Download or read book The Global Macrofinancial Model written by Francis Vitek and published by International Monetary Fund. This book was released on 2018-04-09 with total page 136 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper documents the theoretical structure and empirical properties of the latest version of the Global Macrofinancial Model (GFM). This dynamic stochastic general equilibrium model of the world economy, disaggregated into forty national economies, was developed to support multilaterally consistent macrofinancial policy, risk and spillover analysis. It features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. These macrofinancial linkages encompass bank and capital market based financial intermediation, with financial accelerator mechanisms linked to the values of the housing and physical capital stocks. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the GFM are demonstrated. These include quantifying the monetary, fiscal and macroprudential policy transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Download or read book Dealing with the Challenges of Macro Financial Linkages in Emerging Markets written by Otaviano Canuto and published by World Bank Publications. This book was released on 2013-10-29 with total page 307 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book deals with the challenges of macro financial linkages in the emerging markets.

Download or read book Macrofinancial Analysis in the World Economy written by Francis Vitek and published by International Monetary Fund. This book was released on 2015-10-28 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a structural macroeconometric model of the world economy, disaggregated into forty national economies. This panel dynamic stochastic general equilibrium model features a range of nominal and real rigidities, extensive macrofinancial linkages, and diverse spillover transmission channels. A variety of monetary policy analysis, fiscal policy analysis, macroprudential policy analysis, spillover analysis, and forecasting applications of the estimated model are demonstrated. These include quantifying the monetary, fiscal and macroprudential transmission mechanisms, accounting for business cycle fluctuations, and generating relatively accurate forecasts of inflation and output growth.

Download or read book Macrofinancial Modeling At Central Banks written by Mr.Scott Roger and published by International Monetary Fund. This book was released on 2012-01-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper surveys dynamic stochastic general equilibrium models with financial frictions in use by central banks and discusses priorities for future development of such models for the purpose of monetary and financial stability analysis. It highlights the need to develop macrofinancial models which allow analysis of the macroeconomic effects of macroprudential policy tools and to evaluate elements of the Basel III reforms as a priority. The paper also reviews the main approaches to introducing financial frictions into general equilibrium models.

Download or read book International Macroeconomics in the Wake of the Global Financial Crisis written by Laurent Ferrara and published by Springer. This book was released on 2018-06-13 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.

Download or read book Economics of Sovereign Wealth Funds written by Mr.Udaibir S. Das and published by International Monetary Fund. This book was released on 2010-12-09 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book covers a wide range of topics of relevance to policymakers in countries that have sovereign wealth funds (SWFs) and those that receive SWF investments. Renowned experts in the field have contributed chapters. The book is organized around four themes: (1) the role and macrofinancial linkages of SWFs, (2) institutional factors, (3) investment approaches and financial markets, and (4) the postcrisis outlook. The book also discusses the challenges facing sovereign wealth funds in the coming years, from an inside perspective on countries, including Canada, Chile, China, Norway, Russia, and New Zealand. Economics of Sovereign Wealth Funds will contribute to a further understanding of the nature, strategies and behavior of SWFs and the environment in which they operate, as their importance is likely to grow in the coming years.

Download or read book Modeling Banking Sovereign and Macro Risk in a CCA Global VAR written by Mr.Dale F. Gray and published by International Monetary Fund. This book was released on 2013-10-23 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.

Download or read book Macrofinancial Linkages written by Mr.Christopher W. Crowe and published by International Monetary Fund. This book was released on 2010-08-25 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: Macrofinancial linkages have long been at the core of the IMF's mandate to oversee the stability of the global financial system. With the advent of the economic crisis, the Fund has drawn on this research in order to contribute to critical debates on the nature of appropriate policy responses at both the national and multilateral levels. The current juncture offers a good opportunity to take stock of this body of research by IMF staff and to share it with a wider audience, particularly since few collections have been published in this area. This volume brings together some of the best writing by IMF economists on macrofinancial issues, and highlights the issues and approaches that have guided IMF thinking in an area that makes up an increasingly important component of the IMF's overall remit. The chapters in the volume fit into three broad themes: financial crises and boom-bust cycles; financial integration, financial liberalization, and economic performance; and policy issues relating to macroeconomic policy and the corporate and financial sectors-including domestic and external financial liberalization.

