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March 2017 issue
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Buch, Goldberg
Damar, Mordel
Auer, Ganarin, Towbin
Jara, Cabezas
Ohls, Pramor, Tonzer
Bussière, Schmidt, Vinas
Ho, Wong, Tan
Caccavaio, Carpinelli, Marinelli
Levin-Konigsberg, López, López-Gallo, Martínez-Jaramillo
Park, Lee
Frost, de Haan, van Horen
Gajewski, Krzesicki
Bonfim, Costa
Başkaya, Binici, Kenç
Hills, Reinhardt, Sowerbutts, Wieladek
Berrospide, Correa, Goldberg, Niepmann
Cerutti, Correa, Fiorentino, Segalla
Avdjiev, Koch, McGuire, von Peter
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International Prudential Policy Spillovers: A Global Perspective

by Stefan Avdjiev, Cathérine Koch, Patrick McGuire, and Goetz von Peter
Bank for International Settlements

Abstract

We combine the BIS international banking statistics with the IBRN Prudential Instruments Database in a global study analyzing the effect of prudential measures on international lending. Our bilateral setting, which features multiple home and destination countries, allows us to simultaneously estimate both the international transmission and the local effects of such measures. We find that changes in macroprudential policy via loan-to-value limits and local-currency reserve requirements have a significant impact on international bank lending. Balance sheet characteristics play an important role in determining the strength of these effects, with better-capitalized banking systems and those with more liquid assets and less core deposit funding reacting more. Overall, our results suggest that the tightening of these macroprudential measures can be associated with international spillovers.

JEL Codes: F42, G15, G21.

 
Full article (PDF, 29 pages, 324 kb)