Do Credit Shocks Matter A Global Perspective

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Do Credit Shocks Matter A Global Perspective

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Author : Mr.Ayhan Kose
language : en
Publisher: International Monetary Fund
Release Date : 2010-11-01

Do Credit Shocks Matter A Global Perspective written by Mr.Ayhan Kose 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 2010-11-01 with Business & Economics categories.

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.

Understanding Global Liquidity

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Author : Sandra Eickmeier
language : en
Publisher:
Release Date : 2013

Understanding Global Liquidity written by Sandra Eickmeier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with International finance categories.

Housing Price Credit And Output Cycles How Domestic And External Shocks Impact Lithuania S Credit

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Author : Iacovos Ioannou
language : en
Publisher: International Monetary Fund
Release Date : 2018-07-12

Housing Price Credit And Output Cycles How Domestic And External Shocks Impact Lithuania S Credit written by Iacovos Ioannou 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 2018-07-12 with Business & Economics categories.

Lithuania’s current credit cycle highlights the strong link between housing prices and credit. We explore this relationship in more detail by analyzing the main features of credit, housing price, and output cycles in Baltic and Nordic countries during1995-2017. We find a high degree of synchronization between Lithuania’s credit and housing price cycles. Panel regressions show a strong correlation between a credit upturn and housing price upturn. Moreover, panel VAR suggests that shocks in housing prices, credit, and output within and outside Lithuania strongly impact Lithuania’s credit.

The Gvar Handbook

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Author : Filippo di Mauro
language : en
Publisher: OUP Oxford
Release Date : 2013-02-28

The Gvar Handbook written by Filippo di Mauro and has been published by OUP Oxford this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-02-28 with Business & Economics categories.

The GVAR is a global Vector autoregression model of the global economy. The model was initially developed in the early 2000 by Professor Pesaran and co-authors, for the main purpose of analysing credit risk in a globalised economy. Starting from mid-2000 the model was substantially enlarged in the context of a project financed by the ECB, to comprise all major economies and the Euro area as a whole. The purpose of this version was to exploit the rich modelisation of international linkages in order to simulate and analyse global macro scenarios of high policy interest. The rich, yet manageable, specification of international linkages has stimulated a vast literature on the GVAR. Since early 2011, the basic model - and its data base - has also available on a dedicated GVAR-Toolbox website with an easy-to-use interface allowing practical applications by an extended audience, as well as more complex analysis by the expert public. The book provides an overview of the extensions and applications of the GVAR which have been developed in recent years. Such applications are grouped in three main categories: 1) International transmission and forecasting; 2) Finance applications; and 3) Regional applications. By using a language which is accessible to not econometricians, the book reaches out to the extended audience of practitioners and policy makers interested in understanding channels and impacts of international linkages.

The Sources Of Business Cycles In A Low Income Country

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Author : Romain Houssa
language : en
Publisher: International Monetary Fund
Release Date : 2015-02-25

The Sources Of Business Cycles In A Low Income Country written by Romain Houssa 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 2015-02-25 with Business & Economics categories.

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shocks. We identify the shocks with a combination of sign and recursive restrictions within Bayesian VAR models. As a benchmark we provide results for South Africa to document the difference between two economies with similar structures but different levels of development. We find that global shocks play a more dominant role in South Africa than in Ghana. These shocks operate through three channels: trade, credit and commodity prices.

Financial Linkages Remittances And Resource Dependence In East Asia

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Author : Takuji Kinkyo
language : en
Publisher: World Scientific
Release Date : 2016-01-06

Financial Linkages Remittances And Resource Dependence In East Asia written by Takuji Kinkyo and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-06 with Business & Economics categories.

