The Changing International Transmission of Financial Shocks: Evidence from a Classical Time‐Varying FAVAR
研究1971-2012年间金融冲击的国际传导如何随时间变化，发现全球金融危机期间金融冲击对九国经济增长的影响远超历史平均水平。
We study the changing international transmission of financial shocks over the period 1971–2012. Global financial shocks are measured as unexpected changes of a U.S. financial conditions index (FCI), developed by Hatzius et al. (2010). We model the FCI jointly with a large international data set through a time‐varying parameter factor‐augmented VAR and find that financial shocks have a considerable impact on growth in the nine countries considered. Moreover, financial shocks during the global financial crisis are found to be large by historical standards. They explain approximately 20% of GDP growth variation on average over 2008–9, compared to an average of 5% prior to the crisis.