Cross-Border Bank Flows and Monetary Policy

• 成果类型: Article
• 署名作者: Correa, Ricardo; Paligorova, Teodora; Sapriza, Horacio; Zlate, Andrei
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab019
• 发表日期: 2022
• 页码: 438
• 关键词: Risk-taking; Capital requirements; interest-rates; transmission; credit; liquidity; channel; portfolios; say

摘要

We analyze the impact of monetary policy on cross-border bank flows for a large sample of countries over two decades. We find evidence in favor of a cross-border risk-taking channel, as the monetary policy stance of source countries is an important determinant of cross-border bank flows. A relatively tighter monetary policy in source countries prompts banks to reallocate their lending toward safer foreign counterparties. The cross-border reallocation of credit is more pronounced for source countries with lower-capitalized banks. Also, the reallocation is directed toward foreign borrowers in relatively safer destinations, such as advanced economies or economies with investment-grade sovereign ratings.