A0319
Title: Which global cycle: a stochastic factor selection approach for global macro-financial cycles
Authors: Sebastian Hienzsch - University of Goettingen (Germany) [presenting]
Tino Berger - University of Goettingen (Germany)
Abstract: The purpose is to statistically test for the factor structure driving common global dynamics in macroeconomic and financial data by employing a stochastic factor selection approach. Using a sample of 16 developed countries from 1996Q1 to 2019Q4, strong evidence of a global macro-financial cycle and an independent global financial cycle is found. Moreover, the global macro-financial cycle is observationally equivalent to the unconditional global business cycle. As it drives significant variation in both macroeconomic and financial data, the inclusion of financial information in the model is key for its interpretation as a true global macro-financial cycle.
