Cross-Border Banking and Global Liquidity

• 成果类型: Article
• 署名作者: Bruno, Valentina; Shin, Hyun Song
• 署名单位: American University; Bank for International Settlements (BIS)
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdu042
• 发表日期: 2015
• 页码: 535-564
• 关键词: Financial crises; leverage cycles; monetary-policy; RISK; transmission; liabilities; countries; inflows; shocks; WEALTH

摘要

We investigate global factors associated with bank capital flows. We formulate a model of the international banking system where global banks interact with local banks. The solution highlights the bank leverage cycle as the determinant of the transmission of financial conditions across borders through banking sector capital flows. A distinctive prediction of the model is that local currency appreciation is associated with higher leverage of the banking sector, thereby providing a conceptual bridge between exchange rates and financial stability. In a panel study of 46 countries, we find support for the key predictions of our model.