Institut für Angewandte Wirtschaftsforschung (IAW), Tübingen >
IAW-Diskussionspapiere, Institut für Angewandte Wirtschaftsforschung (IAW) >
Please use this identifier to cite or link to this item:
| || |
|Title:||International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle |
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|
|Document Type:||Working Paper|
|Appears in Collections:||IAW-Diskussionspapiere, Institut für Angewandte Wirtschaftsforschung (IAW)|
Download bibliographical data as:
Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.