文章基本信息

标题：International Capital Mobility and Financial Fragility - Part 1. Drivers of Systemic Banking Crises
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作者：Rudiger Ahrend ; Antoine Goujard
期刊名称：Economics Department Working Papers / OECD
印刷版ISSN：0259-4633
出版年度：2012
卷号：2012
DOI：10.1787/5kg3k8ksgglw-en
出版社：Organisation for Economic Co-operation and Development (OECD)
摘要：This paper examines whether the composition of a country’s external liabilities and assets has an incidence on its risk of suffering financial turmoil. Particular emphasis is put on the role of international financial integration, using newly-constructed measures of contagion shocks. These new measures capture well the contagion observed e.g. in the wake of the Mexican and Asian crises, and confirm that contagion shocks observed in 2009/10 dwarfed those observed during previous financial crises. Using a panel of 184 developed and emerging economies from 1970 to 2009, the empirical analysis finds that the structure of the financial account has an important influence on financial stability. A key result is that a bias in external liabilities towards debt strongly increases the risk of a systemic banking crisis. Moreover, certain forms of international financial integration are found to amplify contagion shocks and increase crisis risk, such as integration through international bank lending, and in particular through short-term bank debt
关键词：financial account; balance sheet; financial spillovers; banking system; external debt; financial stability; banking crisis; contagion