Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/21867
Authors: 
Blank, Sven
Buch, Claudia M.
Year of Publication: 
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

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