Collaborative Research: Macro-Financial Linkages in an Era of Globalization

合作研究：全球化时代的宏观金融联系

• 批准号: 1156243
• 负责人: Christopher Otrok
• 金额: $ 7.07万
• 依托单位: University of Missouri-Columbia
• 依托单位国家: 美国
• 项目类别: Standard Grant
• 财政年份: 2012
• 资助国家: 美国
• 起止时间: 2012-06-15 至 2013-05-31
• 项目状态: 已结题
• 来源: https://www.nsf.gov/awardsearch/showAward?AWD_ID=1156243&HistoricalAwards=false
• 关键词: Collaborative; Research; Macro; Financial; Linkages

AbstractThis research will study how different types of macroeconomic and financial disturbances, or ?shocks?, are propagated across countries in a highly integrated world economy. These shocks could have their origins either in policy actions of national governments or as outcomes of market forces. The implications of these shocks for business cycle comovement across countries are of considerable interest from both analytical and policy perspectives. The research is motivated by a few empirical observations. First, there have been enormous changes in the global economic landscape since the mid-1980s. These changes include the sharp increases in cross-border trade and financial flows, and the rising prominence of emerging market economies. Second, spillovers of shocks across financial markets and real economic activity have intensified, both within and across economies. Third, the recent global financial crisis has dramatically highlighted the linkages across economies that acted as channels for spillovers of shocks. The project will address two key questions concerning macro-financial linkages, which refers to the increasingly close ties between macroeconomic variables, such as GDP and employment, and financial market variables, such as stock market indexes and interest rates. First, what are the implications of rising macro-financial linkages for the synchronization of business and financial cycles? Second, are common shocks or the propagation of country-specific shocks the key to synchronicity of business and financial cycles across countries? If it is the latter, what are the main channels for the propagation of shocks across different groups of countries? To address these issues, the project will involve the development of a new econometric model that captures different aspects of international business cycle comovement and permits differentiation between true ?shocks? and their propagation effects. Another innovation is that the model will be used to study the roles of financial shocks and their spillovers in driving business cycle comovement of real macroeconomic aggregates.The project will transform the growing debate on the implications of globalization with new evidence on how this phenomenon has affected the nature of cross-country economic and financial relationships. The results generated by the study will provide guidance for policy makers in evaluating the propagation channels for major shocks/crises that originate in one country but affect others. This is essential for designing effective stabilization policies at the national level and for coordination of policies at the international level.

摘要本研究将研究不同类型的宏观经济和金融扰动或“冲击”如何在高度一体化的世界经济中在各国之间传播。这些冲击可能源于各国政府的政策行动或市场力量的结果。从分析和政策的角度来看，这些冲击对各国商业周期联动的影响都引起了人们的极大兴趣。这项研究的动机是一些实证观察。首先，20世纪80年代中期以来，全球经济格局发生了巨大变化。这些变化包括跨境贸易和资金流动的急剧增加，以及新兴市场经济体的日益突出。其次，金融市场和实体经济活动的冲击溢出效应在经济体内部和经济体之间加剧。第三，最近的全球金融危机极大地凸显了不同经济体之间的联系，而这些联系是冲击溢出效应的渠道。该项目将解决有关宏观金融联系的两个关键问题，即GDP和就业等宏观经济变量与股市指数和利率等金融市场变量之间日益密切的联系。首先，宏观金融联系的加强对商业周期和金融周期的同步有何影响？其次，共同冲击还是特定国家冲击的传播是各国商业和金融周期同步的关键？如果是后者，冲击在不同国家集团之间传播的主要渠道是什么？为了解决这些问题，该项目将涉及开发一个新的计量经济模型，该模型捕捉国际商业周期联动的不同方面，并允许区分真正的“冲击”。及其传播效应。另一项创新是，该模型将用于研究金融冲击及其溢出效应在推动实际宏观经济总量的商业周期联动方面的作用。该项目将通过关于全球化现象如何影响跨国经济和金融关系性质的新证据，改变关于全球化影响的日益激烈的争论。该研究得出的结果将为政策制定者评估源自一国但影响其他国家的重大冲击/危机的传播渠道提供指导。这对于在国家层面设计有效的稳定政策以及在国际层面协调政策至关重要。