Drivers of the global financial cycle

• 成果类型: Article
• 署名作者: Rogers, John; Sun, Bo; Wu, Wenbin
• 署名单位: Fudan University
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2025.104088
• 发表日期: 2025
• 关键词: monetary-policy; vector autoregressions; federal-reserve; identification

摘要

Building on literature focused on the role of U.S. monetary policy in driving the global financial cycle, we quantify the relative importance of different shocks in an estimation framework that simultaneously identifies multiple shocks without timing or sign restrictions. Our analysis reveals significant roles for (i) U.S. corporate bond spreads, particularly the excess bond premium component, (ii) U.S. bank leverage, and (iii) the U.S. term premium. We additionally document a feedback loop that leads to significant amplification effects: widening U.S. corporate bond spreads trigger broad declines in global asset prices, which in turn lead to further tightening of U.S. spreads.