Inspecting cross-border macro-financial mechanisms
利用美国和欧元区的大数据集，提取实际与金融周期并识别冲击，结合两国金融加速器模型，发现美国与欧元区之间存在不对称的跨境传导，尤其在金融领域，且美国杠杆更高放大了金融加速器效应。
We model structural time-varying macro-financial linkages between the U.S. and euro area using a large dataset for each region. We extract both real and financial cycles and identify shocks, using a factor model with drifting parameters. To interpret the mechanisms that drive the empirical results, we contextualize our estimates using a two-country financial accelerator model. Our evidence speaks clearly of an asymmetric cross-border transmission between U.S. and euro area, especially in the financial domain. This is confirmed by our theoretical complement, which shows a strong transmission of U.S. TFP shocks. Moreover, the U.S. is a more leveraged economy, which accentuates the financial accelerator effect.