Showing papers by "Hélène Rey published in 2015"

Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence

Abstract: There is a global financial cycle in capital flows, asset prices and in credit growth. This cycle co‐moves with the VIX, a measure of uncertainty and risk aversion of the markets. Asset markets in countries with more credit inflows are more sensitive to the global cycle. The global financial cycle is not aligned with countries’ specific macroeconomic conditions. Symp toms can go from benign to large asset price bubbles and excess credit creation, which are among the best predictors of financial crises. A VAR analysis suggests that one of the determinants of the global financial cycle is monetary policy in the centre country , which affects leverage of global banks, capital flows and credit growth in the international financial system. Whenever capital is freely mobile, the global financial cycle constrains national monetary policies regardless of the exchange rate regime. For the past few decades, international macroeconomics has postulated the “trilemma”: with free capital mobility, inde pendent monetary policies are feasible if and only if exchange rates are floating. The global financial cycle transforms the trilemma into a “dilemma” or an “irreconcilable duo”: independent monetary policies are possible if and only if the capital account is managed. So should policy restrict capital mobility? Gains to international capital flows have proved elusive whether in calibrated models or in the data. Large gross flows disrupt asset markets and financial intermediation, so the costs may be very large. To deal with the global financial cycle and the “dilemma”, we have the following policy options: ( a) targeted capital controls; (b) acting on one of the sources of the financial cyc le itself, the monetary policy of the Fed and other main central banks; (c) acting on the transmission channel cyclically by limiting credit growth and leverage during the upturn of the cycle, using national macroprudential policies; (d) acting on the transmission channel structurally by imposing stricter limit s on leverage for all financial intermediaries. We argue for a convex combination of (a), (c) and (d).

World Asset Markets and the Global Financial Cycle

Abstract: We nd that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. This global factor can be interpreted as reecting the time-varying degree of market wide risk aversion and aggregate volatility. Importantly, we show, using a large Bayesian VAR, that US monetary policy is a driver of this global factor in risky asset prices, the term spread and measures of the risk premium. US monetary policy is also a driver of US and European banks leverage, credit growth in the US and abroad and cross-border credit ows. Our large Bayesian VAR allows us to avoid the problem of omitted variables bias and, for the rst time, to study in detail the workings of the "global nancial cycle", i.e. the interactions between US monetary policy, global nancial variables and real activity.

US Monetary Policy and the Global Financial Cycle

Abstract: US monetary policy shocks induce comovements in the international financial variables that characterize the “Global Financial Cycle.” One global factor explaining an important share of the variation of risky asset prices around the world decreases significantly after a US monetary contraction. Monetary tightening in the US leads to significant deleveraging of global financial intermediaries, a decline in the provision of domestic credit globally, strong retrenchments of international credit flows, and tightening of foreign financial conditions. Countries with floating exchange rate regimes are subject to similar financial spillovers.

Financial Flows and the International Monetary System

Abstract: We review the findings of the literature on the benefits of international financial flows and find that they are quantitatively elusive. We then present evidence on the existence of a global cycle in gross cross-border flows, asset prices and leverage and discuss its impact on monetary policy autonomy across different exchange rate regimes. We focus in particular on the effect of US monetary policy shocks on the UK's financial conditions.

Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence

Abstract: There is a global financial cycle in capital flows, asset prices and in credit growth. This cycle co-moves with the VIX, a measure of uncertainty and risk aversion of the markets. Asset markets in countries with more credit inflows are more sensitive to the global cycle. The global financial cycle is not aligned with countries’ specific macroeconomic conditions. Symptoms can go from benign to large asset price bubbles and excess credit creation, which are among the best predictors of financial crises. A VAR analysis suggests that one of the determinants of the global financial cycle is monetary policy in the centre country, which affects leverage of global banks, capital flows and credit growth in the international financial system. Whenever capital is freely mobile, the global financial cycle constrains national monetary policies regardless of the exchange rate regime.

World Asset Markets and the Global Financial Cycle

Abstract: We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. Using a model with heterogeneous investors, we interpret the global factor as reflecting aggregate realised variance and the time-varying degree of market-wide risk aversion. A medium-scale Bayesian VAR allows us to analyse the workings of the "Global Financial Cycle", i.e. the interaction between US monetary policy, real activity and global financial variables such as credit spreads, cross-border credit flows, bank leverage and the global factor in asset prices. We find evidence of large monetary policy spillovers from the US to the rest of the world.

Financial Integration and Growth in a Risky World

Abstract: We revisit the debate on the benefits of financial integration in a two-country neoclassical growth model with aggregate uncertainty. Our framework accounts simultaneously for gains from a more efficient capital allocation and gains from risk sharing—together with their interaction. In our general equilibrium model, risk sharing brought by financial integration has an effect on the steady-state itself, altering convergence gains from capital accumulation. Because we use global numerical methods, we are able to do meaningful welfare comparisons along the transition paths. Allowing for country asymmetries in terms of risk, capital scarcity and size, we find important differences in the effect of financial integration on output, direction of capital flows, consumption and welfare over time and across countries. This opens the door to a richer set of empirical implications than previously considered in the literature.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

International Channels of Transmission of Monetary Policy and the Mundellian Trilemma

