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Handbook of Financial Integration
This comprehensive Handbook deftly examines key aspects of financial integration, providing an overview of contemporary research and new perspectives. Employing state of the art econometric methods to obtain new empirical evidence, it will be critical for designing optimal policies, and appropriate investment and risk management strategies.
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Critical Acclaim
Contributors
Contents
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This comprehensive Handbook deftly examines key aspects of financial integration, providing an overview of contemporary research and new perspectives. Employing state-of-the-art econometric methods to obtain new empirical evidence, it will be critical for designing optimal policies, and appropriate investment and risk management strategies.
Guglielmo Maria Caporale brings together a wide range of contributors with different approaches to measuring and dissecting financial integration to form an extensive analysis on the topic. Organised into six thematic sections, the Handbook first details new measures of financial integration, linkages across markets, and the role of the foreign exchange market and institutions. It goes on to address financial integration in the banking sector, European financial integration, and diverse policy issues that arise in this context, giving a comprehensive insight into an ever-expanding sector.
With new perspectives and evidence on various dimensions of financial integration, this Handbook will be an indispensable resource for academics working in the field of international finance. Its investigation of policy and investment implications of the findings will also provide valuable insights for policy-makers and market participants.
Guglielmo Maria Caporale brings together a wide range of contributors with different approaches to measuring and dissecting financial integration to form an extensive analysis on the topic. Organised into six thematic sections, the Handbook first details new measures of financial integration, linkages across markets, and the role of the foreign exchange market and institutions. It goes on to address financial integration in the banking sector, European financial integration, and diverse policy issues that arise in this context, giving a comprehensive insight into an ever-expanding sector.
With new perspectives and evidence on various dimensions of financial integration, this Handbook will be an indispensable resource for academics working in the field of international finance. Its investigation of policy and investment implications of the findings will also provide valuable insights for policy-makers and market participants.
Critical Acclaim
‘The Handbook of Financial Integration is an excellent collection of chapters that have defined this area of research, authored by leading experts in the field. The Handbook is comprehensive, covering contributions from all corners of the subject, from measurement of integration to detailed analyses of the impact of financial integration in different financial markets. For anyone interested in this area of international finance, this is a valuable resource to keep on your desk.’
– Lucio Sarno, University of Cambridge, UK
‘This collection represents a veritable goldmine of research into the impact of international financial integration across a variety of assets, institutions, and jurisdictions. An indispensable reference for those seeking to better understand this important facet of international economic interaction and its implications for policy makers.’
– Sir Charles Bean, London School of Economics, UK
‘The Editor is to be congratulated on such a thorough coverage of key issues in financial integration. It is a collection of fine chapters which tackle the latest research and/or summarize the main developments. It will be invaluable for researchers and practitioners.’
– Karim M. Abadir, Imperial College London, UK
– Lucio Sarno, University of Cambridge, UK
‘This collection represents a veritable goldmine of research into the impact of international financial integration across a variety of assets, institutions, and jurisdictions. An indispensable reference for those seeking to better understand this important facet of international economic interaction and its implications for policy makers.’
– Sir Charles Bean, London School of Economics, UK
‘The Editor is to be congratulated on such a thorough coverage of key issues in financial integration. It is a collection of fine chapters which tackle the latest research and/or summarize the main developments. It will be invaluable for researchers and practitioners.’
