Macroeconomic Shocks and Banks' Foreign Assets
利用OECD国家数据，分析银行外国资产如何应对国内外宏观经济冲击，发现国内利率相对上升会减少外国资产，而世界能源价格增速上升则会增加外国资产，且调整过程持续多个季度。
Recent developments in international financial markets have highlighted the role of banks in the transmission of shocks across borders. We employ dynamic panel methods for a sample of OECD countries to analyze whether banks' foreign assets react to macroeconomic shocks at home and abroad. We find that banks reduce their foreign assets in response to a relative increase in domestic interest rates, and they increase their foreign assets when the growth rate of world energy prices rises. The responses are characterized by a temporal overshooting and a dynamic adjustment process that extends over several quarters.