Finance and Synchronization
Résumé
In the workhorse model of international real business cycles, financial integration exacerbates the cycle asymmetry created by country-specific supply shocks. The prediction is identical in response to purely common shocks in the same model augmented with simple country heterogeneity (e.g., where depreciation rates or factor shares are different across countries). This happens because common shocks have heterogeneous consequences on the marginal products of capital across countries, which triggers international investment. In the data, filtering out common shocks requires therefore allowing for country-specific loadings. We show that finance and synchronization correlate negatively in response to such common shocks, consistent with previous findings. But finance and synchronization correlate non-negatively, almost always positively, in response to purely country-specific shocks.
Domaines
Economies et financesFormat du dépôt | Notice |
---|---|
Type de dépôt | Article dans une revue |
Titre |
en
Finance and Synchronization
|
Résumé |
en
In the workhorse model of international real business cycles, financial integration exacerbates the cycle asymmetry created by country-specific supply shocks. The prediction is identical in response to purely common shocks in the same model augmented with simple country heterogeneity (e.g., where depreciation rates or factor shares are different across countries). This happens because common shocks have heterogeneous consequences on the marginal products of capital across countries, which triggers international investment. In the data, filtering out common shocks requires therefore allowing for country-specific loadings. We show that finance and synchronization correlate negatively in response to such common shocks, consistent with previous findings. But finance and synchronization correlate non-negatively, almost always positively, in response to purely country-specific shocks.
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Auteur(s) |
Ambrogio Cesa-Bianchi
1, 2
, Jean Imbs
3, 4
, Jumana Saleheen
1
1
Bank of England
( 163142 )
- Royaume-Uni
2
CFM -
Centro de Fisica de Materiales
( 237689 )
- San Sebastian
- Espagne
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
4
PJSE -
Paris Jourdan Sciences Economiques
( 1171428 )
- 48 boulevard Jourdan 75014 Paris
- France
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2019-01
|
Volume |
116
|
Page/Identifiant |
74-87
|
Domaine(s) |
|
DOI | 10.1016/j.jinteco.2018.08.007 |
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