Data and code for: The Global Financial Cycle after Lehman
Principal Investigator(s): View help for Principal Investigator(s) Silvia Miranda-Agrippino, Bank of England ; Helene Rey, London Business School
Version: View help for Version V1
| Name | File Type | Size | Last Modified |
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| Replication - For Data Editor | 08/23/2020 12:50:PM | ||
| Replication - For Public Distribution | 08/23/2020 12:51:PM | ||
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application/pdf | 142.3 KB | 08/23/2020 08:49:AM |
Project Citation:
Miranda-Agrippino, Silvia, and Rey, Helene. Data and code for: The Global Financial Cycle after Lehman. Nashville, TN: American Economic Association [publisher], 2020. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2020-10-08. https://doi.org/10.3886/E120741V1
Project Description
Summary:
View help for Summary
The Gobal Financial Cycle denotes fluctuations in financial activity on a global
scale (see Rey, 2013). It is characterized
by the comovements of risky asset prices,
leverage of financial intermediaries, credit
growth and gross capital flows around the
world. In particular, a single global factor
explains an important share of the common variation of a large cross-section of
risky asset prices globally. Using a medium-
scale Bayesian VAR, Miranda-Agrippino
and Rey (2015) show that US monetary policy is a driver of the Global Financial Cycle. US monetary contractions are followed
by a significant deleveraging of global financial intermediaries, a rise in aggregate risk
aversion, a contraction in the global factor in asset prices and in global credit, a
widening of corporate bond spreads, and a
retrenchment in gross capital flows.
The changes
in regulation that followed the Lehman Brothers
bankruptcy of 2008, such as the phasing in of
Basel III and the emergence of macroprudential policies, have altered the propensity of banks to take risk, as well as their
relative importance in intermediation. Asset managers and non-bank financial intermediaries have become more important in
international markets. A natural question
arising is whether changes in the structure
of financial intermediation have had significant effects on the transmission of US monetary policy on the Global Financial Cycle
(see also Burcu et al., 2020). This is the
question we are exploring in this paper.
Funding Sources:
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ERC (69572)
Scope of Project
JEL Classification:
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E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G01 Financial Crises
E32 Business Fluctuations; Cycles
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
E58 Central Banks and Their Policies
G01 Financial Crises
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