Global Banks and Systemic Debt Crises

• 成果类型: Article
• 署名作者: Morelli, Juan M.; Ottonello, Pablo; Perez, Diego J.
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of Michigan System; University of Michigan; National Bureau of Economic Research; New York University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA17433
• 发表日期: 2022
• 页码: 749-798
• 关键词: business cycles; financial crises; monetary-policy; default risk; sovereign; transmission; contagion; MARKETS; income; MODEL

摘要

We study the role of global financial intermediaries in international lending. We construct a model of the world economy, in which heterogeneous borrowers issue risky securities purchased by financial intermediaries. Aggregate shocks transmit internationally through financial intermediaries' net worth. The strength of this transmission is governed by the degree of frictions intermediaries face in financing their risky investments. We provide direct empirical evidence on this mechanism showing that around Lehman Brothers' bankruptcy, emerging-market bonds held by more distressed global banks experienced larger price contractions. A quantitative analysis of the model shows that global financial intermediaries play a relevant role in driving borrowing-cost and consumption fluctuations in emerging-market economies, during both debt crises and regular business cycles. The portfolio of financial intermediaries and the distribution of bond holdings in the world economy are key to determine aggregate dynamics.