Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our identificatio...
| Author: | |
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| Format: | Master's thesis |
| Status: | Published version |
| Publication date: | 2021 |
| Country: | Colombia |
| Institution: | Universidad de los Andes |
| Repository: | Séneca: repositorio Uniandes |
| Language: | English |
| OAI Identifier: | oai:repositorio.uniandes.edu.co:1992/53396 |
| Online Access: | http://hdl.handle.net/1992/53396 |
| Access Level: | Open access |
| Keyword: | Movimiento de capitales Riesgo crediticio Economía |
| _version_ | 1878693507820945408 |
|---|---|
| author | Figueroa Suden, María Andrea |
| author_browse | Figueroa Suden, María Andrea |
| author_facet | Figueroa Suden, María Andrea |
| author_role | author |
| collection | Séneca: repositorio Uniandes |
| description | Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our identification strategy relies on the VIX index as a measure of the global financial cycle to instrument debt capital inflows in a two-stage least squares framework. Our main findings are that as debt portfolio inflows increase 10%, the net loan portfolio expands 0.7% and the insolvency risk exposure increases 1.0%, ceteris paribus. Testing whether these results are subject to the type of funding, we stress out that a higher concentration of non-core funds in the liabilities side of the balance sheet amplifies -rather than mitigates- the former results. As extensions to our baseline model, we provide evidence that capital inflows impact is differential across types of non-core funding (bonds vs. credits) and bank's ownership (foreign-owned vs. domestic). |
| eu_rights_str_mv | openAccess |
| format | masterThesis |
| id | CO_80ae19f273b2a45786094de37c5b2df3 |
| identifier_str_mv | 24349.pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca repourl:https://repositorio.uniandes.edu.co/ |
| institution | Universidad de los Andes |
| instname_str | Universidad de los Andes |
| language | eng |
| network_acronym_str | CO |
| network_name_str | Colombia |
| oai_identifier_str | oai:repositorio.uniandes.edu.co:1992/53396 |
| publishDate | 2021 |
| publishDateSort | 2021 |
| publisher | Universidad de los Andes Maestría en Economía Facultad de Economía |
| publisherStr | Facultad de Economía Maestría en Economía Universidad de los Andes |
| reponame_str | Séneca: repositorio Uniandes |
| spelling | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries Figueroa Suden, María Andrea Movimiento de capitales Riesgo crediticio Economía Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our identification strategy relies on the VIX index as a measure of the global financial cycle to instrument debt capital inflows in a two-stage least squares framework. Our main findings are that as debt portfolio inflows increase 10%, the net loan portfolio expands 0.7% and the insolvency risk exposure increases 1.0%, ceteris paribus. Testing whether these results are subject to the type of funding, we stress out that a higher concentration of non-core funds in the liabilities side of the balance sheet amplifies -rather than mitigates- the former results. As extensions to our baseline model, we provide evidence that capital inflows impact is differential across types of non-core funding (bonds vs. credits) and bank's ownership (foreign-owned vs. domestic). Basado en un análisis a nivel bancario de cuatro países de mercados emergentes en América Latina desde el 2016 hasta el 2019, este documento aborda cómo los flujos internacionales de capital impactan la oferta de crédito y el riesgo de los bancos, y si estos efectos están sujetos a las estrategias de fondeo de estos. Nuestra estrategia de identificación se basa en el índice VIX como una medida del ciclo financiero global para instrumentar las entradas de capital de deuda en un marco de mínimos cuadrados en dos etapas. Nuestros principales hallazgos son que a medida que las entradas de capital de deuda aumentan un 10%, la cartera neta se expande un 0,7% y la exposición al riesgo de insolvencia aumenta un 1,0%, ceteris paribus. Al comprobar si estos resultados están sujetos al tipo de financiación, destacamos que una mayor concentración de fondeo alternativo a depósitos en el lado pasivo del balance amplifica, en lugar de mitigar, los resultados mencionados anteriormente. Como extensiones a nuestro modelo de referencia, proporcionamos evidencia de que el impacto de las entradas de capital es diferencial entre los tipos de financiación no tradicional (bonos vs. créditos) y la propiedad del banco (extranjeros vs. nacionales). Magíster en Economía Maestría Universidad de los Andes Maestría en Economía Facultad de Economía http://hdl.handle.net/1992/53396 24349.pdf instname:Universidad de los Andes reponame:Repositorio Institucional Séneca repourl:https://repositorio.uniandes.edu.co/ |
| spellingShingle | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries Figueroa Suden, María Andrea Movimiento de capitales Riesgo crediticio Economía |
| status_str | publishedVersion |
| title | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| title_full | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| title_fullStr | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| title_full_unstemmed | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| title_short | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| title_sort | Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries |
| topic | Movimiento de capitales Riesgo crediticio Economía |
| topic_facet | Movimiento de capitales Riesgo crediticio Economía |
| url | http://hdl.handle.net/1992/53396 |