Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries

Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our ide...

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Autores:
Figueroa Suden, María Andrea
Tipo de recurso:
Fecha de publicación:
2021
Institución:
Universidad de los Andes
Repositorio:
Séneca: repositorio Uniandes
Idioma:
eng
OAI Identifier:
oai:repositorio.uniandes.edu.co:1992/53396
Acceso en línea:
http://hdl.handle.net/1992/53396
Palabra clave:
Movimiento de capitales
Riesgo crediticio
Economía
Rights
openAccess
License
http://creativecommons.org/licenses/by-nc-nd/4.0/
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dc.title.eng.fl_str_mv Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
spellingShingle Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
Movimiento de capitales
Riesgo crediticio
Economía
title_short Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title_full Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title_fullStr Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title_full_unstemmed Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
title_sort Are banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countries
dc.creator.fl_str_mv Figueroa Suden, María Andrea
dc.contributor.advisor.none.fl_str_mv Pérez Reyna, David Alejandro
dc.contributor.author.none.fl_str_mv Figueroa Suden, María Andrea
dc.contributor.jury.none.fl_str_mv Caballero Argáez, Carlos Eduardo
Sarmiento Paipilla, Miguel
dc.subject.armarc.none.fl_str_mv Movimiento de capitales
Riesgo crediticio
topic Movimiento de capitales
Riesgo crediticio
Economía
dc.subject.themes.none.fl_str_mv Economía
description Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our identification strategy relies on the VIX index as a measure of the global financial cycle to instrument debt capital inflows in a two-stage least squares framework. Our main findings are that as debt portfolio inflows increase 10%, the net loan portfolio expands 0.7% and the insolvency risk exposure increases 1.0%, ceteris paribus. Testing whether these results are subject to the type of funding, we stress out that a higher concentration of non-core funds in the liabilities side of the balance sheet amplifies -rather than mitigates- the former results. As extensions to our baseline model, we provide evidence that capital inflows impact is differential across types of non-core funding (bonds vs. credits) and bank's ownership (foreign-owned vs. domestic).
publishDate 2021
dc.date.accessioned.none.fl_str_mv 2021-11-03T16:20:59Z
dc.date.available.none.fl_str_mv 2021-11-03T16:20:59Z
dc.date.issued.none.fl_str_mv 2021
dc.type.spa.fl_str_mv Trabajo de grado - Maestría
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dc.identifier.uri.none.fl_str_mv http://hdl.handle.net/1992/53396
dc.identifier.pdf.none.fl_str_mv 24349.pdf
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dc.identifier.reponame.spa.fl_str_mv reponame:Repositorio Institucional Séneca
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url http://hdl.handle.net/1992/53396
identifier_str_mv 24349.pdf
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dc.language.iso.none.fl_str_mv eng
language eng
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dc.format.extent.none.fl_str_mv 47 páginas
dc.format.mimetype.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidad de los Andes
dc.publisher.program.none.fl_str_mv Maestría en Economía
dc.publisher.faculty.none.fl_str_mv Facultad de Economía
publisher.none.fl_str_mv Universidad de los Andes
institution Universidad de los Andes
