Data and code for: The Dollar, Bank Leverage, and Real Economic Activity: An Evolving Relationship

Principal Investigator(s): View help for Principal Investigator(s) Burcu Erik, Bank for International Settlements; Marco J. Lombardi, Bank for International Settlements; Dubravko Mihaljek, Bank for International Settlements; Hyun Song Shin, Bank for International Settlements

Version: View help for Version V1

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Project Citation:

Erik, Burcu, Lombardi, Marco J., Mihaljek, Dubravko, and Shin, Hyun Song. Data and code for: The Dollar, Bank Leverage, and Real Economic Activity: An Evolving Relationship. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-09-21. https://doi.org/10.3886/E120763V1

Project Description

Summary: The interest in how financial conditions affect real economic activity has grown since the great financial crisis (GFC), not least because some of the mechanisms at play in the financial sector may have changed. We shed light on this issue by examining the empirical relationship between global Purchasing Managers' Indices, world trade, and indicators of global financial conditions, with a special focus on the broad dollar index. We show that the influence of the dollar on real economic activity and global trade seems to have increased since the GFC, while that of the VIX has decreased.

Scope of Project

Subject Terms: financial conditions; economic activity; world trade; dollar exchange rate; bank leverage; purchasing managers’ indices; nowcasting; global supply chains

JEL Classification:
      E23 Macroeconomics: Production
      E44 Financial Markets and the Macroeconomy
      F31 Foreign Exchange
      F65 Economic Impacts of Globalization: Finance
      G01 Financial Crises

Geographic Coverage: Global

Time Period(s): 1998 – 2019

Data Type(s): aggregate data; event/transaction data; survey data

Methodology

Data Source:

List of data (in the order of appearance in the paper) and sources:

- Total assets and book equity of 17 US and 26 euro area banks: Datastream Worldscope

- Total assets and equity for the broker-dealer sector in the US: Federal Reserve, Flow of Funds

- CBOE Volatility Index: Bloomberg

- Federal Reserve Board trade-weighted US dollar indices: Federal Reserve Bank of St Louis (FRED)

- Five-year cross-currency basis spreads: Bloomberg

- Equity price indices: Bloomberg, Datastream, MSCI

- Manufacturing PMIs: IHS Markit

- World trade volume index: CPB Netherlands Bureau of Economic Policy Analysis

- Corporate bond spreads: ICE BofAML indices

- Total credit and loans denominated in USD to non-banks in EMEs: Dealogic, Euroclear, Thomson Reuters, Xtrakter Ltd, national data, BIS locational banking statistics.

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Published Versions

V1 [2020-09-21]

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