International credit supply shocks

• 成果类型: Article; Proceedings Paper
• 署名作者: Cesa-Bianchi, Ambrogio; Ferrero, Andrea; Rebucci, Alessandro
• 署名单位: Bank of England; University of Oxford; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2017.11.006
• 发表日期: 2018
• 页码: 219-237
• 关键词: Cross-border claims; capital flows; Credit supply shock; leverage; Exchange rates; house prices; International financial intermediation

摘要

House prices and exchange rates can potentially amplify the expansionary effect of capital inflows. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock, and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit. (C) 2018 Elsevier B.V. All rights reserved.