Foreign currency bank funding and global factors

Signe Krogstrup and Cédric Tille

No 2104, Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel)

Abstract: The literature on drivers of capital flows stresses the prominent role of global financial factors. Recent empirical work, however, highlights how this role varies across countries and time, and this heterogeneity is not well understood. We revisit this question by focusing on financial intermediaries' funding flows in different currencies. A portfolio model shows that the sign and magnitude of the response of foreign currency funding flows to global risk factors depend on the financial intermediary's pre-existing currency exposure. Analysis of data on European banks' aggregate balance sheets lends support to the model predictions, especially in countries outside the euro area.

Keywords: currency mismatch; capital flows; push factors; spillovers; cross-border transmission of shocks; European bank balance sheets (search for similar items in EconPapers)
JEL-codes: F32 F34 F36 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ban, nep-eec, nep-ifn, nep-knm and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/178702/1/1023168553.pdf (application/pdf)

Related works:
Working Paper: Foreign Currency Bank Funding and Global Factors (2018)
Working Paper: Foreign Currency Bank Funding and Global Factors (2018)
Working Paper: Foreign Currency Bank Funding and Global Factors (2018)
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:zbw:ifwkwp:2104

Access Statistics for this paper

More papers in Kiel Working Papers from Kiel Institute for the World Economy (IfW Kiel) Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().