Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/112767
Authors: 
Zwick, Lina
Year of Publication: 
2015
Series/Report no.: 
Ruhr Economic Papers 564
Abstract: 
After two decades of increased financial market integration, particularly driven by the banking sector, during the recent financial crisis capital flows decreased sharply, and especially banking flows were affected. At the same time loan volume in Euro Area countries slowed down, evoking concerns that domestic banks might have restricted their domestic lending activities due to international liquidity shortages. To probe this explanation, this paper analyzes the macroeconomic effects of adverse international liquidity shocks for eleven Euro Area countries between 2003 and 2013 on a quarterly basis. The international liquidity shocks are identified by applying a panel vector autoregressive (VAR) model with sign restrictions. The analysis reveals no significant decline in loan volume after such a shock. Rather, domestic banks presumably react by withdrawing money from abroad, thereby buffering the impact of the sharp decrease of capital inflows on the domestic economy.
Subjects: 
international capital flows
Panel VAR
loan supply restrictions
home bias
JEL: 
F32
F34
G21
Persistent Identifier of the first edition: 
ISBN: 
978-3-86788-650-5
Document Type: 
Working Paper

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.