49. Ekonomska radionica HNB-a održala se online na engleskom jeziku 25. svibnja 2022. u 14h.
Na radionici je Eddie Gerba iz Engleske središnje banke (Bank of England) predstavio svoje istraživanje: Macro-Financial Interactions in a Changing World.
Sažetak:
We measure the time-varying strength of macro-financial linkages within and across the U.S. and euro area economies by employing a large set of information for each region. In doing so, we rely on factor models with drifting parameters where real and financial cycles are extracted, and shocks are identified via sign and exclusion restrictions. The main results show that the euro area is disproportionately more sensitive to shocks in the U.S. macroeconomy and financial sector, resulting in an asymmetric cross-border spillover pattern between the two economies. Moreover, while macro-financial interactions have steadily increased in the euro area since the late 1980s, they have oscillated in the U.S., exhibiting very long cycles of macro-financial interdependence.