Eddie Gerba
Inspecting Cross-Border Macro-Financial Mechanisms
Gerba, Eddie; Leiva-Leon, Danilo; Rubio, Margarita
Abstract
We model structural time-varying macro-financial linkages between the U.S. and euro area using a large dataset for each region. We extract both real and financial cycles and identify shocks, using a factor model with drifting parameters. To interpret the mechanisms that drive the empirical results, we contextualize our estimates using a two-country financial accelerator model. Our evidence speaks clearly of an asymmetric cross-border transmission between U.S. and euro area, especially in the financial domain. This is confirmed by our theoretical complement, which shows a strong transmission of U.S. TFP shocks. Moreover, the U.S. is a more leveraged economy, which accentuates the financial accelerator effect.
Citation
Gerba, E., Leiva-Leon, D., & Rubio, M. (2024). Inspecting Cross-Border Macro-Financial Mechanisms. Journal of International Money and Finance, 145, Article 103094. https://doi.org/10.1016/j.jimonfin.2024.103094
Journal Article Type | Article |
---|---|
Acceptance Date | May 3, 2024 |
Online Publication Date | May 10, 2024 |
Publication Date | 2024-07 |
Deposit Date | Jul 29, 2024 |
Publicly Available Date | Nov 11, 2025 |
Journal | Journal of International Money and Finance |
Print ISSN | 0261-5606 |
Electronic ISSN | 1873-0639 |
Publisher | Elsevier |
Peer Reviewed | Peer Reviewed |
Volume | 145 |
Article Number | 103094 |
DOI | https://doi.org/10.1016/j.jimonfin.2024.103094 |
Public URL | https://nottingham-repository.worktribe.com/output/34448694 |
Publisher URL | https://www.sciencedirect.com/science/article/pii/S0261560624000810 |
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Inspecting cross-border macro-financial mechanisms
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Publisher Licence URL
https://creativecommons.org/licenses/by/4.0/
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