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2016-07 Does Credit Market Integration Amplify the Transmission of Real Business Cycle During the Crises?, Pyun & An
Name admin
Date 2016-11-15 Hit 270
「Does Credit Market Integration Amplify the Transmission of Real Business Cycle During the Crises?」

Ju Hyun Pyun(Korea University Business School) & Jiyoun An(Kyung Hee University) (2016),



* Abstract

This study investigates the role of cross-border debt holdings in the transmission of the negative shock to international real business cycle during the global financial crisis and European debt crisis. Using country pair data for 57 countries during 2001–2013, we find that debt integration had heterogeneous effects on the transmission of real business cycle: For developed countries, high cross-border debt holdings led to business cycle synchronization during the two crises. However, for an expanded world country sample including emerging and developing countries, debt market integration buffered against the shock and led to business cycle de-synchronization during the crises. We also find that short-term debt integration among developed countries drives the results of business cycle synchronization, whereas long term debt holdings by emerging and developing countries cushioned the transmission of the business cycle.
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