G2TT
来源类型Discussion paper
规范类型论文
来源IDDP15190
DP15190 Global Business and Financial Cycles: A Tale of Two Capital Account Regimes
Alessandro Rebucci; Julien Acalin
发表日期2020-08-22
出版年2020
语种英语
摘要Using a new equity price-based measure of the global financial cycle, this paper evaluates the relative importance of global financial shocks for quarterly equity returns and output growths in a large sample of advanced and emerging economies, as well as in South Korea and China--two countries on different sides of the trilemma triangle of international finance. We document that global financial shocks in both China and South Korea explain a substantial share of equity return variability (20 and 50 percent of total variance, respectively), but a much smaller portion of real output fluctuations (less than 10 percent in Korea and negligible in the case of China). We also find that the combination of a closer capital account and a more rigid exchange rate regime, as in China, is associated with some costs in terms of diversification opportunities quantified by very large exposures to domestic financial and real shocks, dwarfing the contribution of any other shock in the model. More surprisingly, the combination of a relatively open capital account and a flexible exchange rate, as in South Korea, not only is associated with a higher exposure to the global financial cycle than in China but also with a significant incidence of domestic financial shocks on output fluctuations.
主题Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations
关键词Business cycles Global financial cycle Factor-models Panel vars China South korea
URLhttps://cepr.org/publications/dp15190
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/544160
推荐引用方式
GB/T 7714
Alessandro Rebucci,Julien Acalin. DP15190 Global Business and Financial Cycles: A Tale of Two Capital Account Regimes. 2020.
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