EconPapers    
Economics at your fingertips  
 

Volatility Spillovers and Systemic Risk Across Economies: Evidence from a Global Semi-Structural Model

Javier G. Gómez-Pineda ()
Additional contact information
Javier G. Gómez-Pineda: Banco de la República de Colombia

Borradores de Economia from Banco de la Republica de Colombia

Abstract: The paper presents some evidence on the overwhelming relevance of systemic risk and the lesser importance of US interest rates in the global transmission of shocks. This evidence suggests that the literature could benefit from incorporating global confidence variables into global frameworks in the study of the global transmission of shocks. As framework, we used a global semi-structural model (GSSM) augmented with common factors for country risk and country credit. We approximated country risk with historical stock volatility, a measure that is uniform and available across countries; in addition, we measured spillovers as the share of forecast error variance explained by different volatility factors. We found that systemic risk is the main volatility factor in all systemic economies, and also accounts for the bulk of spillovers into non systemic economies. Other volatility factors such as global credit, foreign interest rates and trade-related factors rarely accounted for shares of forecast error variance above one percent. Classification JEL: E58; E37; E43; Q43

Keywords: Spillovers; Systemic risk; Systemic Economies; Global semi structural model (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fmk, nep-mac and nep-rmg
Date: 2017-09
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_1011.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bdr:borrec:1011

Access Statistics for this paper

More papers in Borradores de Economia from Banco de la Republica de Colombia Cra 7 # 14-78 Semi-sótano. Contact information at EDIRC.
Series data maintained by Clorith Angélica Bahos Olivera ().

 
Page updated 2017-11-10
Handle: RePEc:bdr:borrec:1011