NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Felix Ward

Institute for Macroeconomics and Econometrics
Bonn Graduate School of Economics, University of B
Kaiserplatz 7-9, Bonn 53113, Germany

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Institutional Affiliation: University of Bonn

NBER Working Papers and Publications

June 2018Global Financial Cycles and Risk Premiums
with Òscar Jordà, Moritz Schularick, Alan M. Taylor: w24677
This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. The sharp increase in the comovement of global equity markets is particularly notable. We demonstrate that fluctuations in risk premiums, and not risk-free rates and dividends, account for a large part of the observed equity price synchronization after 1990. We also show that U.S. monetary policy has come to play an important role as a source of fluctuations in risk appetite across global equity markets. These fluctuations are transmitted across both fixed and floating exchange rate regimes, but the effects are more muted in floating rate regimes.

Published: Òscar Jordà & Moritz Schularick & Alan M. Taylor & Felix Ward, 2019. "Global Financial Cycles and Risk Premiums," IMF Economic Review, vol 67(1), pages 109-150. citation courtesy of

 
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