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来源类型Working Paper
规范类型报告
DOI10.3386/w26798
来源IDWorking Paper 26798
Global Macro-Financial Cycles and Spillovers
Jongrim Ha; M. Ayhan Kose; Christopher Otrok; Eswar S. Prasad
发表日期2020-03-02
出版年2020
语种英语
摘要We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers from financial variables. We consider cycles in macroeconomic aggregates (output, consumption, and investment) and financial variables (equity and house prices, and interest rates). We find that the global macro factor plays a major role in explaining G-7 business cycles, but there are also spillovers from equity and house price shocks onto macroeconomic aggregates. These spillovers operate mainly through the global macro factor rather than the country-specific macro factors (i.e., these spillovers affect business cycles in all G-7 economies) and are stronger in the period leading up to and following the global financial crisis. We find little evidence of spillovers from macroeconomic cycles to financial cycles.
主题Econometrics ; Estimation Methods ; Macroeconomics ; Business Cycles ; International Economics ; International Macroeconomics
URLhttps://www.nber.org/papers/w26798
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/584471
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Jongrim Ha,M. Ayhan Kose,Christopher Otrok,et al. Global Macro-Financial Cycles and Spillovers. 2020.
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