Abstract: This lecture argues that the Global Financial Cycle is a challenge for the validity of the Mundellian trilemma I present evidence that US monetary policy shocks are transmitted internationally and affect financial conditions even in inflation targeting economies with large financial markets Hence flexible exchange rates are not enough to guarantee monetary autonomy in a world of large capital flows

Us Monetary Policy and the Global Financial Cycle

Abstract: We find that one global factor explains an important part of the variance of a large cross section of returns of risky assets around the world. Using a model with heterogeneous investors, we interpret the global factor as reflecting aggregate realised variance and the time-varying degree of market-wide risk aversion. A medium-scale Bayesian VAR allows us to analyse the workings of the “Global Financial Cycle”, i.e. the interaction between US monetary policy, real activity and global financial variables such as credit spreads, cross-border credit flows, bank leverage and the global factor in asset prices. We find evidence of large monetary policy spillovers from the US to the rest of the world.Institutional subscribers to the NBER working paper series, and residents of developing countries may download this paper without additional charge at www.nber.org.

Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence

Abstract: There is a global financial cycle in capital flows, asset prices and in credit growth. This cycle co‐moves with the VIX, a measure of uncertainty and risk aversion of the markets. Asset markets in countries with more credit inflows are more sensitive to the global cycle. The global financial cycle is not aligned with countries’ specific macroeconomic conditions. Symptoms can go from benign to large asset price bubbles and excess credit creation, which are among the best predictors of financial crises. A VAR analysis suggests that one of the determinants of the global financial cycle is monetary policy in the centre country, which affects leverage of global banks, capital flows and credit growth in the international financial system. Whenever capital is freely mobile, the global financial cycle constrains national monetary policies regardless of the exchange rate regime. For the past few decades, international macroeconomics has postulated the “trilemma”: with free capital mobility, independent monetary policies are feasible if and only if exchange rates are floating. The global financial cycle transforms the trilemma into a “dilemma” or an “irreconcilable duo”: independent monetary policies are possible if and only if the capital account is managed. So should policy restrict capital mobility? Gains to international capital flows have proved elusive whether in calibrated models or in the data. Large gross flows disrupt asset markets and financial intermediation, so the costs may be very large. To deal with the global financial cycle and the “dilemma”, we have the following policy options: ( a) targeted capital controls; (b) acting on one of the sources of the financial cycle itself, the monetary policy of the Fed and other main central banks; (c) acting on the transmission channel cyclically by limiting credit growth and leverage during the upturn of the cycle, using national macroprudential policies; (d) acting on the transmission channel structurally by imposing stricter limits on leverage for all financial intermediaries.

Financial Integration and Growth in a Risky World

Abstract: We revisit the debate on the benefits of financial integration in a two-country neoclassical growth model with aggregate uncertainty. Our framework accounts simultaneously for gains from a more efficient capital allocation and gains from risk sharing---together with their interaction. In our general equilibrium model, risk sharing brought by financial integration has an effect on the steady-state itself, altering convergence gains from capital accumulation. Because we use global numerical methods, we are able to do meaningful welfare comparisons along the transition paths. Allowing for country asymmetries in terms of risk, capital scarcity and size, we find important differences in the effect of financial integration on output, direction of capital flows, consumption and welfare over time and across countries. This opens the door to a richer set of empirical implications than previously considered in the literature.

Opioid receptor antagonist for use in treating patients with severe constipation induced by high opiate dosage regimen

Abstract: The present invention relates to a pharmaceutical composition comprising an opioid receptor antagonist, or a derivative or a pharmaceutically acceptable salt thereof, as an active substance, wherein the composition releases the active substance in a prolonged manner. The composition that is suitable for an administration period of at least twelve-hours for the treatment of severe opioid-induced constipation in patients receiving a daily dosage of opioid equivalent to at least 80 mg of morphine.

Naloxone monopreparation and multi-layer tablet

Abstract: The present invention relates to a solid, oral pharmaceutical composition comprising naloxone, or a pharmaceutically acceptable salt thereof as the active ingredient, the composition having a delayed release of said active ingredient. The composition can comprise a matrix containing glycerol di-behenic acid esters as matrix formers, with a mass ratio of naloxone to matrix former(s) of between 1:1 and 1:10, whereby the active ingredient naloxone has a delayed release. According to the invention, in order to provide a composition suitable for a dosage covering at least twelve hours for treating opioid-induced obstipation, the composition has an in-vitro release rate of the active ingredient, measured using a vane stirrer method according to Eur. Ph. at 75 U/min in 500 ml of 0.1 N hydrochloric acid at 37 °C, of 0 % to 75 % in 2 h, 3 % to 95 % in 4 h, 20 % to 100 % in 10 h, 30 % to 100 % in 16 h, 50 % to 100 % in 24 h and more than 80 % in 36 h, said composition having an IC 50 /C max value of at least 40. Preferably, the composition comprises a value for t max (naloxone) / t max (naloxone-3-glucuronoid) of at least 5. In an alternative embodiment, the composition can take the form of a multi-layer tablet.

Composition Of Opioid Receptor Antagonists For Use In Treatment Of Constipation With Highly Increased Whole Gut Transit Time

Abstract: The present invention relates to a composition comprising an opioid receptor antagonist in an extended release formulation for use in treating a patient with severe constipation characterised by a defined whole gut transit time.