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  1. The global financial cycle
    quantities versus prices
    Autor*in: Cerutti, Eugenio M.; Claessens, Stijn
    Erschienen: 21 July 2024
    Verlag:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    uneingeschränkte Fernleihe, Kopie und Ausleihe

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    Universität Potsdam, Universitätsbibliothek
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    Quelle: Staatsbibliothek zu Berlin
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Schriftenreihe: Array ; DP19271
    Schlagworte: global financial cycle; asset prices; capital flows; financial conditions; comove-ments; empirical; data; center; country; panel; fit; equity; bonds; FDI; credit; policy measures; macroprudential; capital flow management policies
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  2. Quantitative easing in the US and financial cycles in emerging markets
    Autor*in: Kolasa, Marcin; Wesołowski, Grzegorz
    Erschienen: 2022
    Verlag:  University of Warsaw, Faculty of Economic Sciences, Warsaw

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Working papers / University of Warsaw, Faculty of Economic Sciences ; no. 2022, 15 = 391
    Schlagworte: quantitative easing; global financial cycle; domestic credit; exchange rate interventions; capital controls; macroprudential policy
    Umfang: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  3. How important are global factors for understanding the dynamics of international capital flows?
    Autor*in: Eller, Markus; Huber, Florian; Schuberth, Helene
    Erschienen: 2018
    Verlag:  University of Salzburg, [Salzburg]

    We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship between global factors and country-specific capital flow dynamics. Studying a global sample of 43 countries from 1994 until 2015, we... mehr

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    We propose a dynamic factor model with time-varying parameters and stochastic volatility to analyze the relationship between global factors and country-specific capital flow dynamics. Studying a global sample of 43 countries from 1994 until 2015, we show that global co-movement of macroeconomic, financial and capital flow variables can explain a major share of country-specific capital flow volatility and that the impact of these variables has become even more important since the 2008–2009 global financial crisis. Our results indicate that country-specific changes in capital flows are strongly affected by fluctuations in global financial cycles and - to some extent - by global real business cycles. There is some evidence that countries with higher foreign exchange reserves, flexible exchange rates, lower public indebtedness or more developed domestic stock markets may better shield themselves from the global financial cycle.

     
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    Weitere Identifier:
    hdl: 10419/201670
    Schriftenreihe: Working papers in economics ; no. 2018, 02
    Schlagworte: Volatility of capital flows; dynamic factor model; stochastic volatility; global co-movement; global real business cycle; global financial cycle
    Umfang: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  4. International liquidity
    Autor*in: Hartmann, Philipp
    Erschienen: [2017]
    Verlag:  [London School of Economics and Political Science], [London]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: LSE Financial Markets Group paper series ; 247
    Schlagworte: Collateral; Financial market liquidity; funding liquidity; global financial cycle; international financial stability; international payments; international safe assets; liquidity hoarding; money supply; Unconventional Monetary Policy
    Umfang: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  5. The international transmission of monetary policy
    Autor*in: Buch, Claudia M.; Bussière, Matthieu; Goldberg, Linda S.; Hills, Robert
    Erschienen: June 2018
    Verlag:  Bank of England, London

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Staff working paper / Bank of England ; no. 731
    Schlagworte: Monetary policy; international spillovers; cross-border transmission; global bank; global financial cycle
    Umfang: 1 Online-Ressource (circa 55 Seiten), Illustrationen
  6. Dilemma and global financial cycle
    evidence from capital account liberalisation episodes
    Autor*in: Li, Xiang
    Erschienen: [08. Dezember 2021]
    Verlag:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    By focusing on the episodes of substantial capital account liberalisation and adopting a new methodology, this paper provides new evidence on the dilemma and global financial cycle theory. I first identify the capital account liberalisation episodes... mehr

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    Leibniz-Institut für Wirtschaftsforschung Halle, Bibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    By focusing on the episodes of substantial capital account liberalisation and adopting a new methodology, this paper provides new evidence on the dilemma and global financial cycle theory. I first identify the capital account liberalisation episodes for 95 countries from 1970 to 2016, and then employ an augmented inverse propensity score weighted (AIPW) estimator to calculate the average treatment effect (ATE) of opening capital account on the interest rate comovements with the core country. Results show that opening capital account causes a country to lose its monetary policy independence, and a floating exchange rate regime cannot shield this effect. Moreover, the impact is stronger when liberalising outward and banking flows.