Download or read book Global Financial Stability Report October 2019 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2019-10-16 with total page 109 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.

Download or read book Global Financial Stability Report April 2021 written by International Monetary Fund and published by International Monetary Fund. This book was released on 2021-04-06 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extraordinary policy measures have eased financial conditions and supported the economy, helping to contain financial stability risks. Chapter 1 warns that there is a pressing need to act to avoid a legacy of vulnerabilities while avoiding a broad tightening of financial conditions. Actions taken during the pandemic may have unintended consequences such as stretched valuations and rising financial vulnerabilities. The recovery is also expected to be asynchronous and divergent between advanced and emerging market economies. Given large external financing needs, several emerging markets face challenges, especially if a persistent rise in US rates brings about a repricing of risk and tighter financial conditions. The corporate sector in many countries is emerging from the pandemic overindebted, with notable differences depending on firm size and sector. Concerns about the credit quality of hard-hit borrowers and profitability are likely to weigh on the risk appetite of banks. Chapter 2 studies leverage in the nonfinancial private sector before and during the COVID-19 crisis, pointing out that policymakers face a trade-off between boosting growth in the short term by facilitating an easing of financial conditions and containing future downside risks. This trade-off may be amplified by the existing high and rapidly building leverage, increasing downside risks to future growth. The appropriate timing for deployment of macroprudential tools should be country-specific, depending on the pace of recovery, vulnerabilities, and policy tools available. Chapter 3 turns to the impact of the COVID-19 crisis on the commercial real estate sector. While there is little evidence of large price misalignments at the onset of the pandemic, signs of overvaluation have now emerged in some economies. Misalignments in commercial real estate prices, especially if they interact with other vulnerabilities, increase downside risks to future growth due to the possibility of sharp price corrections.

Download or read book The Impact of the Global Crisis on Canada What Do Macro Financial Linkages Tell Us written by Rupa Duttagupta and published by International Monetary Fund. This book was released on 2010-01-01 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper builds a Bayesian VAR estimation model of growth for Canada, by focusing specifically on the role of external and domestic financial indicators, including credit conditions. A variance decomposition shows that financial conditions explain one-third of the total variability in Canada's real GDP growth, although changes in U.S. real GDP growth still account for a larger share of volatility in Canadian growth. A macro-financial conditions index built from the VAR's impulse responses shows that U.S. real GDP growth and lending standards will increasingly bear on Canada's growth, implying that a normalization of the U.S. economic and financial conditions is key for a sustained recovery in Canada.

Download or read book Global Financial Stability Report October 2015 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2015-10-07 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: The October 2015 Global Financial Stability Report finds that, despite an improvement in financial stability in advanced economies, risks continue to rotate toward emerging markets. The global financial outlook is clouded by a triad of policy challenges: emerging market vulnerabilities, legacy issues from the crisis in advanced economies, and weak systemic market liquidity. With more vulnerable balance sheets in emerging market companies and banks, firms in these countries are more susceptible to financial stress, economic downturn, and capital outflows. Recent market developments such as slumping commodity prices, China’s bursting equity bubble, and pressure on exchange rates underscore these challenges. The prospect of the U.S. Federal Reserve gradually raising interest rates points to an unprecedented adjustment in the global financial system as financial conditions and risk premiums “normalize” from historically low levels alongside rising policy rates and a modest cyclical recovery. The report also examines the factors that influence levels of liquidity in securities markets, as well as the implications of low liquidity. Currently, market liquidity is being supported by benign cyclical conditions. Although it is too early to assess the impact of recent regulatory changes on market liquidity, changes in market structure, such as larger holdings of corporate bonds by mutual funds, appear to have increased the fragility of liquidity. Finally, the report studies the growing level of corporate debt in emerging markets, which quadrupled between 2004 and 2014. The report finds that global drivers have played an increasing role in leverage growth, issuance, and spreads. Moreover, higher leverage has been associated with, on average, rising foreign currency exposures. It also finds that despite weaker balance sheets, firms have managed to issue bonds at better terms as a result of favorable financial conditions.

