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Working Papers

US Monetary Policy and The Global Financial Cycle*

Miranda-Agrippino, S, Rey, H
  Latest Draft: 08 Feb 2018,

We analyze the workings of the Global Financial Cycle. We study the e ffects of monetary policy of the United States, the center country of the international monetary system, on the joint dynamics of the domestic business cycle and international fi nancial variables such as global credit growth, cross-border credit flows, global banks leverage and risky asset prices. One global factor, driven in part byUS monetary policy, explains an important share of the variance of returns of risky assets around the world. We nd evidence of large nancial spillovers from the
hegemon to the rest of the world.

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This paper is a revised version of "World Asset Markets and the Global Financial Cycle". Helene Rey thanks the ERC for financial support (ERC Advanced Grant 695722).

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