International Business Cycle and Financial Intermediation

Tamas Csabafi, Max Gillman and Ruthira Naraidoo

No 1830, CERS-IE WORKING PAPERS from Institute of Economics, Centre for Economic and Regional Studies

Abstract: The paper extends a standard two-country international real business cycle model to include financial intermediation by banks of loans and government bonds. Taking in household deposits from home and abroad, the loans are produced by the bank in a Cobb-Douglas production approach such that a bank productivity shock can explain financial data moments. The paper contributes an explanation, for both the US relative to the Euro-area, and the US relative to China, of cross-country correlations of loan rates, deposit rates, and the loan premia. It provides a sense in which financial retrenchment resulted in the US following the 2008 bank crisis, and how the Euro-area and China reacted. The paper contributes evidence of how the Euro-area has been more financially integrated with the US, and China less financially integrated, with the Euro-area becoming more financially integrated after the 2008 crisis, and China becoming less so integrated.

Keywords: International Real Business Cycles; Financial Intermediation; Credit Spread; Bank Productivity; 2008 Crisis (search for similar items in EconPapers)
JEL-codes: E13 E32 E44 F41 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2018-11
New Economics Papers: this item is included in nep-ban, nep-bec, nep-cna, nep-dge, nep-mac, nep-opm and nep-tra
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Related works:
Journal Article: International Business Cycle and Financial Intermediation (2019)
Working Paper: International Business Cycle and Financial Intermediation (2018)
Working Paper: International Business Cycle and Financial Intermediation (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:has:discpr:1830

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