Global Monetary And Financial Spillovers
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Global Monetary And Financial Spillovers
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Author : James S. Cloyne
language : en
Publisher:
Release Date : 2022
Global Monetary And Financial Spillovers written by James S. Cloyne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022 with categories.
Regional Financial Spillovers Across Europe
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Author : Ms.Silvia Sgherri
language : en
Publisher: International Monetary Fund
Release Date : 2009-02-01
Regional Financial Spillovers Across Europe written by Ms.Silvia Sgherri 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 2009-02-01 with Business & Economics categories.
The recent financial crisis raises important issues about the transmission of financial shocks across borders. In this paper, a global vector autoregressive (GVAR) model is constructed to assess the relevance of international spillovers following a historical slowdown in U.S. equity prices. The GVAR model contains 27 country-specific models, including the United States, 17 European advanced economies, and 9 European emerging economies. Each country model is linked to the others by a set of country-specific foreign variables, computed using bilateral bank lending exposures. Results reveal considerable comovements of equity prices across mature financial markets. However, the effects on credit growth are found to be country-specific. Evidence indicates that asset prices are the main channel through which-in the short run-financial shocks are transmitted internationally, while the contribution of other variables-like the cost and quantity of credit-becomes more important over longer horizons.
Spillovers From China
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Author : MissNkunde Mwase
language : en
Publisher: International Monetary Fund
Release Date : 2016-09-27
Spillovers From China written by MissNkunde Mwase 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.
Although China’s much-needed transition to a new growth path is proceeding broadly as expected, the transition is still fraught with uncertainty, including regarding the Chinese authorities’ ability to achieve a smooth rebalancing of growth and the extent of the attendant slowdown in activity. Thus, in the short run, the transition process is likely to entail significant spillovers through trade and commodities, and possibly financial channels. This note sheds some light on the size and nature of financial spillovers from China by looking at the impact of developments in China on global financial markets, with a particular emphasis on differentiation across asset classes and markets. The note shows that economic and financial developments in China have a significant impact on global financial markets, but these effects reflect primarily the central role the country plays in goods trade and commodity markets, rather than China’s financial integration in global markets and the direct financial linkages it has with other countries.
Financial Spillovers To Emerging Markets During The Global Financial Crisis
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Author : Nathaniel Frank
language : en
Publisher: International Monetary Fund
Release Date : 2009-05
Financial Spillovers To Emerging Markets During The Global Financial Crisis written by Nathaniel Frank 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 2009-05 with Business & Economics categories.
In this paper potential financial linkages between liquidity and bank solvency measures in advanced economies and emerging market (EM) bond and stock markets are analyzedduring the latest crisis. A multivariate GARCH model is estimated in order to gauge the extent of co-movements of these financial variables across markets. The findings indicate that the notion of possible de-coupling (in the financial markets) had been misplaced. While EM stock markets reached their peak in the last quarter of 2007, interlinkages between funding stress and equity markets in advanced economies and EM financial indicators were highly correlated and have seen sharp increases during specific crisis moments.
International Fiscal Financial Spillovers The Effect Of Fiscal Shocks On Cross Border Bank Lending
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Author : Sangyup Choi
language : en
Publisher: International Monetary Fund
Release Date : 2019-07-12
International Fiscal Financial Spillovers The Effect Of Fiscal Shocks On Cross Border Bank Lending written by Sangyup Choi 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 2019-07-12 with Business & Economics categories.
This paper sheds new light on the degree of international fiscal-financial spillovers by investigating the effect of domestic fiscal policies on cross-border bank lending. By estimating the dynamic response of U.S. cross-border bank lending towards the 45 recipient countries to exogenous domestic fiscal shocks (both measured by spending and revenue) between 1990Q1 and 2012Q4, we find that expansionary domestic fiscal shocks lead to a statistically significant increase in cross-border bank lending. The magnitude of the effect is also economically significant: the effect of 1 percent of GDP increase (decrease) in spending (revenue) is comparable to an exogenous decline in the federal funds rate. We also find that fiscal shocks tend to have larger effects during periods of recessions than expansions in the source country, and that the adverse effect of a fiscal consolidation is larger than the positive effect of the same size of a fiscal expansion. In contrast, we do not find systematic and statistically significant differences in the spillover effects across recipient countries depending on their exchange rate regime, although capital controls seem to play some moderating role. The extension of the analysis to a panel of 16 small open economies confirms the finding from the U.S. economy.
Global Financial Spillovers To Emerging Market Sovereign Bond Markets
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Author : Mr.Christian Ebeke
language : en
Publisher: International Monetary Fund
Release Date : 2015-06-26
Global Financial Spillovers To Emerging Market Sovereign Bond Markets written by Mr.Christian Ebeke 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 2015-06-26 with Business & Economics categories.
