International prudential policy spillovers: a global perspective

Stefan Avdjiev, Catherine Koch, Patrick McGuire and Goetz von Peter ()
Authors registered in the RePEc Author Service: Catherine Tahmee Casanova

No 589, BIS Working Papers from Bank for International Settlements

Abstract: We combine the BIS international banking statistics with the IBRN prudential instruments database in a global study analyzing the effect of prudential measures on international lending. Our bilateral setting, which features multiple home and destination countries, allows us to simultaneously estimate both the international transmission and the local effects of such measures. We find that changes in macroprudential policy via loan-to-value limits and local currency reserve requirements have a significant impact on international bank lending. Balance sheet characteristics play an important role in determining the strength of these effects, with better capitalized banking systems and those with more liquid assets and less core deposits reacting more. Overall, our results suggest that the tightening of these macroprudential measures can be associated with international spillovers.

Keywords: International banking; macroprudential measures; spillovers (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-10
New Economics Papers: this item is included in nep-ban, nep-cba and nep-ifn
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (30)

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Related works:
Journal Article: International Prudential Policy Spillovers: A Global Perspective (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:bis:biswps:589

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