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  1. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: July 2024
    Publisher:  CESifo, Munich, Germany

    We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a... more

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    We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the hidden states of the dynamic model. The first condition is that the state is sufficiently volatile or persistent to be recoverable. The second condition requires the possibly non-linear measurement to be sufficiently smooth and to map uniquely to the state absent measurement error. We illustrate the method through various simulation studies and an empirical application to a sudden stops model applied to Mexican data.

     
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    hdl: 10419/302728
    Series: CESifo working papers ; 11243 (2024)
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 60 Seiten), Illustrationen
  2. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: 19 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19270
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  3. Precautionary demand for foreign assets in sudden stop economies
    an assessment of the new merchantilism
    Author: Durdu, Ceyhun Bora; Mendoza, Enrique G.; Terrones, Marco E.
    Published: 2007
    Publisher:  National Bureau of Economic Research, Cambridge, Mass.

    Financial globalization was off to a rocky start in emerging economies hit by Sudden Stops since the mid 1990s. Foreign reserves grew very rapidly during this period, and hence it is often argued that we live in the era of a New Merchantilism in... more

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    Financial globalization was off to a rocky start in emerging economies hit by Sudden Stops since the mid 1990s. Foreign reserves grew very rapidly during this period, and hence it is often argued that we live in the era of a New Merchantilism in which large stocks of reserves are a war-chest for defense against Sudden Stops. We conduct a quantitative assessment of this argument using a stochastic intertemporal equilibrium framework with incomplete asset markets in which precautionary saving affects foreign assets via three mechanisms: business cycle volatility, financial globalization, and Sudden Stop risk. In this framework, Sudden Stops are an equilibrium outcome produced by an endogenous credit constraint that triggers Irving Fisher's debt-deflation mechanism. Our results show that financial globalization and Sudden Stop risk are plausible explanations of the observed surge in reserves but business cycle volatility is not. In fact, business cycle volatility has declined in the post-globalization period. These results hold whether we use the formulation of intertemporal preferences of the Bewley-Aiyagari-Hugget class of precautionary savings models or the Uzawa-Epstein setup with endogenous time preference.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Print
    Series: NBER working paper series ; 13123
    Subjects: Globalisierung; Internationaler Finanzmarkt; Wirtschaftskrise; Konjunktur; Währungsreserven; Welt
    Other subjects: Array
    Scope: 27, [18] S., graph. Darst.
    Notes:

    Literaturverz. S. 26 - 27

    Internetausg.: papers.nber.org/papers/w13123.pdf - lizenzpflichtig
  4. Sudden stops and reserve accumulation in the presence of liquidity risk
    Author: Lutz, Flora; Zessner-Spitzenberg, Leopold
    Published: 2019
    Publisher:  Department of Economics, University of Vienna, Vienna

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    Series: Working papers / Department of Economics, University of Vienna ; no: 19, 07 (September 2019)
    Subjects: international reserves; sudden stops; liquidity; macroprudential policy; pecuniary externalities
    Scope: 1 Online-Ressource (circa 107 Seiten), Illustrationen
  5. Two tales of foreign investor outflows: Italy in 2011-2012 and 2018
    Author: Della Corte, Valerio; Federico, Stefano
    Published: [2019]
    Publisher:  Banca d'Italia, [Rom]

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    Series: Questioni di economia e finanza / Banca d'Italia ; number 535 (December 2019)
    Subjects: capital outflows; sudden stops; sovereign debt crisis; Italian bond markettensions; investment behaviour
    Scope: 1 Online-Ressource (circa 32 Seiten), Illustrationen
  6. Sudden stops and reserve accumulation in the presence of international liquidity risk
    Author: Lutz, Flora; Zessner-Spitzenberg, Leopold
    Published: February 12, 2020
    Publisher:  Verein für Socialpolitik, [Köln]

    We propose a small open economy model where agents borrow internationally and invest in liquid foreign assets to insure against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a pecuniary... more

