Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/216312 
Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
IZA Discussion Papers No. 13000
Verlag: 
Institute of Labor Economics (IZA), Bonn
Zusammenfassung: 
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.
Schlagwörter: 
global business cycles
global financial cycles
common shocks
international spillovers
dynamic factor models
JEL: 
E32
F4
C32
C1
Dokumentart: 
Working Paper

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