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....
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Körperschaft: | |
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
[Washington, D.C.] :
International Monetary Fund,
©2015.
|
| Schriftenreihe: | IMF working paper ;
WP/15/165. |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | "July 2015." "OMD." |
| Beschreibung: | 1 online resource (52 pages) : color illustrations. |
| Bibliographie: | Includes bibliographical references (pages 47-48). |
| ISBN: | 1513552546 9781513552545 1513525344 9781513525341 1513589679 9781513589671 9781513578644 1513578642 |
| ISSN: | 1018-5941 |
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| 100 | 1 | |a Gómez P., Javier Guillermo |q (Gómez Pineda), |e author. |1 https://id.oclc.org/worldcat/entity/E39PCjwYVtMxB6XDkVK7CQbXtX |0 http://id.loc.gov/authorities/names/no2011065260 | |
| 245 | 1 | 0 | |a Systemic risk, aggregate demand, and commodity prices / |c prepared by Javier G. Gómez-Pineda, Dominique Guillaume, and Kadir Tanyeri. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c ©2015. | ||
| 300 | |a 1 online resource (52 pages) : |b color illustrations. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 490 | 1 | |a IMF working paper ; |v WP/15/165 | |
| 500 | |a "July 2015." | ||
| 500 | |a "OMD." | ||
| 504 | |a Includes bibliographical references (pages 47-48). | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Online resource; title from pdf title page (IMF.org Web site, viewed July 23, 2015). | |
| 505 | 0 | |a 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) | |
| 505 | 8 | |a 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 | |
| 505 | 8 | |a 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 | |
| 650 | 0 | |a Financial risk |x Econometric models. | |
| 650 | 0 | |a Country risk |x Econometric models. | |
| 650 | 0 | |a Financial crises |x Econometric models. | |
| 650 | 0 | |a Commercial products |x Prices |x Econometric models. | |
| 650 | 0 | |a Capital movements |x Econometric models. | |
| 650 | 6 | |a Risque financier |x Modèles économétriques. | |
| 650 | 6 | |a Risque pays |x Modèles économétriques. | |
| 650 | 6 | |a Prix |x Modèles économétriques. | |
| 650 | 6 | |a Mouvements de capitaux |x Modèles économétriques. | |
| 650 | 7 | |a Capital movements |x Econometric models |2 fast | |
| 650 | 7 | |a Country risk |x Econometric models |2 fast | |
| 650 | 7 | |a Financial crises |x Econometric models |2 fast | |
| 700 | 1 | |a Guillaume, Dominique M., |e author. |0 http://id.loc.gov/authorities/names/n99275436 | |
| 700 | 1 | |a Tanyeri, Kadir, |e author. |0 http://id.loc.gov/authorities/names/no2015096771 | |
| 710 | 2 | |a International Monetary Fund. |b Office of the Managing Director. |0 http://id.loc.gov/authorities/names/no00018979 | |
| 776 | 0 | 8 | |i Print version:Print Version: |z 9781513552545 |
| 830 | 0 | |a IMF working paper ; |v WP/15/165. |0 http://id.loc.gov/authorities/names/no89010263 | |
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| adam_text | |
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| author | Gómez P., Javier Guillermo (Gómez Pineda) Guillaume, Dominique M. Tanyeri, Kadir |
| author_GND | http://id.loc.gov/authorities/names/no2011065260 http://id.loc.gov/authorities/names/n99275436 http://id.loc.gov/authorities/names/no2015096771 |
| author_corporate | International Monetary Fund. Office of the Managing Director |
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| author_facet | Gómez P., Javier Guillermo (Gómez Pineda) Guillaume, Dominique M. Tanyeri, Kadir International Monetary Fund. Office of the Managing Director |
| author_role | aut aut aut |
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| callnumber-first | H - Social Science |
| callnumber-label | HG3881 |
| callnumber-raw | HG3881.5.I58 W67 No. 15/165eb |
| callnumber-search | HG3881.5.I58 W67 No. 15/165eb |
| callnumber-sort | HG 43881.5 I58 W67 NO 215 3165EB |
| callnumber-subject | HG - Finance |
| collection | ZDB-4-EBA |
| 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 |
| ctrlnum | (OCoLC)914299655 |
