Download or read book Financial Frictions and Macroeconomic Fluctuations in Emerging Economies written by Ozge Akinci and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Sources of Aggregate Fluctuations in Emerging Economies written by Roberto Chang and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research on macroeconomic fluctuations in emerging economies has focused in two leading approaches: introducing a stochastic productivity trend, in addition to temporary productivity shocks; or allowing for foreign interest rate shocks coupled with financial frictions. This paper compares the two approaches empirically, and also evaluates a model that encompasses them, taking advantage of recent developments in the theory and implementation of Bayesian methods. The encompassing model assigns a significant role to interest rate shocks and financial frictions, but not to trend shocks, in generating and amplifying aggregate fluctuations. Formal model comparison exercises favor models with financial frictions over the stochastic trend model, although this is sensitive to the inclusion of measurement errors. Of the two financial frictions we consider, working capital versus spreads linked to expected future productivity, the latter emerges as key for a reasonable approximation to the data -- National Bureau of Economic Research web site.
Download or read book On the Sources of Aggregate Fluctuations in Emerging Economies written by Roberto Chang and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research on macroeconomic fluctuations in emerging economies has advocated introducing a stochastic productivity trend or allowing for interest rate shocks and financial frictions. We estimate a model that encompasses these two approaches, shedding light on their relative merits and on how financial frictions affect the transmission of shocks. The model accounts for aggregate fluctuations by assigning a dominant role to financial frictions in amplifying conventional (temporary) productivity shocks, whereas trend shocks play a minor role. A link between spreads and expected future productivity emerges as essential for a reasonable approximation to the data.
Download or read book On the sources of aggregate fluctuations in emerging economies written by Roberto Chang and published by . This book was released on 2010 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent research on macroeconomic fluctuations in emerging economies has focused in two leading approaches: introducing a stochastic productivity trend, in addition to temporary productivity shocks; or allowing for foreign interest rate shocks coupled with financial frictions. This paper compares the two approaches empirically, and also evaluates a model that encompasses them, taking advantage of recent developments in the theory and implementation of Bayesian methods. The encompassing model assigns a significant role to interest rate shocks and financial frictions, but not to trend shocks, in generating and amplifying aggregate fluctuations. Formal model comparison exercises favor models with financial frictions over the stochastic trend model, although this is sensitive to the inclusion of measurement errors. Of the two financial frictions we consider, working capital versus spreads linked to expected future productivity, the latter emerges as key for a reasonable approximation to the data.
Download or read book Financial Frictions and Sources of Business Cycle written by Marzie Taheri Sanjani and published by International Monetary Fund. This book was released on 2014-10-23 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper estimates a New Keynesian DSGE model with an explicit financial intermediary sector. Having measures of financial stress, such as the spread between lending and borrowing, enables the model to capture the impact of the financial crisis in a more direct and efficient way. The model fits US post-war macroeconomic data well, and shows that financial shocks play a greater role in explaining the volatility of macroeconomic variables than marginal efficiency of investment (MEI) shocks.
Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 511 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
Download or read book Financial Frictions and Macroeconomic Fluctuations written by Bledar Hoda and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monetary Policy and Macroprudential Regulation with Financial Frictions written by Pierre-Richard Agenor and published by MIT Press. This book was released on 2020-11-10 with total page 601 pages. Available in PDF, EPUB and Kindle. Book excerpt: An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation. Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Age&́nor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.
Download or read book Macroprudential Policy and Labor Market Dynamics in Emerging Economies written by Alan Finkelstein Shapiro and published by International Monetary Fund. This book was released on 2015-04-03 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Emerging economies have high shares of self-employed individuals running owner-only firms who, in contrast to many salaried firms, have little access to formal financing and therefore rely on informal financing (input credit) from other firms. We build a small open economy real business cycle model with labor and financial market frictions where formal credit markets, informal credit, and the structure of the labor market interact. The model successfully replicates the cyclical behavior of sectoral employment, formal credit, and the main macroeconomic aggregates in emerging economies. We show that a countercyclical macroprudential policy that reduces formal credit fluctuations has positive though quantitatively limited effects on consumption and output volatility, but generates larger unemployment fluctuations in response to productivity shocks; the same policy increases labor market and aggregate volatility in response to net worth shocks. The link between input credit and the labor market structure---key for capturing the cyclical dynamics of labor and credit markets in the data---plays a crucial role for these results.
Download or read book Sentiments Financial Markets and Macroeconomic Fluctuations written by Jess Benhabib and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies how financial information frictions can generate sentiment-driven fluctuations in asset prices and self-fulfilling business cycles. In our model economy, exuberant financial market sentiments of high output and high demand for capital increase the price of capital, which signals strong fundamentals of the economy to the real side and consequently leads to an actual boom in real output and employment. The model further derives implications for asymmetric non-linear asset prices and for economic contagion and co-movement across countries. In the extension to the dynamic OLG setting, our model demonstrates that sentiment shocks can generate persistent output, employment and business cycle fluctuations, and offers some new implications for asset prices over business cycles.
