Front Matter Page
Institute of Capacity Development
Contents
I. Introduction
II. Literature Review
III. The Data
IV. Influence of Crises Experienced in Trade Partners and Loan Recipients
V. Influence of Macroprudential Policies in Trade Partners and Loan Recipients
A. Preliminaries
B. Influence of Macroprudential Policies in Partners on Domestic Credit Growth and House Price Growth
C. Influence of Macroprudential Policies in Partners on Domestic Crisis Probabilities
D. Alternative Specifications
VI. Conclusion
References
Appendix I. Data
Appendix II. Robustness Checks
List of Tables
Table 1. Probability of a Banking Crisis according to Partner Crises
Table 2. Numbers of Trade Partners and Loan Recipients Experiencing a Banking Crisis
Table 3. Panel Logit Estimation Impact on Crises Experienced in Trade Partners and Loan Recipients on Domestic Crisis Probabilities
Table 4. Impact of Domestic and Top-10 Trade Partners’ Macroprudential Tightening on Financial Sector Indicators
Table 5. Impact of Domestic and Top-10 Loan Recipients’ Macroprudential Tightening on Financial Sector Indicators
Table 6. Impact of Domestic and Top-10 Partners’ Macroprudential Tightening on Crisis Probabilities
Table 7. Impact of Noncore Liabilities with Domestic and Top-10 Partners’ Macroprudential Tightening on Crisis Probabilities
List of Figures
Figure 1. Illustrated Goal of This Paper
Figure 2. Illustration of the Estimated Crisis Probability
Figure 3. Financial Sector Indicators around Top-10 Partners’ Macroprudential Tightening
Figure 4. Domestic Macroprudential Tightening with and without the Tightening of One or More of Top-10 Trade Partners
Appendix I. Data
Table A1. Data and Sources
Table A2. Country List in BIS Data
Table A3. List of Crisis Years/Countries
Table A4. Macroprudential Tightening Indicator
Appendix II. Robustness Checks
Table B1. Impact of Crises in Partner Countries on Domestic Crisis Probabilities with Year-2008 Dummy
Table B2. Impact of Domestic and Top Trade Partners’ Macroprudential Tightening on Crisis Probabilities with Year-2008 Dummy
Figure B1. Top-10 Partners’ Macroprudential Tightening: LTV and DTI Only
Figure B2. Macroprudential Tightening with and without Top-10 Partners’ Macroprudential Tightening: LTV and DTI Only