Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model

Robert Kollmann ()

Journal of Money, Credit and Banking, 2013, vol. 45, issue s2, 159-195

Abstract: This paper estimates a two‐country model with a global bank, using U.S. and euro area (EA) data. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for U.S. real activity. Banking shocks account for about 2–5% of the unconditional variance of U.S. GDP and for 3–14% of the variance of EA GDP. During the 2007–09 recession, banking shocks accounted for about 15% of the fall in U.S. and EA GDP, and for more than a third of the fall in EA investment and employment.

Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (34)

Downloads: (external link)
https://doi.org/10.1111/jmcb.12074

Related works:
Journal Article: Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model (2013)
Working Paper: Global Banks, Financial Shocks And International Business Cycles: Evidence From An Estimated Model (2013)
Working Paper: Global Banks, Financial Shocks and International Business Cycles: Evidence from an Estimated Model (2012)
Working Paper: Global banks, financial shocks and international business cycles: evidence from an estimated model (2012)
Working Paper: Global Banks, Financial Shocks and International Business Cycles: Evidence from Estimated Models (2012)
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:wly:jmoncb:v:45:y:2013:i:s2:p:159-195

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().