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  • 1
    Online Resource
    Online Resource
    Global bonding : do U.S. bond and equity spillovers dominate global financial markets? (2013)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9958079472202883
    Format: 1 online resource (27 p.)
    ISBN: 1-4755-5520-2 , 1-4755-7957-8 , 1-299-46177-8 , 1-4755-1911-7
    Series Statement: IMF working paper ; WP/13/298
    Content: This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of causality of contemporaneous correlations—an issue that other techniques cannot tackle—is the dominant source of uncertainty in the estimated impulse response functions.
    Note: Description based upon print version of record. , Cover; Contents; I. Introduction; II. Data; Figures; 1. Systemic Countries Financial Market Shares and Turnovers; 2. Government 10-Year Nominal Bond Yields; 3. Normalized Weekly Equity Indexes (End of 1999 = 100); III. Structural VAR Identification Methodology; Tables; 1. Correlations of Weekly Systemic-4 Financial Asset Returns; IV. Empirical Estimates of Systemic Countries Financial Markets' Linkages; 4. High/Low Volatility Regimes at Min/Max Thresholds; A. A-Inverse Matrix Estimates; 2. Contemporaneous Spillovers: Systemic Countries Bond Markets , 3. Contemporaneous Spillovers: Systemic Countries Equity MarketsB. Estimated Impulse Responses; 5. Cumulative Impulse Responses with 90-percent confidence intervals - Bond Yields; 6. Cumulative Impulse Responses with 90-percent confidence intervals - Equity; V. Conclusions; 4. Variance Decomposition of Bond Yields; 5. Variance Decomposition of Equity Market Returns; A1. Bond Markets: Cumulative IRFs without Uncertainty in A Matrix; A2. Bond Markets: Cumulative IRFs with Uncertainty in A Matrix Estimation; Appendix; A3. Equity Markets: Cumulative IRFs without Uncertainty in A Matrix , A4. Equity Markets: Cumulative IRFs with Uncertainty in A matrixAppendix Tables; A1. Robustness Check: A-Inverse with Random Walk Specification; A2. Robustness Check: Alternative Sample 2000-07; A3. Robustness Check: Alternative Sample 2000-October 5, 2012; References , English
    Additional Edition: ISBN 1-4755-8663-9
    Language: English
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    Charité
  • 2
    Online Resource
    Online Resource
    Apocalypse then : The Evolution of the North Atlantic Economy and the Global Crisis (2011)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_845851047
    Format: Online-Ressource (36 p)
    Edition: Online-Ausg.
    ISBN: 1463902301 , 9781463902308
    Series Statement: IMF Working Papers Working Paper No. 11/212
    Content: The financial crisis, originated from the collapse of US housing markets in 2008, reverberates around the world. Its destructive force was felt nowhere more keenly than Western Europe. Indeed, it continues to mire in financial volatility as the debt problem contagiously spreads around the periphery Euro area. Taking a wider historical view of the evolution over the recent decades of the North Atlantic economy, comprising North America and Western Europe, we argue that while trade links were in relative stasis, the increasing and uniquely-close Transatlantic financial relationship was a crucial conduit in transmitting US shocks into global ones
    Additional Edition: Erscheint auch als Druck-Ausgabe Bui, Trung Apocalypse then: The Evolution of the North Atlantic Economy and the Global Crisis Washington, D.C. : International Monetary Fund, 2011 ISBN 9781463902308
    Language: English
    DOI: 10.5089/9781463902308.001
    URL: kostenfrei
    URL: kostenfrei
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  • 3
    Online Resource
    Online Resource
    Estimating Potential Output in Developing Countries (2014)
    Elsevier
    Details
    UID:
    gbv_1017865485
    Format: Online-Ressource
    Content: This paper describes a parsimonious methodology employed by the World Bank for estimating potential output using the production function method. Despite the necessity of strong assumptions, sensitivity analysis suggests the reported estimates for 159 countries are robust to alternative specifications. Moreover, for the majority of countries estimated output gaps are positively correlated with inflation acceleration and negatively correlated with current account balances. An examination of estimated output gaps and post-crisis economic developments in several middle-income countries suggest that the methods can play a useful role in guiding macroeconomic policy.
    Language: English
    URL: Volltext  (kostenfrei)
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    Stabi Berlin
  • 4
    Online Resource
    Online Resource
    Deconstructing the International Business Cycle : Why Does a U.S. Sneeze Give the Rest of the World a Cold? (2010)
    Washington, DC :International Monetary Fund,
    Details
    UID:
    edoccha_9958114542802883
    Format: 1 online resource (45 p.)
    Edition: First edition.
