Identification of Financial Factors in Economic Fluctuations

Furlanetto, Francesco; Ravazzolo, Francesco; Sarferaz, Samad

doi:10.2139/ssrn.2479790

Cited by 25 publications

(21 citation statements)

References 43 publications

(19 reference statements)

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“…Restrictions on one variable relative to another variable (Chinese relative to other countries' GDP in our case) have also been applied in empirical work before in similar (Farrant and Peersman (2006)) and in other contexts (e.g. Eickmeier andNg (2011), Furlanetto, Ravazzolo andSarferaz (2012)). We also emphasize that it is less restrictive to apply the sign restrictions on relative GDP rather than, for example, ordering Chinese factors before global factors or vice versa and applying zero contemporaneous restrictions.…”

Section: The Structural Dynamic Factor Modelmentioning

confidence: 99%

China's Role in Global Inflation Dynamics

Eickmeier

Kühnlenz

2016

Macroecon. Dynam.

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Reproduction permitted only if source is stated. 91-3 (Printversion) Non-technical summaryThe global dimension of inflation has become a popular theme for economic researchers in academia and central banks. It has been shown that inflation rates across countries strongly comove due to domestic inflation rates being determined, among others, by foreign or global common forces. China's role in these developments is, however, still somewhat unclear.The significance of China for the world economy has risen enormously over the past 20 years in terms of both GDP and trade. Observers have speculated whether (positive) demand effects in China and subsequent positive effects on international price developments (via rising export and commodity prices) or whether supply effects and subsequent price dampening effects (via declining import prices and competitive pressures) have dominated in the past and, hence, what the net effect of these developments was. The goal of this analysis is to examine empirically the role of Chinese supply and demand shocks in global inflation dynamics and to shed light on the transmission mechanism.We apply a structural dynamic factor model to a large quarterly dataset of 38 countries (including China) between 2002 and 2011 to analyze China's role in global inflation dynamics. We identify Chinese supply and demand shocks and examine their contributions to global price dynamics and the transmission mechanism. Our main findings are as follows. (i) Chinese supply and demand shocks affect prices in other countries significantly. Demand shocks matter slightly more over the sample period than supply shocks. Producer prices tend to be more strongly affected than consumer prices by Chinese shocks. The overall share explained of international inflation by Chinese shocks is notable (about 5 percent on average over all countries but not more than 13 percent in each region). (ii) Both direct channels (via import and export prices) and indirect channels (via greater exposure to foreign competition and commodity prices) seem to matter. (iii) Differences in trade exposure (overall and with China) as well as commodity exposure help explaining cross-country differences in price responses. Demand shocks matter slightly more than supply shocks. Producer prices tend to be more strongly affected than consumer prices by Chinese shocks. The overall share of international inflation explained by Chinese shocks is notable (about 5 percent on average over all countries but not more than 13 percent in each region); (ii) Direct channels (via import and export prices) and indirect channels (via greater exposure to foreign competition and commodity prices) seem both to matter; (iii) Differences in trade (overall and with China) and in commodity exposure help explaining crosscountry differences in price responses. Nicht-technische ZusammenfassungJEL classification: F41, E31, C3

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Section: The Structural Dynamic Factor Modelmentioning

confidence: 99%

China's Role in Global Inflation Dynamics

Eickmeier

Kühnlenz

2016

Macroecon. Dynam.

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“…For structural VAR approaches, see, for example, Gertler and Lown (1999), Gilchrist et al (2009), Gilchrist and Zakrajšek (2012), Meeks (2012) and Furlanetto et al (2013). Helbling et al (2011) considers international transmission of this type of shocks.…”

Section: Related Literaturementioning

confidence: 99%

Business cycle implications of mortgage spreads

Walentin

2014

Journal of Monetary Economics

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract How do aggregate quantities at the business cycle frequency respond to shocks to the spread between residential mortgage rates and government bonds? Using a structural VAR approach, we …nd that mortgage spread shocks impact the real economy by both economically and statistically signi…cant magnitudes: a 100 basis point decline in the spread causes a peak increase in consumption, residential investment and GDP by 1.6 percent, 6.2 percent and 1.9 percent, respectively. These e¤ects are magni…ed when the policy rate is held …xed, as was the case in the US during the recent implementation of unconventional monetary policy. Terms of use: Documents in

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“…El tercer enfoque hace uso de modelos de Equilibrio General Dinámicos y Estocásticos (Covas y Den Haan, 2011;Furlanetto, Ravazzolo y Sarferaz, 2013;Christiano et al, 2010;Iacoviello, 2013). Estos autores señalan cómo las fricciones financieras, las crisis y en particular el racionamiento de crédito, que sigue a una contracción de liquidez de las instituciones financiera, derivan en una reducción de las decisiones de inversión y las posibilidades de financiación de las empresas y, por tanto, se transmiten al sector real de la econo-mía.…”

Section: B Ciclos Financierosunclassified