March 21, 2018

Working Papers

  • IMF Working Paper – The Micro Impact of Macroprudential Policies: Firm-Level Evidence

    Authors: Meghana Ayyagari, Thorsten Beck and Maria Soledad Martinez Peria Date: December 2018 Abstract: Combining balance sheet data on 900,000 firms from 48 countries with information on the adoption of macroprudential policies during 2003-2011, we find that these policies are associated with lower credit growth. These effects are especially significant …
  • IMF Working Paper: Borrowing Costs and The Role of Multilateral Development Banks: Evidence from Cross-Border Syndicated Bank Lending

    Authors: Daniel Gurara, Andrea Presbitero and Miguel Sarmiento Date: December 2018 Abstract: Cross-border bank lending is a growing source of external finance in developing countries and could play a key role for infrastructure financing. This paper looks at the role of multilateral development banks (MDBs) on the terms of syndicated …
  • IMF Working Paper: China’s Bond Market and Global Financial Markets

    Authors: Eugenio M Cerutti and Maurice Obstfeld Date: December 2018 Abstract: A cross-country comparative analysis shows that there is substantial room for further integration of China into global financial markets, especially in the case of the international bond market. A further successful liberalization of the Chinese bond market would encompass …
  • BIS Working Paper: Gross capital flows by banks, corporates and sovereigns

    Authors: Stefan Avdjiev, Bryan Hardy, Sebnem Kalemli-Ozcan and Luis Servén Date: December 2018 Abstract: We construct a new data set of quarterly international capital flows by sector, with an emphasis on debt flows. Using our new data set, we establish four facts. First, the co-movement of capital inflows and outflows …
  • BIS Working Paper: Foreign currency borrowing, balance sheet shocks and real outcomes

    Authors: Bryan Hardy Date: November 2018 Abstract: Emerging market firms frequently borrow in foreign currency (FX), but their assets are often denominated in domestic currency. This behavior leads to an FX mismatch on firms balance sheets, which can harm their net worth in the event of a depreciation. I use …
  • IMF Working Paper: House Price Synchronicity, Banking Integration, and Global Financial Conditions

    Authors: Adrian Alter, Jane Dokko and Dulani Seneviratne Date: November 2018 Abstract: We examine the relationship between house price synchronicity and global financial conditions across 40 countries and about 70 cities over the past three decades. The role played by cross-border banking flows in residential property markets is examined as …
  • ECB Working Paper: Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment

    Authors: Johannes Breckenfelder, and Bernd Schwaab Date: November 2018 Abstract: We study spillovers from bank to sovereign risk in the euro area using difference specifications around the European Central Bank’s release of stress test results for 130 significant banks on October 26, 2014. We document that following this information release …
  • ECB Working Paper: Monetary policy and bank equity values in a time of low interest rates

    Authors: Miguel Ampudia and Skander Van den Heuvel Date: November 2018 Abstract: This paper examines the effects of monetary policy on the equity values of European banks. We identify monetary policy shocks by looking at changes in the EONIA one-month and two-year swap contract rates during narrow windows around the …
  • BIS Working Paper: The effects of prudential regulation, financial development and financial openness on economic growth

    Authors: Pierre-Richard Agénor, Leonardo Gambacorta, Enisse Kharroubi and Luiz Awazu Pereira da Silva Date: October 2018 Abstract: This paper studies the effects of prudential regulation, financial development, and financial openness on economic growth. Using both existing models and a new OLG framework with banking and prudential regulation in the form …
  • CEPR Discussion Paper: Are Banking and Capital Markets Union Complements? Evidence from Channels of Risk Sharing in the Eurozone

    Authors: Mathias Hoffmann, Egor Maslov, Bent E Sørensen and Iryna Stewen Date: October 2018 Abstract: The interplay of equity market and banking integration is of first-order importance for risk sharing in the EMU. While EMU created an integrated interbank market, “direct” banking integration (in terms of direct cross-border bank-to-real sector …
  • CEPR-Discussion Paper: What are the consequences of global banking for the international transmission of shocks? A quantitative analysis

