Financial Integration and Economic Crises
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
This paper examines the relationship between international financial integration and economic crises. Types of economic crises examined in this paper include currency, banking, external debt, domestic debt, stock market and inflation crises. Economic theories do not provide a clear guidance on the relationship of financial integration with economic crises,which implies that this is an empirical question. This paper fits a panel data model for the period 1970-2010 and finds that the degree of integration is closely related to economic crises. The results show that the integration tends to increase the crisis probability in the short term but lower the crisis probability in the medium term. The results are, however,different across types of economic crises and income level. For example,for those high income countries, financial integration tends to increase the banking crisis probability both in the short and long term. Conversely,economic crises have affected the degree of integration in a significant way. Stock market crises tend to increase the degree of financial integration for both high income and middle income countries. For the other types of crises, however, economic crises tend to decrease the degree of financial integration.
Abstract
This paper examines the relationship between international financial integration and economic crises. Types of economic crises examined in this paper include currency, banking, external debt, domestic debt, stock market and inflation crises. Economic theories do not provide a clear guidance on the relationship of financial integration with economic crises,which implies that this is an empirical question. This paper fits a panel data model for the period 1970-2010 and finds that the degree of integration is closely related to economic crises. The results show that the integration tends to increase the crisis probability in the short term but lower the crisis probability in the medium term. The results are, however,different across types of economic crises and income level. For example,for those high income countries, financial integration tends to increase the banking crisis probability both in the short and long term. Conversely,economic crises have affected the degree of integration in a significant way. Stock market crises tend to increase the degree of financial integration for both high income and middle income countries. For the other types of crises, however, economic crises tend to decrease the degree of financial integration.
참고문헌 (47)
- Bekaert, G., "Does Financial Liberalization Spur Growth?", Journal of Financial Economics, 77, pp.3~55 (2005)
- Broner, F. A., "When in Peril, Retrench:Testing the Portfolio Channel of Contagion", Journal of International Economics, 69, pp.203~230 (2006)
- Calvo, G.A., "Rational Contagion and the Globalization of Securities Markets", Journal of International Economics, 51, pp.79~113 (2000)
- Cantor, Richard, "Sovereign Credit Ratings", Current Issues in Economics and Finance, 1(3), pp.1~6 (1995)
- "Banking Crises Database" (2003)[URL]
- Chambers, J., "Sovereign Defaults and Rating Transition Data, 2010 Update", Standard &Poor's Global Credit Portal, ~ (2011)
- Chiang, T. C., "Dynamic Correlation Analysis of Financial Contagion: Evidence from Asian Markets", Journal of International Money and Finance, 26(7), pp.1206~1228 (2007)
- Capital Account Liberalization, Institutions and Financial Development: Cross Country Evidence, "Chinn, M. D.", NBER, ~, pp.Working Paper No. 8967 (2002)
- Chinn, M. D., "What Matters for Financial Development? Capital Controls, Institutions, and Interaction", Journal of Development Economics, 81, pp.163~192 (2006)
- Chinn, M. D., "A New Measure of Financial Openness", Journal of Comparative Policy Analysis, 10(3), pp.309~322 (2008)
- Choi, I., "Unit Root Tests for Panel Data", Journal of International Money and Finance, 20, pp.249~272 (2001)
- Erdorf, S, "Co-movement of Revenue: Structural Changes in the Business Cycle", Financial Markets and Portfolio Management, 25, pp.411~433 (2011)
- Financial Integration, Specialization and Systemic Risk, "Fecht, F.", European Central Bank, ~, pp.Working Paper No.1425 (2012)
