Earticle

초록

영어

We investigate whether ratings-based capital regulation has affected the finance-growth nexus via the foreign credit channel. Using quarterly data on short to medium term real GDP growth and cross-border bank lending flows from G-10 country banks to 67 borrower countries over time, we find that since the implementation of Basel 2 capital rules, risk weight reductions mapped to sovereign credit rating upgrades have led to significant economic growth in investment grade countries. However, rating upgrades large enough to reduce risk weights had the opposite impact of significantly reducing growth in non-investment grade borrower countries. We point this to a combination higher levels of risk taking by lending banks and the financial market underdevelopment in the borrower countries. The impact of rating upgrades is strongest over the one year growth horizon and then tend to reduce or even reverse over longer horizons. On the other hand, there is a consistent and lasting negative impact of risk weight increases due to downgrades across both types of borrower countries. The adverse effects of capital regulation on bank credit supply and economic growth are compounded with more corruption and less competitive banking sectors but ameliorated with greater political stability.

목차

ABSTRACT
 1. Introduction
 2. Related literature
 3. Data
 4. Empirical Modelling
  4.1 The effects of international bank flows induced by risk weight changes on economic growth in recipient countries
  4.2 The combined effects of ratings-based capital regulation and institutional quality on economic growth within recipient-lender country pairs
 5. Results
  5.1 Sensitivity of economic growth in recipients to ratings-induced bank flows pre- and post-Basel capital rules
  5.2. The short- and long-run growth effects over the next quarter and up to 3 years
  5.3. Influence of institutional quality on the growth effects of ratings and bank flows
 6. Conclusions
 References
 Appendix Table A. Variable Descriptions

키워드

저자

• Iftekhar Hasan [ Fordham University and Bank of Finland 45 Columbus Avenue, 5th Floor, New York, NY 10023 ]
• Gazi Hassan [ Waikato University Hamilton, New Zealand ]
• Suk-Joong Kim [ Discipline of Finance University of Sydney Business School, University of Sydney, Australia ] Corresponding author
• Eliza Wu [ Discipline of Finance University of Sydney Business School, University of Sydney, Australia ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330