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Asia and Pacific > India

You are looking at 1 - 9 of 9 items for :

  • Type: Journal Issue x
  • Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes x
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Cover IMF Working Papers
Variance Decomposition Networks: Potential Pitfalls and a Simple Solution
Mr. Jorge A Chan-Lau
Diebold and Yilmaz (2015) recently introduced variance decomposition networks as tools for quantifying and ranking the systemic risk of individual firms. The nature of these networks and their implied rankings depend on the choice decomposition method. The standard choice is the order invariant generalized forecast error variance decomposition of Pesaran and Shin (1998). The shares of the forecast error variation, however, do not add to unity, making difficult to compare risk ratings and risks contributions at two different points in time. As a solution, this paper suggests using the Lanne-Nyberg (2016) decomposition, which shares the order invariance property. To illustrate the differences between both decomposition methods, I analyzed the global financial system during 2001 – 2016. The analysis shows that different decomposition methods yield substantially different systemic risk and vulnerability rankings. This suggests caution is warranted when using rankings and risk contributions for guiding financial regulation and economic policy.
Keywords:
WP; insurance company; life insurance; SHINKONG insurance co Ltd; networks; interconnectedness; systemic risk; regularization techniques; global financial system; variance decomposition; VAR; state bank; partial correlation; BEJNG Co.; SCOR SE; Wells fargo; casualty company Ltd; Erie indemnity Co; Insurance companies; Insurance; Vector autoregression; Commercial banks; Africa; Global; Asia and Pacific
Cover IMF Working Papers
China's Slowdown and Global Financial Market Volatility: Is World Growth Losing Out?
Mr. Paul Cashin
,
Mr. Kamiar Mohaddes
, and
Mr. Mehdi Raissi
China's GDP growth slowdown and a surge in global financial market volatility could both adversely affect an already weak global economic recovery. To quantify the global macroeconomic consequences of these shocks, we employ a GVAR model estimated for 26 countries/regions over the period 1981Q1 to 2013Q1. Our results indicate that (i) a one percent permanent negative GDP shock in China (equivalent to a one-off one percent growth shock) could have significant global macroeconomic repercussions, with world growth reducing by 0.23 percentage points in the short-run; and (ii) a surge in global financial market volatility could translate into a fall in world economic growth of around 0.29 percentage points, but it could also have negative short-run impacts on global equity markets, oil prices and long-term interest rates.
Keywords:
WP; China’s slowdown; global financial market volatility; international business cycle; Global VAR; financial market volatility; world commodity market; GVAR model; slowdown pose; volatility shock; trade weight; growth spillover; commodity price linkage; China slowdown; Vector autoregression; Oil prices; Financial soundness indicators; Long term interest rates; Plurilateral trade; Global
Cover IMF Working Papers
Fair Weather or Foul? The Macroeconomic Effects of El Niño
Mr. Paul Cashin
,
Mr. Kamiar Mohaddes
, and
Mr. Mehdi Raissi
This paper employs a dynamic multi-country framework to analyze the international macroeconomic transmission of El Niño weather shocks. This framework comprises 21 country/region-specific models, estimated over the period 1979Q2 to 2013Q1, and accounts for not only direct exposures of countries to El Niño shocks but also indirect effects through thirdmarkets. We contribute to the climate-macroeconomy literature by exploiting exogenous variation in El Niño weather events over time, and their impact on different regions crosssectionally, to causatively identify the effects of El Niño shocks on growth, inflation, energy and non-fuel commodity prices. The results show that there are considerable heterogeneities in the responses of different countries to El Niño shocks. While Australia, Chile, Indonesia, India, Japan, New Zealand and South Africa face a short-lived fall in economic activity in response to an El Niño shock, for other countries (including the United States and European region), an El Niño occurrence has a growth-enhancing effect. Furthermore, most countries in our sample experience short-run inflationary pressures as both energy and non-fuel commodity prices increase. Given these findings, macroeconomic policy formulation should take into consideration the likelihood and effects of El Niño weather episodes.
Keywords:
WP; El Niño shock; primary sector; El Niño weather shocks; oil and non-fuel commodity prices; global macroeconometric modeling; international business cycle; El Niño event; El Niño weather shock; El Niño-economy relationship; El Niño condition; El Niño year; Commodity prices; Inflation; Oil prices; Vector autoregression; Natural disasters; Global; Europe; Africa; South America; Asia and Pacific
Cover IMF Working Papers
Spillovers to Low-Income Countries: Importance of Systemic Emerging Markets
Ms. Era Dabla-Norris
,
Mr. Raphael A Espinoza
, and
Mrs. Sarwat Jahan
This paper documents the expanding economic linkages between low-income countries (LICs) and a narrow group of "Emerging Market leaders" that have become major players in regional and global trade and financial flows. VAR models show that these linkages have increased the share of growth volatility that can be attributed to foreign shocks in LICs. Dynamic panel models further analyze the impact of LIC trade orientation and production structure on the sensitivity to foreign shocks. The empirical results demonstrate that the elasticity of growth to trading partners' growth is high for LICs in Asia, Latin America and the Caribbean, and Europe and Central Asia. However, for commodity-exporting LICs in Sub-Saharan Africa and the Middle East, terms of trade shocks and demand from the emerging market leaders are the main channels of transmission of foreign shocks.
Keywords:
WP; EM leader; LIC growth prospect; LICS in SSA; MNA region; LICS in Asia; Growth Spillovers; Low-Income Countries; Economic Integration; Decoupling; Vector Autoregression; Panel Estimate; commodity exporter; Spillovers; Exports; Foreign direct investment; Emerging and frontier financial markets; Commodity price fluctuations; Global; Asia and Pacific; Africa
Cover IMF Working Papers
Information Rigidity in Growth Forecasts: Some Cross-Country Evidence
Ms. Natalia T. Tamirisa
,
Mr. Prakash Loungani
, and
Mr. Herman O. Stekler
We document information rigidity in forecasts for real GDP growth in 46 countries over the past two decades. We investigate: (i) if rigidities are lower around turning points in the economy, such as in times of recessions and crises; (ii) if rigidities differ across countries, particularly between advanced countries and emerging markets; and (iii) how quickly forecasters incorporate news about growth in other countries into their growth forecasts, with a focus on how advanced countries‘ growth forecasts incorporate news about emerging market growth and vice versa.
Keywords:
WP; data set; Information rigidity; forecasts; recessions; crises; banking crisis; recession episode; recession year; possibility recession; banking crises episode; Banking crises; Rational expectations; Emerging and frontier financial markets; Vector autoregression; Middle East; Western Hemisphere; Europe; Africa; Asia and Pacific
Cover IMF Working Papers
New Indicators for Tracking Growth in Real Time
Mr. Troy D Matheson
We develop monthly indicators for tracking growth in 32 advanced and emerging-market economies. We test the historical performance of our indicators and find that they do a good job at describing the business cycle. In a recursive out-of-sample forecasting exercise, we find that the indicators generally produce good GDP growth forecasts relative to a range of time series models.
Keywords:
WP; real GDP
Cover Global Financial Stability Report, October 2007
Global Financial Stability Report, October 2007
Financial Market Turbulence Causes, Consequences, and Policies
International Monetary Fund. Monetary and Capital Markets Department

