Channels of Risk Sharing in the Eurozone: What Can Banking and Capital Market Union Achieve?

被引：6

作者：

Hoffmann, Mathias ^{[1
,2
,3
,4
]}

Maslov, Egor ^{[2
,5
,6
]}

Sorensen, Bent E. ^{[7
,8
]}

Stewen, Iryna ^{[2
,9
]}

机构：

[1] Univ Zurich, Int Trade & Finance Grp, Dept Econ, Zurichbergstr 14, CH-8032 Zurich, Switzerland

[2] Univ Zurich, Res Prior Program Financial Market Regulat URPP F, Zurich, Switzerland

[3] CESifo Munich, Munich, Germany

[4] Australian Natl Univ, CAMA, Canberra, ACT, Australia

[5] Univ Zurich, Dept Banking & Finance, Zurich, Switzerland

[6] SFI, Zurich, Switzerland

[7] Univ Houston, Dept Econ, Houston, TX USA

[8] CEPR, London, England

[9] Johannes Gutenberg Univ Mainz, Gutenberg Sch Management & Econ, Jakob Welder Weg 4, D-55128 Mainz, Germany

来源：

IMF ECONOMIC REVIEW | 2019年 / 67卷 / 03期

关键词：

REAL EXCHANGE-RATES; BUSINESS CYCLES; HOME BIAS; CONSUMPTION; INSURANCE; ECONOMIES; CREDIT; MODEL;

D O I：

10.1057/s41308-019-00083-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study channels of risk sharing in the EMU before and after 2008, when the Great Recession started. Empirically, higher cross-border equity holdings and more direct bank-to-nonbank lending are associated with more risk sharing while interbank integration is not. Equity market integration in the EMU remains limited while banking integration is dominated by interbank integration. Further, interbank integration proved to be highly procyclical, which contributed to a freeze in risk sharing after 2008. Based on this evidence, and results from simulations of a stylized DSGE model, we discuss implications for banking union. Our results show that direct banking integration and capital market integration are complements and that robust risk sharing in the EMU requires integration on both fronts.

引用

页码：443 / 495

页数：53

共 32 条

[1] Channels of Risk Sharing in the Eurozone: What Can Banking and Capital Market Union Achieve?
Mathias Hoffmann
Egor Maslov
Bent E. Sørensen
Iryna Stewen
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