Financial Integration and Liquidity Crises
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONEste recurso está restringido
https://doi.org/10.1287/mnsc.2017.2841 |
Metadatos
Título
Financial Integration and Liquidity CrisesFecha de publicación
2019-03Editor
InformsISSN
0025-1909Cita bibliográfica
CASTIGLIONESI, Fabio; FERIOZZI, Fabio; LORENZONI, Guido. Financial integration and liquidity crises. Management Science, 2019, vol. 65, no 3, p. 955-975.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
https://pubsonline.informs.org/doi/10.1287/mnsc.2017.2841Versión
info:eu-repo/semantics/publishedVersionResumen
This paper analyzes the effects of financial integration on the stability of the banking system. Financial integration allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a ... [+]
This paper analyzes the effects of financial integration on the stability of the banking system. Financial integration allows banks in different regions to smooth local liquidity shocks by borrowing and lending on a world interbank market. We show under which conditions financial integration induces banks to reduce their liquidity holdings and to shift their portfolios toward more profitable but less liquid investments. Integration helps reallocate liquidity when different banks are hit by uncorrelated shocks. However, when a correlated (systemic) shock hits, the total liquid resources in the banking system are lower than in autarky. Therefore, financial integration leads to more stable interbank interest rates in normal times but to larger interest rate spikes in crises. These results hold in a setup in which financial integration is welfare improving from an ex ante point of view. We also look at the model’s implications for financial regulation and show that, in a second-best world, financial integration can increase the welfare benefits of liquidity requirements. [-]
Publicado en
Management Science, 2019, 65, 3Entidad financiadora
Ministerio de Economía y Competitividad de España
Código del proyecto o subvención
ECO2014-59491-P
Derechos de acceso
Aparece en las colecciones
- ECO_Articles [694]