Uncertainty and Cross-Border Banking Flows.:
While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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[Washington, D.C.] :
International Monetary Fund,
[2018]
|
| Schriftenreihe: | IMF working paper ;
WP/18/4. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to fill this gap in the literature by examining the effects of country-specific uncertainty shocks on cross-border banking flows using the confidential Bank for International Settlements Locational Banking Statistics data. The dyadic structure of this data allows to disentangle supply and demand factors and to better identify the effect of uncertainty shocks on cross-border banking flows. The results of this analysis suggest that: (i) uncertainty is both a push and pull factor that robustly predicts a decrease in both outflows (retrenchment) and inflows (stops); (ii) global banks rebalance their lending towards safer foreign borrowers from local borrowers when facing higher uncertainty; (iii) this rebalancing occurs only towards advanced economies (flight to quality), but not emerging market economies. |
| Beschreibung: | Table B.1 Rebalancing between domestic and cross-border lending: Using an alternative share of cross-border claims. |
| Beschreibung: | 1 online resource (52 pages). |
| ISBN: | 1484336976 1484336798 9781484336793 9781484336977 |
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| 505 | 0 | |a Cover; Contents; I. Introduction; II. Data; III. Methodology; IV. Empirical Findings; A. Baseline Results; B. Robustness Checks; C. Mechanisms at play: Rebalancing channel of global banks; V. Conclusions; References; List of Figures; 1 Total cross-border bank claims and liabilities; 2 Examples of the bilateral cross-border bank claims and liabilities: a reporterâ#x80;#x94;counterparty pair; List of Tables; 1 Summary statistics; 2 Baseline analysis; 3 Link to the previous studies: Emerging market economies only; 4 Robustness check: Alternative measure of uncertainty (economic policy uncertainty). | |
| 505 | 8 | |a 5 Robustness check: Alternative measure of uncertainty (idiosyncratic stock market volatility)6 Robustness check: Before and after the Global Financial Crisis; 7 Robustness check: Euro area vs. non-euro area countries; 8 Rebalancing between local and cross-border claims; 9 Rebalancing between local and cross-border claims: Before and after the Global Financial Crisis; 10 Rebalancing between local and cross-border claims: IV approach; 11 Rebalancing between local and cross-border claims: Safe vs. risky borrowers; Appendix; A Additional Figures and Tables. | |
| 505 | 8 | |a Figure A.1 Country-specific uncertainty indexTable A.1 Event classification; Table A.2 List of countries in the final sample; Table A.3 Before and after the Global Financial Crisis: Economic policy uncertainty; Table A.4 Rebalancing between local and cross-border claims: Alternative measure of uncertainty (idiosyncratic stock market volatility); Table A.5 Rebalancing between local and cross-border claims: IV approach with alternative measures of uncertainty; B Additional exercise on the rebalancing channel of global banks. | |
| 500 | |a Table B.1 Rebalancing between domestic and cross-border lending: Using an alternative share of cross-border claims. | ||
| 520 | 3 | |a While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to fill this gap in the literature by examining the effects of country-specific uncertainty shocks on cross-border banking flows using the confidential Bank for International Settlements Locational Banking Statistics data. The dyadic structure of this data allows to disentangle supply and demand factors and to better identify the effect of uncertainty shocks on cross-border banking flows. The results of this analysis suggest that: (i) uncertainty is both a push and pull factor that robustly predicts a decrease in both outflows (retrenchment) and inflows (stops); (ii) global banks rebalance their lending towards safer foreign borrowers from local borrowers when facing higher uncertainty; (iii) this rebalancing occurs only towards advanced economies (flight to quality), but not emerging market economies. | |
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| author | Choi, Sangyup Furceri, Davide |
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| author_facet | Choi, Sangyup Furceri, Davide |
