Macro-financial interactions in a changing world

Arbeitspapier

We measure the time-varying strength of macrofinancial linkages within and across the US and euro area economies by relying on factor models with drifting parameters, where real and financial cycles are extracted and shocks are identified via sign and exclusion restrictions. The main results show that the euro area is disproportionately more sensitive to shocks in the US macroeconomy and financial sector, resulting in an asymmetric cross-border spillover pattern between the two economies. Moreover, while macro-financial interactions have steadily increased in the euro area since the late 1980s, they have oscillated in the US,, exhibiting very long cycles of macro- financial interdependence.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Danmarks Nationalbank Working Papers ; No. 153

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Markets and the Macroeconomy ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Large Data Sets: Modeling and Analysis ; International Business Cycles ; Business Fluctuations; Cycles ; Open Economy Macroeconomics
• Thema: Macro-financial linkages ; dynamic factor models ; TVP-VAR

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Gerba, Eddie ; Leiva-Leon, Danilo
• Ereignis: Veröffentlichung
• (wer): Danmarks Nationalbank
• (wo): Copenhagen
• (wann): 2020

Weitere Informationen

• Handle: http://hdl.handle.net/10419/227871
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