Title：U.S. Monetary Policy, Credit Spreads, and the Global Financial Cycle

　　Schedule: April 13, Wed 2-4 PM

　　Location: 腾讯会议 198 434 429

　　Abstract:Existing literature has documented the existence of a Global Financial Cycle (GFC) that can be captured by a unique factor extracted from a set of risky asset prices. Miranda-Agrippino & Rey (2020) find that US monetary policy has powerful spillover effects on the GFC and is the key driver of it. We re-examine this using a large-scale heteroskedasticity-based SVAR model. This allows for simultaneous identification of multiple shocks without having to rely on timing or sign restrictions. Using data from 1980-2019, we find that financial shocks-which include shocks to US corporate bond spreads (or the excess bond premium, EBP), TED spread, term premium, and leverage-have large effects on the global financial cycle and are the most important driver of it. Shocks to US corporate bond spreads are the most important, accounting for nearly 70% of the variance in the short run. In the medium run (2-3 years), shocks to credit spreads still account for about 40%, and shocks to leverage account for about 20%. US monetary policy shocks account for only about 20% of the GFC factor in the long run and considerably less in the short run. Our results suggest that the hegemon of the US in global financial systems may be rooted in its powerful financial intermediaries rather than the Fed itself.

　　Introduction:吴文斌, 2017年获得加州大学圣地亚哥分校经济学博士，师从美国著名经济学家 James D. Hamilton。现任复旦大学泛海国际金融学院助理教授, 研究方向集中于货币经济学、宏观经济计量学、金融学等。曾获2018年度泛海国际金融学院优秀研究奖和2018年上海市浦江人才计划。文章发表在 Journal of Monetary Economics、Journal of Money, Credit and Banking  和 Economics Letters  等国际学术期刊。