Modeling With Macro Financial Linkages
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Modeling With Macro Financial Linkages
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Author : Ms.Inci Ötker
language : en
Publisher: International Monetary Fund
Release Date : 2009-06-01
Modeling With Macro Financial Linkages written by Ms.Inci Ötker 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 2009-06-01 with Business & Economics categories.
This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France
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Author : Ms.Piyabha Kongsamut
language : en
Publisher: International Monetary Fund
Release Date : 2017-12-02
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices The Case Of France written by Ms.Piyabha Kongsamut 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 2017-12-02 with Business & Economics categories.
How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models could have significantly improved forecasts during and after the global financial crisis.
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.
The Global Macrofinancial Model
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Author : Francis Vitek
language : en
Publisher: International Monetary Fund
Release Date : 2018-04-09
The Global Macrofinancial Model 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 2018-04-09 with Business & Economics categories.
This paper documents the theoretical structure and empirical properties of the latest version of the Global Macrofinancial Model (GFM). This dynamic stochastic general equilibrium model of the world economy, disaggregated into forty national economies, was developed to support multilaterally consistent macrofinancial policy, risk and spillover analysis. It features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the GFM are demonstrated. These include quantifying the monetary, fiscal and macroprudential policy transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.
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.
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices
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Author : Piyabha Kongsamut
language : en
Publisher:
Release Date : 2017
Incorporating Macro Financial Linkages Into Forecasts Using Financial Conditions Indices written by Piyabha Kongsamut 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.
How can information on financial conditions be used to better understand macroeconomic developments and improve macroeconomic projections? We investigate this question for France by constructing country-specific financial conditions indices (FCIs) that are tailored to movements in GDP, investment, private consumption and exports respectively. We rely on a VAR approach to estimate the weights of the financial components of each FCI, including equity market returns (which turn out having a relatively strong weight across all FCIs), private sector risk premiums, long-term interest rates, and banks’ credit standards. We find that the tailored FCIs are useful as leading indicators of GDP, investment, and exports, and as a contemporaneous indicator of private consumption. Credit volumes turn out to be lagging indicators of growth. The indices inform us on macro-financial linkages in France and are used to improve the accuracy of quarterly forecasting models and high-frequency “nowcast” models. We show that FCI-augmented models ould have significantly improved forecasts during and after the global financial crisis.
An Extended Quarterly Projection Model Credit Cycle Macrofinancial Linkages And Macroprudential Measures The Case Of The Philippines
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Author : Mr. Philippe D Karam
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
An Extended Quarterly Projection Model Credit Cycle Macrofinancial Linkages And Macroprudential Measures The Case Of The Philippines written by Mr. Philippe D Karam 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 2021-10-22 with Business & Economics categories.
We extend a modern practical Quarterly Projection Model to study credit cycle dynamics and risks, focusing on macrofinancial linkages and the role of macroprudential policy in achieving economic and financial stability. We tailor the model to the Philippines and evaluate the model’s properties along several dimensions. The model produces plausible dynamics and sensible forecasts. This along with its simplicity makes it useful for policy analysis. In particular, it should help policymakers understand the quantitative implications of responding to changes in domestic financial conditions, along with other shocks, through the joint use of macroprudential and monetary policies.
Frontiers Of Macrofinancial Linkages
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Author : Stijn Claessens
language : en
Publisher:
Release Date : 2018
Frontiers Of Macrofinancial Linkages written by Stijn Claessens and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018 with categories.
The Great Financial Crisis of 2007-09 confirmed the vital importance of advancing our understanding of macrofinancial linkages, the two-way interactions between the real economy and the financial sector. The crisis was a bitter reminder of how sharp fluctuations in asset prices, credit and capital flows can have dramatic impact on the financial positions of households, corporations and sovereign nations. As fluctuations were amplified, the global financial system was brought to the brink of collapse and the deepest contraction in world output in more than half a century followed. Moreover, unprecedented challenges for fiscal, monetary and financial regulatory policies resulted.The crisis revived an old debate in the economics profession about the importance of macrofinancial linkages. Some argue that the crisis was a painful reminder of our limited knowledge of these linkages. Others claim that the profession had already made substantial progress in understanding them but that there was too much emphasis on narrow approaches and modelling choices. Yet, most also recognise that the absence of a unifying framework to study these two-way interactions has limited the practical applications of existing knowledge and impeded the formulation of policies.With these observations in mind, this paper presents a systematic review of the rapidly expanding literature on macrofinancial linkages. It first surveys the literature on the linkages between asset prices and macroeconomic outcomes. It then reviews the literature on the macroeconomic implications of financial imperfections. It also examines the global dimensions of macrofinancial linkages and documents the main stylized facts about the linkages between the real economy and the financial sector. The topic of macrofinancial linkages promises to remain an exciting area of research, given the many open questions and significant policy interest. The paper concludes with a discussion of possible directions for future research, stressing the need for richer theoretical models, more robust empirical work and better quality data so as to advance knowledge and help guide policymakers going forward.
Reversing The Financial Accelerator
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Author : Mr.Tamim Bayoumi
language : en
Publisher: International Monetary Fund
Release Date : 2011-02-01
Reversing The Financial Accelerator written by Mr.Tamim Bayoumi 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 2011-02-01 with Business & Economics categories.
This paper examines the role of credit markets in the transmission of U.S. macro-financial shocks through the prism of a financial conditions index (FCI) based on a vector autoregression (VAR) methodology. It explores the relative predictive power of market variables compared to credit standards/conditions. The main conclusion is that under plausible specifications credit conditions dominate market variables, highlighting the importance of credit supply. The fact that direct measures of credit conditions anticipate future movements in asset prices has an extremely important implication. Most models of the credit channel see it as an amplifier of underlying changes in financial wealth. The impact of credit conditions on growth compared to other market variables implies that credit supply drives other financial variables rather than responding to them.
Macrofinancial Modeling At Central Banks
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Author : Mr.Scott Roger
language : en
Publisher: International Monetary Fund
Release Date : 2012-01-01
Macrofinancial Modeling At Central Banks written by Mr.Scott Roger 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 2012-01-01 with Business & Economics categories.
This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.