    ISBN: 1-4623-1032-X , 1-4552-1333-0 , 1-283-55591-3 , 9786613868367 , 1-4552-7993-5
    Series Statement: IMF Working Papers
    Content: The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced country regions in a structural VAR (SVAR) using pre-crisis data. Our new method freely estimates the contemporaneous correlation matrix for underlying shocks in the VAR and (uniquely, to our knowledge) the associated uncertainty. Our results suggest that the international business cycle is largely driven by U.S. financial shocks with a significant impact from global shocks, mainly reflecting commodity prices. Other advanced economic regions play a much smaller and regional role in growth spillovers. Our findings are consistent with the emerging evidence on the current crisis.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Identification of Structural VARs through Heteroskedasticity; 1. Identification through Heteroskedasticity Example; III. VAR Specification and Parameter Stability Tests; 2. Quarter-to-Quarter Real GDP Growth (1970-2007); 1: Estimated Standard Errors of Quarter-to-Quarter Output Growth by Decade; 2. Test Results for Structural Breaks in the VAR Coefficients; 3. Test Results for Structural Change in the A Matrix; IV. International Spillovers: Directions and Sizes; 4. Average Contemporaneous A-Inverse Matrix-1980:Q1-2007:Q4 , 3a. (Accumulated) Impulse Responses of Real GDP to 1-s.d. Structural Shock3b. (Accumulated) Impulse Responses of Real GDP to 1-s.d. Structural Shock; 5. Changes in Standard Errors of Structural Shocks; 6. Variance Decomposition of Real GDP at 8th-Quarter; 7. Variance Decompositions of Real GDP at 8th-Quarter (extended); V. Sources of Spillovers; 4. Decomposition of Spillover Effects; VI. Explaining the Great Recession; 5. Structural GDP Growth Shocks; VII. Conclusions; Appendix; References; Footnotes , English
    Additional Edition: ISBN 1-4552-0939-2
    Language: English
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    Charité
  • 5
    Online Resource
    Online Resource
    Deconstructing the International Business Cycle : Why Does a U.S. Sneeze Give the Rest of the World a Cold? (2010)
    Washington, DC :International Monetary Fund,
    Details
    UID:
    edocfu_9958114542802883
    Format: 1 online resource (45 p.)
    Edition: First edition.
    ISBN: 1-4623-1032-X , 1-4552-1333-0 , 1-283-55591-3 , 9786613868367 , 1-4552-7993-5
    Series Statement: IMF Working Papers
    Content: The 2008 crisis underscored the interconnectedness of the international business cycle, with U.S. shocks leading to the largest global slowdown since the 1930s. We estimate spillover effects across major advanced country regions in a structural VAR (SVAR) using pre-crisis data. Our new method freely estimates the contemporaneous correlation matrix for underlying shocks in the VAR and (uniquely, to our knowledge) the associated uncertainty. Our results suggest that the international business cycle is largely driven by U.S. financial shocks with a significant impact from global shocks, mainly reflecting commodity prices. Other advanced economic regions play a much smaller and regional role in growth spillovers. Our findings are consistent with the emerging evidence on the current crisis.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Identification of Structural VARs through Heteroskedasticity; 1. Identification through Heteroskedasticity Example; III. VAR Specification and Parameter Stability Tests; 2. Quarter-to-Quarter Real GDP Growth (1970-2007); 1: Estimated Standard Errors of Quarter-to-Quarter Output Growth by Decade; 2. Test Results for Structural Breaks in the VAR Coefficients; 3. Test Results for Structural Change in the A Matrix; IV. International Spillovers: Directions and Sizes; 4. Average Contemporaneous A-Inverse Matrix-1980:Q1-2007:Q4 , 3a. (Accumulated) Impulse Responses of Real GDP to 1-s.d. Structural Shock3b. (Accumulated) Impulse Responses of Real GDP to 1-s.d. Structural Shock; 5. Changes in Standard Errors of Structural Shocks; 6. Variance Decomposition of Real GDP at 8th-Quarter; 7. Variance Decompositions of Real GDP at 8th-Quarter (extended); V. Sources of Spillovers; 4. Decomposition of Spillover Effects; VI. Explaining the Great Recession; 5. Structural GDP Growth Shocks; VII. Conclusions; Appendix; References; Footnotes , English
    Additional Edition: ISBN 1-4552-0939-2
    Language: English
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    FU Berlin
  • 6
    Online Resource
    Online Resource
    Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices (2011)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edoccha_9958098699802883
    Format: 1 online resource (53 p.)