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    We propose a small open economy model where agents borrow internationally and invest in liquid foreign assets to insure against liquidity shocks, which temporarily shut out the economy of short-term credit markets. Due to the presence of a pecuniary externality individual agents borrow too much and hold too little liquid assets relative to a social planner. This inefficiency rationalizes macroprudential policy interventions in the form of reserve accumulation at the central bank coupled with a tax on foreign borrowing. Unless combined with other measures, a tax on foreign borrowing is detrimental to welfare; it reduces agents' incentives to invest in liquid assets and thereby increases financial instability. Our model can quantitatively match the simultaneous depreciation of the exchange rate and contractions in output, gross trade ows, foreign liabilities and foreign reserves during sudden stop episodes.

     
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    hdl: 10419/224520
    Series: Jahrestagung 2020 / Verein für Socialpolitik ; 50
    Subjects: international reserves; sudden stops; liquidity; macroprudential policy,pecuniary externalities
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  7. Leverage cycles, growth shocks, and sudden stops in capital inflows
    Author: Emter, Lorenz
    Published: July 2020
    Publisher:  Central Bank of Ireland, [Dublin]

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    Series: Research technical paper / Central Bank of Ireland ; vol. 2020, no. 6
    Subjects: international capital flows; sudden stops; financial stability
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  8. Capital flows-at-risk
    push, pull and the role of policy
    Author: Eguren-Martin, Fernando; O'Neill, Cian; Sokol, Andrej; Berge, Lukas von dem
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    We characterise the probability distributions of various categories of gross capital flows conditional on information contained in financial asset prices in a panel of emerging market economies, with a focus on "tail" events. Our framework, based on... more

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    We characterise the probability distributions of various categories of gross capital flows conditional on information contained in financial asset prices in a panel of emerging market economies, with a focus on "tail" events. Our framework, based on the quantile regression methodology, allows for a separate role of push- and pull-type factors, and because it is based on high-frequency data, can quantify the likelihood of different outturns before official capital ows data are released. We find that both push and pull factors have heterogeneous effects across the distributions of gross capital flows, which are most marked in the left tails. We also explore the role of various policies, and find that macroprudential and capital flows management measures are stabilising, leading to lower chances of either large portfolio inflows or outflows.

     
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    Media type: Ebook
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    ISBN: 9789289945387
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    hdl: 10419/234092
    Series: Working paper series / European Central Bank ; no 2538 (April 2021)
    Subjects: capital flows; sudden stops; capital flight; retrenchment; capital flow surges; push versus pull; capital controls; macroprudential policy; nancial conditions indices; quantile regression
    Scope: 1 Online-Ressource (circa 45 Seiten), Illustrationen
  9. Sudden stops, sovereign risk, and fiscal rules
    Author: Gómez González, José Eduardo; Valencia, Oscar M.; Sánchez, Gustavo A.
    Published: March 2021
    Publisher:  Inter-American Development Bank, Institutions for Development Sector, [Washington, DC]

    This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that... more

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    This paper studies the effect of implementing fiscal rules on sovereign default risk and on the probability of large capital ow reversals for a large sample of countries including both developed and emerging market economies. Results indicate that fiscal rules are beneficial for macroeconomic stability, as they significantly reduce both sovereign risk perception and the probability of a sudden stop in countries that implement them. These results, which are robust to various empirical specifications, have important policy implications specially for countries that have relaxed their fiscal rules in response to the Covid-19 pandemic.