- Forbes, K.J., "No Contagion, Only Interdependence:Measuring Stock Market Co-movements", Journal of Finance, 57, pp.2223~2261 (2002)
- Financial Market Integration in Europe: On the Effects of EMU on Stock Markets, "Fratzscher, M.", European Central Bank, ~, pp.Working Paper Series 48 (2001)
- Goldstein, I., "Contagion of Self-fulfilling Financial Crises due to Diversification of Investment Portfolios", Journal of Economic Theory, 119, pp.151~183 (2004)
- Stories of the Twentieth Century for the Twenty-First, "Gourinchas, P.", NBER, ~, pp.Working Paper No.17252 (2011)
- Hoffmanna, M, "International Financial Integration and National Price Levels: The Role of the Exchange Rate Regime", Journal of International Money and Finance, 31, pp.1503~1528 (2012)
- Hsiao, C., "Analysis of Panel Data" (1986), Cambridge University Press
- Im, K. S., "Testing for Unit Roots in Heterogeneous Panels", Journal of Econometrics, 115, pp.53~74 (2003)
- Inklaar, R., "The Impact of the Financial Crisis on Financial Integration, Growth and Investment", National Institute Economic Review (2012)
- International Monetary Fund, "Balance of Payments Manual" (1993)
- Jin, S., "Discrete Choice Modeling with Nonstationary Panels Applied to Exchange Rate Regime Choice", Journal of Econometrics, 150, pp.312~321 (2009)
- Kaminsky, G.L, "Short- or Long-run Integration: Do Capital Controls Matter?", Brookings Trade Forum 2000, pp.125~178 (2001), Brookings Institution
- Kaminsky, G.L, "On Booms and Crashes: Financial Liberalization and Stock Market Cycles" (2001), World Bank
- Short-run Pain, Long-run Gain: The Effects of Financial Liberalization, "Kaminsky, G.L.", World Bank, ~, pp.Working Paper No.2912 (2002)
- Kodres, L.E, "A Rational Expectations Model of Financial Contagion", Journal of Finance, 57, pp.769~799 (2002)
- Kohlscheen, E., "Domestic vs External Sovereign Debt Servicing: an Empirical Analysis", International Journal of Finance & Economics, 15(1), pp.93~103 (2010)
- Financial Integration and Macroeconomic Volatility, "Kose, M. A.", IMF, ~, pp.Working Paper No. 50 (2003)
- International Financial Integration, "Lane, P. R.", International Monetary Fund, ~, pp.IMF Staff Papers 50 (2003)
- Lane, P. R., "The External Wealth of Nations Mark II: Revised and Extended Estimates of Foreign Assets and Liabilities, 1970-2004", Journal of International Economics, 73, pp.223~250 (2007)
- Resolution of Banking Crises: The Good, the Bad, and the Ugly, "Laeven, L.", International Monetary Fund, ~, pp.IMF Working Papers No.146 (2010)
- Financial Openness and integration, "Le, H.", Asia Pacific School of Economics and Management, Australian National University, ~ (2000)
- Financial Integration, Housing and Economic Volatility, "Loutskina, E.", University of Southern California, ~ (2011)
- Sovereign Default and Recovery Rates, 1983-2008, Moody's Global Credit Policy, "Moody's", ~ (2009)
- Morgan, D. P., "Bank Integration and State Business Cycles", The Quarterly Journal of Economics, 119(4), pp.1555~1584 (2004)
- Pericoli, M, "A primer on Financial Contagion", Journal of Economic Surveys, 17, pp.571~608 (2003)
- Razin, A, "Business-Cycle Volatility and Openness: an Exploratory Cross-Sectional Analysis, In Capital Mobility: The Impact on Consumption, Investment, and Growth", pp.48~76 (1994), Cambridge University Press
- Reinhart, C. M., "This Time Is Different: Eight Centuries of Financial Folly" (2009), Princeton University Press
- Reinhart, C. M., "The Forgotten History of Domestic Debt", Economic Journal, 121(552), pp.319~350 (2011)
- Reinhart, C. M., "Debt Intolerance", Brookings Papers on Economic Activity, 34(1), pp.1~74 (2003)
- International Financial Integration and Crisis Intensity, "Rose, A. K.", ADBI, ~, pp.Working Paper No.341 (2012)
- Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure, "Rose, A. K.", NBER, ~, pp.Working Paper No. 15358 (2009)
- Schindler, M., "Measuring Financial Integration: A New Data Set", IMF Staff Papers, 56(1) (2009), International Monetary Fund
- Schmukler, S., "Financial Globalization: Gains and Pain for Developing Countries" (2003), World Bank
- European Financial Integration: The Quantitative Impact of the Euro on Financial Integration, "Steele, T.", Colgate University, ~ (2012)
- Sturzenegger, F., "Debt Defaults and Lessons from a Decade of Crises" (2007), The MIT Press