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The Comovement in Commodity Prices

The Comovement in Commodity Prices »

Source: The Comovement in Commodity Prices : Sources and Implications

Volume/Issue: 2013/140

Series: IMF Working Papers

Author(s): Ron Alquist , and Olivier Coibion

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

ISBN: 9781484378144

Keywords: comovement, factor models, factor analysis, global production, agricultural commodities, idiosyncratic shocks, International Business Cycles, comovement: factor models,

We present a simple macroeconomic model with a continuum of primary commodities used in the production of the final good, such that the real prices of commodities have a factor structure. One factor captures the co...

Understanding U.S. Wage Dynamics

Understanding U.S. Wage Dynamics »

Source: Understanding U.S. Wage Dynamics

Volume/Issue: 2018/138

Series: IMF Working Papers

Author(s): Yasser Abdih , and Stephan Danninger

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 15 June 2018

ISBN: 9781484362082

Keywords: United States, Western Hemisphere, Productivity, Wage growth, slack, routinization, offshoring, globalization, Aggregate Factor Income Distribution, Forecasting and Simulation

In this paper, we undertake empirical analysis to understand U.S. wage behavior since the beginning of the new millennium. At the macroeconomic level, we find that a productivity-augmented Phillips curve model expl...

Why Is Labor Receiving a Smaller Share of Global Income? Theory and Empirical Evidence

Why Is Labor Receiving a Smaller Share of Global Income? Theory and Empirical Evidence »

Source: Why Is Labor Receiving a Smaller Share of Global Income? Theory and Empirical Evidence

Volume/Issue: 2017/169

Series: IMF Working Papers

Author(s): Mai Chi Dao , Mitali Das , Zsoka Koczan , and Weicheng Lian

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 24 July 2017

ISBN: 9781484311042

Keywords: labor share, routinization, automation, global value chains, Aggregate Factor Income Distribution, Globalization: Labor, Technological Change: Choices and Consequences

This paper documents the downward trend in the labor share of global income since the early 1990s, as well as its heterogeneous evolution across countries, industries and worker skill groups, using a newly assemble...

Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses*

Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses* »

Source: Global Liquidity Transmission to Emerging Market Economies, and Their Policy Responses

Volume/Issue: 2017/222

Series: IMF Working Papers

Author(s): Woon Choi , Taesu Kang , Geun-Young Kim , and Byongju Lee

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 30 October 2017

ISBN: 9781484325216

Keywords: Global liquidity, Inflation targeting, Panel Factor-Augmented VAR, International Policy Coordination and Transmission

This paper distills and identifies global liquidity (GL) momenta from the macro-financial data of advanced economies through a factor model with sign restrictions as policy-driven, market-driven, and risk aversenes...

Push Factors and Capital Flows to Emerging Markets

Push Factors and Capital Flows to Emerging Markets »

Source: Push Factors and Capital Flows to Emerging Markets : Why Knowing Your Lender Matters More Than Fundamentals

Volume/Issue: 2015/127

Series: IMF Working Papers

Author(s): Eugenio Cerutti , Stijn Claessens , and Damien Puy

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 June 2015

ISBN: 9781513526638

Keywords: Push factors, global banks, markets, portfolio, Financial Aspects of Economic Integration, Portfolio Choice,

This paper analyzes the behavior of gross capital inflows across 34 emerging markets (EMs). We first confirm that aggregate inflows to EMs co-move considerably. We then report three findings: (i) the aggregate co-m...

Capital Flows are Fickle

Capital Flows are Fickle »

Source: Capital Flows are Fickle : Anytime, Anywhere

Volume/Issue: 2013/183

Series: IMF Working Papers

Author(s): John Bluedorn , Rupa Duttagupta , Jaime Guajardo , and Petia Topalova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 August 2013

ISBN: 9781484389041

Keywords: international capital flows, volatility, persistence, comovement, global factors, net capital flows, capital inflows, private capital flows,

Has the unprecedented financial globalization of recent years changed the behavior of capital flows across countries? Using a newly constructed database of gross and net capital flows since 1980 for a sample of nea...

Inequality, Leverage and Crises: The Case of Endogenous Default

Inequality, Leverage and Crises: The Case of Endogenous Default »

Source: Inequality, Leverage and Crises : The Case of Endogenous Default

Volume/Issue: 2013/249

Series: IMF Working Papers

Author(s): Michael Kumhof , Romain Ranciere , and Pablo Winant

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 17 December 2013

ISBN: 9781484310762

Keywords: wealth inequality, debt leverage, wealth in utility, global solution methods, recession, crisis probability, Aggregate Factor Income Distribution, Financial Markets and the Macroeconomy, wealth inutility, global solution methods.,

The paper studies how high household leverage and crises can arise as a result of changes in the income distribution. Empirically, the periods 1920-1929 and 1983-2008 both exhibited a large increase in the income s...

Volatility and Comovement in a Globalized World Economy

Volatility and Comovement in a Globalized World Economy »

Source: Volatility and Comovement in a Globalized World Economy : An Empirical Exploration

Volume/Issue: 2003/246

Series: IMF Working Papers

Author(s): Ayhan Kose , Marco Terrones , and Eswar Prasad

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2003

ISBN: 9781451875874

Keywords: macroeconomic fluctuations, volatility, correlations, globalization period, business cycle, growth rates, Open Economy Macroeconomics, International Policy Coordination and Transmission, International Factor Movements and International Business,

This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant de...

The Structural Determinants of the Labor Share in Europe

The Structural Determinants of the Labor Share in Europe »

Source: The Structural Determinants of the Labor Share in Europe

Volume/Issue: 2019/67

Series: IMF Working Papers

Author(s): Dilyana Dimova

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 March 2019

ISBN: 9781498302920

Keywords: National income, Labor market reforms, National income accounts, Economic integration, Labor market policy, labor share, technology, employment policies, globalization, employment protection

The labor share in Europe has been on a downward trend. This paper finds that the decline is concentrated in manufacture and among low- to mid-skilled workers. The shifting nature of employment away from full-time...

Global Factors in the Term Structure of Interest Rates

Global Factors in the Term Structure of Interest Rates »

Source: Global Factors in the Term Structure of Interest Rates

Volume/Issue: 2013/223

Series: IMF Working Papers

Author(s): Mirko Abbritti , Salvatore Dell'Erba , Antonio Moreno , and Sergio Sola

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 November 2013

ISBN: 9781475513516

Keywords: Yield Curve, Global Factors, FAVAR, Affine Term Structure Models, Term Premium, inflation, monetary economics, expansionary monetary policy, monetary policies, Time-Series Models

This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield curves and show that global factors account for more...