International Credit Supply Shocks
Ambrogio Cesa-Bianchi (),
Andrea Ferrero () and
Alessandro Rebucci ()
No 23841, NBER Working Papers from National Bureau of Economic Research, Inc
House prices and exchange rates can potentially amplify the expansionary effect of capital inflows by inflating the value of collateral. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit.
JEL-codes: C33 E44 F3 F44 R0 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban, nep-ifn, nep-mac, nep-mon, nep-opm and nep-ure
Note: AP EFG IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Published as International Credit Supply Shocks , Ambrogio Cesa-Bianchi, Andrea Ferrero, Alessandro Rebucci. in NBER International Seminar on Macroeconomics 2017 , Frankel, Rey, and Engel. 2018
Published as Ambrogio Cesa-Bianchi & Andrea Ferrero & Alessandro Rebucci, 2017. "International credit supply shocks," Journal of International Economics, .
Downloads: (external link)
Access to the full text is generally limited to series subscribers, however if the top level domain of the client browser is in a developing country or transition economy free access is provided. More information about subscriptions and free access is available at http://www.nber.org/wwphelp.html. Free access is also available to older working papers.
Journal Article: International credit supply shocks (2018)
Chapter: International Credit Supply Shocks (2017)
Working Paper: International credit supply shocks (2017)
Working Paper: International Credit Supply Shocks (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:23841
Ordering information: This working paper can be ordered from
The price is Paper copy available by mail.
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().