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Author: Yu-Fan Huang Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
This paper investigates how the term spread and the credit spread affect real output in the long-run. Predictive regression estimates imply that high term spreads signal long-lasting increases in output, while high credit spreads signal brief economic contraction. However, an impulse response analysis indicates that a positive shock in the credit spread leads to higher term spreads possibly due to monetary policy reactions. This interaction between term and credit spreads may lead to the inability of the credit spread to signal long-lasting changes in output. I thus specify a Vector Autoregression model and conduct a counterfactual analysis, which shuts down the interaction between spreads. The results using US data are summarized as follows: (i) a positive term spread shock, due to a TFP news shock, rises real output permanently; (ii) without the induced changes in the term spread, a positive credit spread shock causes the trend output to decline because of tight credit supply condition.
Author: Yu-Fan Huang Publisher: ISBN: Category : Languages : en Pages : 28
Book Description
This paper investigates how the term spread and the credit spread affect real output in the long-run. Predictive regression estimates imply that high term spreads signal long-lasting increases in output, while high credit spreads signal brief economic contraction. However, an impulse response analysis indicates that a positive shock in the credit spread leads to higher term spreads possibly due to monetary policy reactions. This interaction between term and credit spreads may lead to the inability of the credit spread to signal long-lasting changes in output. I thus specify a Vector Autoregression model and conduct a counterfactual analysis, which shuts down the interaction between spreads. The results using US data are summarized as follows: (i) a positive term spread shock, due to a TFP news shock, rises real output permanently; (ii) without the induced changes in the term spread, a positive credit spread shock causes the trend output to decline because of tight credit supply condition.
Author: Marzie Taheri Sanjani Publisher: International Monetary Fund ISBN: 1484336550 Category : Business & Economics Languages : en Pages : 33
Book Description
This paper investigates financial frictions in US postwar data to understand the interaction between the real business cycle and the credit market. A Bayesian estimation technique is used to estimate a large Vector Autoregression and New Keynesian models demonstrating how financial shocks can have a large and sluggish impact on the economy. I identify the default risk and the maturity mismatch channels of monetary policy transmission; I further employ a generalized-IRF to establish countercyclicality of risk spreads; and I show that the maturity mismatch shocks produce a stronger impact than the default risk shocks.
Author: Pierre-Richard Agénor Publisher: World Bank Publications ISBN: Category : Argentina Languages : en Pages : 36
Book Description
A positive historical shock to external spreads can lead to an increase in domestic spreads and a reduction in the cyclical component of output. Shocks to external spreads immediately after the Mexican peso crisis had a sizable effect on movements in output and domestic interest rate spreads in Argentina.
Author: Mr.Damiano Sandri Publisher: International Monetary Fund ISBN: 1463938454 Category : Business & Economics Languages : en Pages : 26
Book Description
We develop a dynamic stochastic general equilibrium model with financial frictions on both financial intermediaries and goods-producing firms. In this context, due to high leverage of financial intermediaries, balance sheet disruptions in the financial sector are particularly detrimental for aggregate output. We show that the welfare gains from recapitalizing the financial sector in response to large but rare net worth losses are as large as those from eliminating business cycle fluctuations. We also find that these gains are increasing in the size of the net worth loss, are larger when recapitalization funds are raised from the household rather than the real sector, and may increase with a reduction in financial intermediaries idiosyncratic risk.
Author: International Monetary Fund. Research Dept. Publisher: International Monetary Fund ISBN: 1475558538 Category : Business & Economics Languages : en Pages : 16
Book Description
The Research Summaries in the September 2013 IMF Research Bulletin focus on “External Conditions and Debt Sustainability in Latin America” (Gustavo Adler and Sebastian Sosa) and “Monetary Policy Cyclicality in Emerging Markets” (Donal McGettigan, Kenji Moriyama, and Chad Steinberg). In the Q&A, Itai Aigur and Sunil Sharma discuss “Seven Questions on Macroprudential Policy Frameworks.” The Research Bulletin also includes an updated listing of recent IMF Working Papers, Staff Discussion Notes, and Recommended Readings from the IMF Bookstore, as well as information on a forthcoming conference. The IMF Economic Review’s new Impact Factor is also highlighted.
Author: Tobias Adrian Publisher: DIANE Publishing ISBN: 1437930905 Category : Business & Economics Languages : en Pages : 35
Book Description
This is a print on demand edition of a hard to find publication. The financial crisis of 2007-09 highlighted the changing role of financial institutions and the growing importance of the ¿shadow banking system,¿ which grew out of the securitization of assets and the integration of banking with capital market developments. In a market-based financial system, banking and capital market developments are inseparable, and funding conditions are tied closely to fluctuations in the leverage of market-based financial intermediaries. This report describes the changing nature of financial intermediation in the market-based financial system, charts the course of the recent financial crisis, and outlines the policy responses that have been implemented by the Fed. Reserve and other central banks. Charts and tables.
Author: José António Tenreiro Machado Publisher: Springer Science & Business Media ISBN: 146140231X Category : Technology & Engineering Languages : en Pages : 328
Book Description
Nonlinear Dynamics of Complex Systems describes chaos, fractal and stochasticities within celestial mechanics, financial systems and biochemical systems. Part I discusses methods and applications in celestial systems and new results in such areas as low energy impact dynamics, low-thrust planar trajectories to the moon and earth-to-halo transfers in the sun, earth and moon. Part II presents the dynamics of complex systems including bio-systems, neural systems, chemical systems and hydro-dynamical systems. Finally, Part III covers economic and financial systems including market uncertainty, inflation, economic activity and foreign competition and the role of nonlinear dynamics in each.
Author: John B. Taylor Publisher: Elsevier ISBN: 9780444501585 Category : Business & Economics Languages : en Pages : 600
Book Description
Part 6: Financial Markets and the Macroeconomy. 19. Asset prices, consumption, and the business cycle (J.Y. Campbell). 20. Human behavior and the efficiency of the financial system (R.J. Shiller). 21. The financial accelerator in a quantitative business cycle framework (B. Bernanke, M. Gertler and S. Gilchrist). Part 7: Monetary and Fiscal Policy. 22. Political economics and macroeconomic policy (T. Persson, G. Tabellini). 23. Issues in the design of monetary policy rules (B.T. McCallum). 24. Inflation stabilization and BOP crises in developing countries (G.A. Calvo, C.A. Vegh). 25. Government debt (D.W. Elmendorf, N.G. Mankiw). 26. Optimal fiscal and monetary policy (V.V. Chari, P.J. Kehoe).
Author: Mr. Tobias Adrian Publisher: International Monetary Fund ISBN: Category : Business & Economics Languages : en Pages : 87
Book Description
We propose the conditional volatility of GDP spanned by financial factors as a “Volatility Financial Conditions Index” (VFCI) and show it is closely tied to the market price of risk. The VFCI exhibits superior explanatory power for stock and bond risk premia compared to other FCIs. We use a variety of identification strategies and instruments to demonstrate robust causal relationships between the VFCI and macroeconomic aggregates: a tightening of financial conditions as measured by the VFCI leads to a persistent contraction of output and triggers an immediate easing of monetary policy. Conversely, contractionary monetary policy shocks cause tighter financial conditions.
Author: Yu-Fan Huang
Author: Yu-Fan Huang
Author: Marzie Taheri Sanjani
Author: Pierre-Richard Agénor
Author: Mr.Damiano Sandri
Author: International Monetary Fund. Research Dept.
Author: Tobias Adrian
Author: José António Tenreiro Machado
Author: John B. Taylor
Author: Mr. Tobias Adrian
Author: