International Prudential Policy Spillovers: A Global Perspective

28 Pages Posted: 28 Oct 2016

See all articles by Stefan Avdjiev

Stefan Avdjiev

Bank for International Settlements (BIS)

Cathérine Koch

Bank for International Settlements (BIS)

Patrick McGuire

Bank for International Settlements (BIS)

Goetz von Peter

Bank for International Settlements - Research and Policy Analysis

Date Written: October 1, 2016

Abstract

We combine the BIS international banking statistics with the IBRN prudential instruments database in a global study analyzing the effect of prudential measures on international lending. Our bilateral setting, which features multiple home and destination countries, allows us to simultaneously estimate both the international transmission and the local effects of such measures. We find that changes in macroprudential policy via loan-to-value limits and local currency reserve requirements have a significant impact on international bank lending. Balance sheet characteristics play an important role in determining the strength of these effects, with better capitalized banking systems and those with more liquid assets and less core deposits reacting more. Overall, our results suggest that the tightening of these macroprudential measures can be associated with international spillovers.

Keywords: International banking, macroprudential measures, spillovers

JEL Classification: F42, G15, G21

Suggested Citation

Avdjiev, Stefan and Koch, Catherine and McGuire, Patrick M. and von Peter, Goetz, International Prudential Policy Spillovers: A Global Perspective (October 1, 2016). BIS Working Paper No. 589. Available at SSRN: https://ssrn.com/abstract=2857779

Stefan Avdjiev (Contact Author)

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Catherine Koch

Bank for International Settlements (BIS) ( email )

Centralbahnplatz 2
Basel, Basel-Stadt 4002
Switzerland

Patrick M. McGuire

Bank for International Settlements (BIS) ( email )

CH-4002 Basel, Basel-Stadt
Switzerland

Goetz Von Peter

Bank for International Settlements - Research and Policy Analysis ( email )

CH-4002 Basel, Basel-Stadt
Switzerland
+ 41 61 280 8840 (Phone)

HOME PAGE: http://www.bis.org/author/goetz_von_peter.htm

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