U.S. Monetary Policy and the Global Financial Cycle

By Silvia Miranda-Agrippino, Hélène Rey. The Review of Economic Studies, 2020

857 citations recorded by the source corpus.

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.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6c3dae4fe1e7b3584ea458721642a0cb45112ccd

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In Economics and Econometrics

1. Giovanni Caggiano
2. Efrem Castelnuovo
3. Richard Kima
4. Sebnem Kalemli‐ozcan
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Citations in the corpus

• U.S. Monetary Policy and International Risk Spillovers (2019, methodology): “The VIX, a key global factor that captures changes in global risk aversion and uncertainty, has been shown to be related to monetary policy in the U.S. by Bekaert et al. (2013), Miranda-Agrippino and Rey (2019), and Bruno and Shin (2015).14 12This figure uses data from Avdjiev et al. (2019).”
• The global effects of Covid-19-induced uncertainty (2020, methodology): “…by estimating a VAR featuring a proxy for global uncertainty (the VIX) and two stateof-the-art measures of global conditions, i.e., the global financial cycle index proposed by Miranda-Agrippino and Rey (2020b), and the world industrial production index produced by Baumeister and Hamilton (2019).”
• The Time Variation in Risk Appetite and Uncertainty (2019, neutral): “In international fi nance, Miranda-Agrippino and Rey (2020) and Rey (2015) suggest that global risk aversion is a key transmission vector by which U.S. monetary policy is exported to foreign countries and is a major source of asset return co-movements across countries (Xu 2019).”