Modeling With Macro Financial Linkages
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| Author | : Ms.Inci Ötker |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2009-06-01 |
| Genre | : Business & Economics |
| ISBN | : 1451872704 |
This paper develops a stylized, small, open economy macro model that incorporates an explicit and non-trivial role for financial intermediation. It illustrates how such a model could be used for policy analysis in an emerging market economy where policymakers are concerned about risks associated with rapid credit growth, financial dollarization, and foreign borrowing, while lacking traditional tools to effect monetary policy transmission, and hence could resort to more direct instruments, such as foreign exchange market intervention and regulatory and administrative measures. Calibrating the model to a stylized emerging European economy, the paper simulates real and financial sector implications of various external and policy-related shocks that could be used as input for monetary policy making.
| Author | : Otaviano Canuto |
| Publisher | : World Bank Publications |
| Total Pages | : 307 |
| Release | : 2013-10-29 |
| Genre | : Business & Economics |
| ISBN | : 1464800030 |
This book deals with the challenges of macro financial linkages in the emerging markets.
| Author | : Magnus Saxegaard |
| Publisher | : International Monetary Fund |
| Total Pages | : 47 |
| Release | : 2010-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451918690 |
This paper develops a small open economy dynamic stochastic general-equilibrium model with macrofinancial linkages. The model includes a financial accelerator--entrepreneurs are assumed to partially finance investment using domestic and foreign currency debt--to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. We use Bayesian estimation techniques to estimate the model using India data. The model is used to assess the importance of the financial accelerator in India and the optimality of monetary policy.
| Author | : Mr.Bas B. Bakker |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 2012-06-07 |
| Genre | : Business & Economics |
| ISBN | : 1475572689 |
This note explores the costs and benefits of different policy options to reduce the risks associated with credit booms, drawing upon several country experiences and the findings from econometric analysis.
| Author | : Markus Brunnermeier |
| Publisher | : University of Chicago Press |
| Total Pages | : 286 |
| Release | : 2014-10-17 |
| Genre | : Business & Economics |
| ISBN | : 022609264X |
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.
| Author | : Carl Chiarella |
| Publisher | : Routledge |
| Total Pages | : 513 |
| Release | : 2009-06-02 |
| Genre | : Biography & Autobiography |
| ISBN | : 1135984506 |
This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.
| Author | : Dale Gray |
| Publisher | : John Wiley & Sons |
| Total Pages | : 362 |
| Release | : 2008-04-30 |
| Genre | : Business & Economics |
| ISBN | : 9780470756324 |
Macrofinancial risk analysis Dale Gray and Samuel Malone Macrofinancial Risk Analysis provides a new and powerful framework with which policymakers and investors can analyze risk and vulnerability in economies, both emerging market and industrial. Using modern risk management and financial engineering techniques applied to the macroeconomy, an economic value can be placed on the risks posed by inter-linkages between sectors, the risk of default of different sectors on their outstanding debt obligations quantified, and the value ex-ante of guarantees to private sector entities by the government calculated. This book guides the reader through the basic macroeconomic and financial models necessary to understand the framework, the core analytical tools, and more advanced contributions that will be of interest to researchers. This unique synthesis of ideas from finance and macroeconomics offers several original contributions to the theory of financial crises, as well as a range of new policy options for governments interested in achieving a better tradeoff between economic growth and macro risk.
| Author | : Pierre-Richard Agenor |
| Publisher | : MIT Press |
| Total Pages | : 601 |
| Release | : 2020-11-10 |
| Genre | : Business & Economics |
| ISBN | : 0262359421 |
An integrated analysis of how financial frictions can be accounted for in macroeconomic models built to study monetary policy and macroprudential regulation. Since the global financial crisis, there has been a renewed effort to emphasize financial frictions in designing closed- and open-economy macroeconomic models for monetary and macroprudential policy analysis. Drawing on the extensive literature of the past decade as well as his own contributions, in this book Pierre-Richard Age&́nor provides a unified set of theoretical and quantitative macroeconomic models with financial frictions to explore issues that have emerged in the wake of the crisis. These include the need to understand better how the financial system amplifies and propagates shocks originating elsewhere in the economy; how it can itself be a source of aggregate fluctuations; the extent to which central banks should account for financial stability considerations in the conduct of monetary policy; whether national central banks and regulators should coordinate their policies to promote macroeconomic and financial stability; and how much countercyclical macroprudential policies should be coordinated at the international level to mitigate financial spillovers across countries.
| Author | : Inessa Love |
| Publisher | : International Monetary Fund |
| Total Pages | : 40 |
| Release | : 2013-12-30 |
| Genre | : Business & Economics |
| ISBN | : 148433907X |
This paper investigates macro-financial linkages in Egypt using two complementary methods, assessing the interaction between different macroeconomic aggregates and loan portfolio quality in a multivariate framework as well as through a panel vector autoregressive method that controls for bank-level characteristics. Using a panel of banks over 1993-2010, the authors find that a positive shock to capital inflows and growth in gross domestic product improves banks’ loan portfolio quality, and that the effect is fairly similar in magnitude using the multivariate and panel vector autoregressive frameworks. In contrast, higher lending rates may lead to adverse selection problems and hence to a drop in portfolio quality. The paper also reports that a larger market share of foreign banks in the industry improves loan quality.
| Author | : Shu-Heng Chen |
| Publisher | : Oxford University Press |
| Total Pages | : 785 |
| Release | : 2018-01-12 |
| Genre | : Business & Economics |
| ISBN | : 0190877502 |
The Oxford Handbook of Computational Economics and Finance provides a survey of both the foundations of and recent advances in the frontiers of analysis and action. It is both historically and interdisciplinarily rich and also tightly connected to the rise of digital society. It begins with the conventional view of computational economics, including recent algorithmic development in computing rational expectations, volatility, and general equilibrium. It then moves from traditional computing in economics and finance to recent developments in natural computing, including applications of nature-inspired intelligence, genetic programming, swarm intelligence, and fuzzy logic. Also examined are recent developments of network and agent-based computing in economics. How these approaches are applied is examined in chapters on such subjects as trading robots and automated markets. The last part deals with the epistemology of simulation in its trinity form with the integration of simulation, computation, and dynamics. Distinctive is the focus on natural computationalism and the examination of the implications of intelligent machines for the future of computational economics and finance. Not merely individual robots, but whole integrated systems are extending their "immigration" to the world of Homo sapiens, or symbiogenesis.