– Karim M. Abadir, Imperial College London, UK
Contributors
Contributors include: Muhamad Aftab, Pierre-Richard Agénor, Laura Alfaro, Zunaira Aman, Wolfgang Aussenegg, Riccardo Barbieri Hermitte, Joscha Beckmann, Mauricio Calani, Guglielmo Maria Caporale, Giovanni Cespa, Menzie D. Chinn, Georgios Chortareas, Shaen Corbet, Munther A. Dahleh, Haroldo Daltin, Sandra Eickmeier, Carlo Favero, Martin Feldkircher, Ilias Filippou, Franco Fiordelisi, Thomas Gehrig, Lukas Goetz, John W. Goodell, Iftekhar Hasan, Maria Chiara Iannino, Hiro (Hiroyuki) Ito, Ranko Jelic, Bomin Jiang, Menelaos Karanasos, Destan Kirimhan, Karin Klieber, Eleftheria Kostika, Mingsheng Li, Liuling Liu, James R. Lothian, Valeria Macauda, Sushanta Mallick, Mara Meacci, Michael Melvin, Norbert Metiu, Ilayda Nemlioglu, My Nguyen, Francesco Nucci, James E. Payne, Theodore Pelagidis, Marcello Pericoli, Kate Phylaktis, Josefine Quast, Roberto Rigobon, Giulia Scardozzi, Anamaria Diana Sova, Robert Aurelian Sova, Nicola Spagnolo, Sabine Tanneberger, Mark P. Taylor, Cristian Tegami, Stephan Unger, Liliana Varela, Jiaying Wu, Stavroula Yfanti, Kamil Yilmaz, Yun Zhu
Contents
Contents:
PART I INTRODUCTION
1 Introduction to the Handbook of Financial Integration: new research
developments 2
Guglielmo Maria Caporale
PART II MEASURING FINANCIAL INTEGRATION
2 Measuring financial integration: more data, more countries, more expectations 11
Menzie D. Chinn and Hiro Ito
3 Investor attention to news on financial integration and currency returns 57
Ilias Filippou, My T. Nguyen and Mark P. Taylor
4 Contingent linear financial networks 74
Bomin Jiang, Roberto Rigobon and Munther A. Dahleh
PART III FINANCIAL INTEGRATION OF STOCKS, BONDS AND
OTHER ASSETS
5 Shocks and global asset market connectedness 108
Marcello Pericoli and Kamil Yilmaz
6 Global financial stress and financial transmission channels 134
Sandra Eickmeier, Norbert Metiu, Josefine Quast and Sabine Tanneberger
7 The evolving landscape of energy finance: challenges and opportunities
during global uncertainty 172
John W. Goodell and Shaen Corbet
8 US municipal green bonds and financial integration 192
Guglielmo Maria Caporale and Nicola Spagnolo
9 Investing through Fed regime changes in the post-crisis period 206
Haroldo Daltin and Michael Melvin
10 The impact of trading fragmentation in securities markets 224
Giovanni Cespa
PART IV FINANCIAL INTEGRATION AND THE FOREIGN EXCHANGE
MARKET
11 Changes in economic and financial structure and the international integration
of capital markets over the past century and a half 240
James R. Lothian
12 Financial integration, institutional quality, and real exchange rates: evidence
from emerging markets 255
Zunaira Aman, Sushanta Mallick and Ilayda Nemlioglu
13 Measuring currency dominance 292
Joscha Beckmann
14 Financial integration and exchange market pressure 312
Kate Phylaktis and Muhammad Aftab
15 Firms, currency hedging, and financial derivatives 340
Laura Alfaro, Mauricio Calani and Liliana Varela
PART V FINANCIAL INTEGRATION AND THE BANKING SECTOR
16 The financial integration of banks: a survey 372
Destan Kirimhan and James E. Payne
17 Transatlantic differences in bank resilience 388
Thomas Gehrig, Maria Chiara Iannino and Stephan Unger
18 Proactive risk-taking and loan performance: evidence from bank holding
companies 417
Iftekhar Hasan, Mingsheng Li, Liuling Liu and Yun Zhu
PART VI EUROPEAN FINANCIAL INTEGRATION
19 Integration or fragmentation? A closer look at euro area financial markets 443
Martin Feldkircher and Karin Klieber
20 European ‘fear’ indices 470
Wolfgang Aussenegg, Lukas Goetz and Ranko Jelic
21 Financial integration and European tourism stocks 495
Guglielmo Maria Caporale, Stavroula Yfanti, Menelaos Karanasos and
Jiaying Wu
22 The European Banking Union: integrating supervisory approaches 539
Franco Fiordelisi and Giulia Scardozzi
23 Financial integration and economic growth in Europe 550
Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova
PART VII FINANCIAL INTEGRATION AND POLICY ISSUES
24 The integration of the financial system in macroeconometric models for
policy simulation 565
Riccardo Barbieri Hermitte, Carlo A. Favero, Valeria Macauda, Mara Meacci,
Francesco Nucci and Cristian Tegami
25 Cross-border banking, spillovers, and international macroprudential policy
coordination 584
Pierre-Richard Agénor
26 The central bank digital currency dimension in global financial integration 606
Georgios Chortareas, Eleftheria Kostika and Theodore Pelagidis
Index 643
PART I INTRODUCTION
1 Introduction to the Handbook of Financial Integration: new research
developments 2
Guglielmo Maria Caporale
PART II MEASURING FINANCIAL INTEGRATION
2 Measuring financial integration: more data, more countries, more expectations 11
Menzie D. Chinn and Hiro Ito
3 Investor attention to news on financial integration and currency returns 57
Ilias Filippou, My T. Nguyen and Mark P. Taylor
4 Contingent linear financial networks 74
Bomin Jiang, Roberto Rigobon and Munther A. Dahleh
PART III FINANCIAL INTEGRATION OF STOCKS, BONDS AND
OTHER ASSETS
5 Shocks and global asset market connectedness 108
Marcello Pericoli and Kamil Yilmaz
6 Global financial stress and financial transmission channels 134
Sandra Eickmeier, Norbert Metiu, Josefine Quast and Sabine Tanneberger
7 The evolving landscape of energy finance: challenges and opportunities
during global uncertainty 172
John W. Goodell and Shaen Corbet
8 US municipal green bonds and financial integration 192
Guglielmo Maria Caporale and Nicola Spagnolo
9 Investing through Fed regime changes in the post-crisis period 206
Haroldo Daltin and Michael Melvin
10 The impact of trading fragmentation in securities markets 224
Giovanni Cespa
PART IV FINANCIAL INTEGRATION AND THE FOREIGN EXCHANGE
MARKET
11 Changes in economic and financial structure and the international integration
of capital markets over the past century and a half 240
James R. Lothian
12 Financial integration, institutional quality, and real exchange rates: evidence
from emerging markets 255
Zunaira Aman, Sushanta Mallick and Ilayda Nemlioglu
13 Measuring currency dominance 292
Joscha Beckmann
14 Financial integration and exchange market pressure 312
Kate Phylaktis and Muhammad Aftab
15 Firms, currency hedging, and financial derivatives 340
Laura Alfaro, Mauricio Calani and Liliana Varela
PART V FINANCIAL INTEGRATION AND THE BANKING SECTOR
16 The financial integration of banks: a survey 372
Destan Kirimhan and James E. Payne
17 Transatlantic differences in bank resilience 388
Thomas Gehrig, Maria Chiara Iannino and Stephan Unger
18 Proactive risk-taking and loan performance: evidence from bank holding
companies 417
Iftekhar Hasan, Mingsheng Li, Liuling Liu and Yun Zhu
PART VI EUROPEAN FINANCIAL INTEGRATION
19 Integration or fragmentation? A closer look at euro area financial markets 443
Martin Feldkircher and Karin Klieber
20 European ‘fear’ indices 470
Wolfgang Aussenegg, Lukas Goetz and Ranko Jelic
21 Financial integration and European tourism stocks 495
Guglielmo Maria Caporale, Stavroula Yfanti, Menelaos Karanasos and
Jiaying Wu
22 The European Banking Union: integrating supervisory approaches 539
Franco Fiordelisi and Giulia Scardozzi
23 Financial integration and economic growth in Europe 550
Guglielmo Maria Caporale, Anamaria Diana Sova and Robert Sova
PART VII FINANCIAL INTEGRATION AND POLICY ISSUES
24 The integration of the financial system in macroeconometric models for
policy simulation 565
Riccardo Barbieri Hermitte, Carlo A. Favero, Valeria Macauda, Mara Meacci,
Francesco Nucci and Cristian Tegami
25 Cross-border banking, spillovers, and international macroprudential policy
coordination 584
Pierre-Richard Agénor
26 The central bank digital currency dimension in global financial integration 606
Georgios Chortareas, Eleftheria Kostika and Theodore Pelagidis
Index 643
