Shock transmission through international banks: the Italian case

Caccavaio, Marianna; Carpinelli, Luisa; Marinelli, Giuseppe; Sette, Enrico

Shock transmission through international banks: the Italian case

Marianna Caccavaio (), Luisa Carpinelli (), Giuseppe Marinelli and Enrico Sette
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Marianna Caccavaio: Banca d'Italia
Luisa Carpinelli: Banca d'Italia

No 232, Questioni di Economia e Finanza (Occasional Papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: This paper studies what impact liquidity shocks have on liquid assets and domestic and cross-border lending. In particular, we look for differences across banks depending on their international exposure and we account for the effects of the sovereign debt crisis and the ECBï¿½s non-conventional monetary policy measures. Our main findings are that liquid assets are important drivers of lending adjustment to liquidity risk and that this effect is significant for domestic lending but not for foreign lending even considering the characteristics of the destination market. Differences in banksï¿½ international exposure play a limited role in the way liquidity shocks are transmitted.

Keywords: liquidity shock; cross-border lending; international banks (search for similar items in EconPapers)
JEL-codes: G20 G21 (search for similar items in EconPapers)
Date: 2014-09
New Economics Papers: this item is included in nep-ban, nep-ifn, nep-mon and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:opques:qef_232_14

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