| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20526 |
| 来源ID | Working Paper 20526 |
| International Financial Integration and Crisis Contagion | |
| Michael B. Devereux; Changhua Yu | |
| 发表日期 | 2014-09-25 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | International financial integration helps to diversify risk but also may increase the trans- mission 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 con- straints. 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. Fi- nancial 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 | Microeconomics ; General Equilibrium ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w20526 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/578200 |
| 推荐引用方式 GB/T 7714 | Michael B. Devereux,Changhua Yu. International Financial Integration and Crisis Contagion. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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