Real and Financial Vulnerabilities from Crossborder Banking Linkages

Kyunghun Kim and Srobona Mitra

No 2014/136, IMF Working Papers from International Monetary Fund

Abstract: This paper looks at the vulnerabilities stemming from banking sector linkages between countries and their macroeconomic effects. It finds that credit risks (from a banking system’s claims on other countries) and funding risks (from a banking system’s liabilities to another) have declined over the past five years. It also finds that funding vulnerabilities have real effects. During normal times, funding vulnerabilities are associated with significant positive GDP growth surprises. During crisis times, funding vulnerabilities are associated with significant negative GDP growth surprises. The results tell us that policymakers should pay more attention to understanding crossborder funding risks.

Keywords: WP; banking system; GDP; capital; Network Linkages; Banking; Funding Risks; Credit Risks; GDP surprises; funding shock; growth surprise; counterparty banking systems; banking system fail; funding risk; vulnerabilities from crossborder network linkage; funding index; creditor banking systems; funding vulnerability; capital depletion; Commercial banks; Credit; Credit risk; Countercyclical capital buffers; Foreign currency exposure; Global (search for similar items in EconPapers)
Pages: 25
Date: 2014-07-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.imf.org/external/pubs/cat/longres.aspx?sk=41792 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:imf:imfwpa:2014/136

Ordering information: This working paper can be ordered from
http://www.imf.org/external/pubs/pubs/ord_info.htm

Access Statistics for this paper

More papers in IMF Working Papers from International Monetary Fund International Monetary Fund, Washington, DC USA. Contact information at EDIRC.
Bibliographic data for series maintained by Akshay Modi ().