Does debt market integration amplify the international transmission of business cycles during financial crises? q
- Authors
- An, Jiyoun; Kim, Kyunghun; Pyun, Ju Hyun
- Issue Date
- 7월-2021
- Publisher
- ELSEVIER SCI LTD
- Keywords
- Balance sheet effect; Business cycle co-movement; Financial crisis; Financial integration; Long-term debt; Short-term debt
- Citation
- JOURNAL OF INTERNATIONAL MONEY AND FINANCE, v.115
- Indexed
- SSCI
SCOPUS
- Journal Title
- JOURNAL OF INTERNATIONAL MONEY AND FINANCE
- Volume
- 115
- URI
- https://scholar.korea.ac.kr/handle/2021.sw.korea/127812
- DOI
- 10.1016/j.jimonfin.2021.102396
- ISSN
- 0261-5606
- Abstract
- The international transmission of real business cycles during financial crises differs dramatically depending on the type of debt market integration. Using a bilateral country pair dataset of 57 countries covering the period 2001-2013, we find robust empirical evidence that short-term debt integration drove business cycle synchronization during the global financial crisis (GFC) and European sovereign debt crisis. However, we also find that long-term debt integration cushioned the international transmission of business cycles during the crises. Our findings distinguish two transmission channels of financial shocks: the balance sheet effect through the integrated short-term debt market and risk-sharing through long-term debt market integration. (c) 2021 Elsevier Ltd. All rights reserved.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - Korea University Business School > Department of Business Administration > 1. Journal Articles
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.