Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants
IMF Working Papers, January 11, 2013
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- Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants
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Bibliographic details
- Authors: Eugenio M Cerutti
- Published: January 11, 2013
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781475544602.001
Summary
- Author: Eugenio M Cerutti
- Date: January 11, 2013
- Core purpose: Proposes two new measures to better capture (a) creditor banking systems’ foreign credit exposures and (b) borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data.
- Central motivation: The recent crises highlighted the role of cross-border banking linkages.
- Main methodological refinements: Novel break-in-series and exchange rate variation adjustments.
Key findings and results
- The proposed refinements matter, especially when foreign bank affiliates’ funding relies heavily on local deposits.
- Estimations for 2006-2012 highlight:
- (i) The role of systemic banking crises and global financial conditions in the evolution of banks’ foreign credit exposures.
- (ii) A larger set of factors driving the evolution of borrower countries’ reliance on foreign bank credit, including:
- how countries borrowed,
- from whom they borrowed,
- global financial conditions, and
- domestic demand conditions.
Methodology and measures
- Data sources combined: BIS data and bank-level data.
- Adjustments developed: break-in-series adjustments and exchange rate variation adjustments (described as novel and necessary).
Thematic scope and subjects
- Subjects listed: Banking, Commercial banks, Financial crises, Financial institutions, Foreign banks, Foreign currency exposure, Money, Systemic crises.
- Keywords include: banking group, banking system, BIS bank, borrower country, Commercial banks, contagion, credit commitment, creditor banking system, downstream exposure, Europe, exchange rate, Foreign banks, Foreign currency exposure, Global, international, on-balance sheet, Systemic crises, Systemic risks, upstream exposure, vulnerabilities, WP.