Asymmetric propagation of financial crises during the Great Depression

This paper aims to identify the main factors of international financial crisis propagation during the 1930s. Based on an extensive cross-country dataset documenting exchange market turbulence, bond spreads and stock market returns at a monthly frequency and using Principal Component Analysis, I explore the main factors of co-movement in the international financial series. I find that the 1931 crash accounts for most of the co-movement between countries on all financial markets. Not only was the 1931 crisis the main global shock of the Great Depression, but it also acted divisively. Some countries remained unaffected by the shock and even benefited from the crisis. I suggest that these countries' specific path over the 1930s was related to their position as net exporters of capital during the credit boom of the previous decade.