全球智库信息集成服务系统(G2TT): DP8341 The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR

G2TT

来源类型	Discussion paper
规范类型	论文
来源ID	DP8341
	DP8341 The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR
	Massimiliano Marcellino; Sandra Eickmeier; Wolfgang Lemke
发表日期	2011-04-01
出版年	2011
语种	英语
摘要	We study the changing international transmission of US financial shocks over the period 1971-2009. Financial shocks are defined as unexpected changes of a financial conditions index (FCI), recently developed by Hatzius et al. (2010), for the US. We use a time-varying factor-augmented VAR to model the FCI jointly with a large set of macroeconomic, financial and trade variables for nine major advanced countries. The main findings are as follows. First, positive US financial shocks have a considerable positive impact on growth in the nine countries, and vice versa for negative shocks. Second, the transmission to GDP growth in European countries has increased gradually since the 1980s, consistent with financial globalization. A more marked increase is detected in the early 1980s in the US itself, consistent with changes in the conduct of monetary policy. Third, the size of US financial shocks varies strongly over time, with the `global financial crisis shock' being very large by historical standards and explaining 30 percent of the variation in GDP growth on average over all countries in 2008-2009, compared to a little less than 10 percent over the 1971-2007 period. Finally, large collapses in house prices, exports and TFP are the main drivers of the strong worldwide propagation of US financial shocks during the crisis.
主题	International Macroeconomics
关键词	Financial conditions index Financial markets Global financial crisis Globalization International business cycles International transmission channels Time-varying favar
URL	https://cepr.org/publications/dp8341
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/537168
推荐引用方式 GB/T 7714	Massimiliano Marcellino,Sandra Eickmeier,Wolfgang Lemke. DP8341 The Changing International Transmission of Financial Shocks: Evidence from a Classical Time-Varying FAVAR. 2011.