     
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    Other identifier:
    hdl: 10419/237488
    Series: IDB working paper series ; no IDB-WP-1207
    Subjects: fiscal rules; sovereign default risk; sudden stops; dynamic heterogeneous panel data models
    Scope: 1 Online-Ressource (circa 22 Seiten)
  10. Debt taxes during crises, a blessing in disguise?
    Author: Parra-Polania, Julian A.; Vargas, Carmiña O.
    Published: [2024]
    Publisher:  Banco de la Republica Colombia, Bogotá, Colombia

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    Source: Union catalogues
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    hdl: 20.500.12134/10783
    Series: Borradores de economía ; no. 1270 (2024)
    Subjects: macroprudential policies; ex post policies; debt tax; Önancial constraint;Önancial crisis; sudden stops
    Scope: 1 Online-Ressource (circa 23 Seiten), Illustrationen
  11. Sudden stops and asset purchase programmes in the euro area
    Author: Fabiani, Josefina; Fidora, Michael; Setzer, Ralph; Westphal, Andreas; Zorell, Nico
    Published: [2021]
    Publisher:  European Central Bank, Frankfurt am Main, Germany

    This paper analyses the incidence and severity of sudden stops in euro area countries before and after the introduction of the ECB's asset purchase programmes. We define sudden stops as abrupt declines in private net financial inflows, i.e. total... more

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    This paper analyses the incidence and severity of sudden stops in euro area countries before and after the introduction of the ECB's asset purchase programmes. We define sudden stops as abrupt declines in private net financial inflows, i.e. total flows adjusted for EU and IMF loans and changes in TARGET2 balances. Distinguishing between mild and severe sudden stops, we document that sudden stops were overall more frequent and more severe in euro area countries compared to other OECD economies over the period 1999-2020. On the basis of a multinomial logit model, we find that the susceptibility of euro area countries to severe sudden stops mainly reflects domestic fundamentals whereas there is no clear evidence of an adverse direct effect of being part of the euro area. On the contrary, TARGET2 appears to act as an "automatic stabiliser", counteracting sudden stops in private financial i nflows. Moreover, our econometric analysis suggests that the asset purchase programmes implemented by the ECB since 2015 have overall almost halved the risk of severe sudden stops in euro area countries. We find tentative evidence that this effect operates through confidence channels.

     
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    ISBN: 9789289948203
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    hdl: 10419/246174
    Series: Working paper series / European Central Bank ; no 2597 (October 2021)
    Subjects: Financial flows; sudden stops; monetary policy; ECB asset purchase programmes
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  12. Leverage cycles, growth shocks, and sudden stops in capital inflows
    Author: Emter, Lorenz
    Published: [2020]
    Publisher:  Trinity College Dublin, Department of Economics, Dublin

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    Series: TEP working paper ; no. 20, 11 (July 2020)
    Subjects: international capital flows; sudden stops; financial stability
    Scope: 1 Online-Ressource (circa 35 Seiten), Illustrationen
  13. Post-conflict reconstruction, stabilization and growth agenda for Sudan
    Author: Elbadawi, Ibrahim; Amin, Magdi; Elobaid, Amir; Alhelo, Alzaki; Osman, Abdelrahman; Suliman, Kabbashi
    Published: [2023]
    Publisher:  Economic Research Forum (ERF), Dokki, Giza, Egypt

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    Series: ERF working papers series ; no. 1662 (November 2023)
    Subjects: Sudan; South Sudan; military warfare; civil war; kleptocracy; sudden stops; postconflict financing and reforms; long-term growth; catastrophic economic cost; peaceful "renaissance" growth; agricultural potential
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  14. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: July 19, 2024
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Series: PIER working paper ; 24, 016
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 59 Seiten), Illustrationen
  15. Global financial crisis, financial contagion and emerging markets
    Author: Ozkan, F. Gulcin; Unsal, D. Filiz
    Published: 2012
    Publisher:  Dep. of Economics and Related Studies, Univ. of York, York

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    Series: Discussion papers in economics ; 2012,35
    Subjects: sudden stops; financial crises; emerging markets
    Scope: Online-Ressource (PDF-Datei: 54 S., 987 KB), graph. Darst.
  16. Sudden stops in capital inflows and the design of exchange rate regimes
    Author: Ritter, Raymond
    Published: 2003
    Publisher:  HWWA, Hamburg