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spelling Al consultar y hacer uso de este recurso, está aceptando las condiciones de uso establecidas por los autores.http://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Pérez Reyna, David Alejandrovirtual::5993-1Figueroa Suden, María Andrea8c7e9759-64d3-4d4f-a7a8-a07be6c54d85500Caballero Argáez, Carlos EduardoSarmiento Paipilla, Miguel2021-11-03T16:20:59Z2021-11-03T16:20:59Z2021http://hdl.handle.net/1992/5339624349.pdfinstname:Universidad de los Andesreponame:Repositorio Institucional Sénecarepourl:https://repositorio.uniandes.edu.co/Based on a cross-country bank-level analysis within four emerging market countries in Latin America from 2016 to 2019, this document addresses how international capital flows impact banks' loan supply and risk, and if these effects are contingent upon the banks' funding strategies. Our identification strategy relies on the VIX index as a measure of the global financial cycle to instrument debt capital inflows in a two-stage least squares framework. Our main findings are that as debt portfolio inflows increase 10%, the net loan portfolio expands 0.7% and the insolvency risk exposure increases 1.0%, ceteris paribus. Testing whether these results are subject to the type of funding, we stress out that a higher concentration of non-core funds in the liabilities side of the balance sheet amplifies -rather than mitigates- the former results. As extensions to our baseline model, we provide evidence that capital inflows impact is differential across types of non-core funding (bonds vs. credits) and bank's ownership (foreign-owned vs. domestic).Basado en un análisis a nivel bancario de cuatro países de mercados emergentes en América Latina desde el 2016 hasta el 2019, este documento aborda cómo los flujos internacionales de capital impactan la oferta de crédito y el riesgo de los bancos, y si estos efectos están sujetos a las estrategias de fondeo de estos. Nuestra estrategia de identificación se basa en el índice VIX como una medida del ciclo financiero global para instrumentar las entradas de capital de deuda en un marco de mínimos cuadrados en dos etapas. Nuestros principales hallazgos son que a medida que las entradas de capital de deuda aumentan un 10%, la cartera neta se expande un 0,7% y la exposición al riesgo de insolvencia aumenta un 1,0%, ceteris paribus. Al comprobar si estos resultados están sujetos al tipo de financiación, destacamos que una mayor concentración de fondeo alternativo a depósitos en el lado pasivo del balance amplifica, en lugar de mitigar, los resultados mencionados anteriormente. Como extensiones a nuestro modelo de referencia, proporcionamos evidencia de que el impacto de las entradas de capital es diferencial entre los tipos de financiación no tradicional (bonos vs. créditos) y la propiedad del banco (extranjeros vs. nacionales).Magíster en EconomíaMaestría47 páginasapplication/pdfengUniversidad de los AndesMaestría en EconomíaFacultad de EconomíaAre banks going with the flows? An empirical assessment of the international credit channel in the Pacific Alliance countriesTrabajo de grado - Maestríainfo:eu-repo/semantics/masterThesishttp://purl.org/coar/version/c_970fb48d4fbd8a85Texthttp://purl.org/redcol/resource_type/TMMovimiento de capitalesRiesgo crediticioEconomía201424648Publicationhttps://scholar.google.es/citations?user=obmF0pYAAAAJvirtual::5993-10000-0001-6151-6631virtual::5993-1https://scienti.minciencias.gov.co/cvlac/visualizador/generarCurriculoCv.do?cod_rh=0000052012virtual::5993-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::5993-181dc7308-eddf-42f0-b3d1-b965b84c704evirtual::5993-1TEXT24349.pdf.txt24349.pdf.txtExtracted texttext/plain99496https://repositorio.uniandes.edu.co/bitstreams/a0c612e4-f6e1-48d2-a5fc-69ef8db2f583/download2f3a25e411859fb7efd9fcfa28d70f5fMD54ORIGINAL24349.pdfapplication/pdf1009366https://repositorio.uniandes.edu.co/bitstreams/d1bfdad4-7f0d-4c22-b258-fd40bdddf18d/download7ebdeffacf16206f143f2b5b0b801ac6MD51THUMBNAIL24349.pdf.jpg24349.pdf.jpgIM Thumbnailimage/jpeg18497https://repositorio.uniandes.edu.co/bitstreams/82ffd0d8-53d4-4da7-ade6-e4efb14bffb3/download71c05124d2d9e44b29917b340147527cMD551992/53396oai:repositorio.uniandes.edu.co:1992/533962024-03-13 13:04:32.705http://creativecommons.org/licenses/by-nc-nd/4.0/open.accesshttps://repositorio.uniandes.edu.coRepositorio institucional Sénecaadminrepositorio@uniandes.edu.co