Systemic risk, aggregate demand, and commodity prices /

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....

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Gómez P., Javier Guillermo (Gómez Pineda) (Autor), Guillaume, Dominique M. (Autor), Tanyeri, Kadir (Autor)
Autor Corporativo: International Monetary Fund. Office of the Managing Director
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, ©2015.
Colección:IMF working paper ; WP/15/165.
Temas:
Financial risk > Econometric models.
Country risk > Econometric models.
Financial crises > Econometric models.
Commercial products > Prices > Econometric models.
Capital movements > Econometric models.
Risque financier > Modèles économétriques.
Risque pays > Modèles économétriques.
Prix > Modèles économétriques.
Mouvements de capitaux > Modèles économétriques.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • 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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