Table 9 Regression results for cross-border claims to banks, for period 2000–2016

From: Global liquidity and capital flow regulations

Variables General countercyclical capital buffer/requirement FX and/or countercyclical RR Reserve requirement ratios Concentration limits
Panel regression Dynamic panel GMM Panel regression Panel regression Dynamic panel GMM Panel regression
Stockturnover 0.0016** 0.0012*** 0.0016** 0.0015** 0.0014*** 0.0017**
  (0.00068) (0.0002) (0.0006) (0.0006) (0.0001) (0.00068)
VIX CBOE − 0.0137*** − 0.0102*** − 0.0141*** − 0.0140*** − 0.0108*** − 0.0140***
  (0.0029) (0.0007) (0.0029) (0.0029) (0.0007) (0.0029)
Δ Govexp − 0.3332 − 0.3281* − 0.4318 − 0.4247 − 0.3562** − 0.4403
  (0.4256) (0.1748) (0.4247) (0.4250) (0.1599) (0.4249)
Δ GovDEBT − 0.0018 − 0.0003 − 0.0019 − 0.0022* − 0.0001 − 0.0019
  (0.0012) (0.0005) (0.0012) (0.0012) (0.0006) (0.0012)
Ln GDPdeflator − 0.0253 − 0.0118 − 0.0239 − 0.0252 0.0030 − 0.0230
  (0.0188) (0.0077) (0.0188) (0.0188) (0.0055) (0.0188)
Ln Govrevenue 0.0001   0.0586 0.0239   0.0168
  (0.1512)   (0.1519) (0.1513)   (0.1512)
Δ M2 (US) 0.0121*** 0.0083*** 0.0124*** 0.0123*** 0.0091*** 0.0121***
  (0.0041) (0.0013) (0.0041) (0.0041) (0.0011) (0.0041)
Δ Inflation − 0.0082 − 0.0025 − 0.0105 − 0.0109* − 0.0016 − 0.0115*
  (0.0069) (0.0047) (0.0068) (0.0068) (0.0036) (0.0068)
L1. CURRENT ACCOUNT − 0.0016 0.0010 − 0.0014 − 0.0014 0.0005 − 0.0014
  (0.0045) (0.0011) (0.0045) (0.0045) (0.0012) (0.0045)
L1. GOVERN. REVENUE   0.0015    0.0001  
   (0.0020)    (0.0023)  
ΔBankClaims L1. (2 2)   0.1192***    0.1210***  
   (0.0080)    (0.0074)  
CTC L1. lag (2 2)   − 0.1114*     
   (0.0594)     
RR L1. lag (2 2)      − 0.0436**  
      (0.0172)  
CTC − 0.4537***      
  (0.1669)      
RR_REV    − 0.4865***    
    (0.1543)    
RR     − 0.3376***   
     (0.1188)   
CONC       − 0.3257***
       (0.1111)
Constant − 0.3620 − 0.5624*** − 0.4759 − 0.3088 − 0.5955*** − 0.2282
  (0.5525) (0.1047) (0.5513) (0.5536) (0.1060) (0.5563)
Country Fixed Effect Y   Y Y   Y
AR(1) Test   0.000    0.000  
AR(2) Test   0.976    0.999  
Hansen Test/Sargan   1.000    1.000  
Observations 1788 1790 1792 1792 1792 1792
R-squared 0.0197   0.0101 0.0120   0.0133
Number of countries 112 112 112 112 112 112
  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. CTC General Countercyclical Capital Buffer/Requirement—requires banks to hold more capital during upturns. RR Reserve Requirement Ratios—limits credit growth; can also be targeted to limit foreign-currency credit growth. RR_REV FX and/or Countercyclical Reserve Requirements—restricts to RR which i) imposes a wedge of on foreign currency deposits, or ii) is adjusted countercyclically. CONC Concentration Limits—limits the fraction of assets held by a limited number of borrowers. 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