How strong is the link between the global financial cycle and national macro-financial dynamics? A wavelet analysis

IF 3.3 2区 经济学 Q2 BUSINESS, FINANCE
Christian R. Proaño , Leonardo Quero Virla , Till Strohsal
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Abstract

This paper explores the interaction between the global financial cycle (GFCy) and country-specific macro-financial dynamics. We investigate two alternative measures of the GFCy, the CBOE VIX index and Rey (2013)’s global factor, and equity prices, house prices, and aggregate credit volume as national variables. By means of a continuous wavelet analysis and a structural VAR framework, we explore such interaction in the frequency- and time-domain for 12 countries. Our evidence reveals that a strong and uniform relationship between the global financial cycle and national macro-financial series exists only during periods of global financial stress. Beyond those periods, we find significant variation in the relationship – both across time and countries. The choice of the global financial cycle proxy plays a very limited role.
全球金融周期与国家宏观金融动态之间的联系有多紧密?小波分析
本文探讨了全球金融周期(GFCy)与国家宏观金融动态之间的相互作用。我们研究了GFCy的两种替代指标,芝加哥期权交易所VIX指数和Rey(2013)的全球因素,以及股票价格、房价和信贷总量作为国家变量。通过连续小波分析和结构VAR框架,我们在12个国家的频域和时域中探索了这种相互作用。我们的证据表明,只有在全球金融压力时期,全球金融周期与国家宏观金融系列之间才存在强大而统一的关系。在这些时期之外,我们发现在不同的时间和国家,这种关系存在显著差异。全球金融周期代理选择的作用非常有限。
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来源期刊
CiteScore
4.20
自引率
4.00%
发文量
141
期刊介绍: Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.
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