Global Banks, Financial Shocks, and International Business Cycles: Evidence from an Estimated Model
利用美国和欧元区数据估计了一个包含全球银行的两国模型，发现银行资本要求约束能更好拟合数据，且银行冲击对欧元区经济影响更大，在2007-09年衰退中解释了约15%的GDP下降。
This paper estimates a two‐country model with a global bank, using U.S. and euro area (EA) data. Empirically, a model version with a bank capital requirement outperforms a structure without such a constraint. A loan loss originating in one country triggers a global output reduction. Banking shocks matter more for EA macro variables than for U.S. real activity. Banking shocks account for about 2–5% of the unconditional variance of U.S. GDP and for 3–14% of the variance of EA GDP. During the 2007–09 recession, banking shocks accounted for about 15% of the fall in U.S. and EA GDP, and for more than a third of the fall in EA investment and employment.