Banks' foreign credit exposures and borrowers' rollover risks :: measurement, evolution and determinants /
The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance on foreign bank credit, by combining BIS data with bank-level data. The res...
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| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
[Washington, D.C.] :
International Monetary Fund,
©2013.
|
| Series: | IMF working paper ;
WP/13/9. |
| Subjects: | |
| Online Access: | DE-862 DE-863 |
| Summary: | The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates' funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks' foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries' reliance on foreign bank credit--how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions. |
| Item Description: | Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). "Research Department." "January 2013." |
| Physical Description: | 1 online resource (44 pages) |
| Bibliography: | Includes bibliographical references. |
| ISBN: | 9781475589481 1475589484 9781475544602 147554460X 9781475548310 1475548311 |
Staff View
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| 100 | 1 | |a Cerutti, Eugenio. |0 http://id.loc.gov/authorities/names/n2005079763 | |
| 245 | 1 | 0 | |a Banks' foreign credit exposures and borrowers' rollover risks : |b measurement, evolution and determinants / |c prepared by Eugenio Cerutti. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2013. | ||
| 300 | |a 1 online resource (44 pages) | ||
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| 500 | |a Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). | ||
| 520 | |a The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates' funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks' foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries' reliance on foreign bank credit--how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions. | ||
| 504 | |a Includes bibliographical references. | ||
| 500 | |a "Research Department." | ||
| 500 | |a "January 2013." | ||
| 505 | 0 | |a Cover; Contents; I. Introduction; II. Measuring Banks' Foreign Credit Exposure: Downward Exposure; Boxes; 1. BIS Consolidated Banking Statistics: Characteristics and Limitations; A. On-Balance Sheet Downward Exposure Level; Figures; 1. Comparing On-Balance Sheet Downstream Exposures Measures; B. On and Off-Balance Sheet Downstream Exposure Level; 2. Downstream Exposures vs. Foreign Claims; C. Limitations in the Downstream Exposure Analysis; III. Measuring Borrowers' Foreign Rollover Risks: Upward Exposure; A. On-Balance Sheet Upstream Exposure Level. | |
| 505 | 8 | |a 3. On-Balance Sheet Upstream Exposures vs. Foreign ClaimsB. On- and Off-Balance Sheet Upstream Exposure; C. Limitations in the Upstream Exposure Analysis; 4. Upstream Exposures as Percentage of Total Credit; IV. Downward and Upward Exposures: A Time Series Perspective; 2. Adjusting BIS CBS for Coverage Break-in-Series and Exchange Rate Movements; A. Evolution of On-Balance Sheet Downstream Exposures; 5. Evolution of On-balance Sheet Downstream Exposures; B. Evolution of On-Balance Sheet Upstream Exposures; 6. Evolution of On-balance Sheet Upstream Exposures. | |
| 505 | 8 | |a V. Determinants of the Evolution of Downward and Upward ExposuresA. Drivers of On-Balance Sheet Downstream Exposures; B. Drivers of On-Balance Sheet Upstream Exposures; VI. Conclusions; References; Annex; A. Data Sources: BIS CBS, Bank-level, and IFS Data; B. Calculation of Downstream and Upstream Exposures; C. Adjusting for Break-in-Series and Exchange Rate Variations; D. Statistical Appendix of the Econometric Analysis. | |
| 650 | 0 | |a Banks and banking. |0 http://id.loc.gov/authorities/subjects/sh85011609 | |
| 650 | 0 | |a Banks and banking, International. |0 http://id.loc.gov/authorities/subjects/sh85011656 | |
| 650 | 0 | |a Bank loans. |0 http://id.loc.gov/authorities/subjects/sh85011575 | |
| 650 | 0 | |a Credit. |0 http://id.loc.gov/authorities/subjects/sh85033856 | |
| 650 | 0 | |a Risk. |0 http://id.loc.gov/authorities/subjects/sh85114195 | |
| 650 | 6 | |a Banques internationales. | |
| 650 | 6 | |a Prêts bancaires. | |
| 650 | 6 | |a Crédit. | |
| 650 | 6 | |a Risque. | |
| 650 | 7 | |a credit. |2 aat | |
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| 650 | 7 | |a Bank loans |2 fast | |
| 650 | 7 | |a Banks and banking |2 fast | |
| 650 | 7 | |a Banks and banking, International |2 fast | |
| 650 | 7 | |a Credit |2 fast | |
| 650 | 7 | |a Risk |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b Research Department. |0 http://id.loc.gov/authorities/names/n77001219 | |
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| author | Cerutti, Eugenio |
