شوک های جهانی سیاست های پولی در G5: یک رویکرد SVAR

The paper constructs a global monetary aggregate, namely the sum of the key monetary aggregates of the G5 economies (US, Euro area, Japan, UK, and Canada), and analyses its indicator properties for global output and inflation. Using a structural VAR approach we find that after a monetary policy shock output declines temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, the price level rises permanently in response to a positive shock to the global liquidity aggregate. The similarity of our results with those found in country studies might support the use of a global monetary aggregate as a summary measure of worldwide monetary trends.

Over recent years, monetary trends in the major industrialized countries have exhibited many similarities. Moreover, several commentaries suggest that global liquidity significantly affects financial conditions in international markets and that liquidity developments in one financial center can influence financial conditions elsewhere. However, so far only a limited number of studies have examined the role of shocks to monetary aggregates in driving business fluctuations or, more generally, in influencing the behavior of global macroeconomic and financial variables. After the early attempt by McKinnon (1982), in which the author studied the effects of changes in the “world money supply” on US price inflation, only recently sound econometric works emerged on the issue of cross-country monetary spillovers (Baks and Kramer, 1999, Kim, 2001, Holman and Neumann, 2002 and Canova, 2005). This paper follows this recent strand of research and goes a step further by studying the effects of shocks to global money on global inflation and output. The analysis is based on an aggregated model of the most industrialized countries. The basic idea is to use global (G5) monetary aggregates in order to pool information from several countries to assess to what extent stylized facts in closed economies can be extended to a broader global model. In fact, such global aggregates are likely to internalize cross-country movements in monetary aggregates (due to capital flows between the different regions) that may make the link between money and inflation and output more difficult to disentangle in the single country case. A further motivation of this paper is to investigate to what extent a global monetary aggregate can be useful for analyzing international liquidity conditions. Several institutions (ECB, IMF, OECD) have used global aggregates as summary measures of the worldwide monetary situation. Since we think that such use deserves a rigorous test of the information content of global monetary indicators, we propose in this paper an econometric analysis based on the structural VAR approach. In fact, a mere correlation between global money and global inflation and/or output is not sufficient to determine the direction of the relationship between the variables given that they are all endogenously determined. In this regard, the structural VAR approach is a more powerful methodology to investigate this link, as it controls for the interactions between the variables allowing us to provide a more appropriate assessment of the contribution of monetary shocks to global output and inflation. The paper is organized as follows: Section 2 provides some information and stylized facts about global liquidity and its relationship with other aggregated variables, Section 3 presents the empirical framework of the SVAR analysis. In Section 4 we introduce our global model with aggregate variables for the group of the G5 countries. In Section 5 we perform a robustness check while Section 6 concludes

This paper explicitly modelled a global G5 framework relying on a common structural identification scheme that worked well for each single area. The global framework points to a strong similarity in the behavior of aggregate variables compared to single economy models. In particular, after a monetary policy shock output declines only temporarily, with the downward effect reaching a peak within the second year, and the global monetary aggregate drops significantly. In addition, when analyzing the impact of an unexpected change in the G5 monetary aggregate on GDP and inflation, the results are as one would expect from the corresponding responses in a single economy. In fact, the global price level rises permanently and real global output only temporarily in response to a positive shock to global liquidity. Also as far as volatility is concerned, the results of the decomposition of the forecast error variance show that global real output and price fluctuations can be explained in the aggregated framework in the same vein as in single country model. The overall similarity in the results in the aggregated G5 framework relative to single country models suggests that a global liquidity measure might be used, together with traditional cross-country variables, as an indicator of global monetary conditions in about the same way the domestic monetary aggregates are used in the single economy case. As further extensions of this work, it would be useful to perform a thorough analysis of the leading indicator properties of global liquidity for prices and economic activity taking into account also the forecast horizon. At the same time another possible extension would be to study the joint developments in global assets price and global liquidity possibly in a larger group of countries including also emerging market economies.