Global Imbalances and the Financial Crisis: Link or No Link?

Borio, Claudio; Disyatat, Piti

doi:10.2139/ssrn.1859410

Cited by 386 publications

(313 citation statements)

References 36 publications

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“…The motivation for this exercise stems from several reasons. First, an adverse credit shock figured prominently as one of the likely triggers of the recent crisis (Borio & Disyatat, 2011). Second, with the growing implementation of macro-prudential policies in central banks designed to counteract possible boom/bust cycles, it seems important for policy makers to gauge the effects of possible regulatory policies, which might cause a reduction of credit, on macroeconomic aggregates (Goodhart et al, 2009).…”

Section: Identification and Structural Interpretationmentioning

confidence: 99%

Evaluating changes in the monetary transmission mechanism in the Czech Republic

2013

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Abstract: We investigate the evolution of the monetary policy transmission mechanism in the Czech Republic over the 1996-2010 period by employing a time-varying parameters Bayesian vector autoregression model with stochastic volatility. We evaluate whether the response of GDP and the price level to exchange rate or interest rate shocks changes over time, with a focus on the period of the recent financial crisis. Furthermore, we augment the estimated system with a lending rate and credit growth to shed light on the relative importance of financial shocks for the macroeconomic environment. Our results suggest that output and prices have become increasingly responsive to monetary policy shocks, probably reflecting financial sector deepening, more persistent monetary policy shocks, and overall economic development associated with disinflation. On the other hand, exchange rate pass-through has weakened somewhat over time, suggesting improved credibility of inflation targeting in the Czech Republic with anchored inflation expectations. We find that credit shocks had a more sizeable impact on output and prices during the period of bank restructuring with difficult access to credit. In general, our results show that financial shocks are less important for the aggregate economy in an environment of a stable financial system. Terms of use: Documents in

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Section: Identification and Structural Interpretationmentioning

confidence: 99%

Evaluating changes in the monetary transmission mechanism in the Czech Republic

2013

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“…In essence, financial globalisation magnified the impact of underlying distortions, such as inadequate regulation of credit markets and banks, by allowing the scaling-up of financial activities that might have faced capacity limits in autarkic financial systems (see also Borio and Disyatat 2011).…”

Section: Financial Globalisation and Sources Of The Crisismentioning

confidence: 99%

Financial Globalisation and the Crisis

Lane

2012

Open Econ Rev

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The global financial crisis provides an important testing ground for the financial globalisation model. We ask three questions. First, did financial globalisation materially contribute to the origination of the global financial crisis? Second, once the crisis occurred, how did financial globalisation affect the incidence and propagation of the crisis across different countries? Third, how has financial globalisation affected the management of the crisis at national and international levels?

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“…Acharya and Schnabl (2010) and Shin (2012) argue that banks outside the U.S. were investing large amounts of funds in long-term U.S. assets before the 2007 financial crisis, suggesting that the global saving glut hypothesis is meaningless relative to the role of foreign banks. As pointed out by Borio and Disyatat (2011), substantial gross inflows of investments came from Europe, rather than China or oil exporting Arab countries. 4 Bertaut et al (2012) found that countries running current account surpluses affect credit conditions by lowering long-term yields on US Treasury securities.…”

Section: Introductionmentioning

confidence: 99%