| author_GND | http://id.loc.gov/authorities/names/n2005079763 |
| author_corporate | International Monetary Fund. Research Department |
| author_corporate_role | |
| author_facet | Cerutti, Eugenio International Monetary Fund. Research Department |
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| contents | Cover; Contents; I. Introduction; II. Measuring Banks' Foreign Credit Exposure: Downward Exposure; Boxes; 1. BIS Consolidated Banking Statistics: Characteristics and Limitations; A. On-Balance Sheet Downward Exposure Level; Figures; 1. Comparing On-Balance Sheet Downstream Exposures Measures; B. On and Off-Balance Sheet Downstream Exposure Level; 2. Downstream Exposures vs. Foreign Claims; C. Limitations in the Downstream Exposure Analysis; III. Measuring Borrowers' Foreign Rollover Risks: Upward Exposure; A. On-Balance Sheet Upstream Exposure Level. 3. On-Balance Sheet Upstream Exposures vs. Foreign ClaimsB. On- and Off-Balance Sheet Upstream Exposure; C. Limitations in the Upstream Exposure Analysis; 4. Upstream Exposures as Percentage of Total Credit; IV. Downward and Upward Exposures: A Time Series Perspective; 2. Adjusting BIS CBS for Coverage Break-in-Series and Exchange Rate Movements; A. Evolution of On-Balance Sheet Downstream Exposures; 5. Evolution of On-balance Sheet Downstream Exposures; B. Evolution of On-Balance Sheet Upstream Exposures; 6. Evolution of On-balance Sheet Upstream Exposures. V. Determinants of the Evolution of Downward and Upward ExposuresA. Drivers of On-Balance Sheet Downstream Exposures; B. Drivers of On-Balance Sheet Upstream Exposures; VI. Conclusions; References; Annex; A. Data Sources: BIS CBS, Bank-level, and IFS Data; B. Calculation of Downstream and Upstream Exposures; C. Adjusting for Break-in-Series and Exchange Rate Variations; D. Statistical Appendix of the Econometric Analysis. |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1/5 |
| dewey-search | 332.1/5 |
| dewey-sort | 3332.1 15 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| illustrated | Not Illustrated |
| indexdate | 2025-03-18T14:27:42Z |
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| isbn | 9781475589481 1475589484 9781475544602 147554460X 9781475548310 1475548311 |
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| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Cerutti, Eugenio. http://id.loc.gov/authorities/names/n2005079763 Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / prepared by Eugenio Cerutti. [Washington, D.C.] : International Monetary Fund, ©2013. 1 online resource (44 pages) text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/13/9 Title from PDF title page (IMF Web site, viewed Jan. 22, 2013). The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems' foreign credit exposures and borrower countries' reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates' funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks' foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries' reliance on foreign bank credit--how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions. Includes bibliographical references. "Research Department." "January 2013." Cover; Contents; I. Introduction; II. Measuring Banks' Foreign Credit Exposure: Downward Exposure; Boxes; 1. BIS Consolidated Banking Statistics: Characteristics and Limitations; A. On-Balance Sheet Downward Exposure Level; Figures; 1. Comparing On-Balance Sheet Downstream Exposures Measures; B. On and Off-Balance Sheet Downstream Exposure Level; 2. Downstream Exposures vs. Foreign Claims; C. Limitations in the Downstream Exposure Analysis; III. Measuring Borrowers' Foreign Rollover Risks: Upward Exposure; A. On-Balance Sheet Upstream Exposure Level. 3. On-Balance Sheet Upstream Exposures vs. Foreign ClaimsB. On- and Off-Balance Sheet Upstream Exposure; C. Limitations in the Upstream Exposure Analysis; 4. Upstream Exposures as Percentage of Total Credit; IV. Downward and Upward Exposures: A Time Series Perspective; 2. Adjusting BIS CBS for Coverage Break-in-Series and Exchange Rate Movements; A. Evolution of On-Balance Sheet Downstream Exposures; 5. Evolution of On-balance Sheet Downstream Exposures; B. Evolution of On-Balance Sheet Upstream Exposures; 6. Evolution of On-balance Sheet Upstream Exposures. V. Determinants of the Evolution of Downward and Upward ExposuresA. Drivers of On-Balance Sheet Downstream Exposures; B. Drivers of On-Balance Sheet Upstream Exposures; VI. Conclusions; References; Annex; A. Data Sources: BIS CBS, Bank-level, and IFS Data; B. Calculation of Downstream and Upstream Exposures; C. Adjusting for Break-in-Series and Exchange Rate Variations; D. Statistical Appendix of the Econometric Analysis. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking, International. http://id.loc.gov/authorities/subjects/sh85011656 Bank loans. http://id.loc.gov/authorities/subjects/sh85011575 Credit. http://id.loc.gov/authorities/subjects/sh85033856 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Banques internationales. Prêts bancaires. Crédit. Risque. credit. aat BUSINESS & ECONOMICS Banks & Banking. bisacsh Bank loans fast Banks and banking fast Banks and banking, International fast Credit fast Risk fast International Monetary Fund. Research Department. http://id.loc.gov/authorities/names/n77001219 IMF working paper ; WP/13/9. http://id.loc.gov/authorities/names/no89010263 |
