Cross-Country Causes and Consequences of the 2008 Crisis: International Linkages and American Exposure
Andrew K. Rose
University of California - Haas School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)
Mark M. Spiegel
Federal Reserve Bank of San Francisco - Economic Research Department
Pacific Economic Review, Vol. 15, No. 3, pp. 340-363, August 2010
We model the causes of the 2008 financial crisis together with its manifestations, using a cross-country multiple indicator multiple cause model. We consider both national and, critically, international linkages between countries and potential crisis ‘epicentres’, including the United States. A country holding an epicentre's securities is exposed through a financial channel, while a country that exports to that epicentre is exposed through a real channel. We are unable to find strong evidence that international linkages can be associated with crisis incidence. In particular, exposure to the United States in either form has little impact. If anything, it appears to help.
Number of Pages in PDF File: 24Accepted Paper Series
Date posted: July 19, 2010
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