     
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    hdl: 10419/247688
    Auflage/Ausgabe: This version: October 2021
    Schriftenreihe: IWH discussion papers ; 2021, no. 13 (December 2021)
    Schlagworte: average treatment effect; capital control; global financial cycle; monetary policy autonomy; propensity score matching; trilemma
    Umfang: 1 Online-Ressource (III, 40 Seiten, A21, 2,85 MB), Diagramme
  7. Periodic business and exchange rate cycles
    evidence from 7 emerging markets
    Autor*in: Kohler, Karsten; Stockhammer, Engelbert
    Erschienen: 2020
    Verlag:  Hans-Böckler-Stiftung, Düsseldorf

    The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned... mehr

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    The paper investigates exchange rate cycles and their relationship to the business cycle in 7 major emerging market economies. We document the presence of periodic cycles in nominal US-dollar exchange rates and show that these are closely aligned with cycle frequencies in real output. Joint fluctuations in exchange rates and output exhibit frequencies between 4 and 8 years. We consider external and internal driving forces of those periodic cycles. There is moderate evidence of co-movements in exchange rates across countries that are strongly linked to global commodity prices, but only weakly so to US monetary policy or global uncertainty shocks. However, estimated periodicities in external factors do not match the periodicities found in exchange rates, thus leaving an important cycle property unexplained. We therefore test for the presence of a cyclical interaction mechanism between exchange rates and output that may transform external shocks into periodic oscillations. We find evidence for such an interaction mechanism, consistent with the recent literature on the financial channel of exchange rates, for Chile and South Africa, and partly for the Philippines.

     
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    Weitere Identifier:
    hdl: 10419/246823
    Schriftenreihe: FMM working paper ; Nr. 58(September, 2020)
    Schlagworte: Business cycles; exchange rate cycles; emerging market economies; global financial cycle; commodity prices; monetary policy spillovers; financial channel of exchange rates
    Umfang: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  8. Monetary policy autonomy and international monetary spillovers
    Autor*in: Demir, Ishak
    Erschienen: [2019]
    Verlag:  Lincoln International Business School, University of Lincoln, Lincoln

    While Federal Reserve continues to normalize its monetary policy on the back of a strengthening U.S. economy, the possibility of mimicking U.S. policy actions and so the debate of monetary autonomy has been particularly heated in the most of... mehr

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    While Federal Reserve continues to normalize its monetary policy on the back of a strengthening U.S. economy, the possibility of mimicking U.S. policy actions and so the debate of monetary autonomy has been particularly heated in the most of developing countries, even in advanced economies. We analyse the role played by country-specific characteristics in domestic monetary policy autonomy to set short-term interest rates in the face of spillovers from of U.S. monetary policy as global external shocks. First, we extricate the non-systematic (non-autonomous) component of domestic interest rates which is related to business cycle synchronisation across countries. Then we employ an interacted panel VAR model, which allows impulse response functions to vary by country characteristics for a broad sample of countries. We find strong empirical evidence for the role of exchange rate flexibility, capital account openness in line with trilemma, but also a significant role for other country characteristics, such as dollarisation in the financial system, the presence of a global bank, use of macroprudential policies, and the credibility of fiscal and monetary policy.

     
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    hdl: 10419/193694
    Schriftenreihe: LEAF working paper series ; no. 19, 01
    Schlagworte: monetary policy autonomy; global financial cycle; international spillovers; trilemma; country-specific characteristics; cross-country difference; dilemma
    Umfang: 1 Online-Ressource (circa 24 Seiten), Illustrationen
  9. Euro Area
    uncertainty weighs temporarily on recovery
    Autor*in: Boysen-Hogrefe, Jens; Fiedler, Salomon; Groll, Dominik; Kooths, Stefan; Reitz, Stefan; Stolzenburg, Ulrich
    Erschienen: 2016
    Verlag:  [Kiel Institute for the World Economy], [Kiel]

    Economic Recovery in the Euro Area has lost momentum in the second half of 2015. Due to dampening effects from the world economy and a marked increase in political uncertainty, a number of sentiment indicators also point downwards. Nevertheless,... mehr

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    Economic Recovery in the Euro Area has lost momentum in the second half of 2015. Due to dampening effects from the world economy and a marked increase in political uncertainty, a number of sentiment indicators also point downwards. Nevertheless, domestic demand increased rather strongly, while the labor market situation kept improving. Therefore, we consider the minor slowdown of the past months to be temporary. Supportive factors such as low interest rates and a low external value of the currency encounter a slightly expansionary fiscal policy stance over the forecast horizon. As a result, economic activity is expected to gain grip in 2016.

