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International credit supply shocks

机译:国际信贷供应冲击

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House prices and exchange rates can potentially amplify the expansionary effect of capital inflows. We first set up a model of collateralized borrowing in domestic and foreign currency with international financial intermediation in which a change in leverage of global intermediaries leads to an international credit supply increase. In this environment, we illustrate how house price increases and exchange rates appreciations contribute to fueling the boom by inflating the value of collateral. We then document empirically, in a Panel VAR model for 50 advanced and emerging countries estimated with quarterly data from 1985 to 2012, that an increase in the leverage of US Broker-Dealers also leads to an increase in cross-border credit flows, a house price and consumption boom, a real exchange rate appreciation and a current account deterioration consistent with the transmission in the model. Finally, we study the sensitivity of the consumption and asset price response to such a shock, and show that country differences are associated with the level of the maximum loan-to-value ratio and the share of foreign currency denominated credit. (C) 2018 Elsevier B.V. All rights reserved.
机译:房价和汇率可能会放大资本流入的扩张效应。我们首先建立了在国际金融中介下以本金和外币进行抵押的借贷模型,其中,全球中介机构杠杆率的变化导致国际信贷供应的增加。在这种环境下,我们说明了房价上涨和汇率升值如何通过夸大抵押品价值来助长繁荣。然后,我们根据1985年至2012年的季度数据对50个发达和新兴国家进行的Panel VAR模型以经验证明,美国经纪商的杠杆作用的增加也导致跨境信贷流量的增加。价格和消费的繁荣,实际汇率的升值和经常账户的恶化与模型中的传递一致。最后,我们研究了消费和资产价格对这种冲击的敏感性,并表明国家差异与最大贷款价值比的水平和外币计价信贷的份额有关。 (C)2018 Elsevier B.V.保留所有权利。

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