Abstract

Published twice yearly, the Global Financial Stability Report (GFSR) was created to provide a more frequent assessment of global financial markets by the IMF and to address emerging market financing in a global context. It provides timely analysis of developments in both mature and emerging market countries and seeks to identify potential fault lines in the global financial system that could lead to crisis. The GFSR aims to deepen its readers’ understanding of global capital flows, which play a critical role as an engine of world economic growth. Of key value, the report focuses on current conditions in global financial markets, highlighting issues of financial imbalances, and of a structural nature, that could pose risks to financial market stability and sustained market access by emerging market borrowers.

Keywords:
GFSR; market; securities; emerging market; asset; commercial paper; market participant; market liquidity; market dynamics; money market securities; market turmoil; Emerging and frontier financial markets; Hedge funds; Capital inflows; Credit; Vector autoregression; Global; Asia and Pacific; Africa; Europe; Middle East; market infrastructure; U.S. dollar; cash market need; Caribbean
Cover IMF Working Papers
What Explains Germany’s Rebounding Export Market Share?
Mr. Frederick L Joutz
and
Mr. Stephan Danninger
Germany's export market share increased since 2000, while most industrial countries experienced declines. This study explores four explanations and evaluates their empirical contributions: (i) improved cost competitiveness, (ii) ties to fast growing trading partners, (iii) increased demand for capital goods, and (iv) regionalized production of goods (e.g. offshoring). An export model is estimated covering the period 1993-2005. The dominant factors explaining the increase in market share are trade relationships with fast growing countries and regionalized production in the export sector. Improved cost competitiveness had a comparatively smaller impact. There is no conclusive evidence of increased demand for capital goods.
Keywords:
WP; export; export growth; export demand model; market share; cost competitiveness; export model; export market share; export demand; Exports; Export performance; Labor costs; Imports; Wage bargaining; Global
Cover IMF Working Papers
Is Foreign Debt Portfolio Management Efficient in Emerging Economies?
Mr. Khaled Hussein
This paper develops a simple model of foreign debt portfolio management. The model suggests that, under mild conditions, the currency composition of a country's foreign debt portfolio is responsive to exchange rate movements. Empirical evidence is provided for a panel of 14 emerging economies in the period 1970-98. Attention is focused on the stocks of foreign liabilities denominated in U.S. dollars, deutsche marks (DM), Japanese yen, and Swiss francs. The results of the empirical analysis show that foreign debt portfolio management has been sub-optimal in the countries under examination. In these countries, the currency composition of foreign debt has not reflected a substitution effect away from the currencies that have appreciated over time vis-à-vis the U.S. dollar.
Keywords:
WP; U.S. dollar; debt share; deutsche mark; portfolio management; Foreign debt; emerging economies; exchange rates; exchange rate movement; portfolio manager; Currencies; Government debt management; Debt management; Central and Eastern Europe; Asia and Pacific; Central America; Global