Cerutti, Eugenio, 2011. “Foreign Default Exposures and Rollover Risks: Measurement, Evolution and Determinants”, forthcoming IMF Working Paper
Cerutti, E., S. Claessens, and P. McGuire (2011): “Systemic Risks in Global Banking: What Available Data Can Tell and What More Data are Needed,” IMF Working Paper 11/222, International Monetary Fund.
Poirson, Helene and Sebastian Weber, 2011. “Growth Spillover Dynamics from Crisis to Recovery”, IMF Working Paper 11/218, International Monetary Fund
Thierry Tressel, 2010. “Financial Contagion through Bank Deleveraging: Stylized Facts and Simulations Applied to the Financial Crisis,” IMF Working Papers 10/236, International Monetary Fund
Prepared by Sebastian Weber with input from Eugenio Cerutti (RES) on bank sector spillovers.
High spread countries include all countries with spreads above 200bs to the 10-year German Bund as of 2011Q1.
See also NBB, Financial Stability Review 2011, pages 41—42.
However, the possibility that foreign liabilities include some liabilities of foreign banks’ subsidiaries in Belgium cannot be excluded, as data tend to be limited.
In addition, the upstream exposure measure also includes the credit commitments (not used yet) that a borrower country has secured from BIS reporting banks.
The international component includes also three exogenous shocks: a dummy for the oil shock in 1979, a dummy for the oil shock in 1990, and a dummy for the recent financial crisis. The sample extends from 1975Q1 to 201 1Q3. The country sample includes: Austria, Belgium, Canada, Finland, France, Germany, Greece, Ireland, Italy, Japan, the Netherlands, Portugal, Spain, Sweden, Switzerland, the United Kingdom and the United States
The approach is similar to Poirson and Weber (2011). The countries in the sample include: Austria, Belgium, Denmark, Finland, France, Greece, Ireland, Italy, Netherlands, Portugal, Spain, Sweden, Switzerland, and United Kingdom. Spreads over the German Bund are measured at weekly frequency. Results are based on the average estimates from 46 different Choleski identification schemes. Excluding the non-euro area countries leaves the main findings unaltered.