A Model Based Analysis Of Spillovers
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A Model Based Analysis Of Spillovers
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Author : Michal Andrle
language : en
Publisher: International Monetary Fund
Release Date : 2014-10-17
A Model Based Analysis Of Spillovers written by Michal Andrle and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-17 with Business & Economics categories.
This paper studies economic and financial spillovers from the euro area to Poland in a two-country semi-structural model. The model incorporates various channels of macrofinancial linkages and cross-border spillovers. We parameterize the model through an extensive calibration process, and provide a wide range of model properties and evaluation exercises. Simulation results suggest a prominent role of foreign demand shocks (euro area and global) in driving Poland’s output, inflation and interest rate dynamics, particularly in recent years. Our model also has the capability for medium-term conditional forecasting and policy analysis.
Spillovers To And From The Nordic Economies
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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2013-11-05
Spillovers To And From The Nordic Economies written by Francis Vitek and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-05 with Business & Economics categories.
This paper analyzes the transmission of shocks and policies among and across the Nordic economies and the rest of the world. This spillover analysis is based on a pair of estimated structural macroeconometric models of the world economy, disaggregated into thirty five national economies. We find that the Nordic economies are heavily exposed to external macroeconomic and financial shocks, but have significant scope to mitigate their domestic macroeconomic impacts through coordinated policy responses, given their high degree of regional integration.
Spillovers From The Euro Area Sovereign Debt Crisis
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Author : Francis Vitek
language : en
Publisher:
Release Date : 2011
Spillovers From The Euro Area Sovereign Debt Crisis written by Francis Vitek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Debts, External categories.
This paper analyzes past and possible future spillovers from the Euro Area Sovereign Debt Crisis, both within the Euro Area and to the rest of the world. This analysis is based on a structural macroeconometric model of the world economy, disaggregated into fifteen national economies. We find that macroeconomic and financial market spillovers have been small outside of countries with high trade or financial exposures, but that they could become large if severe financial stress were to spread beyond Greece, Ireland and Portugal.
Fiscal Spillovers In The Euro Area
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Author :
language : en
Publisher:
Release Date : 2017
Fiscal Spillovers In The Euro Area written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The fiscal consolidation measures adopted in many euro area countries over 2010-13 reduced excessive domestic fiscal imbalances, but came at the cost of short-term output losses. This simultaneous tightening of fiscal policy raised concerns that such output losses might be exacerbated by negative spillovers from other countries. This paper presents some model-based simulations for the euro area with a view to gauge the cross-country impact of the fiscal measures adopted over 2010-13. The paper finds that the output effects of the fiscal consolidation were heterogeneous across countries, reflecting the different amounts and composition of fiscal measures adopted. We find that the trade channel is able to generate sizeable cross-border fiscal spillovers in the euro area. However, once the analysis takes into account the remaining channels (e.g. monetary policy reaction, exchange rate, and risk premium) total spillovers are estimated to be relatively small. In general, when compared to the growth fallout of domestic fiscal policies, negative fiscal spillovers do not seem to have added much to the economic growth woes of vulnerable countries.
Macroprudential Policy Spillovers
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Author : Mr.Heedon Kang
language : en
Publisher: International Monetary Fund
Release Date : 2017-07-24
Macroprudential Policy Spillovers written by Mr.Heedon Kang and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-07-24 with Business & Economics categories.
This paper analyzes cross-border macrofinancial spillovers from a variety of macroprudential policy measures, using a range of quantitative methods. Event study and panel regression analyses find that liquidity and sectoral macroprudential policy measures often affect cross-border bank credit, whereas capital measures do not. This empirical evidence is stronger for tightening than for loosening measures, is distributed across credit leakage and reallocation effects, and is generally regionally concentrated. Consistently, structural model based simulation analysis indicates that output and bank credit spillovers from sectoral macroprudential policy shocks are generally small worldwide, but are regionally concentrated and economically significant for countries connected by strong trade or financial linkages. This simulation analysis also indicates that countercyclical capital buffer adjustments have the potential to generate sizeable regional spillovers.
Information Spillover Effect And Autoregressive Conditional Duration Models
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Author : Xiangli Liu
language : en
Publisher: Routledge
Release Date : 2014-07-11
Information Spillover Effect And Autoregressive Conditional Duration Models written by Xiangli Liu and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-07-11 with Business & Economics categories.
