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来源类型Working Paper
规范类型报告
DOI10.3386/w16226
来源IDWorking Paper 16226
Leverage Constraints and the International Transmission of Shocks
Michael B. Devereux; James Yetman
发表日期2010-07-27
出版年2010
语种英语
摘要Recent macroeconomic experience has drawn attention to the importance of interdependence among countries through financial markets and institutions, independently of traditional trade linkages. This paper develops a model of the international transmission of shocks due to interdependent portfolio holdings among leverage-constrained investors. In our model, without leverage constraints on investment, financial integration itself has no implication for international macro co-movements. When leverage constraints bind however, the presence of these constraints in combination with diversified portfolios introduces a powerful financial transmission channel which results in a positive co-movement of production, independently of the size of international trade linkages. In addition, the paper shows that, with binding leverage constraints, the type of financial integration is critical for international co-movement. If international financial markets allow for trade only in non-contingent bonds, but not equities, then the international co-movement of shocks is negative. Thus, with leverage constraints, moving from bond trade to equity trade reverses the sign of the international transmission of shocks.
主题International Economics ; International Factor Mobility ; International Finance
URLhttps://www.nber.org/papers/w16226
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/573901
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Michael B. Devereux,James Yetman. Leverage Constraints and the International Transmission of Shocks. 2010.
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