Assessing Macro Financial Linkages
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Assessing Macro Financial Linkages
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Author :
language : de
Publisher:
Release Date : 2012
Assessing Macro Financial Linkages written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Assessing Macro Financial Linkages
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Author : Rafael Gerke
language : en
Publisher:
Release Date : 2016
Assessing Macro Financial Linkages written by Rafael Gerke and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
The recent global financial crisis has increased interest in macroeconomic models that incorporate financial linkages. Here, we compare the simulation properties of five mediumsized general equilibrium models used in Eurosystem central banks which incorporate such linkages. The financial frictions typically considered are the financial accelerator mechanism (convex spread costs related to firms' leverage ratios) and collateral constraints (based on asset values). The harmonized shocks we consider illustrate the workings and mechanisms underlying the financial-macro linkages embodied in the models. We also look at historical shock decompositions of real GDP growth across the models since 2005 in order to shed light on the common driving factors underlying the recent financial crisis. In these exercises, the models share qualitatively similar and interpretable features. This gives us confidence that we have some broad understanding of the mechanisms involved. In addition, we also survey the current and developing trends in the literature on financial frictions.
Macro Financial Linkages In Egypt
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Author : Inessa Love
language : en
Publisher: International Monetary Fund
Release Date : 2013-12-30
Macro Financial Linkages In Egypt written by Inessa Love 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 2013-12-30 with Business & Economics categories.
This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics. Using a panel of banks over 1993-2010, the authors find that a positive shock to capital inflows and growth in gross domestic product improves banks’ loan portfolio quality, and that the effect is fairly similar in magnitude using the multivariate and panel vector autoregressive frameworks. In contrast, higher lending rates may lead to adverse selection problems and hence to a drop in portfolio quality. The paper also reports that a larger market share of foreign banks in the industry improves loan quality.
Philippines Financial Sector Assessment Program Technical Note On Risk Assessment Of Banks Non Financial Corporates And Macro Financial Linkages
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Author : International Monetary
language : en
Publisher: International Monetary Fund
Release Date : 2022-06-07
Philippines Financial Sector Assessment Program Technical Note On Risk Assessment Of Banks Non Financial Corporates And Macro Financial Linkages written by International Monetary 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 2022-06-07 with Business & Economics categories.
The Philippines is a dynamic economy with a relatively smaller financial system than other Asian emerging market economies, dominated by banks. The total assets of the system amount to 126 percent of GDP. However, bank credit is just over 50 percent of GDP and mostly goes to nonfinancial corporates (NFCs). Banks are also tightly interlinked with NFCs through conglomerate ownerships. Access to finance for individuals is significantly lower than comparator systems, with only a third of adults having formal accounts. Non-bank financial institutions and capital markets—especially bond markets—are substantially less developed than banks. The Fintech ecosystem is nascent.
Ms Muffet The Spider Gram And The Web Of Macro Financial Linkages
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Author : Ricardo Cervantes
language : en
Publisher: International Monetary Fund
Release Date : 2014-06-10
Ms Muffet The Spider Gram And The Web Of Macro Financial Linkages written by Ricardo Cervantes 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 2014-06-10 with Business & Economics categories.
The global financial crisis has underscored the importance of understanding macro-financial developments and spillovers in an increasingly interconnected and intricate system. At the IMF, staff is focusing on the linkages between the real economy and the financial sector, as well as the inter-relationships between global and individual-country risks. The Country Financial Stability Map provides an empirical framework for explicitly linking these various aspects of the IMF’s surveillance of its member countries. It identifies potential sources of macro-financial risks particular to a country and also enables an assessment of these risks in a global context through comparisons with the corresponding Global Financial Stability Map from the Global Financial Stability Report. The authors have developed an Excel-based tool (“Ms. Muffet”) to facilitate this analysis, which may be replicated by external users with access to the necessary databases, using the accompanying template.
Macro Financial Linkages In Shallow Markets
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Author : International Monetary Fund. African Dept.
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-23
Macro Financial Linkages In Shallow Markets written by International Monetary Fund. African Dept. 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 2018-07-23 with Political Science categories.
Experience from the African Department’s Pilot Countries
Macro Financial Linkages And Heterogeneous Non Performing Loans Projections
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Author : Francesco Grigoli
language : en
Publisher: International Monetary Fund
Release Date : 2016-12-07
Macro Financial Linkages And Heterogeneous Non Performing Loans Projections written by Francesco Grigoli 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 2016-12-07 with Business & Economics categories.
