International business cycle and financial intermediation
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Date
Authors
Csabafi, Tamas Z.
Gillman, Max
Naraidoo, Ruthira
Journal Title
Journal ISSN
Volume Title
Publisher
Wiley
Abstract
The paper extends a standard two‐country international real business cycle model to include financial intermediation by banks of loans and government bonds. The paper contributes an explanation for both the United States relative to the Euro‐area, and the United States relative to China, of cross‐country correlations of loan rates, deposit rates, and the loan premia. It shows a type of financial retrenchment for the United States relative to both Europe and China following a negative bank productivity shock, such as during the 2008 crisis. After 2008, results suggest that the Euro‐area has been more financially integrated with the United States, and China less financially integrated.
Description
Keywords
International real business cycles, Financial retrenchment, Credit spread, Bank productivity, 2008 crisis, Euro‐area, China
Sustainable Development Goals
Citation
Csabafi, T.Z., Gillman, M. & Naraidoo, R. 2019, 'International business cycle and financial intermediation', Journal of Money, Credit and Banking, vol. 51, no. 8, pp. 2293-2303.