[11月28日]宏观经济学workshop

发布日期：2014-11-28 02:31 来源：北京大学国家发展研究院

宏观经济学workshop(十）
时间：11月28日10:00-11:30
地点：512教室
标题：INTERNATIONAL FINANCIAL INTEGRATION AND CRISIS CONTAGION
演讲嘉宾：余昌华（对外经贸大学）

主持：赵波、王敏

文章摘要：

International financial integration helps to diversify risk but also may increase the trans- mission of
crises across countries. We provide a quantitative analysis of this trade-off in a two-country general
equilibrium model with endogenous portfolio choice and collateral constraints. Collateral constraints
bind occasionally, depending upon the state of the economy and levels of inherited debt. The analysis
allows for different degrees of financial integration, moving from financial autarky to bond market
integration and equity market integration. Financial integration leads to a significant increase in global
leverage, doubles the probability of balance sheet crises for any one country, and dramatically increases
the degree of ‘contagion’ across countries. Outside of crises, the impact of financial integration on
macro aggregates is relatively small. But the impact of a crisis with integrated international financial
markets is much less severe than that under financial market autarky. Thus, a trade-off emerges between
the probability of crises and the severity of crises. Financial integration can raise or lower welfare,
depending on the scale of macroeconomic risk. In particular, in a low risk environment, the increased
leverage resulting from financial integration can reduce welfare of investors

嘉宾简介和论文见附件

changhua_yu_cv.pdf