Download or read book Modeling Banking Sovereign and Macro Risk in a CCA Global VAR written by Mr.Dale F. Gray and published by International Monetary Fund. This book was released on 2013-10-23 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to develop a model framework for the analysis of interactions between banking sector risk, sovereign risk, corporate sector risk, real economic activity, and credit growth for 15 European countries and the United States. It is an integrated macroeconomic systemic risk model framework that draws on the advantages of forward-looking contingent claims analysis (CCA) risk indicators for the banking systems in each country, forward-looking CCA risk indicators for sovereigns, and a GVAR model to combine the banking, the sovereign, and the macro sphere. The CCA indicators capture the nonlinearity of changes in bank assets, equity capital, credit spreads, and default probabilities. They capture the expected losses, spreads and default probability for sovereigns. Key to the framework is that sovereign credit spreads, banking system credit risk, corporate sector credit risk, economic growth, and credit variables are combined in a fully endogenous setting. Upon estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank and sovereign risk. The goal is to use this framework to analyze the impact and spillover of shocks and to help identify policies that would mitigate banking system, sovereign credit risk and recession risk—policies including bank capital increases, purchase of sovereign debt, and guarantees.

Download or read book Macro financial Stability Policy In A Globalised World Lessons From International Experience Selected Papers From The Asian Monetary Policy Forum 2021 Special Edition And Mas bis Conference written by Edward S Robinson and published by World Scientific. This book was released on 2022-12-28 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since at least the Great Financial Crisis, authorities around the world have increasingly relied on macroprudential policy to help secure financial stability and complement monetary policy as an integral element of a broader macro-financial stability framework. In today's interconnected global financial system, policy actions taken by the major advanced economies can have spillovers on the rest of the world through their impact on capital flows and exchange rates, potentially generating vulnerabilities across borders. Conversely, in emerging market economies, macroprudential policy as well as foreign exchange intervention and/or capital flow management policy can help mitigate the corresponding impact. This can in turn generate spillbacks on advanced economies — spillbacks that have become more sizeable as the emerging market economies' heft in the world has grown. Yet little is known about these interactions.The contents of this book are based on a conference held on 26-28 May 2021 and jointly hosted by the Monetary Authority of Singapore (MAS) and the Bank for International Settlements (BIS). It aims to contribute to existing literature on macro-financial policymaking by providing an overall conceptual framework and documenting the latest global trends and country experiences. In particular, it highlights the role of international spillovers and spillbacks, paying particular attention to emerging market economies. This book is essential reading for academics, graduate students and economic professionals. It can also serve as a handbook for policymakers at central banks, regulatory authorities and other government agencies tasked with designing and implementing macroprudential or more generally macro-financial stability policies. The book will also be of interest to researchers at international organisations.

Download or read book Financial Crises in DSGE Models written by Mr.Jaromir Benes and published by International Monetary Fund. This book was released on 2014-04-04 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the theoretical structure of MAPMOD, a new IMF model designed to study vulnerabilities associated with excessive credit expansions, and to support macroprudential policy analysis. In MAPMOD, bank loans create purchasing power that facilitates adjustments in the real economy. But excessively large and risky loans can impair balance sheets and sow the seeds of a financial crisis. Banks respond to losses through higher spreads and rapid credit cutbacks, with adverse effects for the real economy. These features allow the model to capture the basic facts of financial cycles. A companion paper studies the simulation properties of MAPMOD.

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 Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).