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Macroeconomic Model Spillovers and Their Discontents / Tamim Bayoumi, Francis Vitek.
- Format:
- Book
- Government document
- Author/Creator:
- Bayoumi, Tamim.
- Series:
- IMF Working Papers; Working Paper ; No. 2013/004
- IMF Working Papers
- Language:
- English
- Subjects (All):
- Macroeconomics.
- Econometric models.
- International finance.
- Physical Description:
- 1 online resource (26 p.)
- Place of Publication:
- Washington, D.C. : International Monetary Fund, 2013.
- Language Note:
- English
- Summary:
- The Great Recession underlined that policies in some countries can have profound spillovers elsewhere. Sadly, the solution of simulating large macroeconomic models to measure these spillovers has been found wanting. Typical models generate lower international correlations of output and financial asset prices than are seen in even pre-crisis data. Imposing higher financial market correlations creates more reasonable cross-country spillovers, and is likely to become the norm in policy modeling despite weak theoretical underpinnings, as is already true of sticky wages. We propose using event studies to calibrate market reactions to particular policy announcements, and report results for U.S. monetary and fiscal policy announcements in 2009 and 2010 that are plausible and event-specific.
- Contents:
- Cover; Contents; I. Introduction; II. Large Models: Theory; III. Large models: Practice; IV. A Practical Solution; V. Conclusions; Tables; 1. Spillovers from U.S. Monetary Policy: Typical Model; 2. Spillovers from U.S. Fiscal Policy: Typical Model; 3. Correlations of Quarterly Output Growth, 1980-2012; 4. Spillovers from U.S. Bond and Equity Shocks to Other Countries; 5. Spillovers from U.S. Monetary Policy: High Financial Links; 6. Spillovers from U.S. Fiscal Policy: High Financial Links; 7. Spillovers from U.S. Fiscal Policy: Only High Bond Market Links
- 8. Growth Spillovers from QE1 and QE2 Monetary Easing9. Growth Spillovers from 2009 and 2010 U.S. Fiscal Expansions; Figures; 1. U.S. Monetary Policy Spillovers: Typical Model; 2. U.S. Fiscal Policy Spillovers: Typical Model; 3. U.S. Monetary Policy Spillovers: High Financial Links; 4. U.S. Fiscal Policy Spillovers: High Financial Links; 5. U.S. Fiscal Policy Spillovers: High Bond Market Links; 6. Growth Spillovers from QE1 and QE2 Monetary Easing; 7. Growth Spillovers from 2009 and 2010 Fiscal Expansions; References
- Notes:
- Description based upon print version of record.
- Includes bibliographical references.
- Description based on print version record.
- ISBN:
- 9781475576498
- 1475576498
- 9781475544800
- 1475544804
- 9781299263949
- 1299263941
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