 Does debt market integration amplify the international transmission of business cycles during financial crises?Jiyoun An, Kyunghun Kim and Ju Hyun Pyun Journal of International Money and Finance, 2021, vol. 115, issue C 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. Keywords: Balance sheet effect; Business cycle co-movement; Financial crisis; Financial integration; Long-term debt; Short-term debt (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jimfin:v:115:y:2021:i:c:s0261560621000450 DOI: 10.1016/j.jimonfin.2021.102396 Access Statistics for this article Journal of International Money and Finance is currently edited by J. R. Lothian More articles in Journal of International Money and Finance from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.