World Asset Markets and the Global Financial Cycle

By Silvia Miranda-Agrippino, Hélène Rey. 2015

300 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/94d341a5d555c4f7196b671325266296f23a8f41

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Citations in the corpus

The Dollar Exchange Rate as a Global Risk Factor: Evidence from Investment (2019, unknown): “Second, our work is also connected to the literature on the global financial cycle (Miranda-Agrippino and Rey 2012; Forbes and Warnock 2012; Rey 2015).”
If the Fed Sneezes, Who Catches a Cold? (2017, methodology): “To sharpen understanding about our results, we will report the whole impact posteriors for our impulse responses, to contrast them with the implicit priors as captured by (1) and (2).”
Common Factors of Commodity Prices † (2018, background): “…world, country and regional components; Banbura, Giannone and Reichlin (2011) use blocks of nominal and real variables for the purpose of nowcasting real economic activity; Miranda-Agrippino and Rey (2015) decompose uctuations in risky assets into global, regional and asset-speci c components.”
Spillovers of U.S. unconventional monetary policy to emerging markets: The role of capital flows (2017, background): “In related research, Miranda Agrippino and Rey (2014) show that conventional U.S. monetary policy is linked to a global factor in risky asset prices, cross-border credit flows and in particular to U.S. and European banks leverage.”
The shifting drivers of global liquidity (2020, background): “Miranda-Agrippino and Rey (2015) argue that one global factor explains an important part of the variance of a large cross section of returns of risky assets and interpret this factor as time-varying market-wide risk aversion linked to US monetary policy.”
Self-oriented monetary policy, global financial markets and excess volatility of international capital flows (2015, background): “Rey (2013), Miranda-Agrippino and Rey (2014), and Bruno and Shin (2014a) describe a ‘global financial cycle’ in which capital flows to many countries are highly positively correlated and closely tied to US monetary policy.”
Global spillover effects of US uncertainty (2017, unknown): “[28] Miranda-Agrippino, Silvia, and Helene Rey (2015), “World Asset Markets and the Global Financial Cycle”, working paper.”
Dollar Safety and the Global Financial Cycle (2020, background): “The U.S. monetary policy has an outsized role in macroeconomic outcomes for countries around the world (see Rey, 2013; Miranda-Agrippino and Rey, 2015).”
How Important is the Global Financial Cycle? Evidence from Capital Flows (2017, unknown): “51 The maximal impact of the GFCy on capital flows in the BVAR evidence provided in Table 5 of Miranda-Agrippino and Rey (2015) is the 17% of the variance of global inflows to nonbanks explained by shocks to American monetary policy at the 5-year horizon. on the drivers of capital flows.”
A Tie That Binds: Revisiting the Trilemma in Emerging Market Economies (2017, unknown): “The use of the VXO index as a proxy for global financial conditions in (1) is motivated by the findings of several recent studies (e.g., Ghosh et al., 2014; Ahmed and Zlate, 2014; Bruno and Shin, 2015b; Miranda-Agrippino and Rey, 2015), who show that cross-border capital flows, bank leverage, and ri”
International Channels of Transmission of Monetary Policy and the Mundellian Trilemma (2015, unknown): “As shown in Miranda-Agrippino and Rey (2012), it is highly negatively correlated with indices of ”market fear” around the world: VIX (US), VSTOXX (EU), VNKY(JP), and VFTSE (UK).”