Download or read book Special Section on Financial Frictions Macroeconomic Implications and Policy Options for Emerging Economies written by Roberto Chang and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Distributional Effects of Macroeconomic Policy Choices in Emerging Market Economies written by Eswar S. Prasad and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Distributional consequences typically receive limited attention in economic models that analyze the effects of monetary and financial sector policies. These consequences deserve more attention since financial markets are incomplete, imperfect, and economic agents' access to them is often limited. This limits households' ability to insure against household-specific (or sector-specific) shocks and magnifies the distributional effects of aggregate macroeconomic fluctuations and associated policy responses. These effects are likely to be even larger in emerging market and low-income economies beset by financial frictions. The political economy surrounding distributional consequences can sometimes lead to policy measures that reduce aggregate welfare. I argue that it is important to take better account of distributional rather than just aggregate consequences when evaluating specific policy interventions as well as the mix of different policies.
Download or read book ESSAYS ON UNDERSTANDING MACROECONOMIC FLUCTUATIONS written by Shuoshuo Hou and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes three chapters. The first chapter studies the impact of financial shocks and financial frictions on business cycle dynamics in China's economy. The second and third chapters focus on the driving force of structural change and its impact on aggregate fluctuations using an input-output network approach. In the second chapter, I study two questions: (i) How has the U.S. production network structure changed from 1970 to 2017? (ii) What impact does that have on aggregate fluctuations? This paper shows that a few industries, like Finance and Insurance and Professional Services, have become much more central input suppliers over time, while others, like Paper Manufacturing, have become far less important. Therefore, the third chapter considers the driving force behind such structural change. In particular, I study the question of what determines the size of an industry in a production network. China has been one of the world's fastest-growing economies over the past several decades and emerged quickly from the global financial crisis of 2008. Chapter 1, titled DO FINANCIAL SHOCKS DRIVE REAL BUSINESS FLUCTUATIONS IN CHINA, investigates to what extent financial shocks can shape business cycle fluctuations in China. Specifically, I document the cyclical properties of China's macroeconomy and financial market and show the procyclicality of dividend payout and the countercyclicality of debt repurchases with real GDP. To account for these features, I use the real business cycle model incorporating debt and equity financing developed by Jermann and Quadrini (2012) to study how the dynamics of macroeconomic and financial variables are affected by financial shocks in China. This paper finds that financial shocks contribute significantly to business cycle fluctuations in China and can account for over 60% of the variations in the growth rate of output, investment, hours worked, and debt repurchases. Hulton's Theorem states that the impact of an industry-specific shock on the aggregate economy is entirely captured by the size of this industry, regardless of its position in the production network. Chapter 2, titled THE IMPORTANCE OF INPUT-OUTPUT NETWORK STRUCTURE IN THE US ECONOMY, proposes the idea that the network structure in isolation plays an essential role in shaping GDP growth and growth volatility. First, I introduce a new measure of network structure named centrality dispersion and document that the U.S. production network has become sparsely connected from 1970 to 2017, where many industries relied on a few central input suppliers for production. Such changes are associated with slower GDP growth and higher volatility. To account for this evidence, I embed input-output linkages into a multisector real business cycle model and provide a nonlinear characterization of the impact of network structure quantified using centrality dispersion on the macroeconomy. Finally, I study model-implied relationships between production network structure, GDP growth, and growth volatility. The calibrated model accounts for approximately one-quarter of the variation in real GDP growth and 40% of GDP volatility, as observed in the data. Chapter 3, titled THE NETWORK ORIGIN OF INDUSTRY SIZE VARIATIONS, quantifies the origin of industry size variations using the features of a production network. In the analysis, I perform an exact variance decomposition of industry total sales into the supplier, buyer, and final demand components. The findings suggest that matching with many buyers in the network, especially many large buyers is essential in understanding industry size variations. More importantly, these buyer characteristics have become increasingly important in contributing to industry size variations over the 1967-2012 period. Finally, I provide new empirical evidence related to the decomposition results. The evidence reveals a strengthening negative correlation between industry size and the concentration of customer networks in the long run.
Download or read book Remittances and Macroeconomic Volatility in African Countries written by Ahmat Jidoud and published by International Monetary Fund. This book was released on 2015-03-02 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the channels through which remittances affect macroeconomic volatility in African countries using a dynamic stochastic general equilibrium (DSGE) model augmented with financial frictions. Empirical results indicate that remittances—as a share of GDP—have a significant smoothing impact on output volatility but their impact on consumption volatility is somewhat small. Furthermore, remittances are found to absorb a substantial amount of GDP shocks in these countries. An investigation of the theoretical channels shows that the stabilization impact of remittances essentially hinges on two channels: (i) the size of the negative wealth effect on labor supply induced by remittances and, (ii) the strength of financial frictions and the ability of remittances to alleviate these frictions.
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Download or read book Macroeconomics and the Financial System written by N. Gregory Mankiw and published by Macmillan. This book was released on 2011 with total page 642 pages. Available in PDF, EPUB and Kindle. Book excerpt: Watch this video interview with Greg Mankiw and Larry Ball discussing the future of the intermediate macroeconomics course and their new text. Check out preview content for Macroeconomics and the Financial System here. The financial crisis and subsequent economic downturn of 2008 and 2009 was a dramatic reminder of what economists have long understood: developments in the overall economy and developments in the financial system are inextricably intertwined. Derived and updated from two widely acclaimed textbooks (Greg Mankiw’s Macroeconomics, Seventh Edition and Larry Ball’s Money, Banking, and the Financial System), this groundbreaking text is the first and only intermediate macroeconomics text that provides substantial coverage of the financial system.
Download or read book Risk Topography written by Markus Brunnermeier and published by University of Chicago Press. This book was released on 2014-10-17 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
