Macroeconomic shocks and banks’ foreign assets

Buch, Claudia M.; Carstensen, Kai und Schertler, Andrea (2010): Macroeconomic shocks and banks’ foreign assets. In: Journal of Money, Credit and Banking, Bd. 42, Nr. 1: S. 171-188

Abstract

Recent developments in international financial markets have highlighted the role of banks in the transmission of shocks across borders. We employ dynamic panel methods for a sample of OECD countries to analyze whether banks’ foreign assets react to macroeconomic shocks at home and abroad. We find that banks reduce their foreign assets in response to a relative increase in domestic interest rates, and they increase their foreign assets when the growth rate of world energy prices rises. The responses are characterized by a temporal overshooting and a dynamic adjustment process that extends over several quarters.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Volkswirtschaft ; Volkswirtschaft > Lehrstühle > CESifo-Professur für Makroökonomie (aufgelöst)
• Themengebiete: 300 Sozialwissenschaften > 330 Wirtschaft
• Sprache: Englisch