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| contents | Cover; Contents; I. Introduction; II. Data; III. Methodology; IV. Empirical Findings; A. Baseline Results; B. Robustness Checks; C. Mechanisms at play: Rebalancing channel of global banks; V. Conclusions; References; List of Figures; 1 Total cross-border bank claims and liabilities; 2 Examples of the bilateral cross-border bank claims and liabilities: a reporterâ#x80;#x94;counterparty pair; List of Tables; 1 Summary statistics; 2 Baseline analysis; 3 Link to the previous studies: Emerging market economies only; 4 Robustness check: Alternative measure of uncertainty (economic policy uncertainty). 5 Robustness check: Alternative measure of uncertainty (idiosyncratic stock market volatility)6 Robustness check: Before and after the Global Financial Crisis; 7 Robustness check: Euro area vs. non-euro area countries; 8 Rebalancing between local and cross-border claims; 9 Rebalancing between local and cross-border claims: Before and after the Global Financial Crisis; 10 Rebalancing between local and cross-border claims: IV approach; 11 Rebalancing between local and cross-border claims: Safe vs. risky borrowers; Appendix; A Additional Figures and Tables. Figure A.1 Country-specific uncertainty indexTable A.1 Event classification; Table A.2 List of countries in the final sample; Table A.3 Before and after the Global Financial Crisis: Economic policy uncertainty; Table A.4 Rebalancing between local and cross-border claims: Alternative measure of uncertainty (idiosyncratic stock market volatility); Table A.5 Rebalancing between local and cross-border claims: IV approach with alternative measures of uncertainty; B Additional exercise on the rebalancing channel of global banks. |
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| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.1 |
| dewey-search | 332.1 |
| dewey-sort | 3332.1 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBU-on1020031951 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-16T15:04:20Z |
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| isbn | 1484336976 1484336798 9781484336793 9781484336977 |
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| spelling | Choi, Sangyup, author. http://id.loc.gov/authorities/names/no2015026248 Uncertainty and Cross-Border Banking Flows. [Washington, D.C.] : International Monetary Fund, [2018] ©2018 1 online resource (52 pages). text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF Working Paper ; WP/18/4 Print version record. Cover; Contents; I. Introduction; II. Data; III. Methodology; IV. Empirical Findings; A. Baseline Results; B. Robustness Checks; C. Mechanisms at play: Rebalancing channel of global banks; V. Conclusions; References; List of Figures; 1 Total cross-border bank claims and liabilities; 2 Examples of the bilateral cross-border bank claims and liabilities: a reporterâ#x80;#x94;counterparty pair; List of Tables; 1 Summary statistics; 2 Baseline analysis; 3 Link to the previous studies: Emerging market economies only; 4 Robustness check: Alternative measure of uncertainty (economic policy uncertainty). 5 Robustness check: Alternative measure of uncertainty (idiosyncratic stock market volatility)6 Robustness check: Before and after the Global Financial Crisis; 7 Robustness check: Euro area vs. non-euro area countries; 8 Rebalancing between local and cross-border claims; 9 Rebalancing between local and cross-border claims: Before and after the Global Financial Crisis; 10 Rebalancing between local and cross-border claims: IV approach; 11 Rebalancing between local and cross-border claims: Safe vs. risky borrowers; Appendix; A Additional Figures and Tables. Figure A.1 Country-specific uncertainty indexTable A.1 Event classification; Table A.2 List of countries in the final sample; Table A.3 Before and after the Global Financial Crisis: Economic policy uncertainty; Table A.4 Rebalancing between local and cross-border claims: Alternative measure of uncertainty (idiosyncratic stock market volatility); Table A.5 Rebalancing between local and cross-border claims: IV approach with alternative measures of uncertainty; B Additional exercise on the rebalancing channel of global banks. Table B.1 Rebalancing between domestic and cross-border lending: Using an alternative share of cross-border claims. While global uncertainty-measured by the VIX-has proven to be a robust global 'push' factor of international capital flows, there has been no systematic study assessing the role of country-specific uncertainty as a key (pull and push) factor of international capital flows. This paper tries to fill this gap in the literature by examining the effects of country-specific uncertainty shocks on cross-border