Finance and international business cycles

• 成果类型: Article
• 署名作者: Faia, Ester
• 署名单位: Pompeu Fabra University
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2006.04.003
• 发表日期: 2007
• 页码: 1018-1034
• 关键词: financial distance; differential transmission mechanism; International business cycle

摘要

Business cycles are more correlated among countries that have similar financial structures. We first document this empirical regularity using OECD data, and then build a two-country DSGE model with financial ftictions that replicates it. Alternative monetary policy regimes and parameter values are explored. Output co-movements increase when the countries involved are linked by a credible exchange rate peg and when they open up to trade; they decrease when their financial openness increases. The model also accounts for a number of stylized facts of international business cycles, such as the positive international correlation of output, investment and employment. (C) 2006 Elsevier B.V. All rights reserved.