检查跨境宏观金融机制

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2024-05-10 DOI:10.1016/j.jimonfin.2024.103094

Eddie Gerba , Danilo Leiva-León , Margarita Rubio

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引用次数: 0

摘要

我们利用每个地区的大型数据集，对美国和欧元区之间的结构性时变宏观金融联系进行建模。我们利用参数漂移的因子模型，提取实际和金融周期并识别冲击。为了解释驱动实证结果的机制，我们利用两国金融加速器模型对我们的估计结果进行了背景分析。我们的证据清楚地表明，美国和欧元区之间存在非对称的跨境传导，尤其是在金融领域。我们的理论补充也证实了这一点，即美国的全要素生产率冲击具有很强的传导性。此外，美国是一个杠杆率更高的经济体，这加剧了金融加速器效应。

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Inspecting cross-border macro-financial mechanisms

We model structural time-varying macro-financial linkages between the U.S. and euro area using a large dataset for each region. We extract both real and financial cycles and identify shocks, using a factor model with drifting parameters. To interpret the mechanisms that drive the empirical results, we contextualize our estimates using a two-country financial accelerator model. Our evidence speaks clearly of an asymmetric cross-border transmission between U.S. and euro area, especially in the financial domain. This is confirmed by our theoretical complement, which shows a strong transmission of U.S. TFP shocks. Moreover, the U.S. is a more leveraged economy, which accentuates the financial accelerator effect.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

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.