| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP14404 |
| DP14404 Global Macro-Financial Cycles and Spillovers | |
| Jongrim Ha; M. Ayhan Kose; Christopher Otrok; Eswar Prasad | |
| 发表日期 | 2020-02-11 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers from financial variables. We consider cycles in macroeconomic aggregates (output, consumption, and investment) and financial variables (equity and house prices, and interest rates). We find that the global macro factor plays a major role in explaining G-7 business cycles, but there are also spillovers from equity and house price shocks onto macroeconomic aggregates. These spillovers operate mainly through the global macro factor rather than the country-specific macro factors (i.e., these spillovers affect business cycles in all G-7 economies) and are stronger in the period leading up to and following the global financial crisis. We find little evidence of spillovers from macroeconomic cycles to financial cycles. |
| 主题 | International Macroeconomics and Finance |
| 关键词 | Global business cycles Global financial cycles Common shocks International spillovers Dynamic factor models |
| URL | https://cepr.org/publications/dp14404 |
| 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/543298 |
| 推荐引用方式 GB/T 7714 | Jongrim Ha,M. Ayhan Kose,Christopher Otrok,et al. DP14404 Global Macro-Financial Cycles and Spillovers. 2020. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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