Financial globalization, financial crises and contagion

• 成果类型: Article; Proceedings Paper
• 署名作者: Mendoza, Enrique G.; Quadrini, Vincenzo
• 署名单位: University System of Maryland; University of Maryland College Park; National Bureau of Economic Research; University of Southern California; Center for Economic & Policy Research (CEPR)
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2009.10.009
• 发表日期: 2010
• 页码: 24-39
• 关键词: Financial globalization; financial crises; contagion; financial development; US crisis

摘要

Two observations suggest that financial globalization played an important role in the recent financial crisis. First, more than half of the rise in net borrowing of the U.S. non-financial sectors since the mid-1980s has been financed by foreign lending. Second, the collapse of the U.S. housing and mortgage-backed-securities markets had worldwide effects on financial institutions and asset markets. Using an open-economy model where financial intermediaries play a central role, we show that financial integration leads to a sharp rise in net credit in the most financially developed country and to large asset price spillovers of country-specific shocks to bank capital. The impacts of these shocks on asset prices are amplified by bank capital requirements based on mark-to-market. (C) 2009 Elsevier B,V. All rights reserved.