Monetary policy spillovers and currency networks in cross-border bank lending
Stefan Avdjiev () and
No 549, BIS Working Papers from Bank for International Settlements
We demonstrate that currency networks in cross-border bank lending have a significant impact on the size, distribution and direction of international monetary policy spillovers. Using the recently enhanced BIS international banking statistics, which simultaneously provide information on the lender, borrower and currency composition of cross-border bank claims, we map the major currency networks in international banking. Next, we show that during the 2013 Fed taper tantrum, exposure to dollar lending was associated with safe haven flows to the United States, virtually unchanged flow dynamics vis-à-vis other advanced economies, and strong outflows from emerging markets. Furthermore, this pattern was shaped by interbank lending rather than by lending to non-banks.
Keywords: Currency networks; cross-border banking flows; international monetary policy spillovers (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:549
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