Accounting for Macrofinancial Fluctuations and Turbulence
IMF Working Papers, November 8, 2018
Source details
- Canonical URL
- Accounting for Macrofinancial Fluctuations and Turbulence
Other formats
Bibliographic details
- Authors: Francis Vitek
- Published: November 8, 2018
- Series: IMF Working Papers
- DOI: https://doi.org/10.5089/9781484381571.001
Research question and model framework
- Investigates the sources of macrofinancial fluctuations and turbulence within an approximate linear dynamic stochastic general equilibrium model of the world economy.
- Model is augmented with structural shocks exhibiting potentially asymmetric generalized autoregressive conditional heteroskedasticity (asymmetric ARCH/GARCH).
Key empirical findings
- "Very strong evidence of asymmetric autoregressive conditional heteroskedasticity is found."
- The asymmetric volatility structure provides a basis for jointly decomposing the levels and volatilities of key macrofinancial variables into time varying contributions from sets of shocks.
- Risk premia shocks are estimated to contribute disproportionately to:
- cyclical output fluctuations, and
- turbulence during swings in financial conditions,
- across the fifteen largest national economies in the world.
Scope and subjects covered
- Geographic/scope: World economy; analysis across the fifteen largest national economies in the world.
- Subjects listed: Banking, Consumption, Financial institutions, Imports, International trade, Loans, Mortgages, National accounts, Return on investment.
Methods and keywords
- Methods: Approximate linear DSGE model augmented with structural shocks and asymmetric generalized autoregressive conditional heteroskedasticity.
- Keywords provided: Autoregressive conditional heteroskedasticity, constant returns to scale, Consumption, contagion economy, demand shock, Dynamic stochastic general equilibrium model, Global, good firm, Imports, Loans, Macrofinancial analysis, marginal revenue, markup shock, maximization problem, Mortgages, physical capital, price inflation, production function, Return on investment, shadow price, stochastic process, transfer payment, utility function, World economy, WP.
Content in this bundle
- Accounting for Macrofinancial Fluctuations and Turbulence, WP/18/238, November 2018