Working Paper presents research work by both Danmarks Nationalbank’s employees and our partners. The series is primarily targeted at professionals and people with an interest in central banking research as well as economics and finance in a broader sense.

Financial stability and financial risks

Working Paper: Macro-financial interactions in a changing world

We measure the time-varying strength of macro-financial linkages within and across the US and euro area economies. The main results show that the euro area is disproportionately more sensitive to shocks in the US macroeconomy and financial sector. Moreover, while macro-financial interactions have steadily increased in the euro area since the late 1980s, they have oscillated in the US, exhibiting very long cycles of macro-financial interdependence.