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

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dc.audiencePolicymakerseng
dc.audienceResearcherseng
dc.audienceStudentseng
dc.audienceTeacherseng
dc.coverage.sucursalBogotáspa
dc.creatorGómez-Pineda, Javier G.
dc.creator.firmaJavier G. Gómez-Pineda
dc.date.accessioned2017-09-05T08:30:10Zeng
dc.date.available2017-09-05T08:30:10Zspa
dc.date.created2017-09-05spa
dc.date.issued2020-03-03eng
dc.description.abstractThe 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.eng
dc.format.extent49 páginas : gráficas, tablasspa
dc.format.mimetypePDFspa
dc.identifier.handlehttps://hdl.handle.net/20.500.12134/6324spa
dc.identifier.urihttps://repositorio.banrep.gov.co/handle/20.500.12134/6324spa
dc.language.isoengeng
dc.publisherBanco de la República de Colombiaspa
dc.relation.doihttps://doi.org/10.32468/be.1011spa
dc.relation.ispartofDocumentos de trabajospa
dc.relation.ispartofseriesBorradores de Economíaspa
dc.relation.isversionofBorradores de Economía; No. 1011spa
dc.relation.numberBorrador 1011spa
dc.relation.repechttps://ideas.repec.org/p/bdr/borrec/1011.htmlspa
dc.rights.accessRightsOpen Accesseng
dc.rights.ccAtribucion-NoComercial-CompartirIgual CC BY-NC-SA 4.0eng
dc.rights.disclaimerLas 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.spa
dc.rights.spaAcceso abiertospa
dc.rights.urihttps://creativecommons.org/licenses/by-nc-sa/4.0/eng
dc.source.bibliographicCitationAkerlof, George A., and Robert J. Shiller, 2009, Animal Spirits, Princeton University Press. Princeton NJ.eng
dc.source.bibliographicCitationAmmer, John, Michiel De Pooter, Christopher Erceg and Steven Kamin, 2016, Interna- tional Spillovers of Monetary Policy, IFDP Notes. Washington: Board of Governors of the Federal Reserve System, February 8.eng
dc.source.bibliographicCitationAoki, K. J. Proudman and G. Vlieghe, 2002, House prices, consumption, and monetary policy: a nancial accelerator approach, Bank of England, Working Paper 169.eng
dc.source.handleRepecRePEc:bdr:borrec:1011spa
dc.subjectCiclo financiero mundialspa
dc.subjectIncertidumbrespa
dc.subjectAversión al riesgospa
dc.subjectRiesgo globalspa
dc.subjectCadenas de valor globalspa
dc.subjectEcuaciones comerciales de la cadena de valorspa
dc.subjectModelo semi-estructural globalspa
dc.subject.jelE58 - Central Banks and Their Policieseng
dc.subject.jelQ43 - Energy and the Macroeconomyeng
dc.subject.jelE37 - Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applicationeng
dc.subject.jelE43 - Interest Rates: Determination, Term Structure, and Effectseng
dc.subject.jelspaE58 - Bancos centrales y sus políticasspa
dc.subject.jelspaQ43 - Energía y macroeconomíaspa
dc.subject.jelspaE43 - Tipos de interés: determinación, estructura temporal y efectosspa
dc.subject.jelspaE37 - Precios, fluctuaciones y ciclos económicos: Predicción y simulación; Modelos y aplicaciónspa
dc.subject.keywordGlobal financial cycleeng
dc.subject.keywordUncertaintyeng
dc.subject.keywordRisk aversioneng
dc.subject.keywordGlobal riskeng
dc.subject.keywordGlobal value chainseng
dc.subject.keywordValue-chain trade equationseng
dc.subject.keywordGlobal semi-structural modeleng
dc.subject.lembRiesgo (Economía)spa
dc.subject.lembContagio (Crisis financiera)spa
dc.subject.lembTasas de interés -- Estados Unidosspa
dc.subject.lembRiesgo paísspa
dc.subject.lembCréditospa
dc.subject.lembVolatilidad del consumo (Economía)spa
dc.titleVolatility Spillovers and the Global Financial Cycle Across Economies: Evidence from a Global Semi-Structural Modeleng
dc.typeWorking Papereng
dc.type.hasversionPublished Versioneng
dc.type.spaDocumentos de trabajospa

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