Foreign holdings of emerging markets (EMs) government bonds have increased substantially over the last decade. While foreign participation in local-currency sovereign bond markets provides an additional source of financing and reduces sovereign yields, it raises concerns about increased sensitivity of yields to shifts in market sentiment. The analysis in this paper suggests that foreign participation and an undiversified investor base transmit global financial shocks to local-currency sovereign bond markets by increasing yield volatility and, beyond a certain threshold, amplify these spillovers. These estimates are robust to a range of econometric techniques including panel smooth threshold regression.
Risk Exposures And Financial Spillovers In Tranquil And Crisis Times
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Author : Ms.Helene Poirson Ward
language : en
Publisher: International Monetary Fund
Release Date : 2013-06-05
Risk Exposures And Financial Spillovers In Tranquil And Crisis Times written by Ms.Helene Poirson Ward 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 2013-06-05 with Business & Economics categories.
For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk factors as approximated by equity indices; second, which bank-specific characteristics explain these risk exposures; third, are there clusters of banks with equity price linkages beyond market risk factors. The paper finds a rise in sensitivities to both country and global risk factors in 2011, although on average to levels still below those of the subprime crisis. The average sensitivity to European risk, specifically, has been steadily rising since 2008. Banks that are reliant on wholesale funding, have weaker capital levels and low valuations, and higher exposures to crisis countries are found to be the most vulnerable to shocks. The analysis of bank-to-bank linkages suggests that any “globalization” of the euro area crisis is likely to be channelled through U.K. and U.S. banks, with little evidence of direct spillover effects to other regions.
Financial Crisis Us Unconventional Monetary Policy And International Spillovers
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Author : Qianying Chen
language : en
Publisher: International Monetary Fund
Release Date : 2015-04-29
Financial Crisis Us Unconventional Monetary Policy And International Spillovers written by Qianying Chen 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 2015-04-29 with Business & Economics categories.
We study the impact of the US quantitative easing (QE) on both the emerging and advanced economies, estimating a global vector error-correction model (GVECM) and conducting counterfactual analyses. We focus on the effects of reductions in the US term and corporate spreads. First, US QE measures reducing the US corporate spread appear to be more important than lowering the US term spread. Second, US QE measures might have prevented episodes of prolonged recession and deflation in the advanced economies. Third, the estimated effects on the emerging economies have been diverse but often larger than those recorded in the US and other advanced economies. The heterogeneous effects from US QE measures indicate unevenly distributed benefits and costs.
Spillovers From United States Monetary Policy On Emerging Markets
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Author : Mr.Jiaqian Chen
language : en
Publisher: International Monetary Fund
Release Date : 2014-12-24
Spillovers From United States Monetary Policy On Emerging Markets written by Mr.Jiaqian Chen 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 2014-12-24 with Business & Economics categories.
The impact of monetary policy in large advanced countries on emerging market economies—dubbed spillovers—is hotly debated in global and national policy circles. When the U.S. resorted to unconventional monetary policy, spillovers on asset prices and capital flows were significant, though remained smaller in countries with better fundamentals. This was not because monetary policy shocks changed (in size, sign or impact on stance). In fact, the traditional signaling channel of monetary policy continued to play the leading role in transmitting shocks, relative to other channels, affecting longer-term bond yields. Instead, we find that larger spillovers stem more from structural factors, such as the use of new instruments (asset purchases). We obtain these results by developing a new methodology to extract, separate, and interpret U.S. monetary policy shocks.
Rules For International Monetary Stability
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Author : Michael Bordo
language : en
Publisher: Hoover Press
Release Date : 2017-04-01
Rules For International Monetary Stability written by Michael Bordo and has been published by Hoover Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-04-01 with Business & Economics categories.
Since the end of the Great Recession in 2009 the central banks of the advanced countries have taken unprecedented actions to reflate and stimulate their economies. There have been significant differences in the timing and pace of these actions. These independent monetary policy actions have had significant spillover effects on the economies and monetary policy strategies of other advanced countries. In addition the monetary policy actions and interventions of the advanced countries have had a significant impact on the emerging market economies leading to the charge of 'currency wars.' The perceived negative consequences of spillovers from the actions of national central banks has led to calls for international monetary policy coordination. The arguments for coordination based on game theory are the same today as back in the 1980s, which led to accords which required that participant countries follow policies to improve global welfare at the expense of domestic fundamentals. This led to disastrous consequences. An alternative approach to the international spillovers of national monetary policy actions is to view them as deviations from rules based monetary policy.