Financial frictions, financial integration and the international propagation of shocks
通过模型模拟发现，在金融一体化下，杠杆投资者面临相同的国际资产回报，导致各国借贷成本趋同，一国信用利差意外上升会引发其他一体化国家类似上升，造成全球收缩，这与资产负债表的外国资产敞口关系不大。
The recent Great Recession has been particularly remarkable not only for its unprecedented severity, but also for the exceptional degree of global interdependence in financial and real variables. A much-discussed channel of propagation hinges on the international exposure of the balance sheet of highly leveraged players to 'toxic' US assets. Yet, existing evidence on the role of exposure is mixed at best. This paper argues that under financial integration, the fact that leveraged investors face the same returns across internationally traded assets, would tend to equalize their borrowing cost across countries. Model simulations show that an unexpected increase in credit spreads in one country generates a similar increase in credit spreads in other financially integrated countries bringing about a global contraction, quite independently of the exposure to foreign assets in the balance sheet of leveraged investors. Our analysis thus suggests some caution in assessing the risks of 'contagion' on the exclusive basis of quantitative measures of integration based on cross-border balance sheet exposure. — Luca Dedola and Giovanni Lombardo