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Asia and Pacific > Thailand

You are looking at 1 - 6 of 6 items for :

  • Type: Journal Issue x
  • Business Fluctuations; Cycles x
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Cover IMF Working Papers
Unveiling the Dance of Commodity Prices and the Global Financial Cycle
Luciana Juvenal
and
Ivan Petrella
We examine the impact of commodity price changes on the business cycles and capital flows in emerging markets and developing economies (EMDEs), distinguishing between their role as a source of shock and as a channel of transmission of global shocks. Our findings reveal that surges in export prices, triggered by commodity price shocks, boost domestic GDP, an effect further amplified by the endogenous decline of country spreads. However, the effects on capital flows appear muted. Shifts in U.S. monetary policy and global risk appetite drive the global financial cycle in EMDEs. Eased global credit conditions, attributed to looser U.S. monetary policy or lower global risk appetite, lead to a rise in export prices, higher output, a decrease in government borrowing costs, and stimulate greater capital flows. The endogenous response of export prices amplifies the output effects of a more accommodative U.S. monetary policy while country spreads magnify the impact of shifts in global risk appetite.
Keywords:
risk appetite; energy commodity; commodity channel; commodity price instrument; commodity event; impact of commodity price fluctuation; commodity export; fluctuations in commodity price; monetary policy shock; commodity prices to shock; interaction term; commodity prices to a BAA; commodity c; Commodity prices; Export prices; Capital flows; Commodity price shocks; Commodity price fluctuations; Global
Cover IMF Working Papers
On the Macroeconomic Consequences of Over-Optimism
Paul Beaudry
and
Tim Willems
Is over-optimism about a country's future growth perspective good for an economy, or does over-optimism also come with costs? In this paper we provide evidence that recessions, fiscal problems, as well as Balance of Payment-difficulties are more likely to arise in countries where past growth expectations have been overly optimistic. To examine this question, we look at the medium-run effects of instances of over-optimism or caution in IMF forecasts. To isolate the causal effect of over-optimism we take an instrumental variables approach, where we exploit variation provided by the allocation of IMF Mission Chiefs across countries. As a necessary first step, we document that IMF Mission Chiefs tend to systematically differ in their individual degrees of forecast-optimism or caution. The mechanism that transforms over-optimism into a later recession seems to run through higher debt accumulation, both public and private. Our findings illustrate the potency of unjustified optimism and underline the importance of basing economic forecasts upon realistic medium-term prospects.
Keywords:
WP; real GDP; noise shocks; sentiment; forecasts; recessions; IMF country team; recession dummy; IMF mission chief; IMF decision makers; IMF team; Estimation techniques; Global
Cover IMF Working Papers
Inflation Reports and Models: How Well Do Central Banks Really Write?
Mr. Ales Bulir
,
Jaromír Hurník
, and
Ms. Katerina Smídková
We offer a novel methodology for assessing the quality of inflation reports. In contrast to the existing literature, which mostly evaluates the formal quality of these reports, we evaluate their economic content by comparing inflation factors reported by the central banks with ex-post model-identified factors. Regarding the former, we use verbal analysis and coding of inflation reports to describe inflation factors communicated by central banks in real time. Regarding the latter, we use reduced-form, new Keynesian models and revised data to approximate the true inflation factors. Positive correlations indicate that the reported inflation factors were similar to the true, model-identified ones and hence mark high-quality inflation reports. Although central bank reports on average identify inflation factors correctly, the degree of forward-looking reporting varies across factors, time, and countries.
Keywords:
WP; inflation factor; inflation report; correlation Between Reported; inflation target; report communication; Inflation targeting; Kalman filter; monetary policy communication; correlation coefficient; inflation expectation; inflation deviation; Inflation; Exchange rates; Communications in revenue administration; Global
Cover IMF Working Papers
Workers’ Remittances: An Overlooked Channel of International Business Cycle Transmission?
Mr. Adolfo Barajas
,
Mr. Ralph Chami
,
Mr. Christian H Ebeke
, and
Mr. Sampawende J Tapsoba
This paper shows that remittance flows significantly increase the business cycle synchronization between remittance-recipient countries and the rest of the world. Using both aggregate and bilateral remittances data in a panel data setting, the study demonstrates that this effect is robust and causal. Moreover, the econometric analysis reveals that remittance flows are more effective in channeling economic downturns than upswings from the sending countries to remittance-receiving economies. The analysis suggests that measures of openness and spillovers could be enhanced by accounting for the role of the remittances channel.
Keywords:
WP; remittance flow; Remittances; Business Cycle Synchronization; Trade; Spillovers; remittance inflow; sending country; remittance ratio; Business cycles; Foreign direct investment; Terms of trade; Global
Cover IMF Working Papers
Default, Credit Growth, and Asset Prices
Mr. C. A. E. Goodhart
,
Miguel A. Segoviano
, and
Boris Hofmann
This paper uses a Merton-type estimate of the probability of default (PoD) for the main banks in a sample of Organization for Economic Cooperation and Development and middle-income countries as a proxy for the fragility of their banking systems. Based on theory and stylized facts, the paper explores a range of financial and real variables that explain such PoDs across time. We find property price fluctuations and bank credit to be important explanatory factors. There is two-way interaction between these variables and a clearer relationship when the variables are entered as a deviation from trend. The lag structure between such developments and PoDs is long and varies widely across countries. The paper assesses the implications of these findings for economic policy.
Keywords:
WP; asset price; price bubble; property price; bank lending; Probability of default; credit risk; systemic risk; macroeconomic shocks; stress testing; financial surveillance; price variable; property boom; asset gap variable; asset price dynamics; asset price shock; asset price fluctuation; asset price surge; equity price; assets decrease; short interest; bank PoDs; asset price gap; Asset prices; Bank credit; Land prices; Credit; Financial statistics; East Asia
Cover IMF Working Papers
Using Credit Ratings for Capital Requirementson Lending to Emerging Market Economies: Possible Impact of a New Basel Accord
Mr. Christian B. Mulder
and
Brieuc Monfort
The Basel Committee on Banking Supervision has proposed linking capital requirements for bank loans to ratings by commercial credit rating agencies. Estimates for 20 emerging market economies show that sovereign ratings react procyclically to crisis indicators. Ratings deteriorate if the real effective exchange rate depreciates, in contrast with the positive effect on overall debt service capacity depreciations are normally supposed to have. Simulations show that linking capital requirements to ratings would have drastically increased these requirements during the crisis periods after decreasing them in the run up to the crises. Simulations suggest modest efficiency gains of using sovereign credit ratings for capital requirements on emerging market lending.
Keywords:
WP; rating agency; capital requirement; transfer risk rating; rating behavior; Rating agencies; capital requirements; economic crises; emerging markets; rating model; shadow rating; sovereign rating; Emerging and frontier financial markets; Loans; Basel Core Principles; Real effective exchange rates; Bank credit; Africa; Asia and Pacific