Cross-border banking and the transmission of global shocks to credit cycles in developing economies: A commodity price cycles channel
研究了全球信贷市场冲击如何通过跨境银行资本流动和大宗商品价格周期影响发展中国家信贷周期，发现两者交互项每变动1%会引发信贷周期约4.11个基点的波动。
The literature on the transmission of global credit market shocks to credit cycles in developing countries emphasizes the role of cross-border banking, but it seems to sidestep the important role of commodity trade. To address the gap, we hypothesize that global credit market shocks are transmitted to credit market cycles in developing economies directly through cross-border banking capital flows and indirectly through the interaction between bank capital flows and commodity price cycles. We specify plausible econometric models to represent the hypotheses, and we estimate the models using a panel sample of 74 developing countries. We uncover new robust evidence that cross-border banking capital flows directly accentuate credit cycles in developing countries. The evidence also identifies commodity price cycles as an important indirect transmission channel. We estimate that a 1 % change in the interaction term between cross-border banking capital flows and commodity price index increases credit cycles by about 4.11 basis points. Overall, these findings prompt policymakers in developing countries to pay attention to the commodity price cycles channel when designing policies to minimize vulnerability to global financial shocks.