| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24677 |
| 来源ID | Working Paper 24677 |
| Global Financial Cycles and Risk Premiums | |
| Òscar Jordà; Moritz Schularick; Alan M. Taylor; Felix Ward | |
| 发表日期 | 2018-06-11 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is particularly notable. We demonstrate that fluctuations in risk premiums, and not risk-free rates and dividends, account for a large part of the observed equity price synchronization after 1990. We also show that U.S. monetary policy has come to play an important role as a source of fluctuations in risk appetite across global equity markets. These fluctuations are transmitted across both fixed and floating exchange rate regimes, but the effects are more muted in floating rate regimes. |
| 主题 | Macroeconomics ; Monetary Policy ; International Economics ; International Finance ; International Macroeconomics ; Financial Economics ; Portfolio Selection and Asset Pricing ; History ; Macroeconomic History ; Financial History |
| URL | https://www.nber.org/papers/w24677 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582350 |
| 推荐引用方式 GB/T 7714 | Òscar Jordà,Moritz Schularick,Alan M. Taylor,et al. Global Financial Cycles and Risk Premiums. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w24677.pdf（1157KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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