     
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    hdl: 10419/209483
    Schriftenreihe: Kiel Institute economic outlook ; Nr.16 (2016/Q1)
    Schlagworte: Euro area; European Monetary Union; leading indicators; Youth unemployment; Target2; global financial cycle; Related Topics; Business Cycle; Business Cycle Euro Area; European Union & Euro
    Umfang: 1 Online-Ressource (2 Seiten)
  10. The global financial cycle and capital flow episodes
    a wobbly link?
    Autor*in: Scheubel, Beatrice; Stracca, Livio; Tille, Cédric
    Erschienen: [2019]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition.... mehr

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    We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition. This measure can also be decomposed in a price-based and quantity-based version of the GFC, which is novel in the literature. Second, we compare our measure to other common existing indicators of the GFC. Third, we estimate the influence of the fluctuations in the GFC on capital flow episodes (sudden stops, ights, retrenchments, surges) and currency crises, also testing for its stability and linearity. We find that the nexus between the GFC and capital flow episodes is generally consistent and not very wobbly. In line with theoretical priors, we find some evidence that the GFC is more important for sudden stops when it is more negative, i.e. the relationship is (mildly) convex, in keeping with a role for occasionally binding constraints, but the evidence for this feature is not strong.

     
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    ISBN: 9789289939065
    Weitere Identifier:
    hdl: 10419/228215
    Schriftenreihe: Working paper series / European Central Bank ; no 2337 (December 2019)
    Schlagworte: Capital flows; global financial cycle; push factors; structural factor analysis
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  11. The global financial cycle and capital flow episodes
    a wobbly link?
    Autor*in: Scheubel, Beatrice; Stracca, Livio; Tille, Cédric
    Erschienen: [2019]
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition.... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    We add to the literature on the influence of the global financial cycle (GFC) and gyrations in capital flows. First, we build a new measure of the GFC based on a structural factor approach, which incorporates theoretical priors in its definition. This measure can also be decomposed in a price-based and quantity-based version of the GFC, which is novel in the literature. Second, we compare our measure to other common existing indicators of the GFC. Third, we estimate the influence of the fluctuations in the GFC on capital flow episodes (sudden stops, flights, retrenchments, surges) and currency crises, also testing for its stability and linearity. We find that the nexus between the GFC and capital flow episodes is generally consistent and not very wobbly. In line with theoretical priors, we find some evidence that the GFC is more important for sudden stops when it is more negative, i.e. the relationship is (mildly) convex, in keeping with a role for occasionally binding constraints, but the evidence for this feature is not strong.

     
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    hdl: 10419/214969
    Schriftenreihe: Array ; no. 7967 (November 2019)
    Schlagworte: capital flows; global financial cycle; push factors; structural factor analysis
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  12. Capital inflows to emerging countries and their sensitivity to the global financial cycle
    Autor*in: Buono, Ines; Corneli, Flavia; Di Stefano, Enrica
    Erschienen: [2020]
    Verlag:  Banca d'Italia Eurosistema, [Rom]

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    Schriftenreihe: Temi di discussione / Banca d'Italia ; number 1262 (February 2020)
    Schlagworte: international capital movements; uncertainty; global financial cycle; VIX; nonlinearities
    Umfang: 1 Online-Ressource (circa 47 Seiten), Illustrationen
  13. Global drivers of gross and net capital flows
    Autor*in: Davis, Scott; Valente, Giorgio; Van Wincoop, Eric
    Erschienen: [2019]
    Verlag:  Hong Kong Institute for Monetary Research, Hong Kong

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    Schriftenreihe: HKIMR working paper ; 2019, no. 07 (April 2019)
    Schlagworte: capital inflows and outflows; gross and net capital flows; financial globalization; global financial cycle; global capital flows cycle
    Umfang: 1 Online-Ressource (circa 51 Seiten), Illustrationen
  14. Attention to the tail(s)
    global financial conditions and exchange rate risks
    Autor*in: Eguren-Martin, Fernando; Sokol, Andrej
    Erschienen: September 2019
    Verlag:  Bank of England, London

