| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP10209
|
| DP10209 International Financial Integration and Crisis Contagion |
| Michael B Devereux
|
| 发表日期 | 2014-10-19
|
| 出版年 | 2014
|
| 语种 | 英语
|
| 摘要 | International financial integration helps to diversify risk but also may increase the transmission of crises across countries. We provide a quantitative analysis of this trade-off in a two-country general equilibrium model with endogenous portfolio choice and collateral constraints. Collateral constraints bind occasionally, depending upon the state of the economy and levels of inherited debt. The analysis allows for different degrees of financial integration, moving from financial autarky to bond market integration and equity market integration. Financial integration leads to a significant increase in global leverage, doubles the probability of balance sheet crises for any one country, and dramatically increases the degree of `contagion' across countries. Outside of crises, the impact of financial integration on macro aggregates is relatively small. But the impact of a crisis with integrated international financial markets is much less severe than that under financial market autarky. Thus, a trade-off emerges between the probability of crises and the severity of crises. Financial integration can raise or lower welfare, depending on the scale of macroeconomic risk. In particular, in a low risk environment, the increased leverage resulting from financial integration can reduce welfare of investors. |
| 主题 | International Macroeconomics
|
| 关键词 | Financial contagion
International financial integration
Leverage
Occasionally binding contracts
|
| URL | https://cepr.org/publications/dp10209
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539042
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推荐引用方式
GB/T 7714 |
Michael B Devereux. DP10209 International Financial Integration and Crisis Contagion. 2014.
|
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