    ISBN: 1-4639-0194-1 , 1-4639-0052-X , 1-283-56630-3 , 9786613878755 , 1-4639-0053-8
    Series Statement: IMF Working Papers
    Content: Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in advanced economy bank shares compared to local equity markets. For later Dodd-Frank announcements, however, falls in U.S. bank equity prices were accompanied by increases in U.K. and Swiss valuations, implying a potential for regulatory arbitrage. Turning to macro policies, the 2008/9 fiscal and monetary stimulus packages generally supported foreign activity, while the impact of similar stimulus in 2010 is less clear.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data; III. Specification; IV. Financial Sector Reform Results; A. Baseline Regressions; 1a: Bank Excess Returns: Basic Regressions; 1b: Bank Excess Returns: Bank Characteristics; 1c: Bank Excess Returns: Bank Characteristics and Other Financial Conditions; B. Policy Impact: Swaps; C. Financial regulation; D. Monetary and Fiscal Policies; 2a: Foreign Bond Yields: Basic Regression; 2b: Foreign Bond Yields: Including Other Financial Conditions; 3a: Bilateral Exchange Rates: Basic Regression , 3b: Bilateral Exchange Rates: Including Other Financial Conditions4a: Nominal Effective Exchange Rates: Basic Regression; 4b: Nominal Effective Exchange Rates: Including Other Financial Conditions; E. Equity Market Correlations; 5a: Foreign Equity Returns: Basic Regression; 5b: Foreign Equity Returns: Including Other Financial Conditions; F. Results using indicators of macro, monetary, and fiscal conditions; 6a: Real Economy: Basic Regressions; 6b: Real Economy: Conditions Included; 6c: Monetary and Fiscal Conditions: Basic Regressions; 6d: Monetary and Fiscal Conditions: Conditions Included , 7. Correlations Daily Changes in Financial Conditions8. Correlations Daily Changes in Financial Conditions; G. Robustness Checks; V. Conclusions; Data Sources and Event Descriptions; A1: Foreign Bond Yields: Basic Regression - Post-Lehman; A2: Bilateral Dollar Exchange Rates: Basic Regression - Post-Lehman; A3: Real Economy: Basic Regressions - Post-Lehman; A4: Foreign Bond Yields: Basic Regression - 2-day Window; A5: Bilateral Dollar Exchange Rates: Basic Regression - 2-day Window; A6: Real Economy: Basic Regressions - 2-day Window; A7: Foreign Bond Yields: Basic Regression - 5-day Window , A8: Bilateral Dollar Exchange Rates: Basic Regression - 5-day WindowA9: Real Economy: Basic Regressions - 5-day Window; A10: Foreign Bond Yields: Basic Regression - 10-day Window; A11: Bilateral Dollar Exchange Rates: Basic Regression - 10-day Window; A12: Real Economy: Basic Regressions - 10-day Window; References; Footnotes , English
    Additional Edition: ISBN 1-4623-0929-1
    Language: English
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  • 7
    Online Resource
    Online Resource
    Unforeseen Events Wait Lurking : Estimating Policy Spillovers From U.S. to Foreign Asset Prices (2011)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9958098699802883
    Format: 1 online resource (53 p.)
    ISBN: 1-4639-0194-1 , 1-4639-0052-X , 1-283-56630-3 , 9786613878755 , 1-4639-0053-8
    Series Statement: IMF Working Papers
    Content: Event studies are used to analyze the impact of U.S. financial, fiscal, and monetary policies from US to foreign asset prices across a range of G20 countries and Switzerland. The initial announcement that the Administration supported tighter regulation of banks led to a generalized fall in advanced economy bank shares compared to local equity markets. For later Dodd-Frank announcements, however, falls in U.S. bank equity prices were accompanied by increases in U.K. and Swiss valuations, implying a potential for regulatory arbitrage. Turning to macro policies, the 2008/9 fiscal and monetary stimulus packages generally supported foreign activity, while the impact of similar stimulus in 2010 is less clear.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. Data; III. Specification; IV. Financial Sector Reform Results; A. Baseline Regressions; 1a: Bank Excess Returns: Basic Regressions; 1b: Bank Excess Returns: Bank Characteristics; 1c: Bank Excess Returns: Bank Characteristics and Other Financial Conditions; B. Policy Impact: Swaps; C. Financial regulation; D. Monetary and Fiscal Policies; 2a: Foreign Bond Yields: Basic Regression; 2b: Foreign Bond Yields: Including Other Financial Conditions; 3a: Bilateral Exchange Rates: Basic Regression , 3b: Bilateral Exchange Rates: Including Other Financial Conditions4a: Nominal Effective Exchange Rates: Basic Regression; 4b: Nominal Effective Exchange Rates: Including Other Financial Conditions; E. Equity Market Correlations; 5a: Foreign