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IMF working paper ;.
International fiscal-financial spillovers: the effect of fiscal shocks on cross-border bank lending. — WP/19/150. / by Sangyup Choi, Davide Furceri, and Chansik Yoon. — 1 online resource. — (IMF Working Paper). — <URL:http://elib.fa.ru/ebsco/2242541.pdf>.

Record create date: 9/9/2019

Subject: Fiscal policy; Economics; Economics.; Fiscal policy.

Collections: EBSCO

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Table of Contents

  • Cover
  • Contents
  • I. INTRODUCTION
  • II. RELATED LITERATURE
  • III. DATA
    • A. Data on Cross-border Banking Flows
    • B. Data on Fiscal Shocks
  • IV. EMPIRICAL METHODOLOGY
    • A. General Framework
    • B. Analysis of U.S. Fiscal Shocks
  • V. RESULTS
    • A. Analysis of Cross-border Spillovers for U.S. Fiscal Shocks
    • B. Analysis of Cross-border Fiscal-Financial Spillovers in Small Open Economies
  • VI. CONCLUSIONS
  • REFERENCES
  • TABLES
    • Table 1. List of countries in the international panel analysis
    • Table 2. Total cross-border claims and liabilities as a share of GDP
    • Table 3. Baseline estimation results from a dynamic framework
    • Table 4. Summary of exogenous spending shocks in 16 OECD countries: 1990 -2010
  • FIGURES
    • Figure 1. Total U.S. cross-border bank claims: raw stock vs. exchange rate-adjusted stock
    • Figure 2. Exchange rate-adjusted U.S. cross-border bank claims to individual countries
    • Figure 3. Time series of exogenous fiscal shocks in the U.S.
    • Figure 4. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending
    • Figure 5. Transmission channel of U.S. fiscal shocks
    • Figure 6. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending after controlling for monetary policy shocks
    • Figure 7. Forecast variance error decomposition of cross-border bank lending
    • Figure 8. Estimated effect of a U.S. expansionary fiscal policy shock (1 percent of GDP) on cross-border bank net lending
    • Figure 9. NBER recession dates and the weight on a recession regime
    • Figure 10. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: expansions vs. recessions
    • Figure 11. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: expansionary vs. contractionary shocks
    • Figure 12. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: pegged vs. non-pegged recipients
    • Figure 13. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: financially open vs. closed recipient countries
    • Figure 14. Distribution of fiscal policy shock as a share of GDP in 16 OECD countries from 1990 and 2010
    • Figure 15. Estimated effect of expansionary spending shock on cross-border bank lending using 16 OECD countries
  • APPENDIX
    • Table A1. Data availability on cross-border flows in the BIS International Banking Statistics
    • Figure B1. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: controlling for other macroeconomic variables
    • Figure B.2. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: using eight lags instead
    • Figure B.3. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: using Driscoll-Kraay standard error
    • Figure B.4. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: controlling for bilateral imports
    • Figure B.5. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending
    • Figure B.6. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending after controlling for monetary policy shocks and VIX shocks
    • Figure B.7. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank borrowing
    • Figure B.8. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: advanced vs. emerging market recipient countries
    • Figure B.9. Estimated effect of a U.S. expansionary spending shock on cross-border bank lending using 16 OECD countries: alternative fixed effects
    • Figure B.10. Estimated effect of expansionary fiscal policy shock on cross-border bank lending using 16 OECD countries: expansions vs. recessions
    • Figure B.11. Estimated effect of expansionary fiscal policy shock on cross-border bank lending using 16 OECD countries: expansionary vs. contractionary shocks
    • Figure B.12. Estimated effect of expansionary fiscal policy shock on cross-border bank lending using 16 OECD countries: pegged vs. non-pegged
    • Figure B.12. Estimated effect of expansionary fiscal policy shock on cross-border bank lending using 16 OECD countries: open vs. closed recipient countries

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