    Authors: José L. Fillat, Stefania Garetto and Arthur V. Smith Date: October 2018 Abstract: The global financial crisis of 2008 was followed by a wave of regulatory reforms that affected large banks, especially those with a global presence. These reforms were reactive to the crisis. In this paper we propose …
  • IMF Working Paper: Cross-border Banking and the Circumvention of Macroprudential and Capital Control Measures

    Authors: Eugenio M Cerutti and Haonan Zhou Date: September 2018 Abstract: We analyze the joint impact of macroprudential and capital control measures on cross-border banking flows, while controlling for multidimensional aspects in lender-and-borrower-relationships (e.g., distance, cultural proximity, microprudential regulations). We uncover interesting spillover effects from both types of measures when …
  • BIS Working Paper: What drives local lending by global banks?

    Authors: Stefan Avdjiev, Uluc Aysun and Ralf Hepp Date: September 2018 Abstract: We find that the lending behaviour of global banks’ subsidiaries throughout the world is more closely related to local macroeconomic conditions and their financial conditions than to those of their owner-specific counterparts. This inference is drawn from a …
  • NBER Working Paper: International Spillovers and ‘Ex-ante’ Efficient Bailouts

    Authors: Marina Azzimonti, and Vincenzo Quadrini Date: September 2018 Abstract: We study how cross-country macroeconomic spillovers caused by sovereign default affect equilibrium bailouts. Because of portfolio diversification, the default of one country causes a macroeconomic contraction also in other countries. This generates a self-interest for these other countries to bailout …
  • NBER Working Paper: The Costs of Macroprudential Policy

    Authors: Björn Richter, Moritz Schularick, and Ilhyock Shim Date: September 2018 Abstract: Central banks increasingly rely on macroprudential measures to manage the financial cycle. However, the effects of such policies on the core objectives of monetary policy to stabilise output and inflation are largely unknown. In this paper, we quantify …
  • CEPR Discussion Paper: Foreign Expansion, Competition and Bank Risk

    Authors: Ester Faia, Sebastien Laffitte, and Gianmarco Ottaviano Date: September 2018 Abstract: Using a novel dataset on the 15 European banks classified as G-SIBs from 2005 to 2014, we find that the impact of foreign expansion on risk is always negative and significant for most individual and systemic risk metrics. …
  • BIS Working Paper: Financial stress in lender countries and capital outflows from emerging market economies

    Authors: Ilhyock Shim, and Kwanho Shin Date: September 2018 Abstract: We investigate if financial stress in countries where international banks are headquartered is a major driver of banking outflows from emerging market economies (EMEs). We find that when financial stress measured by sovereign or bank CDS spread or corporate bond …
  • CEPR Discussion Paper: Banks Defy Gravity in Tax Havens

    Authors: Vincent Bouvatier, Gunther Capelle-blancard, and Anne-Laure Delatte Date: September 2018 Abstract: This paper provides the first quantitative assessment of the contribution of global banks in intermediating tax evasion. Applying gravity equations on a unique regulatory dataset based on comprehensive individual country-by-country reporting from all the Systemically Important Banks the …
  • CEPR Discussion Paper: Foreign Expansion, Competition and Bank Risk

    Authors: Ester Faia, Sebastien Laffitte and Gianmarco Ottaviano Date: September 2018 Abstract: Using a novel dataset on the 15 European banks classified as G-SIBs from 2005 to 2014, we find that the impact of foreign expansion on risk is always negative and significant for most individual and systemic risk metrics. …
  • IMF Working Paper: Who Pays for Financial Crises? Price and Quantity Rationing of Different Borrowers by Domestic and Foreign Banks

    Authors: Allen N. Berger, Tanakorn Makaew, and Rima Turk-Ariss Date: July 2018 Abstract: Financial crises result in price and quantity rationing of otherwise creditworthy business borrowers, but little is known about the relative severity of these two types of rationing, which borrowers are rationed most, and the roles of foreign …
  • CEPR Discussion Paper: Bank Resolution and the Structure of Global Banks

    Authors: Patrick Bolton, and Martin Oehmke Date: July 2018 Abstract: We study the resolution of global banks by national regulators. Single-point-of-entry (SPOE) resolution, where loss-absorbing capital is shared across jurisdictions, isefficient but may not be implementable. First, when expected transfers across jurisdictions are too asymmetric, national regulators fail to set …
  • CEPR discussion Paper: Global financial cycles and risk premiums

