TY - JOUR

T1 - Macroeconomic shocks and banks’ foreign assets

AU - Buch, Claudia M.

AU - Carstensen, Kai

AU - Schertler, Andrea Gisela

PY - 2010/2

Y1 - 2010/2

N2 - 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. © 2010 The Ohio State University.

AB - 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. © 2010 The Ohio State University.

KW - Management studies

KW - International banking

KW - Macroeconomic shocks

KW - Panel VAR models

UR - http://www.scopus.com/inward/record.url?scp=73449088374&partnerID=8YFLogxK

UR - https://www.mendeley.com/catalogue/4725e265-ea85-3988-832a-02f995e1bf15/

U2 - 10.1111/j.1538-4616.2009.00283.x

DO - 10.1111/j.1538-4616.2009.00283.x

M3 - Journal articles

VL - 42

SP - 171

EP - 188

JO - Journal of Money, Credit and Banking

JF - Journal of Money, Credit and Banking

SN - 1538-4616

IS - 1

ER -