Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants / Eugenio Cerutti.

Format:

Book

Government document

Author/Creator:

Cerutti, Eugenio.

Series:

IMF Working Papers; Working Paper ; No. 2013/009

IMF Working Papers

Language:

English

Subjects (All):

Banks and banking.

Banks and banking, International.

Bank loans.

Credit.

Risk.

Physical Description:

1 online resource (45 p.)

Place of Publication:

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

Language Note:

English

Summary:

The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems’ foreign credit exposures and borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data. The results indicate that the proposed refinements matter, especially when foreign bank affiliates’ funding relies heavily on local deposits. In addition, after developing novel and necessary break-in-series and exchange rate variation adjustments, estimations looking at the driving factors of both measures during 2006-2012 highlight: (i) the role of systemic banking crises and global financial conditions in the evolution of banks’ foreign credit exposures; (ii) the role of a larger set of factors in the case of the evolution of borrower countries’ reliance on foreign bank credit—how countries borrowed, from whom they borrowed, and global financial and domestic demand conditions.

Contents:

Cover; Contents; I. Introduction; II. Measuring Banks' Foreign Credit Exposure: Downward Exposure; Boxes; 1. BIS Consolidated Banking Statistics: Characteristics and Limitations; A. On-Balance Sheet Downward Exposure Level; Figures; 1. Comparing On-Balance Sheet Downstream Exposures Measures; B. On and Off-Balance Sheet Downstream Exposure Level; 2. Downstream Exposures vs. Foreign Claims; C. Limitations in the Downstream Exposure Analysis; III. Measuring Borrowers' Foreign Rollover Risks: Upward Exposure; A. On-Balance Sheet Upstream Exposure Level

3. On-Balance Sheet Upstream Exposures vs. Foreign ClaimsB. On- and Off-Balance Sheet Upstream Exposure; C. Limitations in the Upstream Exposure Analysis; 4. Upstream Exposures as Percentage of Total Credit; IV. Downward and Upward Exposures: A Time Series Perspective; 2. Adjusting BIS CBS for Coverage Break-in-Series and Exchange Rate Movements; A. Evolution of On-Balance Sheet Downstream Exposures; 5. Evolution of On-balance Sheet Downstream Exposures; B. Evolution of On-Balance Sheet Upstream Exposures; 6. Evolution of On-balance Sheet Upstream Exposures

V. Determinants of the Evolution of Downward and Upward ExposuresA. Drivers of On-Balance Sheet Downstream Exposures; B. Drivers of On-Balance Sheet Upstream Exposures; VI. Conclusions; References; Annex; A. Data Sources: BIS CBS, Bank-level, and IFS Data; B. Calculation of Downstream and Upstream Exposures; C. Adjusting for Break-in-Series and Exchange Rate Variations; D. Statistical Appendix of the Econometric Analysis

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9781475519327

147551932X

9781475548310

1475548311

9781299264519

1299264514

9781475589481

1475589484