Member access

4-Traders Homepage  >  News

News

Latest NewsCompaniesMarketsEconomy & ForexCommoditiesHot NewsMost Read NewsRecomm.Business LeadersVideosCalendar 

Bank of Japan : (Research Paper) What is the Major Determinant of Credit Flows through Cross-Border Banking?

03/19/2013 | 02:20am US/Eastern

March 19, 2013
Toyoichiro Shirota*

Abstract

This paper examines the major determinant of the cross-border credit flows from global banks toward 70 vis-á-vis countries in seven regions of the world. Employing a Bayesian dynamic latent factor model, we decompose the volatilities of banking flows into the contribution of the global-common factor, the regional-common factor, and the national-specific factor. The results indicate that the global-common factor explains 36.4 percent of volatilities in overall cross-border banking flow, suggesting that the international propagations of shocks through global banks are quantitatively important. Especially, the contribution of the global-common factor is increasing in the 2000s. At the same time, main determinants are largely heterogeneous across countries. This heterogeneity implies that the desirable policy response to credit inflows could be different for each host country.

JEL Classifications
C11, F3

Keywords
International Capital Flows; Dynamic Latent Factor; Bayesian Estimation

The author would like to thank Shuhei Aoki, Michael Fischer, Ichiro Fukunaga, Hirotaka Hideshima, Hibiki Ichiue, Shun Kobayashi, Kazuo Monma, Koji Nakamura, Ko Nakayama, Kanako Saeki, Hidehiko Sogano, and Kenichiro Watanabe for comments and suggestions. The views expressed herein are those of the author and do not reflect those of the Bank of Japan.

* Financial Markets Department
E-mail : toyoichirou.shirota@boj.or.jp
Notice

Papers in the Bank of Japan Working Paper Series are circulated in order to stimulate discussion and comments. Views expressed are those of authors and do not necessarily reflect those of the Bank.
If you have any comment or question on the working paper series, please contact each author.
When making a copy or reproduction of the content for commercial purposes, please contact the Public Relations Department (post.prd8@boj.or.jp) at the Bank in advance to request permission. When making a copy or reproduction, the source, Bank of Japan Working Paper Series, should explicitly be credited.

distributed by
React to this article
Latest news
Date Title
12:25p ESPRINET : Shareholders meeting 2015
12:25p AMPLIFON : Notice of change in share capital
12:25p MOODY : upgrades Azerbaijan-based Kapital Bank's deposit ratings
12:25p ENERGY TRANSFER EQUITY : Other Events (form 8-K)
12:25p EUR/USD Retail FX Crowd Remains Net-Short Ahead of ECB June Meeting
12:24p A.M. Best Revises Outlook to Negative for Members of Lititz Mutual Insurance Pool
12:23p ALIBABA : India tops m-commerce rankings
12:23p TAKE SOLUTIONS : Offloads 100 clients
12:23p Cnx-it index becomes lean from today with just 10 stocks
12:23p HINDUSTAN COPPER : Hind copper charts revival plan for jhagadia plant
Latest news
Advertisement
Hot News 
IMMUNODIAGNOSTIC SYSTEMS HLDGS : Expects Further Revenue Fall In Current Year
LONDON MIDDAY BRIEFING : TeleCity's Deal Agreed But Synergy's Stalls
MINCO : 2015 Q1 MD&A Report
ITT EDUCATIONAL SERVICES : Management's Discussion and Analysis of Financial Condition and Results of Operations. (form 10-K)
UBISENSE : Result of General Meeting
Most Read News
05/28 Airbus debates new A320 output hike, suffers test glitch
02:05a SUZLON ENERGY : Back from the brink
05/28DJFederal Investigators Blame Shell for Alaska Drill-Ship Accident
05/28DJNIKE : FIFA Indictment Doesn't Allege Criminal Conduct By Company
05/28 U.S. Congress sets hearing on Takata, automakers expand recalls
Most recommended articles
12:20p Italy first-quarter GDP rises 0.3 percent, modest growth also seen in second quarter
12:17pDJEUROPE MARKETS : European Stocks Drop As Greek Drama Stays In The Spotlight
12:13p Stocks, bond yields fall on Greece, U.S. data
12:11p Equinix to buy TelecityGroup for $3.6 billion, Interxion deal ended
12:09pDJU.S. Stocks Open Lower