Davis J Scott, Zlate Andrei
Federal Reserve Bank of Dallas, United States of America.
Board of Governors of the Federal Reserve System, United States of America.
Eur Econ Rev. 2023 Jul;156:104477. doi: 10.1016/j.euroecorev.2023.104477. Epub 2023 May 23.
We estimate the heterogeneous effect of the global financial cycle on exchange rates and cross-border capital flows during the COVID-19 pandemic, using weekly exchange rate and portfolio flow data for a panel of 59 advanced and emerging market economies. We estimate a global financial cycle (GFC) index at the weekly frequency with data through the end of 2021. We then estimate the country-specific sensitivities of exchange rates and capital flows to fluctuations in the GFC. The ability of the GFC to explain fluctuations in exchange rates and capital flows increased dramatically during the pandemic. There is significant cross-country heterogeneity in the response of exchange rates or capital flows to fluctuations in the GFC. During the pandemic, high-frequency indicators like weekly changes in Covid cases and vaccination rates were just as important as standard macroeconomic fundamentals like the current account, reserves, and net foreign assets in explaining this heterogeneity.
我们利用59个发达和新兴市场经济体组成的面板的每周汇率和投资组合流动数据，估计了全球金融周期在新冠疫情期间对汇率和跨境资本流动的异质性影响。我们以每周频率估计了一个截至2021年底的全球金融周期（GFC）指数。然后，我们估计了汇率和资本流动对全球金融周期波动的特定国家敏感性。在疫情期间，全球金融周期解释汇率和资本流动波动的能力大幅增强。汇率或资本流动对全球金融周期波动的反应存在显著的跨国异质性。在疫情期间，像新冠病例每周变化和疫苗接种率这样的高频指标，在解释这种异质性方面与经常账户、储备和外国净资产等标准宏观经济基本面同样重要。
