Data for: Global banking, global crises? The role of the bank balance-sheet channel for the transmission of financial crises

Abstract of associated article: We examine whether shocks to leveraged creditors with cross border holdings have an incidence on debtor countries׳ risk of suffering financial turmoil. We construct a new proxy of shocks to international banks׳ balance-sheets using credit ratings and the structure of their international assets. This allows us investigating the effect of (foreign) bank balance-sheet shocks on domestic financial turmoil in a large sample of 146 developed and emerging economies from 1984 to 2011. Our proxies of shocks towards bank balance-sheets are strong predictors of systemic banking crises in their debtor countries. Confirming these results, bilateral bank flows significantly decrease when creditor banks׳ assets are hit by negative shocks, as measured by credit rating downgrades from third-party countries. Short-term liabilities towards global banks appear to increase roll-over and funding risks, thereby amplifying the impact of shocks to foreign lenders’ balance-sheets. Domestic banking sectors vulnerabilities, such as illiquid assets and a low deposit-asset ratio, are found to increase crisis contagion risk. In contrast, a high level of global liquidity attenuates the transmission of shocks to international banks׳ assets to debtor countries.关联论文摘要：本文旨在考察持有跨境资产的高杠杆债权人（leveraged creditors）所遭受的冲击是否会对债务国爆发金融动荡的风险产生影响。本文利用信用评级（credit ratings）及其国际资产结构，构建了衡量国际银行资产负债表（balance sheets）冲击的全新代理变量（proxy），借此我们得以基于1984至2011年间涵盖146个发达经济体与新兴经济体的大型样本，探究（外国）银行资产负债表冲击对债务国国内金融动荡的影响效应。本文构建的银行资产负债表冲击代理变量可有效预测债务国发生系统性银行危机（systemic banking crises）的概率。验证结果表明，当债权银行的资产遭遇由第三方国家出具的信用评级下调这类负面冲击时，双边银行资金流动会显著收缩；对全球银行的短期负债会提升展期风险与融资风险，进而放大外资银行资产负债表冲击的影响效应。研究发现，国内银行业的脆弱性，如非流动性资产占比过高、存款-资产比率偏低，会提升危机传染风险；与之相反，全球流动性水平的提升会削弱国际银行资产冲击向债务国的传导效应。