| dewey-full | 338.102098734 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 338 - Production |
| dewey-raw | 338.102098734 |
| dewey-search | 338.102098734 |
| dewey-sort | 3338.102098734 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | ZDB-4-EBA-ocn914299655 |
| illustrated | Illustrated |
| indexdate | 2024-11-27T13:26:43Z |
| institution | BVB |
| institution_GND | http://id.loc.gov/authorities/names/no00018979 |
| isbn | 1513552546 9781513552545 1513525344 9781513525341 1513589679 9781513589671 9781513578644 1513578642 |
| issn | 1018-5941 |
| language | English |
| oclc_num | 914299655 |
| open_access_boolean | |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (52 pages) : color illustrations. |
| psigel | ZDB-4-EBA |
| publishDate | 2015 |
| publishDateSearch | 2015 |
| publishDateSort | 2015 |
| publisher | International Monetary Fund, |
| record_format | marc |
| series | IMF working paper ; |
| series2 | IMF working paper ; |
| spelling | Gómez P., Javier Guillermo (Gómez Pineda), author. https://id.oclc.org/worldcat/entity/E39PCjwYVtMxB6XDkVK7CQbXtX http://id.loc.gov/authorities/names/no2011065260 Systemic risk, aggregate demand, and commodity prices / prepared by Javier G. Gómez-Pineda, Dominique Guillaume, and Kadir Tanyeri. [Washington, D.C.] : International Monetary Fund, ©2015. 1 online resource (52 pages) : color illustrations. text txt rdacontent computer c rdamedia online resource cr rdacarrier IMF working paper ; WP/15/165 "July 2015." "OMD." Includes bibliographical references (pages 47-48). 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. Online resource; title from pdf title page (IMF.org Web site, viewed July 23, 2015). 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 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. Capital movements Econometric models fast Country risk Econometric models fast Financial crises Econometric models fast Guillaume, Dominique M., author. http://id.loc.gov/authorities/names/n99275436 Tanyeri, Kadir, author. http://id.loc.gov/authorities/names/no2015096771 International Monetary Fund. Office of the Managing Director. http://id.loc.gov/authorities/names/no00018979 Print version:Print Version: 9781513552545 IMF working paper ; WP/15/165. http://id.loc.gov/authorities/names/no89010263 FWS01 ZDB-4-EBA FWS_PDA_EBA https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1254183 Volltext |
| spellingShingle | Gómez P., Javier Guillermo (Gómez Pineda) Guillaume, Dominique M. Tanyeri, Kadir Systemic risk, aggregate demand, and commodity prices / IMF working paper ; 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 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. Capital movements Econometric models fast Country risk Econometric models fast Financial crises Econometric models fast |
| title | Systemic risk, aggregate demand, and commodity prices / |
| title_auth | Systemic risk, aggregate demand, and commodity prices / |
| title_exact_search | Systemic risk, aggregate demand, and commodity prices / |
| title_full | Systemic risk, aggregate demand, and commodity prices / prepared by Javier G. Gómez-Pineda, Dominique Guillaume, and Kadir Tanyeri. |
| title_fullStr | Systemic risk, aggregate demand, and commodity prices / prepared by Javier G. Gómez-Pineda, Dominique Guillaume, and Kadir Tanyeri. |
| title_full_unstemmed | Systemic risk, aggregate demand, and commodity prices / prepared by Javier G. Gómez-Pineda, Dominique Guillaume, and Kadir Tanyeri. |
| title_short | Systemic risk, aggregate demand, and commodity prices / |
| title_sort | systemic risk aggregate demand and commodity prices |
| topic | 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. Capital movements Econometric models fast Country risk Econometric models fast Financial crises Econometric models fast |
| topic_facet | 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. Capital movements Econometric models Country risk Econometric models Financial crises Econometric models |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=1254183 |
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