Macroeconomic shocks and banks’ foreign assets

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Authors

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.
Original languageEnglish
JournalJournal of Money, Credit and Banking
Volume42
Issue number1
Pages (from-to)171-188
Number of pages18
DOIs
Publication statusPublished - 02.2010
Externally publishedYes

    Research areas

  • Management studies
  • International banking, Macroeconomic shocks, Panel VAR models

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