cho & Suresh Krishnan, 1986. "The Role of Location-Related Factors in U.S Banking Involvement Abroad: An Empirical Examination," Journal of International Business Studies, Palgrave Macmillan, vol. 17(3), pages 59-72, September.
When requesting a correction, please mention this item's handle: RePEc:boe:boeewp:247. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Publications Team)
If references are entirely missing, you can add them using this form.