Banking globalization and international business cycles: Cross-border chained credit contracts and financial accelerators

• 成果类型: Article
• 署名作者: Ueda, Kozo
• 署名单位: Bank of Japan
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2011.08.012
• 发表日期: 2012
• 页码: 1-16
• 关键词: Financial accelerator; Financial intermediaries; Correlation (quantity) puzzle; Business cycle synchronization; contagion; monetary policy

摘要

This paper constructs a two-country DSGE model to study the nature of the recent financial crisis and its effects that spread immediately throughout the world owing to the globalization of banking. In the model, financial intermediaries (FIs) enter into chained credit contracts at home and abroad, engaging in cross-border lending to entrepreneurs by undertaking cross-border borrowing from investors. The FIs as well as the entrepreneurs in two countries are credit constrained, so all of their net worths matter. Our model reveals that under FIs' globalization, adverse shocks that hit one country affect the other, yielding business cycle synchronization on both the real and financial sides. It also suggests that the FIs' globalization, net worth shock, and credit constraints are key to understanding the recent financial crisis. (C) 2011 Elsevier B.V. All rights reserved.