Table 10 Regression results for cross-border claims to banks, for period 2000–2016

From: Global liquidity and capital flow regulations

Variables Limits on interbank exposures Limits on foreign currency loans Capital surcharges on SIFIs
Panel regression Dynamic panel GMM Panel regression Dynamic panel GMM Panel regression Maximum likelihood
Stockturnover 0.0016** 0.0014*** 0.0016** 0.0012*** 0.0017*** 0.0019***
  (0.0006) (0.0001) (0.0007) (0.0001) (0.0006) (0.0006)
VIX CBOE − 0.0143*** − 0.0101*** − 0.0141*** − 0.0100*** − 0.0141*** − 0.0132***
  (0.0029) (0.0007) (0.0029) (0.0008) (0.0029) (0.0027)
Δ Govexp − 0.3975 − 0.3864 − 0.4157 − 0.4704 − 0.4067 − 0.3615
  (0.4254) (0.2392) (0.4252) (0.2914) (0.4112) (0.4009)
Δ GovDEBT − 0.0016 − 0.0003 − 0.0015 − 0.0005 − 0.0016 − 0.0005
  (0.0012) (0.0006) (0.0012) (0.0006) (0.0012) (0.0007)
Ln GDPdeflator − 0.0278 − 0.0115* − 0.0284 − 0.0143* − 0.0314* − 0.0298*
  (0.0190) (0.0062) (0.0190) (0.0078) (0.0182) (0.0175)
Ln Govrevenue 0.0032   0.0307   0.0153 0.0617
  (0.1518)   (0.1516)   (0.1493) (0.0524)
Δ M2 (US) 0.0127*** 0.0081*** 0.0126*** 0.0080*** 0.0109*** 0.0111***
  (0.0041) (0.0010) (0.0041) (0.0012) (0.0040) (0.0039)
Δ Inflation − 0.0105 − 0.0008 − 0.0114* − 0.0009 − 0.0096 − 0.0148*
  (0.0068) (0.0056) (0.0069) (0.0051) (0.0067) (0.0077)
L1. CURRENT ACCOUNT − 0.0018 0.0002 − 0.0015 0.0006 − 0.0004 − 0.0001
  (0.0045) (0.0010) (0.0045) (0.0011) (0.0044) (0.0027)
L1. GOVERN. REVENUE   0.0046*   0.0037   
   (0.0024)   (0.0025)   
ΔBankClaims L1. lag (2 2)   0.1262***   0.1245***   
   (0.0092)   (0.0085)   
INTER L1. lag (2 2)   − 0.0394**     
   (0.0166)     
FC L1. lag (2 2)     − 0.0709***   
     (0.0156)   
INTER − 0.2316**      
  (0.1034)      
FC    − 0.2383**    
    (0.1026)    
SIFI      − 0.2169** − 0.1665**
      (0.0907) (0.0841)
Constant − 0.3059 − 0.6688*** − 0.4216 − 0.6265*** − 0.3827 − 0.5949***
  (0.5567) (0.1111) (0.5520) (0.1042) (0.5407) (0.2242)
Country Fixed Effect Y   Y   Y  
AR(1) Test   0.000   0.000   
AR(2) Test   0.998   0.992   
Hansen Test/Sargan   1.000   1.000   
Observations 1789 1790 1792 1792 1920 1920
R-squared 0.0125   0.0113   0.0181  
Number of countries 112 112 112 112 120 120
  1. Dependent variable: Per cent Change in cross-border claims on banks (Per cent Change in BIS Locational Cross-Border Claims on Banks, exchange rate adjusted, Table A6). Per cent Change (%ΔX) in Claims on banks is calculated by using the formula (Xafter - Xbefore)/Xbefore. INTER Limits on Interbank Exposures—limits the fraction of liabilities held by the banking sector or by individual banks. FC Limits on Foreign Currency Loans—reduces vulnerability to foreign-currency risks. SIFI Capital Surcharges on SIFIs—requires Systemically Important Financial Institutions to hold a higher capital level than other financial institutions. Robust standard errors are reported in parentheses and indicate significance at the 1%***p < 0.01, at the 5% **p < 0.05, and at the 10% *p < 0.1, respectively
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