Macro-finance interactions in the US: A global perspective

Fabio Bagliano and Claudio Morana

No 23, Working papers from Former Department of Economics and Public Finance "G. Prato", University of Torino

Abstract: The paper aims at understanding the main channels of macro-finance interaction that have featured in the US recent 'Great Recession' episode. Domestic interactions of macro and financial shocks are investigated within a global framework, allowing for spillover effects of the US crisis to other OECD countries, as well as to major emerging economies, and controlling for further feedback effects on the US economy. A total of 50 countries is investigated by means of a large-scale open economy macroeconometric model, set in the factor vector autoregressive (F-VAR) framework, over the period 1980:1-2009:1. The overall picture appears to be consistent with a boom-bust credit cycle mechanism, whereby financial factors are the triggering force of the downturn in real activity and worsened economic conditions feed back to asset prices, starting a cumulative process.

Keywords: Macro-finance interactions; financial crisis; economic crisis; international business cycles; factor vector autoregressive models (search for similar items in EconPapers)
JEL-codes: C22 E32 F36 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2011-10
New Economics Papers: this item is included in nep-cba, nep-mac and nep-opm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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http://www.bemservizi.unito.it/repec/tur/wpaper/n23.pdf First version, 2011 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:tur:wpaper:23

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