Finance and synchronization

• 成果类型: Article
• 署名作者: Cesa-Bianchi, Ambrogio; Imbs, Jean; Saleheen, Jumana
• 署名单位: Bank of England
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2018.08.007
• 发表日期: 2019
• 页码: 74-87
• 关键词: Financial linkages; Business cycles synchronization; contagion; Common shocks; idiosyncratic shocks

摘要

In the workhorse model of international real business cycles, financial integration exacerbates the cycle asymmetry created by country-specific supply shocks. The prediction is identical in response to purely common shocks in the same model augmented with simple country heterogeneity (e.g., where depreciation rates or factor shares are different across countries). This happens because common shocks have heterogeneous consequences on the marginal products of capital across countries, which triggers international investment. In the data, filtering out common shocks requires therefore allowing for country-specific loadings. We show that finance and synchronization correlate negatively in response to such common shocks, consistent with previous findings. But finance and synchronization correlate non-negatively, almost always positively, in response to purely country specific shocks. (C) 2018 The Bank of England. Published by Elsevier B.V. All rights reserved.