Connected to Whom? International Interbank Borrowing During the Global Crisis / Kalin Tintchev.

Format:

Book

Government document

Author/Creator:

Tintchev, Kalin.

Contributor:

International Monetary Fund. Monetary and Capital Markets Department.

Series:

IMF Working Papers; Working Paper ; No. 2013/014

IMF Working Papers

Language:

English

Subjects (All):

Banks and banking--Econometric models.

Banks and banking.

Banks and banking, International--Econometric models.

Banks and banking, International.

Credit--Econometric models.

Credit.

Risk--Econometric models.

Risk.

Financial crises--Econometric models.

Financial crises.

Global Financial Crisis, 2008-2009.

Physical Description:

1 online resource (34 p.)

Place of Publication:

Washington, D.C. : International Monetary Fund, 2013.

Language Note:

English

Summary:

The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper examines whether the banking systems’ access to credit was related to their domestic financial soundness and exposure to distressed international counterparties. The empirical findings suggest that both domestic and international risk factors contributed to the decline in international interbank borrowing during the crisis.

Contents:

Cover; Abstract; Content; I. Introduction; II. Related Literature; III. Cross-Border Counterparty Risk; Figures; 1. Common Creditor and Borrower Effects; IV. Empirical Model; 2. Balance Sheet Effects: Credit and Liquidity Shocks; V. The Variables; A. Credit Risk Index; B. Indirect Credit Risk Index; C. Liquidity Risk Index; D. Indirect Liquidity Risk Index; E. Macroeconomic Variables; VI. Data; VII. Stylized Facts; VIII. Empirical Findings; 3. International Interbank Borrowing, December 2005-September 2011; 4. Cumulative Change in International Borrowing, December 2007-September 2011; Tables

1. Country Sample5. Banking System Expected Default Frequency; IX. Concluding Remarks; 2. International Interbank Borrowing: Mean-Comparison Tests; 3. Panel Data Analysis: Immediate Crisis Period; 4. Panel Data Analysis: Extended Period; Appendices; I. Variable Definitions and Data Sources; II. Data Caveats; 6. Cross-Border Counterparty Risk Indexes; III. Supplementary Figures and Tables; References

Notes:

"Monetary and Capital Markets Department."

"January 2013."

Includes bibliographical references.

Description based on print version record.

ISBN:

9781475559316

1475559313

9781475544695

1475544693

9781299264694

1299264697

9781475516616

1475516614