| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w27739 |
| 来源ID | Working Paper 27739 |
| Global Business and Financial Cycles: A Tale of Two Capital Account Regimes | |
| Julien Acalin; Alessandro Rebucci | |
| 发表日期 | 2020-08-31 |
| 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 the 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 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 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; International Economics ; International Macroeconomics ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w27739 |
| 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/585411 |
| 推荐引用方式 GB/T 7714 | Julien Acalin,Alessandro Rebucci. Global Business and Financial Cycles: A Tale of Two Capital Account Regimes. 2020. |
| 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 | ||
| w27739.pdf（1260KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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