| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12501 |
| DP12501 International Credit Supply Shocks | |
| Alessandro Rebucci; Andrea Ferrero; Ambrogio Cesa-Bianchi | |
| 发表日期 | 2017-12-13 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | House prices and exchange rates can potentially amplify the expansionary effect of capital inflows by inflating the value of collateral. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Cross-border claims Capital flows Credit supply shock Leverage Exchange rates House prices International financial intermediation |
| URL | https://cepr.org/publications/dp12501 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/541312 |
| 推荐引用方式 GB/T 7714 | Alessandro Rebucci,Andrea Ferrero,Ambrogio Cesa-Bianchi. DP12501 International Credit Supply Shocks. 2017. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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