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Erscheinungsjahr: 
2020
Schriftenreihe/Nr.: 
Danmarks Nationalbank Working Papers No. 153
Verlag: 
Danmarks Nationalbank, Copenhagen
Zusammenfassung: 
We measure the time-varying strength of macrofinancial linkages within and across the US and euro area economies by relying on factor models with drifting parameters, where real and financial cycles are extracted and shocks are identified via sign and exclusion restrictions. The main results show that the euro area is disproportionately more sensitive to shocks in the US macroeconomy and financial sector, resulting in an asymmetric cross-border spillover pattern between the two economies. Moreover, while macro-financial interactions have steadily increased in the euro area since the late 1980s, they have oscillated in the US,, exhibiting very long cycles of macro- financial interdependence.
Schlagwörter: 
Macro-financial linkages
dynamic factor models
TVP-VAR
JEL: 
E44
C32
C55
F44
E32
F41
Dokumentart: 
Working Paper
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