Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

• 成果类型: Article
• 署名作者: Akbari, Amir; Carrieri, Francesca; Malkhozov, Aytek
• 署名单位: Ontario Tech University; McGill University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab009
• 发表日期: 2022
• 页码: 394
• 关键词: market integration; leverage cycles; capital flows; stock-market; deviations; liquidity; equilibrium; INFORMATION; investors; barriers

摘要

We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding barriers. Our measure helps explain the dynamics of global market integration and, in particular, its reversals documented in the literature, but not explained by other international investment barriers. We confirm our results using alternative financial integration measures, international capital flows, and institutional portfolio holdings.