Monetary Policy and Global Banking

• 成果类型: Article
• 署名作者: Brauning, Falk; Ivashina, Victoria
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Boston; Harvard University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12959
• 发表日期: 2020
• 页码: 3055-3095
• 关键词: international transmission; exchange-rates; risk-factors; liquidity; credit; shocks; CRISIS; channel; CHOICE; MARKET

摘要

When central banks adjust interest rates, the opportunity cost of lending in local currency changes, but-absent frictions-there is no spillover effect to lending in other currencies. However, when equity capital is limited, global banks must benchmark domestic and foreign lending opportunities. We show that, in equilibrium, the marginal return on foreign lending is affected by the interest rate differential, with lower domestic rates leading to an increase in local lending, at the expense of a reduction in foreign lending. We test our prediction in the context of changes in interest rates in six major currency areas.