International financial stress spillovers during times of unconventional monetary policy interventions

IF 6.1 2区 经济学 Q1 BUSINESS, FINANCE
George N. Apostolakis, Nikolaos Giannellis
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Abstract

In this study, we estimate a Bayesian global vector autoregressive model to uncover the effects of financial stress on output growth, inflation, and interest rates, accounting for several advanced and emerging economies for a period spanning from February 2008 until May 2022. We construct a financial stress index applicable to all countries, tracking periods of financial instability in the economies, and employ shadow short rates as a proxy measure of unconventional monetary policy. This study provides strong evidence that financial stress shocks are transmitted abroad as financial stress increases in all the countries in the sample. Our results also show that financial stress innovation generates important domestic and cross-border output, inflation, and interest rate spillovers for several countries. Additionally, we identify the active role of the financial and bank credit channels in the transmission of shocks across financial systems, while macroprudential policy can intercept the propagation of the shock. Our results carry policy implications for monetary and regulatory authorities.

非常规货币政策干预时期的国际金融压力溢出效应
在本研究中,我们估算了一个贝叶斯全球向量自回归模型,以揭示金融压力对产出增长、通货膨胀和利率的影响,该模型涵盖了从 2008 年 2 月到 2022 年 5 月期间的几个发达经济体和新兴经济体。我们构建了适用于所有国家的金融压力指数,跟踪各经济体的金融不稳定时期,并采用影子短期利率作为非常规货币政策的替代措施。这项研究提供了强有力的证据,证明随着样本中所有国家金融压力的增加,金融压力冲击会向国外传递。我们的研究结果还表明,金融压力创新为一些国家带来了重要的国内和跨境产出、通胀和利率溢出效应。此外,我们还发现了金融和银行信贷渠道在冲击跨金融体系传播中的积极作用,而宏观审慎政策可以拦截冲击的传播。我们的研究结果对货币和监管当局具有政策意义。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
CiteScore
7.70
自引率
9.30%
发文量
78
审稿时长
34 days
期刊介绍: The Journal of Financial Stability provides an international forum for rigorous theoretical and empirical macro and micro economic and financial analysis of the causes, management, resolution and preventions of financial crises, including banking, securities market, payments and currency crises. The primary focus is on applied research that would be useful in affecting public policy with respect to financial stability. Thus, the Journal seeks to promote interaction among researchers, policy-makers and practitioners to identify potential risks to financial stability and develop means for preventing, mitigating or managing these risks both within and across countries.
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