Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/279443 
Erscheinungsjahr: 
2022
Schriftenreihe/Nr.: 
Texto para discussão No. 691
Verlag: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Zusammenfassung: 
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.
Schlagwörter: 
index of business cycle co-movement
synchronization
time-varying structural vector autoregression
impulse response functions
decoupling
global banks
JEL: 
C11
C32
F36
F41
G15
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.33 MB





Publikationen in EconStor sind urheberrechtlich geschützt.