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Banks' foreign credit exposures and borrowers' rollover risks : measurement, evolution and determinants

Author: Eugenio Cerutti; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, ©2013.
Series: IMF working paper, WP/13/9.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
Database:WorldCat
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  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Eugenio Cerutti; International Monetary Fund. Research Department.
ISBN: 9781475589481 1475589484
OCLC Number: 824815073
Notes: Title from PDF title page (IMF Web site, viewed Jan. 22, 2013).
"Research Department."
"January 2013."
Description: 1 online resource (44 pages).
Series Title: IMF working paper, WP/13/9.
Responsibility: prepared by Eugenio Cerutti.

Abstract:

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.

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