Arbeitspapier

International macroeconomic vulnerability

We propose and implement an index of macroeconomic vulnerability to foreign shocks based on a structural time-varying bayesianVARwith a block-exogeneity hypothesis for a given pair of a large economy and a small open economy. The index is based on the sum of the responses of the small open economy to shocks in the large economy over time, thus allowing us to disentangle and measure the source of the shock, impact variables and duration of impact. Our approach brings light not only to vulnerability across countries and over time, but it can be also be used to elucidate previously unanswered channels. We provide an application of this approach to a global banks framework, allowing us to measure some yet unmeasured theoretical mechanisms. Using a sample of developed and developing countries, we find that global banks do not increase the macroeconomic vulnerability of a country.

Sprache
Englisch

Erschienen in
Series: Texto para discussão ; No. 691

Klassifikation
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Financial Aspects of Economic Integration
Open Economy Macroeconomics
International Financial Markets
Thema
index of business cycle co-movement
synchronization
time-varying structural vector autoregression
impulse response functions
decoupling
global banks

Ereignis
Geistige Schöpfung
(wer)
Velloso, João
Garcia, Márcio Gomes Pinto
Guillen, Diogo
Ribeiro, Bernardo
Ereignis
Veröffentlichung
(wer)
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
(wo)
Rio de Janeiro
(wann)
2022

Handle
Letzte Aktualisierung
10.03.2025, 11:42 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Velloso, João
  • Garcia, Márcio Gomes Pinto
  • Guillen, Diogo
  • Ribeiro, Bernardo
  • Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia

Entstanden

  • 2022

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