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2015 | OriginalPaper | Buchkapitel

4. International (Spillovers in) Macroeconomic-Credit Linkages and the Decoupling Phenomenon

verfasst von : Antonio Pesce

Erschienen in: Economic Cycles in Emerging and Advanced Countries

Verlag: Springer International Publishing

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Abstract

Financial liberalization increased sharply in the globalization period; many structural changes took place among emerging economies and improved the degree of liberalization of financial systems: for example the liberalization of domestic banking systems and stock markets, or the removal of some restrictions on the acquisition of assets by foreigners. However, despite the fact that it is widely believed that bank lending can play a fundamental role both for the economic dynamics of any country and in the propagation of economic shocks from one country to another, the bank lending variable has not duly considered in the decoupling debate yet. This Chapter aims to feel this gap and extends the empirical investigation of Chapter 3 by considering also the bank lending variable.

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Vorheriges Kapitel Is Decoupling in Action?

Nächstes Kapitel Conclusions

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Own computation on data provided by the IMF, WEO Database, April 2013.

As it has already said in Chap. 3, the AEs were defined primarily by their pre-1990 membership in the Organization for Economic Cooperation and Development. All other economies were classified as EEs or DEs. The DEs were defined based on their current eligibility for concessional IMF loans. Remaining countries were classified as EEs. As a result of this classification scheme, some economies currently classified as AEs by the WEO (2012) of the IMF were classified as EEs in this monograph. However, according to Abdul Abiad et al. (2012), this categorization is appropriate because it is acceptable to think that those countries have acted more like EEs than AEs over the past 40 years.

Alan Heston, Robert Summers, and Bettina Aten, Penn World Table Version 7.1, Center for International Comparisons of Production, Income, and Prices at the University of Pennsylvania, November 2012.

As explained in the catalog of the WDI, the domestic credit provided by the banking sector includes all credit to various sectors. The banking sector includes monetary authorities and deposit money banks, as well as other banking institutions where data are available.

See Appendix 2, Table 4.8, for descriptive statistics of the GDP growth rate data for each country.

See Appendix 2, Table 4.9, for descriptive statistics of the credit growth rate data for each country.

The conditional expectations are computed orthogonaling the covariance matrix of the reduced form shocks, assuming that AEs block comes first, a natural choice given the patterns of trade, remittances and capital flows discussed in the first chapter.

Part of the experiments presented in this section have been performed also using the model estimated on the entire data sample (1978–2010); see the Appendix 4 for the details.

Let me note that, given that data have been standardized, in all cases I am simulating a 1.0 standard deviation shock. As in Chap. 3, it is assumed that the shocks do not affect the law of motion of the coefficients (Eq. 3.7).

The Wishart distribution is a probability distribution of symmetric positive-definite random matrices, see Greenberg (2008, p. 190).

See Greenberg (2008, p. 190).

Marginal likelihoods are computed as harmonic mean (Newton and Raftery 1994).

Abiad A, Bluedorn J, Guajardo J, Topalova P (2012) Resilience in emerging market and developing economics: will it last? In: World economic outlook, Chap. 4. IMF, Washington

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Cetorelli N, Goldberg LS (2010) Global banks and international shock transmission: evidence from the crisis. Federal Reserve Bank of New York, staff reports no. 446

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Greenberg E (2008) Introduction to Bayesian econometrics. Cambridge University Press, New York

Helbling T, Huidrom R, Kose MA, Otrok C (2011) Do credit shocks matter? A global perspective. Eur Econ Rev 55(3):340–353CrossRef

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Newton MA, Raftery AE (1994) Approximate Bayesian inference by the weighted likelihood bootstrap. J R Stat Soc B 56:3–48

Pesce A (2014) International (spillovers in) macrofinancial linkages and the decoupling phenomenon. J Int Money Financ 48:41–67CrossRef

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WEO (2012) Coping with high debt and sluggish growth. IMF, Washington

Titel: International (Spillovers in) Macroeconomic-Credit Linkages and the Decoupling Phenomenon
verfasst von: Antonio Pesce
Verlag: Springer International Publishing
Buch: Economic Cycles in Emerging and Advanced Countries
Print ISBN: 978-3-319-17084-8

Electronic ISBN: 978-3-319-17085-5

Copyright-Jahr: 2015
DOI: https://doi.org/10.1007/978-3-319-17085-5_4

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