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Modeling with Macro-Financial Linkages

2009-06-01 Business & Economics
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Release : 2009-06-01
Genre : Business & Economics
Kind : eBook
Book Rating : 704/5 ( reviews)

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Book Synopsis Modeling with Macro-Financial Linkages by : Ms.Inci Ötker

Download or read book Modeling with Macro-Financial Linkages written by Ms.Inci Ötker. This book was released on 2009-06-01. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Dealing with the Challenges of Macro Financial Linkages in Emerging Markets

2013-10-29 Business & Economics
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Release : 2013-10-29
Genre : Business & Economics
Kind : eBook
Book Rating : 030/5 ( reviews)

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Book Synopsis Dealing with the Challenges of Macro Financial Linkages in Emerging Markets by : Otaviano Canuto

Download or read book Dealing with the Challenges of Macro Financial Linkages in Emerging Markets written by Otaviano Canuto. This book was released on 2013-10-29. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the challenges of macro financial linkages in the emerging markets.

Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France

2017-12-02 Business & Economics
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Release : 2017-12-02
Genre : Business & Economics
Kind : eBook
Book Rating : 753/5 ( reviews)

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Book Synopsis Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France by : Ms.Piyabha Kongsamut

Download or read book Incorporating Macro-Financial Linkages into Forecasts Using Financial Conditions Indices: The Case of France written by Ms.Piyabha Kongsamut. This book was released on 2017-12-02. Available in PDF, EPUB and Kindle. Book excerpt: 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

2016
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Release : 2016
Genre :
Kind : eBook
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Book Synopsis Assessing Macro-Financial Linkages by : Rafael Gerke

Download or read book Assessing Macro-Financial Linkages written by Rafael Gerke. This book was released on 2016. Available in PDF, EPUB and Kindle. Book excerpt: 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.

IMF Working Papers

2009 Electronic books
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Release : 2009
Genre : Electronic books
Kind : eBook
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Book Synopsis IMF Working Papers by : İnci Ötker

Download or read book IMF Working Papers written by İnci Ötker. This book was released on 2009. Available in PDF, EPUB and Kindle. Book excerpt:

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