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Institut für Angewandte Wirtschaftsforschung (IAW), Tübingen >
IAW-Diskussionspapiere, Institut für Angewandte Wirtschaftsforschung (IAW) >
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http://hdl.handle.net/10419/21867
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| Title: | | International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle  |
| 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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