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    Schriftenreihe: Staff working paper / Bank of England ; no. 822
    Schlagworte: Exchange rates; tail risks; financial conditions indices; global financial cycle; quantile regression
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  15. Mind the gap in sovereign debt markets
    the U.S. Treasury basis and the Dollar risk factor
    Autor*in: Krishnamurthy, Arvind; Lustig, Hanno
    Erschienen: [2019]
    Verlag:  [Stanford Graduate School of Business], [Stanford, CA]

    The U.S. dollar exchange rate clears the global market for dollar-denominated safe assets. We find that shifts in the demand and supply of safe dollar assets are important drivers of variation in the dollar exchange rate, bond yields, and other... mehr

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    The U.S. dollar exchange rate clears the global market for dollar-denominated safe assets. We find that shifts in the demand and supply of safe dollar assets are important drivers of variation in the dollar exchange rate, bond yields, and other global financial variables. An increase in the convenience yield that foreign investors derive from holding safe dollar assets causes the dollar to appreciate, and incentivizes foreign debtors to tilt their issuance towards dollar-denominated instruments. U.S. monetary policy also affects the dollar exchange rate through its impact on the supply of safe dollar assets and the convenience yield. Interest rate spreads with foreign countries are not sufficient statistics to gauge the impact of the stance of U.S. monetary policy on currency markets. The U.S. Treasury basis, which measures the yield on an actual U.S. Treasury minus the yield on an equivalent synthetic U.S. Treasury constructed from a foreign bond, provides a direct measure of the global scarcity of dollar safe assets

     
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    Schriftenreihe: [Stanford University Graduate School of Business research paper ; no. 3623]
    Schlagworte: safe assets; reserve currency; global financial cycle
    Umfang: 1 Online-Ressource (circa 53 Seiten), Illustrationen
  16. Financial spillovers to emerging economies
    the role of exchange rates and domestic fundamentals
    Autor*in: Ciarlone, Alessio; Marconi, Daniela
    Erschienen: [2020]
    Verlag:  Banca d'Italia, [Rom]

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    Schriftenreihe: Questioni di economia e finanza / Banca d'Italia ; number 571 (July 2020)
    Schlagworte: trilemma; global financial cycle; financial conditions; emerging market economies; international policy transmission; spillovers
    Umfang: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  17. Quantitative easing in the US and financial cycles in emerging markets
    Autor*in: Kolasa, Marcin; Wesołowski, Grzegorz
    Erschienen: March 2021
    Verlag:  Szkoła Główna Handlowa w Warszawie, Warszawa

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    Schriftenreihe: Collegium of Economic Analysis working paper series ; number: 2021, 063
    Schlagworte: quantitative easing; global financial cycle; domestic credit; exchange rate interventions; capital controls; macroprudential policy
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  18. Global and local currency effects on euro area investment in emerging market bonds
    Autor*in: Boermans, Martijn; Burger, John D.
    Erschienen: [2020]
    Verlag:  De Nederlandsche Bank NV, Amsterdam, the Netherlands

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    Schriftenreihe: Working paper / De Nederlandsche Bank NV ; no. 676 (March 2020)
    Schlagworte: global risk; capital flows; global financial cycle; US dollar; foreign exchange rates; portfolio choice; emerging economies; spillovers; monetary policy; securities holdings statistics
    Umfang: 1 Online-Ressource (circa 49 Seiten), Illustrationen
  19. How ETFs amplify the global financial cycle in emerging markets
    Autor*in: Converse, Nathan; Levy Yeyati, Eduardo; Williams, Tomas
    Erschienen: 2020
    Verlag:  Board of Governors of the Federal Reserve System, [Washington, DC]

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    Schriftenreihe: International finance discussion papers ; number 1268 (January 2020)
    Schlagworte: exchange-traded funds; mutual funds; global financial cycle; global risk; push and pull factors; capital flows; emerging markets
    Umfang: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  20. The global effects of Covid-19-induced uncertainty
    Autor*in: Caggiano, Giovanni; Castelnuovo, Efrem; Kima, Richard
    Erschienen: May 2020
    Verlag:  CESifo, Center for Economic Studies & Ifo Institute, Munich, Germany

    We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19... mehr

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    We estimate a three-variate VAR using proxies of global financial uncertainty, the global financial cycle, and world industrial production to simulate the effects of the jump in financial uncertainty observed in correspondence of the Covid-19 outbreak. We predict the cumulative loss in world output one year after the uncertainty shock due to Covid-19 to be about 14%.

