Systemic risk, aggregate demand, and commodity prices /

Systemic risk, aggregate demand, and commodity prices /

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Bibliographic Details
Author / Creator:	Gómez P., Javier Guillermo (Gómez Pineda), author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2015.
Description:	1 online resource (52 pages) : color illustrations.
Language:	English
Series:	IMF working paper ; WP/15/165 IMF working paper ; WP/15/165.
Subject:	Financial risk -- Econometric models. Country risk -- Econometric models. Financial crises -- Econometric models. Commercial products -- Prices -- Econometric models. Capital movements -- Econometric models. Capital movements -- Econometric models. Country risk -- Econometric models. Financial crises -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12504641

Hidden Bibliographic Details
Other authors / contributors:	Guillaume, Dominique M., author. Tanyeri, Kadir, author. International Monetary Fund. Office of the Managing Director.
ISBN:	1513552546 9781513552545 1513525344 9781513525341 1513589679 9781513589671 9781513578644 1513578642
ISSN:	1018-5941
Notes:	"July 2015." "OMD." Includes bibliographical references (pages 47-48). Online resource; title from pdf title page (IMF.org Web site, viewed July 23, 2015).
Summary:	The paper presents a global model with systemic and country risks, as well as commodity prices. We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output gap corresponding to unobserved systemic risk associated with major financial events. In addition, systemic risk shocks are shown to be important drivers of output gaps while country risk premium shocks can have important effects on the trade balance. Commodity prices, in particular the price of oil, are shown to be demand driven. The model performs well at one- and four-quarter horizons compared to a survey of analysts' forecasts. In addition, systemic risk shocks explain a large share of the forecast variance for the world output gap, country output gaps, the price of oil, and country risk premiums. The importance of systemic risk shocks lends support for financial surveillance with a systemic focus.--Abstract.
Other form:	Print version:Print Version: 9781513552545
Standard no.:	10.5089/9781513552545.001

Description
Summary:	The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output gap corresponding to unobserved systemic risk associated with major financial events. In addition, systemic risk shocks are shown to be important drivers of output gaps while country risk premium shocks can have important effects on the trade balance. Commodity prices, in particular the price of oil, are shown to be demand driven. The model performs well at one- and four-quarter horizons compared to a survey of analysts' forecasts. In addition, systemic risk shocks explain a large share of the forecast variance for the world output gap, country output gaps, the price of oil, and country risk premiums. The importance of systemic risk shocks lends support for financial surveillance with a systemic focus.
Item Description:	"July 2015." "OMD."
Physical Description:	1 online resource (52 pages) : color illustrations.
Bibliography:	Includes bibliographical references (pages 47-48).
ISBN:	1513552546 9781513552545 1513525344 9781513525341 1513589679 9781513589671 9781513578644 1513578642
ISSN:	1018-5941