Working Paper: Macro-financial interactions in a changing world

Working Paper - March 2020 - No. 153

Authors Gerba, Eddie Edin (Danmarks Nationalbank); Leiva-Leon, Danilo (Banco de Espana)
Subject Financial stability; International Economy; Euro area; USA; Models
Type Working paper
Year 2020
Published 10 March 2020
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.