NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

US Monetary Policy and the Global Financial Cycle

Silvia Miranda-Agrippino, Hélène Rey

NBER Working Paper No. 21722
Issued in November 2015, Revised in February 2018
NBER Program(s):Asset Pricing, Corporate Finance, International Finance and Macroeconomics, Monetary Economics

We analyze the workings of the “Global Financial Cycle.” We study the effects of monetary policy of the United States, the center country of the international monetary system, on the joint dynamics of the domestic business cycle and international financial variables such as global credit growth, cross-border credit flows, global banks leverage and risky asset prices. One global factor, driven in part by US monetary policy, explains an important share of the variance of returns of risky assets around the world. We find evidence of large financial spillovers from the hegemon to the rest of the world.

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Document Object Identifier (DOI): 10.3386/w21722

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