Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants

Eugenio Cerutti

No 2013/009, IMF Working Papers from International Monetary Fund

Abstract: The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems’ foreign credit exposures and borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates’ funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks’ foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries’ reliance on foreign bank credit—how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions.

Keywords: WP; upstream exposure; borrower country; banking group; exchange rate; Systemic risks; banking system; international; contagion; vulnerabilities; creditor banking system; downstream exposure; on-balance sheet; credit commitment; BIS bank; Commercial banks; Foreign currency exposure; Foreign banks; Systemic crises; Global; Europe (search for similar items in EconPapers)
Pages: 44
Date: 2013-01-11
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Citations: View citations in EconPapers (19)

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