Liquidity shortfalls will have not only real effects but also impact investor and consumer sentiment. Tightening credit spills over to investor pessimism. (See Fabrizio Perri and Vincenzo Quadrini "International Recessions" American Economic Review 2018, 108(4-5): 935–984.) Their charts of the Financial Crisis show the growth correlation between G7 countries and the similarities in macro behavior. What is clear is that the high correlation was preceded by the downturn in credit markets.
Financial integration means that local liquidity shocks may have less impact because capital can flow from other sources, but when there is a global crisis the impact will be more synchronized and severe. Hence, following global liquidity is key to tracking potential tail risks in financial markets. Financial integration means that we get less diversification from holding international equity and bond positions. When there is a negative shock, investors are nothing to get the diversification desired or expected.