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Short-Term Wholesale Funding and Systemic Risk : A Global Covar Approach

International Monetary Fund - 2012

In this paper we identify some of the main factors behind systemic risk in a set of international large-scale complex banks using the novel CoVaR approach. We find that short-term wholesale funding is a key determinant in triggering systemic risk episodes. In contrast, we find no evidence that a...

Persistent link: https://www.econbiz.de/10014396950

Interconnectedness of global systemically-important banks and insurers

Malik, Sheheryar; Xu, TengTeng - 2017

) has important financial stability implications. This paper examines connectedness among United States, European and Asian … 2016. Results reveal strong regional clusters of return and volatility connectedness amongst GSIBs and GSIIs. Compared to …-based connectedness. Total system connectedness-i.e., among all GSIBs and GSIIs-tends to rise during financial stress, which is …

Persistent link: https://www.econbiz.de/10011743090

Modeling banking, sovereign, and macro risk in a CCA global VAR

Gray, Dale; Groß, Marco; Paredes, Joan; Sydow, Matthias - 2013

estimation and calibration of the global model, we simulate various negative and positive shock scenarios, particularly to bank …

Persistent link: https://www.econbiz.de/10012667482

Fiscal Foresight and Information Flows

Walker, Todd B. - 2012

News - or foresight - about future economic fundamentals can create rational expectations equilibria with non-fundamental representations that pose substantial challenges to econometric efforts to recover the structural shocks to which economic agents react. Using tax policies as a leading...

Persistent link: https://www.econbiz.de/10014396510

Desynchronized : The Comovement of Non-Hydrocarbon Business Cycles in the GCC

Cevik, Serhan - 2011

This paper investigates the empirical characteristics of business cycles and the extent of cyclical comovement in the Gulf Cooperation Council (GCC) countries, using various measures of synchronization for non-hydrocarbon GDP and constituents of aggregate demand during the period 1990-2010. By...

Persistent link: https://www.econbiz.de/10014397084

Fiscal foresight and information flows

Leeper, Eric M.; Walker, Todd B.; Yang, Shu-Chun S. - 2012

Persistent link: https://www.econbiz.de/10009618558

The U.S. oil supply revolution and the global economy

Mohaddes, Kamiar; Raissi, Mehdi - 2015

This paper investigates the global macroeconomic consequences of falling oil prices due to the oil revolution in the United States, using a Global VAR model estimated for 38 countries/regions over the period 1979Q2 to 2011Q2. Set-identification of the U.S. oil supply shock is achieved through...

Persistent link: https://www.econbiz.de/10011445835

Transitory and permanent shocks in the global market for crude oil

Rebei, Nooman; Sbia, Rashid - 2020

This paper documents the determinants of real oil price in the global market based on SVAR model embedding transitory and permanent shocks on oil demand and supply as well as speculative disturbances. We find evidence of significant differences in the propagation mechanisms of transitory versus...

Persistent link: https://www.econbiz.de/10012251290

The role of domestic and external shocks in Poland : results from an agnostic estimation procedure

Andrle, Michal; Garcia-Saltos, Roberto; Ho, Giang - 2013

This paper discusses interlinkages between Poland and the euro zone using a simple and agnostic econometric approach. Specifically, we estimate a trend-cycle VAR model using data for real and nominal variables, imposing powerful but uncontroversial assumptions that allow us to identify how...

Persistent link: https://www.econbiz.de/10012667431

Fiscal Discipline and the Cost of Public Debt Service : Some Estimates for OECD Countries

Caselli, Francesco - 1998

Is there any systematic explanation of variations in the cost of debt servicing over time and across countries? This paper examines the influence of fiscal variables on borrowing costs in a panel of OECD countries, showing that these variables have a significant role. In particular, an...

Persistent link: https://www.econbiz.de/10014400821