AEA Papers and Proceedings
ISSN 2574-0768 (Print) | ISSN 2574-0776 (Online)
The Global Financial Cycle after Lehman
AEA Papers and Proceedings
vol. 110,
May 2020
(pp. 523–28)
Abstract
Did the effect of US monetary policy on the global financial cycle change after the crisis? We analyze the international transmission of the Fed's policy shocks since 2009. We find similar effects for the policies that act mostly on the short end of the US yield curve. But there is evidence of potent information effects active at the long end. Lower ten-year Treasury yields are associated with weaker global financial activity and flight to safety. The information content of the VIX may have changed substantially since the crisis.Citation
Miranda-Agrippino, Silvia, and Hélène Rey. 2020. "The Global Financial Cycle after Lehman." AEA Papers and Proceedings, 110: 523–28. DOI: 10.1257/pandp.20201096Additional Materials
JEL Classification
- E32 Business Fluctuations; Cycles
- E43 Interest Rates: Determination, Term Structure, and Effects
- E44 Financial Markets and the Macroeconomy
- E52 Monetary Policy
- E58 Central Banks and Their Policies
- G01 Financial Crises