EconPapers    
Economics at your fingertips  
 

International Credit Supply Shocks

Ambrogio Cesa-Bianchi (), Andrea Ferrero () and Alessandro Rebucci ()

No 23841, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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
Date: 2017-09
Note: AP EFG IFM ME
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Forthcoming: International Credit Supply Shocks , Ambrogio Cesa-Bianchi, Andrea Ferrero, Alessandro Rebucci. in NBER International Seminar on Macroeconomics 2017 , Frankel and Rey. 2017

Downloads: (external link)
http://www.nber.org/papers/w23841.pdf (application/pdf)
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.

Related works:
Chapter: 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) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:23841

Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w23841
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.
Series data maintained by ().

 
Page updated 2017-10-28
Handle: RePEc:nbr:nberwo:23841