We propose a stress testing framework of credit risk, which analyzes macro-financial linkages, generates consistent forecasts of macro-financial variables, and projects non-performing loans (NPL) on the basis of such forecasts. Economic contractions are generally associated with increases in NPL. However, despite the common assumption used in the empirical literature of homogeneous impact across banks, the strength of this relationship is often bank-specific, and imposing homogeneity may lead to over or underestimating the resilience of the financial system to macroeconomic woes. Our approach accounts for banks’ heterogeneous reaction to macro-financial shocks in a dynamic context and potential cross-sectional dependence across banks caused by common shocks. An application to Ecuador suggests that substantial heterogeneity is present and that this should be taken into account when trying to anticipate inflections in the quality of portfolio.
Approaches To Macrofinancial Surveillance In Article Iv Reports
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Author : International Monetary Fund. Strategy, Policy, & Review Department
language : en
Publisher: International Monetary Fund
Release Date : 2017-03-28
Approaches To Macrofinancial Surveillance In Article Iv Reports written by International Monetary Fund. Strategy, Policy, & Review Department 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 2017-03-28 with Business & Economics categories.
The Fund has made good progress over the past two years in integrating macrofinancial analysis into Article IV surveillance for a wide range of members. Building on past work to enhance financial sector analysis, Fund staff has sought to develop a consistent and forward-looking view on how the financial sector affects each member’s economic outlook with the aim of strengthening staff’s capacity to provide advice on macro-critical questions. The focus has been on developing a fuller understanding of macrofinancial linkages, and applying this analysis to inform policy advice. Staff has sought to articulate the role of the financial sector in the macroeconomic baseline, and to integrate the financial sector into the risk assessment, taking into account both the impact of macro shocks on the financial sector as well as the effect of financial shocks on macroeconomic stability. Strengthening the analytical foundations of this work has helped staff provide advice in all policy areas, including financial sector policies. Staff has tailored macrofinancial analysis to the circumstances of a diverse set of economies. Area departments have taken the lead in selecting 66 economies for enhanced macrofinancial coverage and in identifying topics, drawing on targeted support from functional departments. The choice of coverage has included legacies from the global financial crisis—such as deleveraging and stretched balance sheets in advanced economies and some emerging markets—and more recent challenges such as commodity price shocks, especially in low income countries, and the risks of housing booms. The financial sector’s contribution to growth and inclusion has become an important question in countries across all income groups. Staff sees benefits in mainstreaming this approach across the membership, while continuing to address analytical gaps and adapting to new challenges. The work of the past two years has underscored the criticality of macrofinancial analysis for a diverse range of members, and laid the basis for progressively mainstreaming macrofinancial surveillance across the membership. Building on this progress, staff sees scope for the Fund to deepen its understanding of the macroeconomic effects of financial shocks, to better adapt microprudential and macroprudential policy advice with an assessment of macro-critical risks including systemic risk, and to deepen the analysis of outward spillovers. Staff will also need to continue to adapt the focus of analysis and tools, and seek relevant data, as economic challenges evolve.
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets
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Author : Otaviano Canuto
language : en
Publisher: World Bank Publications
Release Date : 2013-10-29
Dealing With The Challenges Of Macro Financial Linkages In Emerging Markets written by Otaviano Canuto and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-29 with Business & Economics categories.
This book deals with the challenges of macro financial linkages in the emerging markets.
Macrofinancial Linkages Of The Strategic Asset Allocation Of Commodity Based Sovereign Wealth Funds
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Author : Aaron Howard Clifford Brown
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Macrofinancial Linkages Of The Strategic Asset Allocation Of Commodity Based Sovereign Wealth Funds written by Aaron Howard Clifford Brown 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 2010-01-01 with Business & Economics categories.
This paper analyses the links between the investment strategies of a commodity-based SWF and the macroeconomic framework of the owner country. We examine some basic macrofinancial linkages of an SWF's strategic asset allocation (SAA) strategies with regard to the government budget, monetary policy, and exchange rate movements. Based on a simple Markowitz-model framework, which integrates the specific objectives and constraints facing an SWF and the country's specific characteristics and macroeconomic vulnerabilities (especially in relation to commodity prices and prospective defined liabilities), we derive an SAA. The asset-liability methodology that is applied in the selection of an SWF SAA also allows assessing whether (i) the SAA adequately takes into account the country-specific risks and vulnerabilities, and (ii) its objectives and macrofinancial constraints are consistent. Some analytical and practical issues in determining an SAA model are also discussed, along with key effects of a financial crisis.