International Fiscal-Financial Spillovers

Abstract

Cover -- Contents -- I. INTRODUCTION -- II. RELATED LITERATURE -- III. DATA -- A. Data on Cross-border Banking Flows -- B. Data on Fiscal Shocks -- IV. EMPIRICAL METHODOLOGY -- A. General Framework -- B. Analysis of U.S. Fiscal Shocks -- V. RESULTS -- A. Analysis of Cross-border Spillovers for U.S. Fiscal Shocks -- B. Analysis of Cross-border Fiscal-Financial Spillovers in Small Open Economies -- VI. CONCLUSIONS -- REFERENCES -- TABLES -- Table 1. List of countries in the international panel analysis -- Table 2. Total cross-border claims and liabilities as a share of GDP -- Table 3. Baseline estimation results from a dynamic framework -- Table 4. Summary of exogenous spending shocks in 16 OECD countries: 1990 -2010 -- FIGURES -- Figure 1. Total U.S. cross-border bank claims: raw stock vs. exchange rate-adjusted stock -- Figure 2. Exchange rate-adjusted U.S. cross-border bank claims to individual countries -- Figure 3. Time series of exogenous fiscal shocks in the U.S. -- Figure 4. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending -- Figure 5. Transmission channel of U.S. fiscal shocks -- Figure 6. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending after controlling for monetary policy shocks -- Figure 7. Forecast variance error decomposition of cross-border bank lending -- Figure 8. Estimated effect of a U.S. expansionary fiscal policy shock (1 percent of GDP) on cross-border bank net lending -- Figure 9. NBER recession dates and the weight on a recession regime -- Figure 10. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: expansions vs. recessions -- Figure 11. Estimated effect of a U.S. expansionary fiscal policy shock on cross-border bank lending: expansionary vs. contractionary shocks.