Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/266678 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Deutsche Bundesbank Discussion Paper No. 43/2022
Verlag: 
Deutsche Bundesbank, Frankfurt a. M.
Zusammenfassung: 
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial conditions globally, these shocks affect the left tail of the conditional output growth distribution more strongly than the center of the distribution. This effect is particularly pronounced for countries with less flexible exchange rate arrangements, higher foreign currency exposures, and higher levels of private sector leverage, suggesting that exchange rate policies and macroprudential policies can mitigate downside risks to growth.
Schlagwörter: 
Financial shocks
Monetary policy
Global financial cycle
Growth-at-Risk
International spillovers
Quantile VAR
JEL: 
C32
E23
E32
E44
F44
ISBN: 
978-3-95729-922-2
Dokumentart: 
Working Paper
Erscheint in der Sammlung:

Datei(en):
Datei
Größe
1.42 MB





Publikationen in EconStor sind urheberrechtlich geschützt.