GLOBAL BANKING, TRADE, AND THE INTERNATIONAL TRANSMISSION OF THE GREAT RECESSION

• 成果类型: Article
• 署名作者: Born, Alexandra; Enders, Zeno
• 署名单位: European Central Bank; Ruprecht Karls University Heidelberg; Leibniz Association; Ifo Institut
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/uez010
• 发表日期: 2019
• 页码: 2691-2721
• 关键词: Macroprudential policy; Financial shocks; DSGE model; CRISIS; credit

摘要

We employ a dynamic stochastic general equilibrium model to investigate the transmission of the global financial crisis via the collapse of export demand (trade channel) and through losses on cross-border asset holdings (financial channel). Calibrated to German data, the model predicts the trade channel to be twice as important as the financial channel. In the United Kingdom, the latter dominates due to higher foreign-asset holdings, which, at the same time, serve as an automatic stabiliser in case of plummeting foreign demand. The financial channel leads to much longer-lasting effects. Stricter enforcement of bank capital requirements would have frontloaded the recession.