| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10936 |
| DP10936 World Asset Markets and the Global Financial Cycle | |
| Helene Rey; Silvia Miranda-Agrippino | |
| 发表日期 | 2015-11-15 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. Using a model with heterogeneous investors, we interpret the global factor as reflecting aggregate realised variance and the time-varying degree of market-wide risk aversion. A medium-scale Bayesian VAR allows us to analyse the workings of the "Global Financial Cycle", i.e. the interaction between US monetary policy, real activity and global financial variables such as credit spreads, cross-border credit flows, bank leverage and the global factor in asset prices. We find evidence of large monetary policy spillovers from the US to the rest of the world. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Bayesian var Dynamic factor model International financial flows monetary policy |
| URL | https://cepr.org/publications/dp10936 |
| 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/539766 |
| 推荐引用方式 GB/T 7714 | Helene Rey,Silvia Miranda-Agrippino. DP10936 World Asset Markets and the Global Financial Cycle. 2015. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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