Macroeconomic shocks and banks’ foreign assets

Research output: Journal contributionsJournal articlesResearchpeer-review

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Macroeconomic shocks and banks’ foreign assets. / Buch, Claudia M. ; Carstensen, Kai; Schertler, Andrea Gisela.
In: Journal of Money, Credit and Banking, Vol. 42, No. 1, 02.2010, p. 171-188.

Research output: Journal contributionsJournal articlesResearchpeer-review

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Buch CM, Carstensen K, Schertler AG. Macroeconomic shocks and banks’ foreign assets. Journal of Money, Credit and Banking. 2010 Feb;42(1):171-188. doi: 10.1111/j.1538-4616.2009.00283.x

Bibtex

@article{d9dc02e21fc94261bf3d7dd97344afa7,
title = "Macroeconomic shocks and banks{\textquoteright} foreign assets",
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. {\textcopyright} 2010 The Ohio State University.",
keywords = "Management studies, International banking, Macroeconomic shocks, Panel VAR models",
author = "Buch, {Claudia M.} and Kai Carstensen and Schertler, {Andrea Gisela}",
year = "2010",
month = feb,
doi = "10.1111/j.1538-4616.2009.00283.x",
language = "English",
volume = "42",
pages = "171--188",
journal = "Journal of Money, Credit and Banking",
issn = "1538-4616",
publisher = "Wiley-Blackwell Publishing, Inc.",
number = "1",

}

RIS

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 -

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