Are all forms of financial integration equally risky? Asset price contagion during the global financial crisis

作者：Ahrend Rudiger; Goujard Antoine^*

来源：Journal of Financial Stability, 2014, 14: 35-53.

DOI：10.1016/j.jfs.2013.12.005

• Asset price co movements
• Financial spillovers
• Trade spillovers
• External debt
• Foreign direct investments

Using the 2008-2009 global financial crisis, this paper examines the role of different forms of international financial integration for asset price contagion in crisis times. The analysis uses bilateral financial and trade linkages and daily data on equity and bond prices for a sample of 46 countries between 2002 and 2011. Bilateral debt integration and common bank lenders are found to have transmitted financial turmoil through equity and bond markets at the height of the crisis. During this period, real trade linkages also increased equity price co-movements. By contrast, no robust evidence is found that equity or FDI integration increased asset price co-movements during the crisis.

• 出版日期2014-10