International business cycles and financial frictions

• 成果类型: Article
• 署名作者: Yao, Wen
• 署名单位: Tsinghua University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.03.002
• 发表日期: 2019
• 页码: 283-291
• 关键词: financial frictions; Business cycle co-movement; Financial integration

摘要

In this study. I build a two-country DSGE model to investigate the impact of financial integration on business cycle co-movements with financial frictions. In this model, the investor can borrow but faces a collateral constraint that is tied to the value of her capital and real estate holdings. I show quantitatively that the degree of financial integration and real exchange rate adjustment are important for understanding business cycle synchronization under different types of shocks. With the technology shock, greater financial integration leads to lower cross-country correlations, while with the financial shock, greater financial integration leads to stronger cross-country correlations. These findings are consistent with the empirical evidence from the literature. (C) 2019 Elsevier B.V. All rights reserved.