Volatility Spillovers and the Global Financial Cycle Across Economies: Evidence from a Global Semi-Structural Model
Borradores de Economía; No. 1011
Date published
2017-09-05Date of last update
2020-03-03Author
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engMetadata
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
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.
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https://repositorio.banrep.gov.co/handle/20.500.12134/6324https://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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