| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12969 |
| DP12969 Global financial cycles and risk premiums | |
| Oscar Jorda; Moritz Schularick; Alan M. Taylor; Felix Ward | |
| 发表日期 | 2018-06-03 |
| 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 | Economic History ; Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Financial cycles Equity return premium Policy spillovers Financial centers Asset prices |
| URL | https://cepr.org/publications/dp12969 |
| 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/541777 |
| 推荐引用方式 GB/T 7714 | Oscar Jorda,Moritz Schularick,Alan M. Taylor,et al. DP12969 Global financial cycles and risk premiums. 2018. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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