Macroeconomic shocks and banks’ foreign assets

Claudia Buch, Kai Carstensen and Andrea Schertler ()

Munich Reprints in Economics from University of Munich, Department of Economics

Abstract: Recent developments in international financial markets have highlighted the role of banks in the transmission of shocks across borders. We employ dynamic panel methods for a sample of OECD countries to analyze whether banks’ foreign assets react to macroeconomic shocks at home and abroad. We find that banks reduce their foreign assets in response to a relative increase in domestic interest rates, and they increase their foreign assets when the growth rate of world energy prices rises. The responses are characterized by a temporal overshooting and a dynamic adjustment process that extends over several quarters.

Date: 2010
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Citations: View citations in EconPapers (12)

Published in Journal of Money, Credit and Banking 1 42(2010): pp. 171-188

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Related works:
Journal Article: Macroeconomic Shocks and Banks' Foreign Assets (2010)
Journal Article: Macroeconomic Shocks and Banks' Foreign Assets (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:lmu:muenar:19988

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