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Title:International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle PDF Logo
Authors:Blank, Sven
Buch, Claudia M.
Issue Date:2007
Series/Report no.:IAW-Diskussionspapiere 29
Abstract:International bank portfolios constitute a large component of international country portfolios. Yet, their response to macroeconomic conditions and their impact on the international transmission of business cycles developments remains largely unexplored. We use a novel dataset on banks? international portfolios to answer three questions. First, what are the long-run determinants of banks? international portfolios? Second, how do banks? international portfolios adjust to short-run macroeconomic developments? Third, does the speed of adjustment change with the degree of financial integration? We provide evidence of significant long-run cointegration relationships between cross-border assets and liabilities of banks and key macroeconomic variables. Both, the long-run determinants of banks? international portfolios as well as the short-run dynamics show a significant degree of heterogeneity across countries and, to some extent, over time. Gravitytype variables help explaining differences in the speed of adjustment to new equilibria.
Subjects:international bank portfolios
macroeconomic developments
transmission channels
JEL:F32
F34
F42
Document Type:Working Paper
Appears in Collections:IAW-Diskussionspapiere, Institut für Angewandte Wirtschaftsforschung (IAW)

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