The global financial cycle and macroeconomic tail risks
使用分位数向量自回归模型，研究全球金融周期如何影响各国经济增长的尾部风险，发现美国金融状况和货币政策的紧缩冲击会加剧全球增长的下行风险，且对汇率弹性低、外币敞口大、私人部门杠杆高的国家影响更强。
We study the link between the global financial cycle and macroeconomic tail risks using quantile vector autoregressions. Contractionary shocks to financial conditions and monetary policy in the United States cause elevated downside risks to growth around the world. By tightening financial conditions globally, these shocks affect the left tail of the conditional output growth distribution more strongly than the center of the distribution. This effect is particularly pronounced for countries with less flexible exchange rate arrangements, higher foreign currency exposures, and higher levels of private sector leverage, suggesting that exchange rate policies and macroprudential policies can mitigate downside risks to growth. • Contractionary shocks to U.S. financial conditions and monetary policy raise down-side risks to growth around the world. • The left tail of the conditional output growth distribution responds more strongly. • Effects are particularly strong for countries with less flexible exchange rates, higher foreign currency exposures, and higher levels of private sector leverage.