This book studies the information spillover among financial markets and explores the intraday effect and ACD models with high frequency data. This book also contributes theoretically by providing a new statistical methodology with comparative advantages for analyzing comovements between two time series. It explores this new method by testing the information spillover between the Chinese stock market and the international market, futures market and spot market. Using the high frequency data, this book investigates the intraday effect and examines which type of ACD model is particularly suited in capturing financial duration dynamics. The book will be of invaluable use to scholars and graduate students interested in comovements among different financial markets and financial market microstructure and to investors and regulation departments looking to improve their risk management.
Exposing Volatility Spillovers
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Author : Dionisis Philippas
language : en
Publisher:
Release Date : 2019
Exposing Volatility Spillovers written by Dionisis Philippas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
We present a comparative analysis of two empirical methods grounded on a common vector autoregressive framework. In this setting, we investigate the time-varying nature and direction of volatility spillovers between some major stock indexes spanning across Europe, China and US. We find evidence that drawing on partial Granger causality brings more robust results than relying on the information provided by generalized impulse responses, especially when there is uncertainty about what other relevant factors need to be modelled.
A Mem Based Analysis Of Volatility Spillovers In East Asian Financial Markets
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Author : Robert F. Engle
language : en
Publisher:
Release Date : 2013
A Mem Based Analysis Of Volatility Spillovers In East Asian Financial Markets written by Robert F. Engle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with categories.
Transmission mechanisms in financial markets reflect the degree of integration of capital markets and of real economies. As a matter of fact, volatility has components which may behave differently across quiet and turbulent periods, but appear to behave in similar ways from market to market. In this paper we suggest a Multiplicative Error Model (MEM) approach which is suitable for modeling directly the conditional expectation of the market daily range which is a good proxy for volatility. In the present context, the dynamics of the expected volatility of one market is extended to include interactions with the past daily ranges of other markets, thus building a potentially fully interdependent model. We analyze eight East Asian markets in the period 1995-2006, devoting particular attention to the treatment of the 1997-1998 turbulence period. We show that for some of the markets there is no evidence of changes in the dynamic impacts within the crisis and without and for other markets such a change is limited to a level shift: this suggests that the links may have been stable across sub-periods.
Real Sectoral Spillovers A Dynamic Factor Analysis Of The Great Recession
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Author : MissNan Li
language : en
Publisher: International Monetary Fund
Release Date : 2018-05-09
Real Sectoral Spillovers A Dynamic Factor Analysis Of The Great Recession written by MissNan Li and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-09 with Business & Economics categories.
This paper studies changes in the transmission of common versus sectoral idiosyncratic shocks across different U.S. nonfarm business sectors during the Great Recession, and evaluates the cross-sectoral spillovers. Shocks are identified by dynamic factor methods. We find that the Great Recession is largely a time of heightened impact of common shocks— which accounts for 3/4 of aggregate volatility—and large spillovers of negative financerelated shocks. Moreover, in contrast with the earlier literature that failed to find a significant role of sectoral shocks (propagated through the input-output linkages across sectors) in driving variability in aggregate industry output, this study allows spillovers of shocks to operate through other mechanisms intertemporally. We find that prior to the recession the majority of aggregate fluctuations is explained by sector-specific shocks.
Spillover Implications Of China S Slowdown For International Trade
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Author : Patrick Blagrave
language : en
Publisher: International Monetary Fund
Release Date : 2016-09-27
Spillover Implications Of China S Slowdown For International Trade written by Patrick Blagrave and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-09-27 with Business & Economics categories.
Using a panel vector autoregression and a novel measure of export-intensity-adjusted final demand, this note studies spillovers from China’s economic transition on export growth in 46 advanced and emerging market economies. The analysis suggests that a 1 percentage point shock to China’s final demand growth reduces the average country’s export growth by 0.1–0.2 percentage point. The impact is largest in Emerging Asia, where an export-growth-accounting exercise suggests that China’s economic transition has reduced average export growth rates by 1 percentage point since early 2014. Other countries linked to China’s manufacturing sector, as well as commodity exporters, are also significantly affected. This suggests that trading partners need to adjust to an environment of weaker external demand as China completes its transition to a more sustainable growth model.