Arbeitspapier
Macroeconomic Shocks and Foreign Bank Assets
Changes in foreign asset holdings are one channel through which agents adjust to macroeconomic shocks. In this paper, we test whether foreign bank assets change as a result of domestic and foreign macroeconomic shocks. We frame our empirical analysis in a standard new open economy macro model in which financial markets are imperfectly integrated. We test the implications of this model using dynamic panel models for changes in foreign bank assets. We find evidence that nominal interest rate differentials and inflation differentials drive changes in foreign bank assets permanently, while growth rate differentials and exchange rates have only a temporary effect.
- Language
-
Englisch
- Bibliographic citation
-
Series: Kiel Working Paper ; No. 1254
- Classification
-
Wirtschaft
Open Economy Macroeconomics
- Subject
-
international banking
macroeconomic shocks
Internationale Bank
Bilanzstrukturmanagement
Konjunktur
Schock
Zinsdifferenz
Kaufkraftparität
Neue Makroökonomik offener Volkswirtschaften
Schätzung
Schätzung
Welt
- Event
-
Geistige Schöpfung
- (who)
-
Buch, Claudia M.
Carstensen, Kai
Schertler, Andrea
- Event
-
Veröffentlichung
- (who)
-
Kiel Institute for World Economics (IfW)
- (where)
-
Kiel
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Buch, Claudia M.
- Carstensen, Kai
- Schertler, Andrea
- Kiel Institute for World Economics (IfW)
Time of origin
- 2005
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