全球金融周期与宏观经济尾部风险

IF 2.8 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-04-15 DOI:10.1016/j.jimonfin.2025.103342

Johannes Beutel , Lorenz Emter , Norbert Metiu , Esteban Prieto , Yves Schüler

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引用次数: 0

摘要

本文采用分位向量自回归方法研究了全球金融周期与宏观经济尾部风险之间的关系。美国金融状况和货币政策的紧缩冲击导致全球经济增长的下行风险上升。通过收紧全球金融环境，这些冲击对有条件产出增长分布左尾的影响比对分布中心的影响更大。这种影响在汇率安排不灵活、外汇风险敞口较高、私营部门杠杆水平较高的国家尤为明显，这表明汇率政策和宏观审慎政策可以减轻经济增长的下行风险。

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The global financial cycle and macroeconomic tail risks

We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial conditions globally, these shocks affect the left tail of the conditional output growth distribution more strongly than the center of the distribution. This effect is particularly pronounced for countries with less flexible exchange rate arrangements, higher foreign currency exposures, and higher levels of private sector leverage, suggesting that exchange rate policies and macroprudential policies can mitigate downside risks to growth.

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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.