US Monetary Policy and the Global Financial Cycle

• 成果类型: Article
• 署名作者: Miranda-Agrippino, Silvia; Rey, Helene
• 署名单位: Bank of England; Center for Economic & Policy Research (CEPR); University of London; London Business School; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdaa019
• 发表日期: 2020
• 页码: 2754-2776
• 关键词: business cycles; federal-reserve; credit spreads; identification; transmission; channels; leverage; number; FLOWS; MODEL

摘要

U.S. monetary policy shocks induce comovements in the international financial variables that characterize the Global Financial Cycle. A single global factor that explains an important share of the variation of risky asset prices around the world decreases significantly after a U.S. monetary tightening. Monetary contractions in the US lead to significant deleveraging of global financial intermediaries, a decline in the provision of domestic credit globally, strong retrenchments of international credit flows, and tightening of foreign financial conditions. Countries with floating exchange rate regimes are subject to similar financial spillovers.