How strong is the link between the global financial cycle and national macro-financial dynamics? A wavelet analysis
使用连续小波分析和结构VAR模型，研究了12个国家的全球金融周期与国内宏观金融变量（如股价、房价和信贷）之间的关系，发现仅在金融压力时期存在强且一致的联系。
This paper explores the interaction between the global financial cycle (GFCy) and country-specific macro-financial dynamics. We investigate two alternative measures of the GFCy, the CBOE VIX index and Rey (2013) ’s global factor, and equity prices, house prices, and aggregate credit volume as national variables. By means of a continuous wavelet analysis and a structural VAR framework, we explore such interaction in the frequency and time-domain for 12 countries. Our evidence reveals that a strong and uniform relationship between the global financial cycle and national macro-financial series does exist only in periods of global financial stress. Beyond those times, we find significant variation of the relationship - both across time and countries. The choice of the global financial cycle proxy plays a very limited role only.