【主讲】余昌华 (对外经贸大学)
【主题】Financial Integration and Transmission of Crisis
【时间】2013年10月21日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】International capital ows have dramatically surged since 1990s and the sub-mortgage crisis (2007 2009) in the United States triggered a global financial crisis. How is financial crisis transmitted across borders? Does financial integration accelerate transmission of crisis across countries? We provide a first quantitative pass on these issues in a two-country general equilibrium model with endogenous portfolio choices and collateral constraints. Collateral constraints bind occasionally. We explore three states of financial integration: financial autarky, bond market integration and equity market integration. Results show that financial integration helps propagate adverse shocks from one country to another through financial markets in recessions. The degree of synchronization of crisis in equity market integration is significantly higher than that in bond market integration. When they face a crisis in one country, investors in this country have to liquidate not only their domestic assets but also foreign assets at re-sale" prices, which in turn reduces foreign investors' wealth and leads foreigners into a crisis. Financial development, say, an increase in leverage, improves risk sharing and reduces risk premiums in normal times, but also induces a larger contraction of aggregate variables and of financial variables in recessions.
