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Autor
Brzoza-Brzezina Michał (Warsaw School of Economics, Poland), Kolasa Marcin (Warsaw School of Economics, Poland), Makarski Krzysztof (Warsaw School of Economics, Poland)
Tytuł
Crisis, contagion and international policy spillovers under foreign ownership of banks
Źródło
Collegium of Economic Analysis SGH - Working Papers, 2016, nr 3, 25 s., rys., wykr., tab., bibliogr. 22 poz.
Słowa kluczowe
Banki zagraniczne, Polityka pieniężna, Efekty zewnętrzne, Model dynamicznej stochastycznej równowagi ogólnej, Bankowość, Polityka ostrożnościowa
Foreign bank, Monetary policy, Spillover effects, Dynamic Stochastic General Equilibrium (DSGE), Banking, Prudential policy
Uwagi
summ.
Abstrakt
This paper checks how international spillovers of shocks and policies are modified when banks are foreign owned. To this end we build a two-country macroeconomic model with banking sectors that are owned by residents of one (big and foreign) country. Consistently with empirical findings, in our model foreign ownership of banks amplifies spillovers from foreign shocks. It also strenghtens the international transmission of monetary and macroprudential policies. We next use the model to replicate the financial crisis in the euro area and show how, by preventing bank capital out ow in 2009, the Polish regulatory authorities managed to reduce its contagion to Poland. We also find that under foreign bank ownership such policy is strongly preferred to a recapitalization of domestic banks. (original abstract)
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Bibliografia
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  1. Angeloni Ignazio, Ester Faia (2013), `Capital regulation and monetary policy with fragile banks.' "Journal of Monetary Economics", 60(3), 311-324.
  2. Backus David K., Patrick J. Kehoe, Finn E. Kydland (1992), `International Real Business Cycles.' "Journal of Political Economy", 100(4), 745-75.
  3. Brzoza-Brzezina Michał, Pascal Jacquinot, Marcin Kolasa (2014), `Can We Prevent Boom-Bust Cycles During Euro Area Accession?' "Open Economies Review", 25(1), 35-69.
  4. Bussiere Matthieu, Giovanni Callegari, Fabio Ghironi, Giulia Sestieri, and Norihiko Yamano (2013), `Estimating Trade Elasticities: Demand Composition and the Trade Collapse of 2008-2009.' "American Economic Journal: Macroeconomics", 5(3), 118-51.
  5. Christensen Ian Cesaire Meh, Kevin Moran (2011), `Bank leverage regulation and macroeconomic dynamics.' "Working Papers 11-32, Bank of Canada".
  6. Christoffel Kai, Günter Coenen, Anders Warne (2008), `The New Area-Wide Model of the euro area - a micro-founded open-economy model for forecasting and policy analysis.' "Working Paper Series 944, European Central Bank".
  7. Cihak Martin, Asli Demirgüc-Kunt, Maria Soledad Martinez Peria, Amin Mohseni-Cheraghlou (2012), `Bank regulation and supervision around the world: a crisis update.' "Research Working Paper 6286, World Bank".
  8. Cull Robert, Maria Soledad Martinez Peria (2013), `Bank ownership and lending patterns during the 2008-2009 financial crisis: Evidence from Latin America and Eastern Europe.' "Journal of Banking & Finance", 37(12), 4861-4878.
  9. Dedola Luca, Giovanni Lombardo (2012), `Financial frictions, financial integration and the international propagation of shocks.' "Economic Policy", 27(70), 319-359.
  10. Feyen Erik, Raquel Letelier, Inessa Love, Samuel Munzele Maimbo, Roberto Rocha (2014), `The impact of funding models and foreign bank ownership on bank credit growth: is Central and Eastern Europe difierent ?' "Policy Research Working Paper Series 6783, The World Bank", February.
  11. Gerali Andrea, Stefano Neri, Luca Sessa, Federico M. Signoretti (2010), `Credit and banking in a DSGE model of the euro area.' "Journal of Money, Credit and Banking", 42(s1), 107-141.
  12. Gertler Mark, Nobuhiro Kiyotaki (2010), `Financial intermediation and credit policy in business cycle analysis', chapter 11, pp. 547-599, in: ed. Benjamin M. Friedman and Michael Woodford, Handbook of Monetary Economics, vol.3, Elsevier.
  13. Gertler Mark, Peter Karadi (2011), `A model of unconventional monetary policy.' "Journal of Monetary Economics", 58(1), 17-34.
  14. Haas Ralph, Iman Lelyveld (2014), `Multinational Banks and the Global Financial Crisis: Weathering the Perfect Storm?' "Journal of Money, Credit and Banking", 46(s1), 333-364.
  15. Iacoviello Matteo (2005), `House prices, borrowing constraints, and monetary policy in the business cycle,' "American Economic Review", 95(3), 739-764.
  16. Iacoviello Matteo, Raoul Minetti (2006), `International business cycles with domestic and foreign lenders.' "Journal of Monetary Economics", 53(8), 2267-2282.
  17. Imbs Jean (2006), `The real effects of financial integration,' "Journal of International Economics", 68(2), 296-324.
  18. Kamber Gunes, Christoph Thoenissen (2013), `Financial Exposure and the International Transmission of Financial Shocks, "Journal of Money, Credit and Banking", 45(s2), 127-158.
  19. Kollmann Robert (2013), Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model, "Journal of Money, Credit and Banking", 45(s2), 159-195.
  20. Olivero Maria Pia (2010), `Market power in banking, countercyclical margins and the international transmission of business cycles,' "Journal of International Economics", 80(2), 292-301.
  21. Popov Alexander, Gregory F. Udell (2012), `Cross-border banking, credit access, and the financial crisis, "Journal of International Economics", 87(1), 147-161.
  22. Van Rijckeghem Caroline, Beatrice Weder (2001), `Sources of contagion: is it finance or trade?' "Journal of International Economics", 54(2), 293-308.
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Język
eng
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