Macroeconomic and financial implications of multi-dimensional interdependencies between OECD countries

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Macroeconomic and financial implications of multi-dimensional interdependencies between OECD countries. / Sevinc, Deniz; Mata Flores, Edgar.

In: International Journal of Finance and Economics, 07.04.2020.

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@article{a0dc412cce7e40ffa8e40eaa2577776c,
title = "Macroeconomic and financial implications of multi-dimensional interdependencies between OECD countries",
abstract = "This paper uses a complex structure of factors of exposure to international shocks for the analysis of regional and inter-regional effects of a variety of financial shocks across OECD economies. Those factors (trade, finance, migration and others) are incorporated in a coherent and comparable scheme which, based on observed data, describes pair-wise, directionally asymmetric exposures to foreign economies in the sample. Through a GVAR setting, a systemic approach characterises our modelling by the means of which several standardised shocks are simulated varying the region of origin to compare their effects and spillovers. In the depicted map of risks, the shocks are of particular relevance to both wholesale and retail credit markets, stock and commodities markets and also for the management of monetary and fiscal policies in open economies. The diversity of responses between OECD regions is useful to understand the asymmetric impacts and degrees of relative vulnerability towards disturbances in international markets. A subset of Eurozone countries, for example, consistently shows significant sensitivity to foreign shocks. Other Eurozone countries experience a lower degree of imported volatility while Asia-Pacific appears to be more resilient to shocks in OECD regions. In turn, the significance of the impacts of shocks in the NAFTA region is large enough for them to be close representations of global shocks.",
keywords = "international, economic, linkages, finance, GVAR, modelling, OECD",
author = "Deniz Sevinc and {Mata Flores}, Edgar",
year = "2020",
month = apr,
day = "7",
doi = "10.1002/ijfe.1814",
language = "English",
journal = "International Journal of Finance and Economics",
issn = "1076-9307",
publisher = "Wiley",

}

RIS

TY - JOUR

T1 - Macroeconomic and financial implications of multi-dimensional interdependencies between OECD countries

AU - Sevinc, Deniz

AU - Mata Flores, Edgar

PY - 2020/4/7

Y1 - 2020/4/7

N2 - This paper uses a complex structure of factors of exposure to international shocks for the analysis of regional and inter-regional effects of a variety of financial shocks across OECD economies. Those factors (trade, finance, migration and others) are incorporated in a coherent and comparable scheme which, based on observed data, describes pair-wise, directionally asymmetric exposures to foreign economies in the sample. Through a GVAR setting, a systemic approach characterises our modelling by the means of which several standardised shocks are simulated varying the region of origin to compare their effects and spillovers. In the depicted map of risks, the shocks are of particular relevance to both wholesale and retail credit markets, stock and commodities markets and also for the management of monetary and fiscal policies in open economies. The diversity of responses between OECD regions is useful to understand the asymmetric impacts and degrees of relative vulnerability towards disturbances in international markets. A subset of Eurozone countries, for example, consistently shows significant sensitivity to foreign shocks. Other Eurozone countries experience a lower degree of imported volatility while Asia-Pacific appears to be more resilient to shocks in OECD regions. In turn, the significance of the impacts of shocks in the NAFTA region is large enough for them to be close representations of global shocks.

AB - This paper uses a complex structure of factors of exposure to international shocks for the analysis of regional and inter-regional effects of a variety of financial shocks across OECD economies. Those factors (trade, finance, migration and others) are incorporated in a coherent and comparable scheme which, based on observed data, describes pair-wise, directionally asymmetric exposures to foreign economies in the sample. Through a GVAR setting, a systemic approach characterises our modelling by the means of which several standardised shocks are simulated varying the region of origin to compare their effects and spillovers. In the depicted map of risks, the shocks are of particular relevance to both wholesale and retail credit markets, stock and commodities markets and also for the management of monetary and fiscal policies in open economies. The diversity of responses between OECD regions is useful to understand the asymmetric impacts and degrees of relative vulnerability towards disturbances in international markets. A subset of Eurozone countries, for example, consistently shows significant sensitivity to foreign shocks. Other Eurozone countries experience a lower degree of imported volatility while Asia-Pacific appears to be more resilient to shocks in OECD regions. In turn, the significance of the impacts of shocks in the NAFTA region is large enough for them to be close representations of global shocks.

KW - international

KW - economic

KW - linkages

KW - finance

KW - GVAR

KW - modelling

KW - OECD

U2 - 10.1002/ijfe.1814

DO - 10.1002/ijfe.1814

M3 - Article

JO - International Journal of Finance and Economics

JF - International Journal of Finance and Economics

SN - 1076-9307

ER -