Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/201696
Authors: 
Gómez-Pineda, Javier G.
Year of Publication: 
2018
Series/Report no.: 
Graduate Institute of International and Development Studies Working Paper 13-2018
Abstract: 
The paper presents some evidence on the overwhelming relevance of systemic risk and the lesser importance of US interest rates in the global transmission of shocks. This evidence suggests that the literature could benefit from incorporating global confidence variables into global frameworks in the study of the global transmission of shocks. As framework, we used a global semi-structural model (GSSM) augmented with common factors for country risk and country credit. We approximated country risk with historical stock volatility, a measure that is uniform and available across countries; in addition, we measured spillovers as the share of forecast error variance explained by different volatility factors. We found that systemic risk is the main volatility factor in all systemic economies, and also accounts for the bulk of spillovers into non systemic economies. Other volatility factors such as global credit, foreign interest rates and trade-related factors rarely accounted for shares of forecast error variance above one percent.
Subjects: 
Spillovers
Systemic risk
Systemic Economies
Global semi structural model
JEL: 
E58
E37
E43
Q43
Document Type: 
Working Paper

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