' The purpose of this book is to empirically analyse the multifaceted nature of financial linkages in East Asia and to discuss the key policy challenges faced by the region''s economies. Although the emphasis is placed on East Asia, some of the chapters cover a broader area of countries depending on the aim of the study. Particular areas of focus in these studies include: the evolution of cross-border financial linkages in East Asia; long-run economic consequences of remittance inflows and natural resource dependence; and policy priorities for the financial integration and management of resource-rich economies. Contents:The Evolution of Cross-Border Financial Linkages in East Asia:Asia-Pacific Economic Linkages: Empirical Evidence in the GVAR Framework (Wang Chen and Takuji Kinkyo)Linkages Among East Asian Stock Markets, US Financial Markets Stress, and Gold (Takashi Miyazaki and Shigeyuki Hamori)Business Cycle Volatility and Hot Money in Emerging East Asian Markets (Xiaojing Cai and Shigeyuki Hamori)Long-Run Economic Consequences of Remittance Inflows and Natural Resource Dependence:Dynamic Impacts of Remittances on Economic Growth in Asia: Evidence from the Dynamic Heterogeneous Panel (Nannan Yuan, Takeshi Inoue and Shigeyuki Hamori)Effects of Remittances on Poverty Reduction in Asia (Takeshi Inoue and Shigeyuki Hamori)Financial Development and Growth in Resource-Rich Countries (Kazue Demachi and Takuji Kinkyo)Policy Priorities for the Financial Integration and Management of Resource-Rich Economies:Spillovers of Financial Stress Shocks: Evidence and Policy Implications (Wang Chen and Takuji Kinkyo)Challenges to Macroeconomic Management in Resource–Rich Developing Economies (Kazue Demachi and Takuji Kinkyo)Policies and Prospects of ASEAN Financial Integration (Satoshi Shimizu) Readership: Advanced undergraduate or postgraduate students studying Asian economics (particularly East Asian economics). Keywords:Financial Linkages;Remittances;Natural Resources;Financial Development;Financial Integration;Economic Growth;Business Cycle;Poverty Reduction;East Asia;ASEAN'

Global Waves Of Debt

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Author : M. Ayhan Kose
language : en
Publisher: World Bank Publications
Release Date : 2021-03-03

Global Waves Of Debt written by M. Ayhan Kose 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 2021-03-03 with Business & Economics categories.

The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.

Economic Cycles In Emerging And Advanced Countries

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Author : Antonio Pesce
language : en
Publisher: Springer
Release Date : 2015-04-20

Economic Cycles In Emerging And Advanced Countries written by Antonio Pesce and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-20 with Business & Economics categories.

​This book contributes to the debate on the decoupling of emerging economies from the advanced economies with a new, empirical investigation approach. Taking counterfactual experiments performed using a time-varying panel VAR model, the author argues that over the last thirty years, emerging economies have become less vulnerable to shocks spreading from advanced economies. This resilience to external shocks has changed in a non-progressive manner over time, with phases of greater resilience followed by others of lower resilience and vice versa. This research outlines its wave-like path and presents new results that contribute to the discussion.

Bank Credit Extension And Real Economic Activity In South Africa

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Author : Nombulelo Gumata
language : en
Publisher: Springer
Release Date : 2017-03-13

Bank Credit Extension And Real Economic Activity In South Africa written by Nombulelo Gumata and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-13 with Business & Economics categories.

This book presents empirical evidence that supports and facilitates a practical, integrated approach to how bank regulatory and selected macro-prudential tools interact with monetary policy to achieve price and financial stability. The empirical results contained in various chapters accompany in-depth historical analysis and counterfactual scenarios that enable proper policy evaluation and the interaction of bank regulatory, macro-prudential and monetary policy tools in South Africa. The presented evidence also identifies financial asset boom and bust episodes and the associated costly output losses. In addition, the authors explore the amplification of credit dynamics by commodity prices and sector credit re-allocation due to capital inflows shocks. The book’s empirical analysis uses a wide range of statistical and econometric approaches on granular data and economic variables to derive policy implications and recommendations. This in-depth quantitative analysis includes determining inverse transmission of global liquidity, as well as the effects of capital flows, lending-rate margins, financial regulatory uncertainty, the National Credit Act, bank capital-adequacy ratios, bank loan loss provisions, loan-to-value ratios and repayment-to-income ratios on the macro-economy.

What Drives Credit Growth In Emerging Asia

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Author : Selim Elekdag
language : en
Publisher: International Monetary Fund
Release Date : 2012-02-01

What Drives Credit Growth In Emerging Asia written by Selim Elekdag 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 2012-02-01 with Business & Economics categories.

This paper seeks to uncover the main drivers of credit growth in emerging Asia using a multi-country structural vector autoregressive (SVAR) model. Taking a novel approach, we developed a two-block SVAR whereby shocks within blocks are identified using sign restrictions, whereas shocks across the blocks are identified using a recursive (block-) Cholesky structure. We find that domestic factors are more dominant than external factors in driving rapid credit growth in emerging Asia. This is particularly true for domestic monetary policy, which can play a pivotal role in terms of managing rapid credit growth in emerging Asia.