US Monetary Policy and the Global Financial Cycle

Silvia Miranda-Agrippino and Helene Rey

No 21722, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: US monetary policy shocks induce comovements in the international financial variables that characterize the “Global Financial Cycle.” One global factor explaining an important share of the variation of risky asset prices around the world decreases significantly after a US monetary contraction. Monetary tightening in the US leads to significant deleveraging of global financial intermediaries, a decline in the provision of domestic credit globally, strong retrenchments of international credit flows, and tightening of foreign financial conditions. Countries with floating exchange rate regimes are subject to similar financial spillovers.

JEL-codes: E44 E58 F33 F42 G15 (search for similar items in EconPapers)
Date: 2015-11
New Economics Papers: this item is included in nep-ifn and nep-mac
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Published as Silvia Miranda-Agrippino & Hélène Rey, 2020. "U.S. Monetary Policy and the Global Financial Cycle," Review of Economic Studies, Oxford University Press, vol. 87(6), pages 2754-2776.

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