Financial integration and international business cycle co-movement

• 成果类型: Article
• 署名作者: Davis, J. Scott
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2014.01.007
• 发表日期: 2014
• 页码: 99-111
• 关键词: financial integration; Business cycle co-movement; Wealth effect; Balance sheet effect

摘要

International business cycle transmission through integrated financial markets occurs through wealth and balance sheet effects. Balance sheet effects lead to business cycle convergence, but wealth effects lead to divergence. This paper shows empirically that debt market integration has a positive effect on co-movement, implying that balance sheet effects are the main conduit for international transmission through integrated debt markets. Equity market integration has a negative effect, implying that wealth effects are the main channel for international transmission through integrated equity markets. Distinguishing between wealth and balance sheet effects resolves some key discrepancies between empirical and theoretical findings in international macroeconomics. (C) 2014 Elsevier B.V. All rights reserved.