The recent crises highlighted the role of cross-border banking linkages. This paper proposes two new measures for better capturing creditor banking systems’ foreign credit exposures and borrower countries’ reliance on foreign bank credit, by combining BIS data with bank-level data....

We examine the impact of banks’ exposure to market liquidity shocks through wholesale funding on their supply of credit during the financial crisis in the United States. We focus on mortgage lending to minimize the impact of confounding demand factors that could potentially be large when...

The financial performance of India's corporate sector has been under pressure since the Global Financial Crisis. Balance-sheet data on a large cross-section of Indian non-financial corporates show that the growth in their leverage over the last 15 years has been associated with a notable...

This paper looks at the vulnerabilities stemming from banking sector linkages between countries and their macroeconomic effects. It finds that credit risks (from a banking system’s claims on other countries) and funding risks (from a banking system’s liabilities to another) have...

Unconventional monetary policy is often assumed to benefit banks. However, we find little supporting evidence. Rather, we find some evidence for heightened medium-term risks. First, in an event study using a novel instrument for monetary policy surprises, we do not detect clear effects of...

Financial sector linkages have increased continuously in the Caribbean with cross border capital flows and financial conglomerates dominating the financial system. While the greater interconnectedness can heighten systemic risks and likelihood of contagion, it can have positive impacts provided...

The aim of this study is to examine the effects of bank-specific, regulatory and macroeconomic determinants on bank risk, profitability and solvency in the Armenian banking sector. To account for these, we apply a GMM technique to a panel of 22 Armenian banks covering the 2003–2014 period. The...

Using a large panel data set on the population of UK mortgage loans by Irish-headquartered banks, this paper presents a transitions-based model of mortgage default. The estimation departs from cross-sectional methods typically used in mortgage default models, in that the transition both into and...

The detrimental impacts of credit booms, property booms and firm over-leverage are well-established in a growing literature highlighting their effects on household consump- tion, firm investment and economic growth. The link between credit-fuelled property market booms and firms' ability to...

This paper generalizes the existing asymptotic single-factor model to address issues related to industry heterogeneity, default clustering and parameter uncertainty of capital requirement in US retail loan portfolios. We argue that the Basel II capital requirement overstates the riskiness of...