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  17. Sudden Stops in Capital Inflows and the Design of Exchange Rate Regimes
    Author: Ritter, Raymond
    Published: 2003
    Publisher:  Hamburg Institute of International Economics (HWWA), Hamburg

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  18. Filtering with limited information
    Author: Drautzburg, Thorsten; Fernández-Villaverde, Jesús; Guerrón-Quintana, Pablo A.; Oosthuizen, Dick
    Published: 19 July 2024
    Publisher:  Centre for Economic Policy Research, London

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    Staatsbibliothek zu Berlin - Preußischer Kulturbesitz, Haus Unter den Linden
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    Source: Staatsbibliothek zu Berlin
    Language: English
    Media type: Book
    Format: Online
    Series: Array ; DP19270
    Subjects: filtering; limited information; non-linear model; dynamic equilibrium model; sudden stops
    Scope: 1 Online-Ressource (circa 61 Seiten), Illustrationen
  19. Reservas internacionais revisitadas
    novas estimativas de patamares ótimos
    Author: Vonbun, Christian
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the... more

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    This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the optimal holdings of this asset are calculated for several feasible scenarios. Our results suggest that, under various alternative scenarios and assumptions regarding the model’s main parameters, the observed level of reserves in Brazil has become above the optimal level, thereby generating high and increasing costs for the Brazilian government and tax payers.

     
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    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/90994
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1885
    Subjects: international reserves; macroeconomics; external debt; sudden stops
    Scope: Online-Ressource (39 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache
  20. The international transmission of credit bubbles
    theory and policy
    Author: Martin, Alberto; Ventura, Jaume
    Published: September 2015
    Publisher:  [Universitat Pompeu Fabra, Department of Economics and Business], [Barcelona]

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    Series: [Working papers / Universitat Pompeu Fabra, Department of Economics and Business ; 1465]
    Subjects: financial globalization; international capital flows; sudden stops; credit bubbles; internationa lpolicy coordination
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  21. International credit flows and pecuniary externalities
    Author: Brunnermeier, Markus Konrad; Sannikov, Yuliy
    Published: 2015
    Publisher:  CESifo, München

    This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities.... more

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    This paper develops a dynamic two-country neoclassical stochastic growth model with incomplete markets. Short-term credit flows can be excessive and reverse suddenly. The equilibrium outcome is constrained inefficient due to pecuniary externalities. First, an undercapitalized country borrows too much since each firm does not internalize that an increase in production capacity undermines their output price, worsening their terms of trade. From an ex-ante perspective each firm undermines the natural "terms of trade hedge." Second, sudden stops and fire sales lead to sharp price drops of illiquid capital. Capital controls or domestic macro-prudential measures that limit short-term borrowing can improve welfare.

     
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    Language: English
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    hdl: 10419/107360
    RVK Categories: QB 910
    Series: Array ; 5170
    Subjects: Internationaler Kredit; Fälligkeit; Kapitalmobilität; Unvollkommener Markt; Externer Effekt; Finanzkrise; Kapitalverkehrskontrolle; Wohlfahrtsanalyse; Zwei-Länder-Modell; Theorie; credit flows; capital flows; sudden stops; pecuniary externalities; hot money; Phoenix Miracle; terms of trade hedge
    Scope: Online-Ressource ([1], 50 S.), graph. Darst.
  22. Sudden stop regimes and output
    a Markov switching analysis
    Author: Bachmann, Andreas; Leist, Stefan
    Published: 2013
    Publisher:  Univ., Fac. of Economics and Social Sciences, Dep. of Economics, Bern

    Sudden stops in capital inflows were a main characteristic of the emerging market crisis during the 1990's. Concerns about them have recurred in the light of recently increased global stability risk and the quantitative easing that led to substantial... more

