CEPR Working Paper: Global Liquidity and Impairment of Local Monetary Policy

Author(s):Salih Fendoglu, Eda Gulsen and José Luis Peydró Date:September 2020 Abstract: We show that global liquidity limits the effectiveness of local monetary policy on credit markets. The mechanism is via a bank carry trade in international markets when local monetary policy tightens. For identification, we exploit global (VIX, U.S. monetary policy) shocks and loan-level data[…]

SSRN Working Paper: Carbon Home Bias of European Investors

Author(s): Martijn Adriaan Boermans and Rients Galema Date:July 2020 Abstract: We study how investor’s persistent preference to invest more in the home market — “home bias” — is affecting investor’s efforts to mitigate risks associated with climate change. When investors have a tendency to tilt their portfolio towards domestic assets, the carbon intensity in the[…]

IMF Working Paper: Capital Flow Data – A Guide for Empirical Analysis and Real-time Tracking

Author(s): Robin Koepke and Simon Paetzold Date: August 2020 Abstract: This paper provides an analytical overview of the most widely used capital flow datasets. The paper is written as a guide for academics who embark on empirical research projects and for policymakers who need timely information on capital flow developments to inform their decisions. We[…]

CEPR Working Paper: The International Aspects of Macroprudential Policy

Author(s): Kristin Forbes Date: August 2020 Abstract: Countries are using macroprudential tools more actively with the goal of improving the resilience of their broader financial systems. A growing body of evidence suggests that these tools can accomplish specific domestic goals and should reduce country vulnerability to many domestic and international shocks. The evidence also suggests,[…]

CEPR Discussion Paper: Close Competitors? On the Causes and Consequences of Bilateral Bank Competition

Author(s): Ralph De Haas, Liping Lu and Steven Ongena Date: July 2020 Abstract: We interview 379 European bank CEOs to identify their banks’ main competitors. We then provideevidence on the drivers of bilateral bank competition, construct a novel competition measure at thelocality level, and assess how well it explains variation in firms’ credit constraints. We[…]

NBER Working Paper: Bank Complexity, Governance, and Risk

Author(s):Ricardo Correa and Linda S. Goldberg Date:July 2020 Abstract: Bank holding companies (BHCs) can be complex organizations, conducting multiple lines of business through many distinct legal entities and across a range of geographies. While such complexity raises the costs of bank resolution when organizations fail, the effect of complexity on BHCs’ broader risk profile is[…]

NBER Working Paper: U.S. Banks and Global Liquidity

Author(s): Ricardo Correa, Wenxin Du and Gordon Liao Date: July 2020 Abstract: We characterize how U.S. global systemically important banks (GSIBs) supply short-term dollar liquidity in repo and foreign exchange swap markets in the post-Global Financial Crisis regulatory environment and serve as the “lenders-of-second-to-last-resort”. Using daily supervisory bank balance sheet information, we find that U.S.[…]

CEPR Discussion Paper: The Micro and Macro Dynamics of Capital Flows

Author(s): Felipe Saffie, Liliana Varela, and Kei-Mu Yi Date: June 2020 Abstract: We empirically and theoretically study the effects of capital flows on resource allocation within sectors and cross-sectors. Novel data on service firms – in addition to manufacturing firms – allows us to assess two channels of resource reallocation. Capital inflows lower the relative[…]

CEPR Discussion Paper: The Dollar and Corporate Borrowing Costs

Author(s): Ralf Meisenzahl, Friederike Niepmann, and Tim Schmidt-Eisenlohr Date: June 2020 Abstract: We show that U.S. dollar movements affect syndicated loan terms for U.S. borrowers, even for those without trade exposure. We identify the effect of dollar movements using spread and loan amount adjustments during the syndication process. Using this high-frequency, within loan variation, we[…]

NBER Working Paper: The Anatomy of the Transmission of Macroprudential Policies

Author(s): Viral V. Acharya, Katharina Bergant, Matteo Crosignani, Tim Eisert, and Fergal J. McCann Date: May 2020 Abstract: We analyze how regulatory constraints on household leverage—in the form of loan-to-income and loan-to-value limits—affect residential mortgage credit and house prices as well as other asset classes not directly targeted by the limits. Supervisory loan level data[…]