Capital flows and the international credit channel

Başkaya, Yusuf Soner; Giovanni, Julian di; Kalemli‐Özcan, Ṣebnem; Peydró, José‐Luis; Ulu, Mehmet Fatih

doi:10.1016/j.jinteco.2016.12.003

Cited by 118 publications

(59 citation statements)

References 16 publications

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“…Baskaya et al, 2016, Cesa-Bianchi et al, 2015. We interpret our result as suggesting that, while bank-to-bank credit might be important in explaining business cycle fluctuations, it is not in explaining the occurrence of crises.…”

Section: Other Global Variablesmentioning

confidence: 99%

Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises

2017

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This paper provides novel empirical evidence showing that foreign financial developments are a powerful predictor of domestic banking crises. Using a new data set for 38 advanced and emerging economies over 1970-2011, we show that credit growth in the rest of the world has a large positive effect on the probability of banking crises taking place at home, even when controlling for domestic credit growth. Our results suggest that this effect is larger for financially open economies, and is consistent with transmission via cross-border capital flows and market sentiment. Direct contagion from foreign crises plays an important role, but does not account for the whole effect.

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Section: Other Global Variablesmentioning

confidence: 99%

Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises

2017

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“…important landmark of the late 2000s global nancial crisis (see e.g., Baskaya et al, 2017;Ongena et al, 2015;Boyer, 2014). As the analysis in Eichengreen et al (2012) highlights, it was a salient event that signaled to investors the imminence of a global nancial crisis.…”

Section: Introductionmentioning

confidence: 99%

On the predictability of emerging market sovereign credit spreads

Audzeyeva

Fuertes

2018

Journal of International Money and Finance

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This paper examines the quarter-ahead out-of-sample predictability of Brazil, Mexico, the Philippines and Turkey credit spreads before and after the Lehman Brothers' default. A model based on the country-specic credit spread curve factors predicts no better than the random walk and slope regression benchmarks. Model extensions with the global yield curve factors and with both global and domestic uncertainty indicators notably outperform both benchmarks post-Lehman. The nding that bond prices better reect fundamental information after the Lehman Brothers' failure indicates that this landmark of the recent global nancial crisis had wake-up call eects on emerging market bond investors.

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“…11 Bräuning and Ivashina (2017a) find a strong link between U.S. monetary policy and credit cycles in emerging markets. Baskaya et al (2017b) document the impact of international capital flows and global risk appetite on domestic credit to firms in Turkey.…”

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confidence: 99%

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

et al. 2017

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We analyze the effects of macroprudential policies on local bank credit cycles and their interactions with international financial conditions. To this end, we exploit the comprehensive credit register containing all bank loans to individuals in Romania, a small open economy subject to external shocks.Our sample period from 2004 until 2012 covers a full boom-bust credit cycle during which a wide range of macroprudential measures were deployed. Our results show that tighter macroprudential conditions are associated with a significant decline in household credit, with substantially stronger effects for FX loans than for local currency loans. The effects on FX loans are higher for: (i) ex-ante riskier borrowers proxied by higher debt-service-to-income ratios and (ii) banks with greater reliance on foreign funding. Furthermore, tighter macroprudential policy has stronger dampening effects on FX lending when global risk appetite is high and foreign monetary policy is expansionary. Quantitative effects are in general larger for borrower rather than lender macroprudential policies. Overall, the results suggest that macroprudential policies are effective in mitigating bank risk-taking in household lending over the local bank credit and global financial cycles and have important implications for theory and policy. . We are grateful for useful comments and suggestions from

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Capital flows and the international credit channel

Cited by 118 publications

References 16 publications

Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises

Foreign Booms, Domestic Busts: The Global Dimension of Banking Crises

On the predictability of emerging market sovereign credit spreads

Household Credit, Global Financial Cycle, and Macroprudential Policies: Credit Register Evidence from an Emerging Country

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