     
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    Sprache: Englisch
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    Weitere Identifier:
    hdl: 10419/217031
    Schriftenreihe: CESifo working paper ; no. 8280 (2020)
    Schlagworte: Covid-19; financial uncertainty; vector autoregressions; global financial cycle; world industrial production
    Umfang: 1 Online-Ressource (circa 13 Seiten), Illustrationen
  21. Attention to the tail(s)
    global financial conditions and exchange rate risks
    Autor*in: Eguren-Martin, Fernando; Sokol, Andrej
    Erschienen: [2020]
    Verlag:  European Central Bank, Frankfurt am Main, Germany

    We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across... mehr

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    We document how the distribution of exchange rate returns responds to changes in global financial conditions. We measure global financial conditions as the common component of country-specific financial condition indices, computed consistently across a large panel of developed and emerging economies. Based on quantile regression results, we provide a characterisation and ranking of the tail behaviour of a large sample of currencies in response to a tightening of global financial conditions, corroborating (and quantifying) some of the prevailing narratives about safe haven and risky currencies. Our approach delivers a more nuanced picture than one based on standard OLS regression. We then carry out a portfolio sorting exercise to identify the macroeconomic fundamentals associated with such different tail behaviour, and find that currency portfolios sorted on the basis of net foreign asset positions, relative interest rates, current account balances and levels of international reserves display a higher likelihood of large losses in response to a tightening of global financial conditions.

     
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    ISBN: 9789289940306
    Weitere Identifier:
    hdl: 10419/229001
    Schriftenreihe: Working paper series / European Central Bank ; no 2387 (April 2020)
    Schlagworte: exchange rates; tail risks; financial conditions indices; global financial cycle; quantile regression
    Umfang: 1 Online-Ressource (circa 29 Seiten), Illustrationen
  22. Global and domestic financial cycles
    variations on a theme
    Autor*in: Aldasoro, Iñaki; Avdjiev, Stefan; Borio, Claudio E. V.; Disyatat, Piti
    Erschienen: 2020
    Verlag:  Bank for International Settlements, Monetary and Economic Department, [Basel]

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    Schriftenreihe: BIS working papers ; no 864 (May 2020)
    Schlagworte: global financial cycle; financial cycle; business cycle; capital flows
    Umfang: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  23. How ETFs amplify the global financial cycle in emerging markets
    Autor*in: Converse, Nathan; Levy Yeyati, Eduardo; Williams, Tomas
    Erschienen: May 2019
    Verlag:  Center for International Development at Harvard University, [Cambridge, MA]

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    Schriftenreihe: CID working paper ; no. 351
    Schlagworte: exchange-traded funds; mutual funds; global financial cycle; global risk; push and pull factors; capital flows; emerging markets
    Umfang: 1 Online-Ressource (circa 62 Seiten), Illustrationen
  24. Macroeconomic news, the financial cycle and the commodity cycle
    the Chinese footprint
    Autor*in: Corneli, Flavia; Ferriani, Fabrizio; Gazzani, Andrea
    Erschienen: [2023]
    Verlag:  Banca d'Italia, [Rom]

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    Schriftenreihe: Questioni di economia e finanza / Banca d'Italia ; number 772 (June 2023)
    Schlagworte: global financial cycle; China; macroeconomic announcements; internationalspillovers; commodity prices
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  25. Global political ties and the global financial cycle
    Autor*in: Ambrocio, Gene; Hasan, Iftekhar; Li, Xiang
    Erschienen: December 2023
    Verlag:  Halle Institute for Economic Research (IWH) - Member of the Leibniz Association, Halle (Saale), Germany

    We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of... mehr

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    We study the implications of forging stronger political ties with the US on the sensitivities of stock returns around the world to a global common factor - the global financial cycle. Using voting patterns at the United Nations as a measure of political ties with the US along with various measures of the global financial cycle, we document evidence indicating that stronger political ties with the US amplify the sensitivities of stock returns in developing countries to the global financial cycle. We explore several channels and find that a deepening of financial linkages along with a reduction in information asymmetries and an amplification of sentiment are potentially important factors behind this result.

     
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    hdl: 10419/281192
    Schriftenreihe: IWH discussion papers ; 2023, no. 23 (December 2023)
    Schlagworte: global financial cycle; international spillovers; political ties; stock returns
    Umfang: 1 Online-Ressource (III, 52 Seiten, Seite A1-A18, 2,76 MB), Diagramme
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    Literaturverzeichnis: Seite 47-52