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Global Long-run Risk and International Business Cycles : A Factor-Stochastic Volatility Approach

Figueiredo, Calebe - 2018

We extract a global factor from cross-country output growth since 1960. We find that the fluctuations of the global factor are typically small, with the annualized unconditional volatility estimated at 0.06%, but highly persistent, with estimated persistence at 0.98. Evidence of time variation...

Persistent link: https://www.econbiz.de/10012908986

International macroeconomic vulnerability

Velloso, João; Garcia, Márcio Gomes Pinto; Guillen, Diogo - 2022

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open...

Persistent link: https://www.econbiz.de/10012814956

Business cycle volatility and globalization : a survey

Buch, Claudia M. - 2002

The globalization of capital and product markets has many implications for economic welfare. Countries can specialize in the production of goods for which they have comparative advantages, and capital is allocated more efficiently. However, one potentially adverse effect of globalization is the...

Persistent link: https://www.econbiz.de/10011474806

Real‐time weakness of the global economy

Leiva‐Leon, Danilo; Pérez-Quirós, Gabriel; Rots, Eyno - 2020

provides a consistent narrative of the main regional contributors of world economy's weakness. Third, it allows to perform …

Persistent link: https://www.econbiz.de/10012249766

International Business Cycles and Exchange Rates

Zimmermann, Christian - 2001

International real business cycle models are not able to account for the high volatility of exports, imports, the trade balance and the terms of trade. By introducing exogenous exchange rate movements in addition to standard technological shocks, the model presented here comes much closer to...

Persistent link: https://www.econbiz.de/10014214281

International Business Cycles and Exchange Rates

Zimmermann, Christian - 1999

International real business cycle models are not able to account for the high volatility of imports, exports, the trade balance and the terms of trade. By introducing exogenous exchange rate movements in addition to standard technological shocks, the model presented here comes much closer to...

Persistent link: https://www.econbiz.de/10014184124

Global macro-financial cycles and spillovers

Ha, Jongrim; Kose, M. Ayhan; Otrok, Christopher M.; … - 2020

We develop a new dynamic factor model that allows us to jointly characterize global macroeconomic and financial cycles and the spillovers between them. The model decomposes macroeconomic cycles into the part driven by global and country-specific macro factors and the part driven by spillovers...

Persistent link: https://www.econbiz.de/10012178610

Global macro-financial cycles and spillovers

Ha, Jongrim; Kose, M. Ayhan; Otrok, Christopher M.; … - 2020 - This version: February 2020

Persistent link: https://www.econbiz.de/10012170616

Global vs. group-specific business cycles : the importance of defining the groups

Berger, Tino; Wortmann, Marcus - 2018

, most evidently in the industrialized world. The group-specific factors, on the other hand, play a much greater role for …

Persistent link: https://www.econbiz.de/10011782436

China's emergence in the world economy and business cycles in Latin America

Cesa-Bianchi, Ambrogio; Pesaran, M. Hashem; Rebucci, … - 2012

world have altered the transmission mechanism of international business cycles to Latin America. Evidence based on a Global … world shows that the long-term impact of a China GDP shock on the typical Latin American economy has increased by three … associated with a deceleration in China's economic growth in the future for both Latin America and the rest of the world economy …

Persistent link: https://www.econbiz.de/10009627525

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