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    Sudden stops in capital inflows were a main characteristic of the emerging market crisis during the 1990's. Concerns about them have recurred in the light of recently increased global stability risk and the quantitative easing that led to substantial capital inflows in emerging economies. We add to the empirical literature that relies on a univariate approach by using a multivariate framework to assess the effect of sudden stops on economic growth and by the identification of sudden stop shocks using a Markov switching VAR and sign restrictions. The Markov switching VAR approach dates sudden stop periods comparable to the existing literature. It reveals a significant negative influence of the regime switch on economic growth that is robust across different estimation methods. Moreover, the Markov switching VAR also indicates that the reaction of macroeconomic variables to the identified shock based on sign restrictions is regime dependent.

     
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    Other identifier:
    hdl: 10419/103839
    Series: Discussion papers / Universität Bern, Faculty of Economics and Social Sciences, Department of Economics ; 13-07
    Subjects: sudden stops; current account; sign restriction; Markov switching
    Scope: Online-Ressource (43 S.), graph. Darst.
  23. Uncertainty and episodes of extreme capital flows in the Euro area
    Author: Schmidt, Torsten; Zwick, Lina
    Published: 2013
    Publisher:  RWI, Essen

    In der Euro-Krise gingen starke Änderungen in internationalen Kapitalflüssen mit großer makroökonomischer Unsicherheit einher. Zwar ist es offensichtlich, dass beide Faktoren ökonomische Schocks auslösen bzw. verstärken können, es ist aber derzeit... more

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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 10 (461)
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    In der Euro-Krise gingen starke Änderungen in internationalen Kapitalflüssen mit großer makroökonomischer Unsicherheit einher. Zwar ist es offensichtlich, dass beide Faktoren ökonomische Schocks auslösen bzw. verstärken können, es ist aber derzeit unklar, inwiefern sie direkt miteinander verbunden sind. Das Ziel dieses Artikels ist es, den Zusammenhang zwischen verschiedenen Unsicherheitsmaßen und extremen Phasen von Kapitalflüssen in den Euro-Ländern zu untersuchen. Die Ergebnisse zeigen, dass länderspezifische Risikofaktoren eine stärkere Rolle spielen als globale. Zudem scheinen länderspezifische Risikofaktoren wichtiger für Direktinvestoren zu sein.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Ebook
    Format: Online
    ISBN: 9783867885218
    Other identifier:
    hdl: 10419/88752
    Series: Ruhr economic papers ; 461
    Subjects: Capital flows; uncertainty; Euro Area crisis; sudden stops; retrenchment
    Scope: Online-Ressource (29 S.), graph. Darst.
    Notes:

    Zsfassung in dt. Sprache
  24. Sudden stops, time inconsistency, and the duration of sovereign debt
    Author: Hatchondo, Juan Carlos; Martinez, Leonardo
    Published: 2013
    Publisher:  Federal Reserve Bank of Richmond, Richmond, Va.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Federal Reserve Bank of Richmond working paper ; 13,08
    Subjects: sovereign debt; default; sudden stops; debt dilution; time inconsistency; debt maturity
    Scope: Online-Ressource (16 S.), graph. Darst.
  25. Reservas internacionais revisitadas
    novas estimativas de patamares ótimos
    Author: Vonbun, Christian
    Published: 2013
    Publisher:  IPEA, Brasília, DF

    This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the... more

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    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    DS 194 (1885)
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    This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the optimal holdings of this asset are calculated for several feasible scenarios. Our results suggest that, under various alternative scenarios and assumptions regarding the model’s main parameters, the observed level of reserves in Brazil has become above the optimal level, thereby generating high and increasing costs for the Brazilian government and tax payers.

     
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    Source: Union catalogues
    Language: Portuguese
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/90994
    Series: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1885
    Subjects: international reserves; macroeconomics; external debt; sudden stops
    Scope: Online-Ressource (39 S.), graph. Darst.
    Notes:

    Zsfassung in engl. Sprache