Macroeconomic Shocks and Banks' Foreign Assets

Claudia Buch, Kai Carstensen and Andrea Schertler ()

Journal of Money, Credit and Banking, 2010, vol. 42, issue 1, 171-188

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. Copyright (c) 2010 The Ohio State University.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:mcb:jmoncb:v:42:y:2010:i:1:p:171-188

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