banking flows using the confidential Bank for International Settlements Locational Banking Statistics data. The dyadic structure of this data allows to disentangle supply and demand factors and to better identify the effect of uncertainty shocks on cross-border banking flows. The results of this analysis suggest that: (i) uncertainty is both a push and pull factor that robustly predicts a decrease in both outflows (retrenchment) and inflows (stops); (ii) global banks rebalance their lending towards safer foreign borrowers from local borrowers when facing higher uncertainty; (iii) this rebalancing occurs only towards advanced economies (flight to quality), but not emerging market economies. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking fast International Policy Coordination And Transmission. imf International Investment. imf Current Account Adjustments. imf All Countries. imf Furceri, Davide, author. http://id.loc.gov/authorities/names/no2010061747 has work: Uncertainty and Cross-Border Banking Flows (Text) https://id.oclc.org/worldcat/entity/E39PCGdtwfHtwy3V63gYF7HYdP https://id.oclc.org/worldcat/ontology/hasWork Print version: Choi, Sangyup. Uncertainty and Cross-Border Banking Flows. Washington, D.C. : International Monetary Fund, ©2018 9781484336793 IMF working paper ; WP/18/4. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1687315 Volltext |
| spellingShingle | Choi, Sangyup Furceri, Davide Uncertainty and Cross-Border Banking Flows. IMF working paper ; Cover; Contents; I. Introduction; II. Data; III. Methodology; IV. Empirical Findings; A. Baseline Results; B. Robustness Checks; C. Mechanisms at play: Rebalancing channel of global banks; V. Conclusions; References; List of Figures; 1 Total cross-border bank claims and liabilities; 2 Examples of the bilateral cross-border bank claims and liabilities: a reporterâ#x80;#x94;counterparty pair; List of Tables; 1 Summary statistics; 2 Baseline analysis; 3 Link to the previous studies: Emerging market economies only; 4 Robustness check: Alternative measure of uncertainty (economic policy uncertainty). 5 Robustness check: Alternative measure of uncertainty (idiosyncratic stock market volatility)6 Robustness check: Before and after the Global Financial Crisis; 7 Robustness check: Euro area vs. non-euro area countries; 8 Rebalancing between local and cross-border claims; 9 Rebalancing between local and cross-border claims: Before and after the Global Financial Crisis; 10 Rebalancing between local and cross-border claims: IV approach; 11 Rebalancing between local and cross-border claims: Safe vs. risky borrowers; Appendix; A Additional Figures and Tables. Figure A.1 Country-specific uncertainty indexTable A.1 Event classification; Table A.2 List of countries in the final sample; Table A.3 Before and after the Global Financial Crisis: Economic policy uncertainty; Table A.4 Rebalancing between local and cross-border claims: Alternative measure of uncertainty (idiosyncratic stock market volatility); Table A.5 Rebalancing between local and cross-border claims: IV approach with alternative measures of uncertainty; B Additional exercise on the rebalancing channel of global banks. Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking fast International Policy Coordination And Transmission. imf International Investment. imf Current Account Adjustments. imf All Countries. imf |
| subject_GND | http://id.loc.gov/authorities/subjects/sh85011609 |
| title | Uncertainty and Cross-Border Banking Flows. |
| title_auth | Uncertainty and Cross-Border Banking Flows. |
| title_exact_search | Uncertainty and Cross-Border Banking Flows. |
| title_full | Uncertainty and Cross-Border Banking Flows. |
| title_fullStr | Uncertainty and Cross-Border Banking Flows. |
| title_full_unstemmed | Uncertainty and Cross-Border Banking Flows. |
| title_short | Uncertainty and Cross-Border Banking Flows. |
| title_sort | uncertainty and cross border banking flows |
| topic | Banks and banking. http://id.loc.gov/authorities/subjects/sh85011609 Banks and banking fast International Policy Coordination And Transmission. imf International Investment. imf Current Account Adjustments. imf All Countries. imf |
| topic_facet | Banks and banking. Banks and banking International Policy Coordination And Transmission. International Investment. Current Account Adjustments. All Countries. |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1687315 |
| work_keys_str_mv | AT choisangyup uncertaintyandcrossborderbankingflows AT furceridavide uncertaintyandcrossborderbankingflows |