Seminario Académico Informational Economic Transmission between Countries

Área: Finanzas

 

Informational economic transmission is crucial even after accounting for countries’ fundamental real and financial connections. Informational connections emerge from anomalous interdependence in agents’ beliefs about countries’ economic activity. We propose measuring this interdependence through the correlation (between countries) of analysts’ one-year forecast errors about countries’ economic performance. Our measure is based on a learning model where informational transmission occurs when agents overweight common factors relative to country-specific information due to learning frictions. Informational interdependence remains substantial under various validity analyses and robustness checks, and after addressing endogeneity concerns in several dimensions. Additionally, we demonstrate considerable higher-order spillovers of economic shocks.