Volatility and Comovement in a Globalized World Economy

Volatility and Comovement in a Globalized World Economy
Author: Mr.Ayhan Kose
Publisher: International Monetary Fund
Total Pages: 39
Release: 2003-12-01
Genre: Business & Economics
ISBN: 1451875878
GET BOOK

Download Volatility and Comovement in a Globalized World Economy Book in PDF, Epub and Kindle

This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical comovement among industrialized countries over time. However, for emerging market economies, financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their corresponding world aggregates.

Volatility and Comovement in a Globalized World Economy An Empirical Exploration

Volatility and Comovement in a Globalized World Economy An Empirical Exploration
Author: M. Ayhan Kose
Publisher:
Total Pages: 38
Release: 2006
Genre:
ISBN:
GET BOOK

Download Volatility and Comovement in a Globalized World Economy An Empirical Exploration Book in PDF, Epub and Kindle

This paper analyzes the evolution of volatility and cross-country comovement in output, consumption, and investment fluctuations using two distinct datasets. The results suggest that there has been a significant decline in the volatility of business cycle fluctuations and a slight increase in the degree of cyclical comovement among industrialized countries over time. However, for emerging market economies, financial globalization appears to have been associated, on average, with an increase in macroeconomic volatility as well as declines in the degree of comovement of output and consumption growth with their corresponding world aggregates.

Emerging Markets and the Global Economy

Emerging Markets and the Global Economy
Author: Mohammed El Hedi Arouri
Publisher: Academic Press
Total Pages: 927
Release: 2013-12-26
Genre: Business & Economics
ISBN: 0124115632
GET BOOK

Download Emerging Markets and the Global Economy Book in PDF, Epub and Kindle

Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies

Macroeconomic Policies in the World Economy

Macroeconomic Policies in the World Economy
Author: Horst Siebert
Publisher: Springer Science & Business Media
Total Pages: 364
Release: 2004-08-02
Genre: Business & Economics
ISBN: 9783540219170
GET BOOK

Download Macroeconomic Policies in the World Economy Book in PDF, Epub and Kindle

The integration of goods and financial markets has progressed on a global scale in recent years. Thus, the cyclical patterns in the world economy may have changed too. Against this background, experts in international economics analyze the synchronization of business cycles and their volatility in this book. Is there an European business cycle? What is the role of multinational corporations and monetary policy in transmitting business cycles? Further, they discuss the need and feasibility of internationally coordinating monetary and exchange rate policies and the quantitative effects of tax competition.

Globalization, Capital Market Imperfections and Decline InShort-run Output Volatility of World Economies

Globalization, Capital Market Imperfections and Decline InShort-run Output Volatility of World Economies
Author: Bruno Coric
Publisher:
Total Pages:
Release: 2008
Genre:
ISBN:
GET BOOK

Download Globalization, Capital Market Imperfections and Decline InShort-run Output Volatility of World Economies Book in PDF, Epub and Kindle

This dissertation investigates the causes of recent declines in GDP growth volatility known as the 'Great Moderation'. Contrary to the existing literature, which concentrates mainly on the case of output volatility decline in the US, we took a broader perspective. In particular, we examined a large sample of economies to identify possible changes in GDP growth volatility over the period 1961-2005. The results of our empirical analysis suggest that: (a) a considerable number of countries experienced change(s) in short-run volatility over that period; (b) in most cases the change(s) directed countries toward less volatile output; (c) the decline in GDP growth volatility is not only characteristic of developed economies; rather, it can be found in economies belonging to all income groups; (d) there is no distinctive pattern of change in volatility that prevails among these countries; (e) the timing of the detected break points is spread through all decades; hence, it seems that the year 1984, in which the onset of lower volatility was detected for the US by the previous literature, is not a global turning point in volatility. As far as the cause(s) of the changes in GDP growth volatility is . considered, these empirical findings cannot distinguish among the various existing explanations. However, our results open the possibility that the recent tendency towards attenuation of short-run output volatility in the world's national economies is caused by some common factor. In that respect, we put special emphasis on the potential role of economic globalization in that process. Based on existing theory, we present the mechanism by which some aspects of economic globalization may cause reduction in GDP growth volatility by reducing the strength of the Financial Accelerator. Finally, our empirical findings about the changes in GDP growth volatility are utilized to construct a country-level panel data sample to test the empirical relevance of the proposed mechanism, which is then assessed by means of panel regression analysis. The results of our empirical analysis support the tested hypothesis. In particular, the results suggest that the larger international diversification of economic agents' net worth consequent upon globalization is associated with lower GDP growth volatility.

Global Business Cycles

Global Business Cycles
Author: Mr.Ayhan Kose
Publisher: International Monetary Fund
Total Pages: 51
Release: 2008-06-01
Genre: Business & Economics
ISBN: 1451870019
GET BOOK

Download Global Business Cycles Book in PDF, Epub and Kindle

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups-industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose macroeconomic fluctuations in key macroeconomic aggregates-output, consumption, and investment-into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all variables and all countries within each group of countries; (iii) country factors, which are common across all aggregates in a given country; and (iv) idiosyncratic factors specific to each time series. Our main result is that, during the period of globalization (1985-2005), there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies. Surprisingly, there has been a concomitant decline in the relative importance of the global factor. In other words, there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them.

International Capital Flows

International Capital Flows
Author: Martin Feldstein
Publisher: University of Chicago Press
Total Pages: 500
Release: 2007-12-01
Genre: Business & Economics
ISBN: 0226241807
GET BOOK

Download International Capital Flows Book in PDF, Epub and Kindle

Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.

Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge

Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge
Author: Tony Klein
Publisher: World Scientific
Total Pages: 508
Release: 2022-06-07
Genre: Business & Economics
ISBN: 1800611927
GET BOOK

Download Modern Finance And Risk Management: Festschrift In Honour Of Hermann Locarek-junge Book in PDF, Epub and Kindle

Modern Finance and Risk Management is dedicated to our colleague, academic mentor, and adviser Professor Hermann Locarek-Junge. During his academic career, Hermann Locarek-Junge published several important contributions to the field of risk management and portfolio management and served as the chairman and board member of the German Finance Association (DGF) and the Data Science Society (Gesellschaft für Klassifikation).A short foreword by the mentors of Hermann Locarek-Junge and an introduction by the editors mark the beginning of the Festschrift. The first section on Modern Finance includes chapters on asset management, entrepreneurship, and behavioural finance. The second section on Modern Risk Management contains seven contributions covering considerations of risk measurement, risk management, and regulation. Finally, the third section includes topics on commodities and energy finance.This Festschrift comprises 20 original contributions of notable scholars in finance who have worked with Hermann Locarek-Junge over the last four decades. Due to numerous connections to practice and applications, Modern Finance and Risk Management is relevant and attractive not only to academics and researchers but also to practitioners in industry and banking.