    Authors: Óscar Jordá, Moritz Schularick, Alan M. Taylor, and Felix Ward Date: June 2018 Abstract: This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. …
  • NBER Working Paper: International Currencies and Capital Allocation

    Authors: Matteo Maggiori, Brent Neiman, and Jesse Schreger Date: May 2018 Abstract: We establish that global portfolios are driven by an often neglected aspect: the currency of denomination of assets. Using a dataset of $27 trillion in security-level investment positions, we demonstrate that investor holdings are biased toward their own currencies …
  • IMF Staff Discussion Notes: Trade-offs in Bank Resolution

    Authors: Giovanni Dell’Ariccia, Maria Soledad Martinez Peria, Deniz O Igan, Elsie Addo Awadzi, Marc Dobler, and Damiano Sandri Date: February 2018 Abstract: This SDN revisits the debate on bank resolution regimes, first by presenting a simple model of bank insolvency that transparently describes the trade-off involved between bail-outs, bail-ins, and …
  • CEPR Discussion Paper: Foreign Currency Bank Funding and Global Factors

    Authors: Signe Krogstrup, and Cédric Tille Date: May 2018 Abstract:  The literature on drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing …
  • IMF Working Paper: Leverage – A Broader View

    Authors: Manmohan Singh and Zohair Alam Date: March 2018 Abstract: Traditional measures of leverage in the financial system tend to reflect bank balance sheet data. The paper argues that these traditional, bank-centric measures should be augmented by considering pledged collateral in the financial system since pledged collateral provides a measure …
  • Institute for International Economic Policy Working Paper: How ETFs Amplify the Global Financial Cycle in Emerging Markets

    Authors: Tomas Williams, Nathan Converse and Eduardo Levy-Yeyati Date: March 2018 Abstract: Since the early 2000s exchange-traded funds (ETFs) have grown to become an important investment vehicle worldwide. In this paper, we study how their growth affects the sensitivity of international capital flows to the global financial cycle. We combine …
  • NBER Working Paper: The International Transmission of Monetary Policy

    Authors: Claudia M. Buch, Matthieu Bussiere, Linda Goldberg and Robert Hills Date: March 2018 Abstract: This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential …
  • CEPR Discussion Paper: Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability?

    Authors: Toni Ahnert, Kristin Forbes, Christian Friedrich and Dennis Reinhardt Date: March 2018 Abstract:  Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulation, we develop a parsimonious model of bank …
  • FSB Report: FSB Correspondent Banking Data Report − Update.

    Authors: Financial Stability Board (FSB) Date: March 2018 Abstract:  This mid-year update provides an overview of evolutions affecting correspondent banking, however with fewer details than the publications of July 2017, which presented full year data. The FSB has agreed with SWIFT to an arrangement under which SWIFT will provide six-monthly data updates …
  • IMF Working Paper: The Global Banking Network: What is Behind the Increasing Regionalization Trend?

    Authors: Eugenio M. Cerutti and Haonan Zhou Date: March 2018 Abstract:  This paper analyses the nature of the increasing regionalization process in global banking. Despite the large decline in aggregate cross-border banking lending volumes, some parts of the global banking network are currently more interlinked regionally than before the Global Financial Crisis. …
  • NBER Working Paper: Reach for Yield and Fickle Capital Flows

    Authors: Ricardo J. Caballero and Alp Simsek Date: March 2018 Abstract:  In Caballero and Simsek (2018), we develop a model of fickle capital flows and show that, when countries are similar, international flows create global liquidity and mitigate crises despite their fickleness. In this paper, we focus on the asymmetric situation of …
  • NBER Working Paper: Global Portfolio Rebalancing and Exchange Rates.

    Authors: Nelson Camanho, Harald Hau and Hélène Rey Date: February 2018 Abstract:  We examine international equity allocations at the fund level and show how different returns on the foreign and domestic proportion of portfolios determine rebalancing behavior and trigger capital flows. We document the heterogeneity of rebalancing across fund types, its greater …