| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w29217 |
| 来源ID | Working Paper 29217 |
| A Theory of the Global Financial Cycle | |
| J. Scott Davis; Eric van Wincoop | |
| 发表日期 | 2021-09-06 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | We develop a theory to account for changes in prices of risky and safe assets and gross and net capital flows over the global financial cycle (GFC). The multi-country model features global risk-aversion shocks and heterogeneity of investors both within and across countries. Within-country heterogeneity is needed to account for the drop in gross capital flows during a negative GFC shock (higher global risk-aversion). Cross-country heterogeneity is needed to account for the differential vulnerability of countries to a negative GFC shock. The key vulnerability is associated with leverage. In both the data and the theory, leveraged countries (net borrowers of safe assets) deleverage through negative net outflows of risky assets and positive net outflows of safe assets, experience a rise in the current account and a greater than average drop in risky asset prices. The opposite is the case for non-leveraged countries (net lenders of safe assets). |
| 主题 | International Economics ; International Finance ; International Macroeconomics |
| URL | https://www.nber.org/papers/w29217 |
| 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/586890 |
| 推荐引用方式 GB/T 7714 | J. Scott Davis,Eric van Wincoop. A Theory of the Global Financial Cycle. 2021. |
| 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 | ||
| w29217.pdf（624KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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