Equity Returns: Basic Regression; 5b: Foreign Equity Returns: Including Other Financial Conditions; F. Results using indicators of macro, monetary, and fiscal conditions; 6a: Real Economy: Basic Regressions; 6b: Real Economy: Conditions Included; 6c: Monetary and Fiscal Conditions: Basic Regressions; 6d: Monetary and Fiscal Conditions: Conditions Included , 7. Correlations Daily Changes in Financial Conditions8. Correlations Daily Changes in Financial Conditions; G. Robustness Checks; V. Conclusions; Data Sources and Event Descriptions; A1: Foreign Bond Yields: Basic Regression - Post-Lehman; A2: Bilateral Dollar Exchange Rates: Basic Regression - Post-Lehman; A3: Real Economy: Basic Regressions - Post-Lehman; A4: Foreign Bond Yields: Basic Regression - 2-day Window; A5: Bilateral Dollar Exchange Rates: Basic Regression - 2-day Window; A6: Real Economy: Basic Regressions - 2-day Window; A7: Foreign Bond Yields: Basic Regression - 5-day Window , A8: Bilateral Dollar Exchange Rates: Basic Regression - 5-day WindowA9: Real Economy: Basic Regressions - 5-day Window; A10: Foreign Bond Yields: Basic Regression - 10-day Window; A11: Bilateral Dollar Exchange Rates: Basic Regression - 10-day Window; A12: Real Economy: Basic Regressions - 10-day Window; References; Footnotes , English
    Additional Edition: ISBN 1-4623-0929-1
    Language: English
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    FU Berlin
  • 8
    Online Resource
    Online Resource
    Apocalypse then : The Evolution of the North Atlantic Economy and the Global Crisis (2011)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9958071313402883
    Format: 1 online resource (43 p.)
    ISBN: 1-4639-4475-6 , 1-4639-8149-X , 1-283-55147-0 , 9786613863928 , 1-4639-2967-6
    Series Statement: IMF Working Papers
    Content: The financial crisis, originated from the collapse of US housing markets in 2008, reverberates around the world. Its destructive force was felt nowhere more keenly than Western Europe. Indeed, it continues to mire in financial volatility as the debt problem contagiously spreads around the periphery Euro area. Taking a wider historical view of the evolution over the recent decades of the North Atlantic economy, comprising North America and Western Europe, we argue that while trade links were in relative stasis, the increasing and uniquely-close Transatlantic financial relationship was a crucial conduit in transmitting US shocks into global ones.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Evolution of North Atlantic Trade and Financial Links; Figure 1: US Bilateral Trade (in percent of foreign GDPs); Figure 2: Germany Bilateral Trade (in percent of foreign GDPs); Figure 3: US Supply Chain Impacts; Figure 4: Germany Supply Chain Impacts; Figure 5: US Holdings of Foreign Bonds (in percent of foreign GDPs); Figure 6: Foreign Holdings of US Bonds (in percent of foreign GDPs); Figure 7: Net US Holdings of Bonds (in percent of foreign GDPs) , Figure 8: Foreign Holdings of US Corporate Bonds (in percent of foreign GDPs)Figure 9: US Holdings of Foreign Equities (in percent of foreign GDPs); Figure 10: Foreign Holdings of US Equities (in percent of foreign GDPs); Figure 11: US Banks' Claims on Foreigners (in percent of foreign GDPs); Figure 12: Foreign Banks' Claims on US (in percent of foreign GDPs); Figure 13: Net US Banks' Claims (in percent of foreign GDPs); Figure 14: Claims on US by Foreign-Owned Large BHCs or Primary Dealers; Figure 15: US Locations of Foreign Commercial and Investment Banks' Branches , Figure 16: Fund Flows In and Out of the USFigure 17: Turnovers in the Systemic Government Bond and Equity Markets (2009); Figure 18: Claims By European Banking Systems On Other European Banking Systems (in own GDP); Figure 19: Claims On European Banking System By Other European Banking Systems (in own GDP); Figure 20: Net European Banking Systems' Claims On Other European Banking Systems (in own GDP); III. Empirical Estimates of North Atlantic Growth Spillovers; A. Time Series Evidence; Figure 21: Empirical Growth Spillovers (1970-2007) , Figure 22: Empirical Growth Spillovers (with 2008-2010 crisis added)B. Macroeconomic Model Evidence; Figure 23: Simulated Growth Spillovers from G-20 Model with Macro-Financial Linkages; IV. Conclusions; References; Footnotes , English
    Additional Edition: ISBN 1-4639-0230-1
    Language: English
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    FU Berlin
  • 9
    Online Resource
    Online Resource
    Apocalypse then : The Evolution of the North Atlantic Economy and the Global Crisis (2011)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edoccha_9958071313402883
    Format: 1 online resource (43 p.)
