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# World Asset Markets and the Global Financial Cycle

@inproceedings{MirandaAgrippino2014WorldAM, title={World Asset Markets and the Global Financial Cycle}, author={Silvia Miranda-Agrippino and H{\'e}l{\`e}ne Rey}, year={2014} }

- Published 2014

We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. This global factor can be interpreted as reflecting the time-varying degree of market wide risk aversion and aggregate volatility. Importantly, we show, using a large Bayesian VAR, that US monetary policy is a driver of this global factor in risky asset prices, the term spread and measures of the risk premium. US monetary policy is also a driver of US… CONTINUE READING

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