Umfang:
1 Online-Ressource (circa 74 Seiten)
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ISBN:
9781484381571
Serie:
IMF working paper WP/18, 238
Inhalt:
This paper investigates the sources of macrofinancial fluctuations and turbulence within the framework of an approximate linear dynamic stochastic general equilibrium model of the world economy, augmented with structural shocks exhibiting potentially asymmetric generalized autoregressive conditional heteroskedasticity. Very strong evidence of asymmetric autoregressive conditional heteroskedasticity is found, providing a basis for jointly decomposing the levels and volatilities of key macrofinancial variables into time varying contributions from sets of shocks. Risk premia shocks are estimated to contribute disproportionately to cyclical output fluctuations and turbulence during swings in financial conditions, across the fifteen largest national economies in the world
Weitere Ausg.:
Erscheint auch als Druck-Ausgabe Vitek, Francis Accounting for Macrofinancial Fluctuations and Turbulence Washington, D.C. : International Monetary Fund, 2018 ISBN 9781484381571
Sprache:
Englisch
Schlagwort(e):
Graue Literatur
DOI:
10.5089/9781484381571.001
URL:
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