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Presentation transcript:

From: Global dollar credit: links to US monetary policy and leverage Sources : Board of Governors of the Federal Reserve System; IMF, International Financial Statistics; BIS international debt statistics and locational banking statistics by residence. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources: IMF, International Financial Statistics ; Datastream; BIS international debt statistics and locational banking statistics by residence; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources:US Department of the Treasury (2014) ; BIS; authors’ estimates. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources : BIS locational banking statistics by residency; BIS international debt securities statistics; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Source : Gruic et al. (2014) and BIS International Debt Securities database. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources: BIS locational banking statistics by residency; BIS International Debt Securities Statistics; national sources; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes : Taylor rule specification of Hofmann and Bogdanova (2012) is the mean of Taylor rule rates for combinations of various inflation and output gap measures for i = r * + π + 1.5(π−π*) + 0.5y. An alternative simple Taylor rule takes the form i=r*+π+0.5(π−π*)+0.5y, where p is the inflation rate of the PCE index and y denotes the output gap from the Hodrick–Prescott (HP) filtered trend. r * and π* are set to 2% as the assumed equilibrium real interest rate and target inflation rate. The 10-year real term premium is estimated using a term structure model of Hördahl and Tristani (2014) . Sources: Bloomberg; Consensus Economics; Hofmann and Bogdanova (2012) ; BIS calculations; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources: Bloomberg; EPFR; Lipper; Federal Reserve Bank of New York; Feroli et al. (2014) ; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources : Hofmann and Bogdanova (2012) ; Bloomberg, Consensus Economics; BIS locational banking statistics by residence; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources : Federal Reserve Bank of New York; Bloomberg; BIS calculations; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources : Lipper; Feroli et al. (2014) ; Federal Reserve Bank of New York; Bloomberg; EPFR; BIS calculations; authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes : Selected Bayesian time-varying VAR impulse responses to shocks to the 10-year term premium (left-hand column) and to the bond fund flow indicator (centre and right-hand columns), with 68% credible interval bands. Estimated system parameters sampled in Q4 2006, Q1 2009 and Q1 2013 based on 10,000 samples after discarding the first 1000 as burn-in. The Figure shows impulse responses sampled from the following system: yt'=(ΔTERMPREMt, MOVEt,FUNDFLOWSt Δlog⁡BONDt). We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Sources: EPFR, Lipper, Feroli et al. (2014) , and authors’ calculations. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes: The figure shows endogenous variables and estimated volatility of the structural shocks of the following system: yt'=(ΔTERMPREMt, MOVEt, FUNDFLOWSt, ΔlogBONDt) . We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes: The figure shows parameter diagnostics based on estimating a TVP-VAR model of the following system: yt'=(ΔTERMPREMt, MOVEt, ΔlogBONDt) . We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. Based on 10,000 draws. MCMC diagnostics: sample autocorrelation plots (top); Markov chain (centre), posterior parameter densities (bottom). From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes: Select Bayesian time-varying VAR impulse responses with 68% credible interval bands. Estimated system parameters sampled in Q4 2006 based on 10,000 samples after discarding first 1,000 as burn-in. Figure shows impulse responses sampled from the following system: yt'=(ΔTERMPREMt, MOVEt, FUNDFLOWSt ΔlogBONDt) . We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes: Select Bayesian time-varying VAR impulse responses with 68% credible interval bands. Estimated system parameters sampled in Q1 2009 based on 10,000 samples after discarding first 1,000 as burn-in. Figure shows impulse responses sampled from the following system: yt'=(ΔTERMPREMt, MOVEt, FUNDFLOWSt ΔlogBONDt) . We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.

From: Global dollar credit: links to US monetary policy and leverage Notes: Select Bayesian time-varying VAR impulse responses with 68% credible interval bands. Estimated system parameters sampled in Q1 2013 based on 10,000 samples after discarding first 1,000 as burn-in. Figure shows impulse responses sampled from the following system: yt'=(ΔTERMPREMt, MOVEt, FUNDFLOWSt ΔlogBONDt) . We estimate the three-variable TVP-VAR model using quarterly data from Q2 1995 to Q2 2014. From: Global dollar credit: links to US monetary policy and leverage Econ Policy. 2015;30(82):187-229. doi:10.1093/epolic/eiv004 Econ Policy | © CEPR, CESifo, Sciences Po, 2015.