Data and code for: The Global Financial Cycle after Lehman

The Gobal Financial Cycle denotes fluctuations in financial activity on a global scale (see Rey, 2013). It is characterized by the comovements of risky asset prices, leverage of financial intermediaries, credit growth and gross capital flows around the world. In particular, a single global factor explains an important share of the common variation of a large cross-section of risky asset prices globally. Using a medium- scale Bayesian VAR, Miranda-Agrippino and Rey (2015) show that US monetary policy is a driver of the Global Financial Cycle. US monetary contractions are followed by a significant deleveraging of global financial intermediaries, a rise in aggregate risk aversion, a contraction in the global factor in asset prices and in global credit, a widening of corporate bond spreads, and a retrenchment in gross capital flows. <br><br> The changes in regulation that followed the Lehman Brothers bankruptcy of 2008, such as the phasing in of Basel III and the emergence of macroprudential policies, have altered the propensity of banks to take risk, as well as their relative importance in intermediation. Asset managers and non-bank financial intermediaries have become more important in international markets. A natural question arising is whether changes in the structure of financial intermediation have had significant effects on the transmission of US monetary policy on the Global Financial Cycle (see also Burcu et al., 2020). This is the question we are exploring in this paper. <br>