I am a 4th year PhD student in economics at the University of Texas at Austin.
Primary Fields: Macroeconomics, Monetary Economics
Secondary Fields: International Macroeconomics, Financial Economics
June 2020, with Christoph E. Boehm
Previously titled "What does high frequency identification tell us about the transmission and synchronization of business cycles?"
Abstract: We provide evidence for a causal link between the US economy and the global financial cycle as defined in Rey (2013). Using intraday data, we show that US macroeconomic news releases have a strong, significant, and synchronous effect on global risky asset prices. Stock indexes of 27 countries, commodity prices, and the VIX all jump instantaneously upon news releases. These effects are large and persistent. US macroeconomic news explain up to 22% of quarterly variation in foreign stock markets. For some countries the share of explained variation is larger than that of the S&P 500. We also show that stock markets of more financially integrated countries respond systematically stronger to US macroeconomic releases. Our findings show that a byproduct of the United States' central position in the global financial system is that its business cycle has a disproportionately large effect on global financial conditions.
Other versions: SSRN