International spillovers of monetary policy: Lessons from Chile, Korea, and Poland

Gajewski, Krzysztof; Jara, Alejandro; Kang, Yujin; Mok, Junghwan; Moreno, David; Serwa, Dobromił

doi:10.1016/j.jimonfin.2018.08.009

Cited by 18 publications

(14 citation statements)

References 5 publications

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“…In Hong Kong and Korea, banks with a higher Tier 1 capital ratio increase lending by less when US monetary policy is tightened during the conventional monetary policy period (Gajewski, Jara, Kang, Mok, Moreno, and Serwa 2017;Hills, Ho, Reinhardt, Sowerbutts, Wong, and Wu 2017), and the same is true for Irish banks in the unconventional period (Barbosa, Bonfirm, Costa, and Everett 2017). The standard portfolio channel would suggest that because better capitalized banks are more able to insulate themselves from adverse shocks, one would expect to see the opposite relationship.…”

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confidence: 98%

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The international transmission of monetary policy

Buch

Bussière

Goldberg

et al. 2019

Journal of International Money and Finance

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This paper presents the novel results from an internationally coordinated project by the International Banking Research Network (IBRN) on the cross-border transmission of conventional and unconventional monetary policy through banks. Teams from seventeen countries use confidential micro-banking data for the years 2000 through 2015 to explore the international transmission of monetary policies of the U.S., euro area, Japan, and United Kingdom. Two other studies use international data with different degrees of granularity. International spillovers into lending to the private sector do occur, especially for U.S. policies, and bank-specific heterogeneity influences the magnitudes of transmission. The effects are supportive of the international bank lending channel and the portfolio channel of monetary policy transmission. They also show that the frictions that banks face matter; in particular, foreign currency funding and hedging considerations can be a key source of heterogeneity. The forms of bank balance sheet heterogeneity that differentiate spillovers across banks are not uniform across countries. International spillovers into lending can be large for some banks, even while the average international spillovers of policies into nonbank lending generally are not large.

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confidence: 98%

“…The reliance on foreign-currency denominated loans is particularly strong in, but not limited to, emerging market economies (Gajewski, Jara, Kang, Mok, Moreno, and Serwa 2017). In Chile, a substantial fraction of loans are denominated in US dollars.…”

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confidence: 99%

The international transmission of monetary policy

Buch

Bussière

Goldberg

et al. 2019

Journal of International Money and Finance

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“…Chile, Korea, and Poland (Gajewski et al, 2017) The effect of changes in the US monetary policy is found to be amplified by cross-border liabilities of banks in Chile and Korea. In Poland, liquid asset holdings are shown have a mitigating effect.…”

Section: Ireland and Portugal (Barbosa Et Al 2017)mentioning

confidence: 93%

A Multi-Country Study of Cross-Border Transmission of Monetary Policy by IBRN

Styrin¹

2018

RJMF

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This short report surveys main findings of a recent multi-country research effort within the IBRN network. 17 national teams used confidential supervisory bank-level data to study international transmission of monetary policy changes in systemic countries into bank lending to private non-financial borrowers worldwide. Two channels of transmission, the bank funding channel and asset rebalancing channel, are tested separately. The effect of monetary policy changes in the US on domestic lending is statistically significant in most specifications. The economic significance of the estimated effect is relatively higher for more financially open economies and emerging markets.

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“…Treasury banks hold the highest relative level of assets and liabilities overseas in comparison to other Chilean banks; the international activity of retail banks is negligible. Gajewski et al (2019) had recently summarized the key characteristics of the Chilean banking system. It is highly heterogeneous in terms of size, business orientation, and funding structure.…”

Section: A Brief History Of the Chilean Economy Its Financial Symentioning

confidence: 99%

Mean reversion in monetary aggregates in Chile

et al. 2020

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In this paper we examine the statistical properties of the monetary aggregates in Chile in order to know if the time series display mean reverting behaviour. For this purpose, we use techniques based on fractional integration. Monthly data of various Chilean monetary aggregates from January 1986 until August 2019 are used, and the results indicate very weak evidence of mean reversion. In fact, this property is only found in the case of the currency on circulation and M1 for some of the series examined; however, for M2 and M3 the results clearly show high persistence with orders of integration substantially higher than 1. Thus, shocks are expected to have a permanent nature in these cases. Another remarkable feature observed in the results is that the level of persistence in the series seems to grow with the amount of the monetary aggregate. In a multivariate context, performing a FCVAR model, evidence of cointegration is found among the monetary aggregates, finding a long run equilibrium relationship between them.

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International spillovers of monetary policy: Lessons from Chile, Korea, and Poland

Cited by 18 publications

References 5 publications

The international transmission of monetary policy

The international transmission of monetary policy

A Multi-Country Study of Cross-Border Transmission of Monetary Policy by IBRN

Mean reversion in monetary aggregates in Chile

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