|
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
|
- 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
