Volatility spillovers and the global financial cycle across economies: Evidence from a global semi-structural model

Javier Gómez-Pineda

Economic Modelling, 2020, vol. 90, issue C, 331-373

Abstract: The paper provides some evidence on the relevance of global uncertainty and risk aversion and the lesser importance of US interest rates for the global financial and business cycles. As framework, we use a global semi-structural model augmented with financial and trade interlinkages. Financial interlinkages are modelled with proposed global uncertainty, global risk aversion and global financial cycle channels. Trade interlinkages are modelled with proposed value-chain trade equations. We find that global uncertainty and global risk aversion are, by far, the main volatility factors in all economies. Other volatility factors such as US interest rates, foreign interest rates and trade-related factors rarely explain shares of forecast error variance above one percent.

Keywords: Global financial cycle; Uncertainty; Risk aversion; Global risk; Global value chains; Value-chain trade equations; Global semi-structural model (search for similar items in EconPapers)
JEL-codes: E37 E43 E58 Q43 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Working Paper: Volatility spillovers and the global financial cycle across economies: evidence from a global semi-structural model (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:90:y:2020:i:c:p:331-373

DOI: 10.1016/j.econmod.2020.02.023

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