International Spillovers and Local Credit Cycles

53 Pages Posted: 21 Aug 2017 Last revised: 31 Oct 2019

See all articles by Yusuf Soner Baskaya

Yusuf Soner Baskaya

Government of the Republic of Turkey - Central Bank of the Republic of Turkey

Julian di Giovanni

Universitat Pompeu Fabra - Department of Economics and Business; Barcelona Graduate School of Economics (Barcelona GSE); CREI and Universitat Pompeu Fabra; Centre for Economic Policy Research (CEPR)

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics; National Bureau of Economic Research (NBER); Koc University, Graduate School of Business

Mehmet Fatih Ulu

Government of the Republic of Turkey - Central Bank of the Republic of Turkey

Multiple version iconThere are 2 versions of this paper

Date Written: February 2017

Abstract

This paper studies the transmission of the Global Financial Cycle (GFC) to domestic credit market conditions in a large emerging market, Turkey, over the years 2003-13. Matching administrative data covering the universe of corporate loan transactions to bank balance sheets,

we document four facts: (1) an easing in global financial conditions leads to lower borrowing costs and an increase in local lending; (2) domestic banks that are more exposed to international capital markets transmit the GFC locally; (3) the fall in borrowing costs is driven by a failure in uncovered interest rate parity (UIP), where the UIP risk premium comoves with the GFC over time; (4) data on posted collateral for new loan issuances show that collateral constraints do not relax during the boom phase of the GFC.

Keywords: Bank credit, Collateral constraints, Global financial cycle, Non-core Funding, Risk premium

JEL Classification: E0, F0, F1

Suggested Citation

Baskaya, Yusuf Soner and di Giovanni, Julian and Kalemli-Ozcan, Sebnem and Ulu, Mehmet Fatih, International Spillovers and Local Credit Cycles (February 2017). CEPR Discussion Paper No. DP11839, Available at SSRN: https://ssrn.com/abstract=3023204

Yusuf Soner Baskaya (Contact Author)

Government of the Republic of Turkey - Central Bank of the Republic of Turkey ( email )

Anafartalar Mah. İstiklal Cad. No:10
Ulus, Ankara 06050
Turkey

Julian Di Giovanni

Universitat Pompeu Fabra - Department of Economics and Business ( email )

Barcelona
Spain

HOME PAGE: http://julian.digiovanni.ca

Barcelona Graduate School of Economics (Barcelona GSE) ( email )

Ramon Trias Fargas, 25-27
Barcelona, Barcelona 08005
Spain

HOME PAGE: http://julian.digiovanni.ca

CREI and Universitat Pompeu Fabra ( email )

HOME PAGE: http://julian.digiovanni.ca

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

HOME PAGE: http://julian.digiovanni.ca

Sebnem Kalemli-Ozcan

University of Maryland - Department of Economics ( email )

College Park, MD 20742
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Koc University, Graduate School of Business ( email )

Rumelifeneri Yolu
34450 Sar?yer
Istanbul, 34450
Turkey

Mehmet Fatih Ulu

Government of the Republic of Turkey - Central Bank of the Republic of Turkey ( email )

Istiklal Cad. 10 Ulus
06100 Ankara, Ankara 06050
Turkey

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
0
Abstract Views
156
PlumX Metrics