Posts Tagged ‘uncertainty’

Uncertainty Shocks and the Cross-Border Funding of Banks: Unmasking Heterogeneity

Joint work with Michael Curran

Abstract: This paper looks at the relation between uncertainty shocks and cross-border funding of banks through the lens of a new dataset. Our key innovation is to study the impact of uncertainty measures based on volatility, newspapers, and professional forecast surveys. We provide a comprehensive assessment of how cross-border liabilities in different banking systems respond to the uncertainty type, funding sector, country, and period. We show that the contraction of bank funding can be large and quite different along these dimensions. Volatility-based uncertainty and non-bank funding display the strongest results, with news-based uncertainty mattering most outside the Global Financial Crisis

Downloads: TEP0920, short version (May 2021), data, appendix