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, Vol. 42, No. 1: pp. 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.

• Item Type: Journal article
• Faculties: Economics; Economics > Chairs > CESifo-Professorship for Business Cycle Analysis and Surveys (closed)
• Subjects: 300 Social sciences > 330 Economics
• Language: English