    ISBN: 1-4639-4475-6 , 1-4639-8149-X , 1-283-55147-0 , 9786613863928 , 1-4639-2967-6
    Series Statement: IMF Working Papers
    Content: The financial crisis, originated from the collapse of US housing markets in 2008, reverberates around the world. Its destructive force was felt nowhere more keenly than Western Europe. Indeed, it continues to mire in financial volatility as the debt problem contagiously spreads around the periphery Euro area. Taking a wider historical view of the evolution over the recent decades of the North Atlantic economy, comprising North America and Western Europe, we argue that while trade links were in relative stasis, the increasing and uniquely-close Transatlantic financial relationship was a crucial conduit in transmitting US shocks into global ones.
    Note: Description based upon print version of record. , Cover Page; Title Page; Copyright Page; Contents; I. Introduction; II. The Evolution of North Atlantic Trade and Financial Links; Figure 1: US Bilateral Trade (in percent of foreign GDPs); Figure 2: Germany Bilateral Trade (in percent of foreign GDPs); Figure 3: US Supply Chain Impacts; Figure 4: Germany Supply Chain Impacts; Figure 5: US Holdings of Foreign Bonds (in percent of foreign GDPs); Figure 6: Foreign Holdings of US Bonds (in percent of foreign GDPs); Figure 7: Net US Holdings of Bonds (in percent of foreign GDPs) , Figure 8: Foreign Holdings of US Corporate Bonds (in percent of foreign GDPs)Figure 9: US Holdings of Foreign Equities (in percent of foreign GDPs); Figure 10: Foreign Holdings of US Equities (in percent of foreign GDPs); Figure 11: US Banks' Claims on Foreigners (in percent of foreign GDPs); Figure 12: Foreign Banks' Claims on US (in percent of foreign GDPs); Figure 13: Net US Banks' Claims (in percent of foreign GDPs); Figure 14: Claims on US by Foreign-Owned Large BHCs or Primary Dealers; Figure 15: US Locations of Foreign Commercial and Investment Banks' Branches , Figure 16: Fund Flows In and Out of the USFigure 17: Turnovers in the Systemic Government Bond and Equity Markets (2009); Figure 18: Claims By European Banking Systems On Other European Banking Systems (in own GDP); Figure 19: Claims On European Banking System By Other European Banking Systems (in own GDP); Figure 20: Net European Banking Systems' Claims On Other European Banking Systems (in own GDP); III. Empirical Estimates of North Atlantic Growth Spillovers; A. Time Series Evidence; Figure 21: Empirical Growth Spillovers (1970-2007) , Figure 22: Empirical Growth Spillovers (with 2008-2010 crisis added)B. Macroeconomic Model Evidence; Figure 23: Simulated Growth Spillovers from G-20 Model with Macro-Financial Linkages; IV. Conclusions; References; Footnotes , English
    Additional Edition: ISBN 1-4639-0230-1
    Language: English
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    Charité
  • 10
    Online Resource
    Online Resource
    Global Bonding : Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? (2012)
    Washington, D.C : International Monetary Fund
    Details
    UID:
    gbv_84581964X
    Format: Online-Ressource (26 p)
    Edition: Online-Ausg.
    ISBN: 1475586639 , 9781475586633
    Series Statement: IMF Working Papers Working Paper No. 12/298
    Content: This paper uses a novel variant of identification through hetroscedacity to estimate spillovers across U.S., Euro area, Japanese, and UK government bond and equity markets in a vector autoregression. The results suggest that U.S. financial shocks reverberate around the world much more strongly than shocks from other regions, including the Euro area, while inward spillovers to the U.S. from elsewhere are minimal. There is also evidence of two-way spillovers between the UK and Euro area financial markets and spillovers from Europe to Japan. The results also suggest that the uncertainty about the direction of causality of contemporaneous correlations—an issue that other techniques cannot tackle—is the dominant source of uncertainty in the estimated impulse response functions
    Additional Edition: Erscheint auch als Druck-Ausgabe Bayoumi, Tamim Global Bonding: Do U.S. Bond and Equity Spillovers Dominate Global Financial Markets? Washington, D.C. : International Monetary Fund, 2012 ISBN 9781475586633
    Language: English
    DOI: 10.5089/9781475586633.001
    URL: kostenfrei
    URL: kostenfrei
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    Online Resource
    Open Access Request
    Stabi Berlin
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