全球宏观金融周期和溢出

GLOBAL MACRO-FINANCIAL CYCLES ANDSPILLOVERS

作者：

哈钟琳（Jongrim Ha）

M.艾汉·高丝（M. Ayhan Kose）

克里斯托弗·奥特罗克（Christopher Otrok）

埃斯瓦尔·普拉萨德（Eswar S.Prasad）

We develop a new dynamic factor model that allows us to jointly characterize globalmacroeconomic and financial cycles and the spillovers between them. The model decomposesmacroeconomic cycles into the part driven by global and country-specific macro factors andthe part driven by spillovers from financial variables. We consider cycles in macroeconomicaggregates (output, consumption, and investment) and financial variables (equity and houseprices, and interest rates). We find that the global macro factor plays a major role in explainingG-7 business cycles, but there are also spillovers from equity and house price shocks ontomacroeconomic aggregates. These spillovers operate mainly through the global macro factorrather than the country-specific macro factors (i.e., these spillovers affect business cycles in allG-7 economies) and are stronger in the period leading up to and following the global financialcrisis. We find little evidence of spillovers from macroeconomic cycles to financial cycles.
我们开发了一个新的动态因素模型，使我们能够共同描述全球宏观经济和金融周期及其之间的溢出效应。该模型将宏观经济周期分解为受全球和特定国家宏观因素驱动的部分，以及受金融变量溢出影响的部分。我们考虑宏观经济总量（产出，消费和投资）和金融变量（权益，房价和利率）的周期。我们发现，全球宏观因素在解释七国集团（G-7）经济周期中起着重要作用，但也有股本和房价冲击对宏观经济总量的溢出效应。这些溢出效应主要是通过全球宏观因素而非特定国家的宏观因素（即，这些溢出效应影响了所有七国集团（G-7）经济体的商业周期，并且在全球金融危机爆发之前和之后的时期更加严重。我们发现从宏观经济周期到金融周期的溢出迹象很少。