| spellingShingle | Cerutti, Eugenio Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / IMF working paper ; Cover; Contents; I. Introduction; II. Measuring Banks' Foreign Credit Exposure: Downward Exposure; Boxes; 1. BIS Consolidated Banking Statistics: Characteristics and Limitations; A. On-Balance Sheet Downward Exposure Level; Figures; 1. Comparing On-Balance Sheet Downstream Exposures Measures; B. On and Off-Balance Sheet Downstream Exposure Level; 2. Downstream Exposures vs. Foreign Claims; C. Limitations in the Downstream Exposure Analysis; III. Measuring Borrowers' Foreign Rollover Risks: Upward Exposure; A. On-Balance Sheet Upstream Exposure Level. 3. On-Balance Sheet Upstream Exposures vs. Foreign ClaimsB. On- and Off-Balance Sheet Upstream Exposure; C. Limitations in the Upstream Exposure Analysis; 4. Upstream Exposures as Percentage of Total Credit; IV. Downward and Upward Exposures: A Time Series Perspective; 2. Adjusting BIS CBS for Coverage Break-in-Series and Exchange Rate Movements; A. Evolution of On-Balance Sheet Downstream Exposures; 5. Evolution of On-balance Sheet Downstream Exposures; B. Evolution of On-Balance Sheet Upstream Exposures; 6. Evolution of On-balance Sheet Upstream Exposures. V. Determinants of the Evolution of Downward and Upward ExposuresA. Drivers of On-Balance Sheet Downstream Exposures; B. Drivers of On-Balance Sheet Upstream Exposures; VI. Conclusions; References; Annex; A. Data Sources: BIS CBS, Bank-level, and IFS Data; B. Calculation of Downstream and Upstream Exposures; C. Adjusting for Break-in-Series and Exchange Rate Variations; D. Statistical Appendix of the Econometric Analysis. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking, International. http://id.loc.gov/authorities/subjects/sh85011656 Bank loans. http://id.loc.gov/authorities/subjects/sh85011575 Credit. http://id.loc.gov/authorities/subjects/sh85033856 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Banques internationales. Prêts bancaires. Crédit. Risque. credit. aat BUSINESS & ECONOMICS Banks & Banking. bisacsh Bank loans fast Banks and banking fast Banks and banking, International fast Credit fast Risk fast |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85011609 http://id.loc.gov/authorities/subjects/sh85011656 http://id.loc.gov/authorities/subjects/sh85011575 http://id.loc.gov/authorities/subjects/sh85033856 http://id.loc.gov/authorities/subjects/sh85114195 |
| title | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / |
| title_auth | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / |
| title_exact_search | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / |
| title_full | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / prepared by Eugenio Cerutti. |
| title_fullStr | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / prepared by Eugenio Cerutti. |
| title_full_unstemmed | Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants / prepared by Eugenio Cerutti. |
| title_short | Banks' foreign credit exposures and borrowers' rollover risks : |
| title_sort | banks foreign credit exposures and borrowers rollover risks measurement evolution and determinants |
| title_sub | measurement, evolution and determinants / |
| topic | Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking, International. http://id.loc.gov/authorities/subjects/sh85011656 Bank loans. http://id.loc.gov/authorities/subjects/sh85011575 Credit. http://id.loc.gov/authorities/subjects/sh85033856 Risk. http://id.loc.gov/authorities/subjects/sh85114195 Banques internationales. Prêts bancaires. Crédit. Risque. credit. aat BUSINESS & ECONOMICS Banks & Banking. bisacsh Bank loans fast Banks and banking fast Banks and banking, International fast Credit fast Risk fast |
| topic_facet | Banks and banking. Banks and banking, International. Bank loans. Credit. Risk. Banques internationales. Prêts bancaires. Crédit. Risque. credit. BUSINESS & ECONOMICS Banks & Banking. Bank loans Banks and banking Banks and banking, International Credit Risk |
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