## Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants

_IMF Working Papers, January 11, 2013_

## Source details

**Canonical URL:** [Banks’ Foreign Credit Exposures and Borrowers’ Rollover Risks Measurement, Evolution and Determinants](https://www.imf.org/en/publications/wp/issues/2016/12/31/banks-foreign-credit-exposures-and-borrowers-rollover-risks-measurement-evolution-and-40235)

## Other formats

- [Markdown version](/en/publications/wp/issues/2016/12/31/banks-foreign-credit-exposures-and-borrowers-rollover-risks-measurement-evolution-and-40235/index.md)
- [Structured JSON version](/en/publications/wp/issues/2016/12/31/banks-foreign-credit-exposures-and-borrowers-rollover-risks-measurement-evolution-and-40235/index.json)
- [Bundle manifest](/en/publications/wp/issues/2016/12/31/banks-foreign-credit-exposures-and-borrowers-rollover-risks-measurement-evolution-and-40235/bundle-manifest.json)

## 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.

---

## Content in this bundle

- **_wp1309**
  - [_wp1309 (Markdown version)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2013/_wp1309.pdf.md){rel="alternate" type="text/markdown"}
  - [_wp1309 (PDF)](/-/media/websites/imf/imported-full-text-pdf/external/pubs/ft/wp/2013/_wp1309.pdf){rel="external" type="application/pdf"}

---

_Source: https://www.imf.org/en/publications/wp/issues/2016/12/31/banks-foreign-credit-exposures-and-borrowers-rollover-risks-measurement-evolution-and-40235_