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 ide...

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Autor: Figueroa Suden, María Andrea
Tipo de recurso: tesis de maestría
Estado:Versión publicada
Fecha de publicación:2021
País:Colombia
Institución:Universidad de los Andes
Repositorio:Séneca: repositorio Uniandes
Idioma:inglés
OAI Identifier:oai:repositorio.uniandes.edu.co:1992/53396
Acceso en línea:http://hdl.handle.net/1992/53396
Access Level:acceso abierto
Palabra clave:Movimiento de capitales
Riesgo crediticio
Economía
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spelling Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countriesFigueroa Suden, María AndreaMovimiento de capitalesRiesgo crediticioEconomíaBased 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 EconomíaMaestríaUniversidad de los AndesMaestría en EconomíaFacultad de EconomíaPérez Reyna, David AlejandroCaballero Argáez, Carlos EduardoSarmiento Paipilla, Miguel2021Trabajo de grado - Maestríainfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_bdcchttp://purl.org/coar/version/c_ab4af688f83e57aaTexthttp://purl.org/redcol/resource_type/TM47 páginasapplication/pdfapplication/pdfhttp://hdl.handle.net/1992/5339624349.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/engAl consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2reponame:Séneca: repositorio Uniandesinstname:Universidad de los Andesinstacron:Universidad de los Andes2024-03-13T13:04:32Z
dc.title.none.fl_str_mv Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
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
title_short 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_sort Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
dc.creator.none.fl_str_mv Figueroa Suden, María Andrea
author Figueroa Suden, María Andrea
author_facet Figueroa Suden, María Andrea
author_role author
dc.contributor.none.fl_str_mv Pérez Reyna, David Alejandro
Caballero Argáez, Carlos Eduardo
Sarmiento Paipilla, Miguel
dc.subject.none.fl_str_mv Movimiento de capitales
Riesgo crediticio
Economía
topic Movimiento de capitales
Riesgo crediticio
Economía
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).
publishDate 2021
dc.date.none.fl_str_mv 2021
dc.type.none.fl_str_mv Trabajo de grado - Maestría
info:eu-repo/semantics/masterThesis
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dc.identifier.none.fl_str_mv http://hdl.handle.net/1992/53396
24349.pdf
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
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url http://hdl.handle.net/1992/53396
identifier_str_mv 24349.pdf
instname:Universidad de los Andes
reponame:Repositorio Institucional Séneca
repourl:https://repositorio.uniandes.edu.co/
dc.language.none.fl_str_mv eng
language eng
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by-nc-nd/4.0/
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eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 47 páginas
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Universidad de los Andes
Maestría en Economía
Facultad de Economía
publisher.none.fl_str_mv Universidad de los Andes
Maestría en Economía
Facultad de Economía
dc.source.none.fl_str_mv reponame:Séneca: repositorio Uniandes
instname:Universidad de los Andes
instacron:Universidad de los Andes
instname_str Universidad de los Andes
instacron_str Universidad de los Andes
institution Universidad de los Andes
reponame_str Séneca: repositorio Uniandes
collection Séneca: repositorio Uniandes
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