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

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”是如何产生的。在高度一体化的世界经济中，这些问题在各国之间传播。这些冲击的根源可能是各国政府的政策行动，也可能是市场力量的结果。从分析和政策的角度来看，这些冲击对各国商业周期波动的影响都是非常有趣的。这项研究的动机是一些实证观察。首先，自上世纪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地位日益突出。其次，冲击在金融市场和实体经济活动中的溢出效应在经济体内部和经济体之间都有所加剧。第三，最近的全球金融危机极大地凸显了各经济体之间的联系，这些联系成为了冲击溢出效应的渠道。该项目将处理有关宏观金融联系的两个关键问题，即国内生产总值和就业等宏观经济变量与股票市场指数和利率等金融市场变量之间日益密切的联系。首先，不断上升的宏观金融联系对商业周期和金融周期同步的影响是什么？第二，共同冲击或特定国家冲击的传播是各国商业和金融周期同步性的关键吗？如果是后者，那么冲击在不同国家群体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种新的计量经济模型，以捕捉国际商业周期共同运动的不同方面，并允许区分真正的冲击。以及它们的繁殖效应。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商业周期变动中的作用。该项目将以新的证据说明全球化现象如何影响跨国经济和金融关系的性质，从而改变关于全球化影响的日益激烈的辩论。这项研究产生的结果将为决策者提供指导，以评估源自一个国家但影响其他国家的重大冲击/危机的传播渠道。这对于在国家一级设计有效的稳定政策和国际一级协调政策是必不可少的。

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.