Suchergebnisse

We analyze the transmission of monetary shocks in a new openeconomy macroeconomics model with one-period nominal contracts and imperfect information. Shocks may have transitory and persistent components, which only through accumulation of information over time becomes known. Responses to shocks are altered compared to the case of full information. There are persistent effects on international relative prices, and delayed exchange-rate overshooting is possible following a persistent shock. In some cases, there are (ex post) excess returns as a positive interest rate spread is accompanied by an appreciating currency (or vice versa). Lastly, it is demonstrated that staggering re-inforce persistence.

We investigate how solvency and wholesale funding shocks to 84 OECD parent banks affect the lending of 375 foreign subsidiaries. We find that parent solvency shocks are more important than wholesale funding shocks for subsidiary lending. Furthermore, we find that parent undercapitalisation does not affect the transmission of shocks, while wholesale shocks transmit to foreign subsidiaries of parents that rely primarily on wholesale funding. We also find that transmission is affected by the strategic role of the subsidiary for the parent and follows a locational, rather than an organisational pecking order. Surprisingly, liquidity regulation exacerbates the transmission of adverse wholesale shocks. We further document that parent banks tend to use their own capital and liquidity buffers first, before transmitting. Finally, we show that solvency shocks have higher impact on large subsidiary banks with low growth opportunities in mature markets.

Cover -- Contents -- Abstract -- I. Introduction -- II. Modeling Framework -- III. Empirical Approach and Data -- A. Identification of fiscal shocks -- B. Econometric specification -- C. Data -- IV. Empirical Results -- A. Baseline results -- B. Spillovers in Normal Times and near the ELB -- V. Robustness -- A. Alternative definition of the ELB -- B. Alternative shock identification -- VI. Conclusions -- VII. References -- VIII. Appendix -- A. Data -- Data for shock identification -- Data for spillover analysis -- B. Fiscal shock identification -- VAR specification -- Identification -- C. Robustness to inclusion of additional control variables