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

Rudiger Ahrend and Antoine Goujard

Journal of Financial Stability, 2014, vol. 14, issue C, 35-53

Abstract: 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.

Keywords: Asset price co-movements; Financial spillovers; Trade spillovers; External debt; Foreign direct investments (search for similar items in EconPapers)
JEL-codes: E44 F36 F44 G15 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finsta:v:14:y:2014:i:c:p:35-53

DOI: 10.1016/j.jfs.2013.12.005

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