Volatility Spillovers and the Global Financial Cycle Across Economies: Evidence from a Global Semi-Structural Model

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Borradores de Economía; No. 1011
Date published
2017-09-05
Date of last update
2020-03-03
Author
Gómez-Pineda, Javier G.
Document language
eng
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Abstract
The paper provides some evidence on the relevance of global uncertainty and risk aversion and the lesser importance of US interest rates for the global financial and business cycles. As framework, we use a global semi-structural model augmented with financial and trade inter-linkages. Financial interlinkages are modelled with proposed global uncertainty, global risk aversion and global financial cycle channels. Trade interlinkages are modelled with proposed value-chain trade equations. We find that global uncertainty and global risk aversion are, by far, the main volatility factors in all economies. Other volatility factors such as US interest rates, foreign interest rates and trade-related factors rarely explain shares of forecast error variance above one percent.
JEL Codes
E58 - Central Banks and Their PoliciesQ43 - Energy and the MacroeconomyE37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and ApplicationE43 - Interest Rates: Determination, Term Structure, and Effects
Subject
Ciclo financiero mundial ; Incertidumbre ; Aversión al riesgo ; Riesgo global ; Cadenas de valor global ; Ecuaciones comerciales de la cadena de valor ; Modelo semi-estructural global ;
Keywords
Global financial cycle ; Uncertainty ; Risk aversion ; Global risk ; Global value chains ; Value-chain trade equations ; Global semi-structural model ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6324
https://hdl.handle.net/20.500.12134/6324
https://doi.org/10.32468/be.1011
https://ideas.repec.org/p/bdr/borrec/1011.html
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