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Dynamic interactions between financial cycles, business cycles and macroeconomic imbalances: A panel VAR analysis
International Review of Economics & Finance ( IF 3.399 ) Pub Date : 2021-04-01 , DOI: 10.1016/j.iref.2021.03.021
Amat Adarov

We use Bayesian and GMM panel VAR frameworks to study interactions between financial and macroeconomic imbalances based on a global sample of 24 countries spanning the period 1998–2012. We find that financial cycles play an important role in shaping macroeconomic imbalances with expansions inducing economic overheating and a downward pressure on public debt-to-GDP ratios. Financial misalignments invoke deeper and faster response of business cycles in bank-based economies and milder, but more persistent in market-based economies, with greater significance for current account and public debt dynamics. High-public debt countries reveal much stronger effects on fiscal stance and output gap trajectories.



中文翻译:

金融周期,商业周期与宏观经济失衡之间的动态相互作用:面板VAR分析

我们使用贝叶斯和GMM面板VAR模型来研究金融和宏观经济失衡之间的相互作用,该模型基于1998-2012年间24个国家的全球样本。我们发现,金融周期在形成宏观经济失衡方面起着重要作用,其扩张会导致经济过热,并降低公共债务与GDP比率的压力。金融失调在基于银行的经济体中要求更深,更快的商业周期响应,而在基于市场的经济体中则较为温和,但持久性更高,这对经常账户和公共债务动态具有更大的意义。高公债国家显示出对财政立场和产出缺口轨迹的强大得多的影响。

更新日期:2021-04-09
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