Global banks and crisis transmission

• 成果类型: Article; Proceedings Paper
• 署名作者: Kalemli-Ozcan, Sebnem; Papaioannou, Elias; Perri, Fabrizio
• 署名单位: Koc University; Harvard University; Dartmouth College; National Bureau of Economic Research; Centre for Economic Policy Research - UK; University of Minnesota System; University of Minnesota Twin Cities; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2012.07.001
• 发表日期: 2013
• 页码: 495-510
• 关键词: Banking integration; Co-movement; Financial globalization; International business cycles

摘要

We study the effect of financial integration (through banks) on the transmission of international business cycles. In a sample of 18/20 developed countries between 1978 and 2009 we find that, in periods without financial crises, increases in bilateral banking linkages are associated with more divergent output cycles. This relation is significantly weaker during financial turmoil periods, suggesting that financial crises induce co-movement among more financially integrated countries. We also show that countries with stronger, direct and indirect, financial ties to the U.S. experienced more synchronized cycles with the U.S. during the recent 2007-2009 crisis. We then interpret these findings using a simple general equilibrium model of international business cycles with banks and shocks to banking activity. The model suggests that the relation between integration and synchronization depends on the type of shocks hitting the world economy, and that shocks to global banks played an important role in triggering and spreading the 2007-2009 crisis. (C) 2012 Elsevier B.V. All rights reserved.