Carry trade behavior by non-US banks

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-10-09 DOI:10.1016/j.ribaf.2024.102618

Yasutake Homma , Katsushi Suzuki

引用次数: 0

Abstract

Carry trade behavior by banks is considered to lead their solvency and liquidity risks. This study examines the carry trade behavior of non-US banks by testing the dynamics of short-term US dollar bond issuances. We find that non-US banks, particularly those in advanced economies, issue a larger amount of US dollar bonds under favorable carry trade conditions. They also allocate the proceeds to short-term investment assets, suggesting their engagement in carry trade behavior. However, we do not consistently observe the same relationship between US dollar bond issuances and favorable carry trade conditions in emerging economies. This finding aligns with previous studies indicating that banks in emerging economies do not engage in carry trade behavior.

查看原文本刊更多论文

非美国银行的套利交易行为

银行的套利交易行为被认为会导致其偿付能力和流动性风险。本研究通过测试短期美元债券发行的动态来研究非美国银行的套利交易行为。我们发现，在有利的利差交易条件下，非美国银行，尤其是发达经济体的非美国银行，会发行更大量的美元债券。它们还将收益分配给短期投资资产，这表明它们参与了利差交易行为。然而，在新兴经济体中，我们并没有持续观察到美元债券发行与有利的套利交易条件之间存在相同的关系。这一发现与之前的研究一致，表明新兴经济体的银行并不参与套利交易行为。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance