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The global capital flows cycle : structural drivers and transmission channels

Habib, Maurizio Michael; Venditti, Fabrizio - 2019

In this paper, we study the effects of structural shocks that influence global risk - the main factor behind a "global capital flows cycle" - and how risk, in turn, is transmitted to capital flows. Our results show that not all the risk shocks driving the global financial cycle have the same...

Persistent link: https://www.econbiz.de/10012009141

How important are global factors for understanding the dynamics of international capital flows?

Eller, Markus; Huber, Florian; Schuberth, Helene - 2018

We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship between global factors and country-specific capital flow dynamics. Studying a global sample of 43 countries from 1994 until 2015, we show that global co-movement of macroeconomic,...

Persistent link: https://www.econbiz.de/10011929696

EME financial conditions : which global shocks matter?

Lodge, David; Manu, Ana-Simona - 2019

This paper provides a quantitative assessment of the relative importance of global structural shocks for changes in financial conditions across a sample of emerging market economies. We disentangle four key drivers of global financial markets (oil supply shocks, global economic news shocks,...

Persistent link: https://www.econbiz.de/10012009181

The implications of global and domestic credit cycles for emerging market economies : measures of finance-adjusted output gaps

Grintzalis, Ioannis; Lodge, David; Manu, Ana-Simona - 2017

We present estimates of finance-adjusted output gaps which incorporate the information on the domestic and global credit cycles for a sample of emerging market economies (EMEs). Following recent BIS research, we use a state-space representation of an HP filter augmented with a measure of the...

Persistent link: https://www.econbiz.de/10011637326

Financial Globalization and the International Transmission of Interest Rate Shocks : The Federal Reserve and China

Wan, Xiaoli - 2017

This paper evaluates the spillovers from U.S. monetary policy to China's domestic interest rates over 1999-2016, focusing on the impacts of long-term interest rate and exchange rate regimes on the capacity of China to moderate external interest rate shocks. We find that China's central bank owns...

Persistent link: https://www.econbiz.de/10012949609

Global Financial Transmission of Monetary Policy Shocks

Ehrmann, Michael; Fratzscher, Marcel - 2021

The paper shows that US monetary policy has been an important determinant of global equity markets. Analysing 50 equity markets worldwide, we find that returns fall on average around 3.8% in response to a 100 basis point tightening of US monetary policy, ranging from a zero response in some to a...

Persistent link: https://www.econbiz.de/10013317648

Financial Globalization or Great Financial Expansion? The Impact of Capital Flows on Credit and Banking Crises

Frost, Jon - 2014

This paper empirically examines the impact of capital flows on credit growth, credit excesses and banking crises using quarterly panel data from 43 advanced (AEs) and emerging market economies (EMEs). Regressions show that gross capital inflows precede credit growth and credit excesses. Both...

Persistent link: https://www.econbiz.de/10013046312

Dilemma and global financial cycle : evidence from capital account liberalisation episodes

Li, Xiang - 2021 - This version: October 2021

By focusing on the episodes of substantial capital account liberalisation and adopting a new methodology, this paper provides new evidence on the dilemma and global financial cycle theory. I first identify the capital account liberalisation episodes for 95 countries from 1970 to 2016, and then...

Persistent link: https://www.econbiz.de/10012695669

Trade Linkages between CEE Countries and the World Economy During an Era of Global Imbalances

Sobanski, Konrad - 2017

economy in the last decade and to measure the influence of the world economic crisis of 2009 on their external trade sector … regions of the world economy for the international trading transactions of CEE countries. The exercise revealed that CEE … ratio as a result of the world economic turbulences starting in 2009. Whereas the transition in the current account balance …

Persistent link: https://www.econbiz.de/10012949485

Global financial cycles since 1880

Potjagailo, Galina; Wolters, Maik H. - 2019

We analyze cyclical co-movement in credit, house prices, equity prices, and long-term interest rates across 17 advanced economies. Using a time-varying multi-level dynamic factor model and more than 130 years of data, we analyze the dynamics of co-movement at different levels of aggregation and...

Persistent link: https://www.econbiz.de/10011987786

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