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Financial Integration, Liquidity and the Depth of Systemic Crises

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  • Guido Lorenzoni

    (MIT)

  • Fabio Feriozzi

    (Tilburg University)

  • Fabio Castiglionesi

    (Tilburg University)

Abstract

and to increase the level of long term investment. In this case, partial integration opens up the opportunity for the occurrence of extreme events. That is, the cost of liquidity can become unusually high and the optimal consumption can display both higher volatility than in autarky and negative skewness. When complete financial integration is not achievable, then extreme events can be the optimal outcome of partial integration.

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File URL: http://www.economicdynamics.org/meetpapers/2009/paper_440.pdf
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Paper provided by Society for Economic Dynamics in its series 2009 Meeting Papers with number 440.

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Date of creation: 2009
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Handle: RePEc:red:sed009:440

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  1. Sandro Brusco & Fabio Castiglionesi, 2007. "Liquidity Coinsurance, Moral Hazard, and Financial Contagion," Journal of Finance, American Finance Association, vol. 62(5), pages 2275-2302, October.
  2. Francois Gourio, 2008. "Disasters and Recoveries," American Economic Review, American Economic Association, vol. 98(2), pages 68-73, May.
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