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
Table of Contents:
  • Cover; Abstract; Contents; I. Introduction; II. The Model; III. The Data; IV. Results; V. Conclusions; Tables; 1. Data Sources; 2. Some calibrated Parameters; 3. Estimated Parameters; 4. Goodness of it; Figures; 1. Model Calibration; 2. A Shock to Systemic Risk (Response of Global Variables); 3. A Shock to Systemic Risk (Response of Country Variables); 4. A Shock to the Country Risk Premium (Response of Global Variables); 5. A Shock to the Country Risk Premium (Response of Country Variables); 6. Shocks to Commodity Prices (Response of Global Variables)
  • 7. Shocks to Commodity Prices (Response of Country Variables)8. An Interest Rate Shock (Response of Global Variables); 9. An Interest Rate Shock (Response of Country Variables); 10. Smoothing Results: Global Variables; 11. Smoothing Results: Country Variables; 12. Smoothing Results: Country Variables; 13. Smoothing Results: Country Variables; 14. World: Historical Decomposition of Global Variables; 15. Countries and Regions: Historical Decomposition of Country Risk Premiums; 16. Countries and Regions: Historical Decomposition of Country Output Gaps
  • 17. Historical Decomposition of Trade Balance Gaps18. Countries and Regions: Historical Decomposition of Country Unemployment Gaps; 19. Countries and Regions: Historical Decomposition of Country Energy-and Food-Price Gaps; 20. World: Forecast Error Variance Decomposition; 21. Countries and Regions: Forecast Error Variance Decomposition; References; Appendices; 1. Trade balance equation; 2. Output Gap Equation; 3. Equation for the current account

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