Resource title

International Bank Portfolios: Short- and Long-Run Responses to the Business Cycle

Resource image

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Resource description

International bank portfolios constitute a large component of international country portfolios. Yet, their response to macroeconomic conditions and their impact on the international transmission of business cycles developments remains largely unexplored. We use a novel dataset on banks? international portfolios to answer three questions. First, what are the long-run determinants of banks? international portfolios? Second, how do banks? international portfolios adjust to short-run macroeconomic developments? Third, does the speed of adjustment change with the degree of financial integration? We provide evidence of significant long-run cointegration relationships between cross-border assets and liabilities of banks and key macroeconomic variables. Both, the long-run determinants of banks? international portfolios as well as the short-run dynamics show a significant degree of heterogeneity across countries and, to some extent, over time. Gravitytype variables help explaining differences in the speed of adjustment to new equilibria.

Resource author

Sven Blank, Claudia M. Buch

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/21867

Resource license

Adapt according to the presented license agreement and reference the original author.