Veranstaltungen des DIW Berlin/
Events of DIW Berlin

10 February 2016

DIW Seminar on Macroeconomics and Econometrics World Asset Markets and the Global Financial Cycle

We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. This global factor can be interpreted as reflecting the time-varying degree of market wide risk aversion and aggregate volatility. Importantly, we show, using a large Bayesian VAR, that US monetary policy is a driver of this global factor in risky asset prices, the term spread and measures of the risk premium. US monetary policy is also a driver of US and European banks leverage, credit growth in the US and abroad and cross-border credit flows. Our large Bayesian VAR allows us to avoid the problem of omitted variables bias and, for the first time, to study in detail the workings of the "global financial cycle", i.e. the interactions between US monetary policy, global financial variables and real activity. 

Paper

More Information
Schumpeter
Speaker
  • Hélène Rey, London Business School

  • Time
    12:00 - 13:15
    Location
    DIW Berlin (Schumpeter Hall) Mohrenstr. 58 10117 Berlin
    Contact(s)
    at DIW Berlin
    Tel.: +49 30 89789 420
    Tel.: +49 30 89789 492