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Macroprudential policy spillovers and international banking - Taking the gravity approach

Anni Norring

No 101, ESRB Working Paper Series from European Systemic Risk Board

Abstract: In this paper I study how the effects of nationally implemented macroprudential policy spill across borders via international lending. For a set of 157 countries, I estimate a gravity model applied to international banking where the use of different macroprudential policy measures enter as friction variables. My findings support the existence of cross-border spillovers from macroprudential policy. Moreover, I find that the overall effect from more macroprudential regulation is highly dependent on the income group of the countries in which banks operate: The effect is of opposite sign for advanced and for emerging economies. I argue that the difference may tell of banks having more opportunities for regulatory arbitrage in emerging market economies. JEL Classification: F42, G15, G21

Keywords: international banking; macroprudential policy; policy spillovers (search for similar items in EconPapers)
Date: 2019-09
New Economics Papers: this item is included in nep-ban, nep-cba and nep-ifn
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Persistent link: https://EconPapers.repec.org/RePEc:srk:srkwps:2019101

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