Alternative measures for the global financial cycle: Do they make a difference?
利用25个发达和新兴国家1980至2019年的数据，通过动态因子模型构建多种全球金融周期指标，发现资产价格和资本流动的全球周期在危机期间高度同步，但与VIX指数协同性较低。
Abstract We developed several measures to analyze the global financial cycle employing dynamic factor models and data for 25 advanced and emerging countries spanning 1980 to 2019. These measures were assessed using the similarity and synchronicity metrics proposed by Mink et al. ( Oxford Economic Papers 64, 217–236, 2012 ). The findings indicate a strong similarity and synchronization of global cycles in asset prices and capital flows, particularly evident during crisis episodes. Furthermore, we observe significant co‐movement between our financial cycle measures and two literature‐based measures that utilize top‐down and bottom‐up approaches. However, the VIX index shows a lower level of co‐movement with our global financial cycle measures.