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on International Finance |
| By: | Hills, Robert (Bank of England); Ho, Kelvin (Hong Kong Monetary Authority); Reinhardt, Dennis (Bank of England); Sowerbutts, Rhiannon (Bank of England); Wong, Eric (Hong Kong Monetary Authority); Wu, Gabriel (Hong Kong Monetary Authority) |
| Abstract: | This paper explores the cross-border transmission of monetary policy by comparing and contrasting the results for two major international financial centres: Hong Kong and the United Kingdom. We examine the effect of monetary policy in the US, euro area and Japan, on UK and Hong Kong-resident banks’ domestic lending behaviour, using individual bank-level data. Focusing on financial interconnections and other balance sheet characteristics as a transmission mechanism, we find that both of these factors play an important role in the transmission of foreign monetary policy. We are able to establish evidence for both a bank funding and bank portfolio channel of monetary policy, for both Hong Kong and the United Kingdom. There are important differences between the two countries; in particular, the currency denomination of lending appears to play a major role only in the United Kingdom, which probably reflects Hong Kong’s linked exchange rate system by which the HK dollar is pegged with the US dollar. These results contrast to the largely inconclusive results from previous studies, whose aggregate nature may have masked offsetting individual bank effects. |
| Keywords: | International financial linkages; monetary policy transmission; bank lending |
| JEL: | E52 F42 G21 |
| Date: | 2017–10–16 |
| URL: | http://d.repec.org/n?u=RePEc:boe:boeewp:0682&r=ifn |
| By: | Eduard Baumöhl; Evžen Kocenda; Stefan Lyócsa; Tomás Vyrost |
| Abstract: | In our network analysis of 40 developed, emerging and frontier stock markets during 2006–2014, we describe and model volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by fitting a spatial model incorporating several exogenous characteristics. We show significant temporal proximity effects between markets and somewhat weaker temporal effects with regard to the US equity market – volatility spillovers decrease when markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of interconnectedness. Our results also link spillovers of escalating magnitude with increasing market size, market liquidity and economic openness. |
| Keywords: | volatility spillovers, stock markets, shock transmission, Granger causality network, spatial regression, financial crisis |
| JEL: | C31 C58 F01 G01 G15 |
| Date: | 2017 |
| URL: | http://d.repec.org/n?u=RePEc:ces:ceswps:_6476&r=ifn |
| By: | Kartik Anand; Iman van LelyveldAuthor-Name: Ádám Banai; Soeren Friedrich; Rodney Garratt; Grzegorz HałajAuthor-Name: Jose Fique; Ib Hansen; Serafín Martínez Jaramillo; Hwayun Lee; José Luis Molina-Borboa; Stefano Nobili; Sriram Rajan; Dilyara Salakhova; Thiago Christiano Silva; Laura Silvestri; Sergio Rubens Stancato de Souza |
| Abstract: | Capturing financial network linkages and contagion in stress test models are important goals for banking supervisors and central banks responsible for micro- and macroprudential policy. However, granular data on financial networks is often lacking, and instead the networks must be reconstructed from partial data. In this paper, we conduct a horse race of network reconstruction methods using network data obtained from 25 different markets spanning 13 jurisdictions. Our contribution is two-fold: first, we collate and analyze data on a wide range of financial networks. And second, we rank the methods in terms of their ability to reconstruct the structures of links and exposures in networks. JEL Classification: G20, L14, D85, C63 |
| Keywords: | network reconstruction, market structure, intermediation |
| Date: | 2017–07 |
| URL: | http://d.repec.org/n?u=RePEc:srk:srkwps:201751&r=ifn |