We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

This paper revisits the resilience of the ASEAN region to external shocks amidst the unfolding effects of the US-China trade war. It investigates and compares the effects of regional (ASEAN) and global (US, China) shocks on ASEAN-5 using a structural VAR framework. To identify the propagation of...