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on International Finance |
| By: | Stijn Claessens; M. Ayhan Kose; Luc Laeven; Fabián Valencia |
| Abstract: | The global financial crisis of 2007-09 has led to an intensive research program analyzing a wide range of issues related to financial crises. This paper presents a summary of a forthcoming book, Financial Crises: Causes, Consequences, and Policy Responses, that includes 19 contributions examining these issues and distilling policy lessons. The book covers a wide range of crises, including banking, balance-of-payments, and sovereign debt crises. It reviews the typical patterns prior to crises, considers lessons on their antecedents, and analyzes their evolution and aftermath. It also provides valuable policy lessons on how to prevent, contain and manage financial crises. |
| Keywords: | Global financial crisis, sudden stops, debt crises, banking crises, currency crises, defaults, restructuring, welfare cost, asset price busts, credit busts, prediction of crises |
| JEL: | E32 F44 G01 E5 E6 H12 |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2013-05&r=ifn |
| By: | Sandra Eickmeier; Leonardo Gambacorta; Boris Hofmann |
| Abstract: | We explore the concept of global liquidity based on a factor model estimated using a large set of financial and macroeconomic variables from 24 advanced and emerging market economies. We measure global liquidity conditions based on the common global factors in the dynamics of liquidity indicators. By imposing theoretically motivated sign restrictions on factor loadings, we achieve a structural identification of the factors. The results suggest that global liquidity conditions are largely driven by three common factors and can therefore not be summarised by a single indicator. These three factors can be identified as global monetary policy, global credit supply and global credit demand. |
| Keywords: | global liquidity, monetary policy, credit supply, credit demand, international business cycles, factor model, sign restrictions |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:bis:biswps:402&r=ifn |
| By: | Hideaki Hirata; M. Ayhan Kose; Christopher Otrok; Marco E. Terrones |
| Abstract: | We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices. |
| Keywords: | Monetary policy, interest rates, business cycles, financial cycles |
| JEL: | E32 E43 E52 G15 R31 |
| Date: | 2013–02 |
| URL: | http://d.repec.org/n?u=RePEc:een:camaaa:2013-07&r=ifn |