World Asset Markets and the Global Financial Cycle

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