The international transmission of bank capital requirements: Evidence from the UK

• 成果类型: Article
• 署名作者: Aiyar, Shekhar; Calomiris, Charles W.; Hooley, John; Korniyenko, Yevgeniya; Wieladek, Tomasz
• 署名单位: Columbia University; Bank of England
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2014.05.003
• 发表日期: 2014
• 页码: 368-382
• 关键词: Cross-border lending; Loan supply; Capital requirements; international transmission

摘要

We use data on UK banks' minimum capital requirements to study the impact of changes to bank-specific capital requirements on cross-border bank loan supply from 1999Q1 to 2006Q4. By examining a sample in which each recipient country has multiple relationships with UK-resident banks, we are able to control for demand effects. We find a negative and statistically significant effect of changes to banks' capital requirements on cross-border lending: a 100 basis point increase in the requirement is associated with a reduction in the growth rate of cross-border credit of 5.5 percentage points. We also find that banks tend to favor their most important country relationships, so that the negative cross-border credit supply response in core countries is significantly less than in others. Banks tend to cut back cross-border credit to other banks (including foreign affiliates) more than to firms and households, consistent with shorter maturity, wholesale lending which is easier to roll off and may be associated with weaker borrowing relationships. (C) 2014 Elsevier B.V. All rights reserved.