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on International Finance |
| By: | H. Evren Damar; Adi Mordel |
| Abstract: | We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions. We show that when a destination country tightens local prudential measures, Canadian banks lend more to that jurisdiction, and the effect is particularly significant when capital requirements are tightened and weaker if banks lend mainly via affiliates. Our evidence also suggests that Canadian banks adjust foreign lending in response to domestic regulatory changes. The results confirm the presence of heterogeneous spillover effects of foreign prudential requirements. |
| Keywords: | Financial Institutions, Financial stability, Financial system regulation and policies |
| JEL: | G01 F34 G21 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:16-34&r=ifn |
| By: | Kimberly Berg; Nelson C. Mark |
| Abstract: | We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap—our measure of global macroeconomic uncertainty—is a factor that is robustly priced in currency excess returns. A widening of the HML gap signifies increasing divergence, disparity and inequality of economic performance across countries. |
| Keywords: | Asset Pricing, Exchange rates, Interest rates |
| JEL: | E21 E43 F31 G12 |
| Date: | 2016 |
| URL: | http://d.repec.org/n?u=RePEc:bca:bocawp:16-32&r=ifn |
| By: | Vahagn Galstyan (Trinity College Dublin); Philip R. Lane (Central Bank of Ireland and Trinity College Dublin); Caroline Mehigan (OECD); Rogelio Mercado (Trinity College Dublin) |
| Abstract: | Research on the geographical distribution of international portfolios has mainly focused on data aggregated to the country level. We exploit newly-available data that disaggregates the holders and issuers of international securities along sectoral lines. We find that patterns evident in the aggregate data do not uniformly apply across the various holding and issuing sectors, such that a full understanding of cross-border portfolio positions requires granular-level analysis. |
| Keywords: | International portfolios, International capital flows, Gravity models |
| JEL: | F30 F41 G15 |
| Date: | 2016–07 |
| URL: | http://d.repec.org/n?u=RePEc:tcd:tcduee:tep0916&r=ifn |