Can Cross-Border Funding Frictions Explain Financial Integration Reversals?

被引：5

作者：

Akbari, Amir ^{[1
]}

Carrieri, Francesca ^{[2
]}

Malkhozov, Aytek ^{[3
]}

机构：

[1] Ontario Tech Univ, Oshawa, ON, Canada

[2] McGill Univ, Montreal, PQ, Canada

[3] Fed Reserve Board, Washington, DC USA

来源：

REVIEW OF FINANCIAL STUDIES | 2022年 / 35卷 / 01期

关键词：

MARKET INTEGRATION; LEVERAGE CYCLES; CAPITAL FLOWS; STOCK-MARKET; DEVIATIONS; LIQUIDITY; EQUILIBRIUM; INFORMATION; INVESTORS; BARRIERS;

D O I：

10.1093/rfs/hhab009

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We show that constraints on using leverage for foreign positions can act as an international investment barrier. Guided by an international CAPM with leverage constraints, we use observed stock prices to measure the variation in the magnitude and the implicit cost of such cross-border funding barriers. Our measure helps explain the dynamics of global market integration and, in particular, its reversals documented in the literature, but not explained by other international investment barriers. We confirm our results using alternative financial integration measures, international capital flows, and institutional portfolio holdings.

引用

页码：394 / 437

页数：44

共 88 条

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