| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13435 |
| DP13435 Global Price of Risk and Stabilization Policies | |
| Tobias Adrian; Erik Vogt; Daniel Stackman | |
| 发表日期 | 2019-01-07 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | We estimate a highly significant price of risk that forecasts global stock and bond returns as a nonlinear function of the VIX. We show that countries' exposure to the global price of risk is related to macroeconomic risks as measured by output, credit, and inflation volatility, the magnitude of financial crises, and stock and bond market downside risk. Higher exposure to the global price of risk corresponds to both higher output volatility and higher output growth. We document that the transmission of the global price of risk to macroeconomic outcomes is mitigated by the magnitude of stabilization in the Taylor rule, the degree of countercyclicality of fiscal policy, and countries' tendencies to employ prudential regulations. The estimated magnitudes are quantitatively important and significant, with large cross sectional explanatory power. Our findings suggest that macroeconomic and financial stability policies should be considered jointly. |
| 主题 | Financial Economics |
| 关键词 | Financial stability monetary policy Fiscal policy Regulatory policy |
| URL | https://cepr.org/publications/dp13435 |
| 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/542250 |
| 推荐引用方式 GB/T 7714 | Tobias Adrian,Erik Vogt,Daniel Stackman. DP13435 Global Price of Risk and Stabilization Policies. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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