US Monetary Policy and the Global Financial Cycle

By Silvia Miranda-Agrippino, Hélène Rey. 2015

135 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/97b96471c9ef2b64b7d4874ea5f2ea94da9f0ff5

Citations in the corpus

• Federal Reserve Policy in an International Context (2017, unknown): “21See also Miranda-Agrippino and Rey (2015) and Passari and Rey (2015).”
• The international transmission of monetary policy (2018, unknown): “…the volume of capital flows responds to global factors such as advanced economy policy rates, global risk aversion, uncertainty, leverage of financial institutions, and global output growth (Cerutti, Claessens and Ratnovski 2017; Forbes and Warnock 2012; Miranda-Agrippino and Rey 2015; Rey 2013).”
• The global effects of Covid-19-induced uncertainty (2020, unknown): “…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).”
• Global spillover effects of US uncertainty (2017, unknown): “Miranda-Agrippino and Rey (2015) provide further econometric evidence for the global nancial cycle emphasized by Rey (2013).”
• The shifting drivers of global liquidity (2020, unknown): “Advanced economy monetary policies and global risk aversion are established as the two most important global drivers (e.g. Forbes and Warnock, 2012a; Schularick and Taylor, 2012; Miranda-Agrippino and Rey, 2015; Cerutti, Claessens and Ratnovski, 2017; Ha et al., 2017).”
• U.S. monetary policy and emerging market credit cycles (2017, unknown): “In particular, using a VAR approach, Miranda-Agrippino and Rey (2015) show the importance to global asset prices of the cross-border transmission of U.S. monetary policy via financial intermediaries.”
• Exchange Rates and Monetary Policy Uncertainty (2017, unknown): “…and intermediaries’ risk-bearing capacity by the VIX index of implied volatility from S&P500 options (Pan and Singleton, 2008; Adrian and Shin, 2010; Miranda-Agrippino and Rey, 2015), as well as the average five-year CDS spread of Citibank, JPMorgan, Bank of America, and Goldman Sachs, available…”
• The Time Variation in Risk Appetite and Uncertainty (2019, unknown): “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).”
• Global Financial Cycles and Risk Premiums (2018, unknown): “More recently, Miranda-Agrippino and Rey (2015) have shown that a substantial part of global asset returns since the 1990s can be explained by one global factor that is closely 5 For detrending methods that put more weight on year-to-year changes, the discrepancy between actual equity price…”
• The International Bank Lending Channel of Monetary Policy Rates and QE: Credit Supply, Reach‐for‐Yield, and Real Effects (2017, unknown): “…Jiménez et al. (2014), Dell’Ariccia, Laeven and Suarez (2017)).9 We show that this channel is also present at the international level (Rey (2013), Miranda-Agrippino and Rey (2015), Bruno and Shin (2015a, 2015b)), in particular, that low monetary policy rates and QE in high-income countries lead…”
• U.S. Monetary Policy and International Risk Spillovers (2019, unknown): “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).”