مدل اقتصاد باز کلان مالی با وابستگی متقابل بین المللی : سازمان همکاری و توسعه، ایالات متحده و بریتانیا

This paper develops a multi-country macro-finance model to study international economic and financial linkages. This approach models the economy and financial markets jointly using both types of data to throw light on such issues. The world economy is modelled using data for the US and aggregate OECD economies as well as the US Treasury bond market using latent variables to represent a common inflation trend and a US real interest rate factor. We find strong evidence of global effects on both the US and UK, calling into question the standard closed economy macro-finance specification. These economic linkages also help to explain the co-movement of yields in the US and UK Treasury bond markets.

As recent developments in commodity and credit markets demonstrate, the global economy is becoming increasingly integrated. The spillovers from the United States to smaller economies have been extensively studied. Event studies show that US recessions usually coincide with significant reductions in global growth. Panel growth regression analysis (e.g., Arora and Vamvakidis, 2006) finds evidence of large output spillovers from the US to other economies. Kose et al., 2003 and Kose et al., 2005 show that common shocks such as changes in oil prices or asset prices play an important role in explaining business cycles for the industrial countries. Yang et al. (2006) and others reveal the significance of inflation spillovers. This paper develops a multi-country macro-finance modeling framework to study such international effects. This approach allows bond yields to reflect macroeconomic variables, either through Kalman filters that reflect underlying inflation (Ang and Piazzesi, 2003, Dewachter and Lyrio, 2006, Joyce et al., forthcoming and Spencer, 2008) or through the jump diffusion affecting the spot rate (Jiang and Yan, 2009). Bond yields help inform the specification of the macroeconomy, suggesting for example that although macroeconomic variables provide a good description of the behavior of short rates they do not provide an adequate description of long-term yields. This observation has prompted the use of Kalman filters to reflect the changes in long run inflation expectations, allowing the model to be used in a global setting in which there are both latent and observable macroeconomic factors. Macro-finance models have until now focused on the US, assuming that it is a closed economy. Macro-finance models of countries such as the UK (Joyce et al., forthcoming) have also been modelled in this way despite their open trade and financial structures. This paper adapts the macro-finance model in a way that allows us to test the validity of the closed economy assumption. Our specification consists of two systems. The first system represents the world economy using a reduced form specification with both OECD and US variables. We identify a common non-stationary world factor that drives OECD inflation and US inflation and interest rates and model this using a latent variable, with another representing real interest rate movements. This model reveals strong global effects on the US. We then extend the model to explain US Treasury yield data using the standard arbitrage-free approach. The second system is a model of the UK economy and Treasury bond market that allows for global influences and is estimated simultaneously with the first. The paper is organized as follows: Section 2 specifies the macro-finance model; Section 3 describes the data and estimation method, and reports the specification tests and the results for the preferred model (M1); and Section 4 provides a summary of the key findings and offers some concluding remarks.

We have developed a multi-country macro-finance model to study international economic and financial linkages that allows for cross-country effects between the US and other OECD countries by introducing aggregate OECD output and inflation variables into a standard closed economy US KVAR. We find that although US monetary policy influences the rest of the OECD, other US macroeconomic variables have little effect. OECD output and inflation variables have a significant impact on the US, suggesting that it is inappropriate to model the US using the standard closed economy macro-finance specification. Consistent with earlier work on international economic linkages, we find strong evidence of a common inflation trend and real business cycle, as well as real interest rate spillovers. More of a surprise, the OECD and US inflation trends are cointegrated and move together on a one-for-one basis. The residual effects of OECD output and inflation do not have much impact in the US Treasury market, but neither do US output and inflation, a finding that is consistent with previous closed economy macro-finance studies. We then look at the effects that these world economic variables have on the UK economy and Treasury bond market. The results confirm our prior view that it is inappropriate to model countries such as the UK using a closed economy specification. We find that the global inflation factor affects UK inflation, although its effect is less than one-for-one and is complemented by a UK-specific inflation trend. The global real interest rate factor is also influential. These linkages help to explain the co-movement of the US and UK bond yields. OECD output residuals have a particularly strong effect on UK inflation. Moreover, although the US business cycle does not appear to have much of an effect on the rest of the OECD, it does have a significant effect on the UK. In contrast to the mainstream finance models of the bond market (Duffie and Kan, 1996, Dai and Singleton, 2000 and Duffee, 2002) which only employ yield data, the latent variables and parameters of this model reflect innovations in macroeconomic as well as yield data. The latent variables are aligned with inflation and real interest rate trends. They dominate the behavior of the slope and level components of the yield curve, while the residual errors in the macro equations help explain the curvature component, which is consistent with the view that this is associated with the business cycle. The model is consistent with the traditional three-factor finance specification in this sense and links these factors to the behavior of the macroeconomy. This research opens the way to new open-economy studies of monetary policy and a much richer bond market specification incorporating the best features of the international interdependence and macro-finance models.