Chikako Baba's Books

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

By: Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto

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Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

By: Ron Anderson,Jon Danielsson,Chikako Baba,Mr.Udaibir S Das,Mr.Heedon Kang,Miguel A. Segoviano Basurto

Macroprudential stress testing (MaPST) is becoming firmly embedded in the post-crisis policy-frameworks of financial-sectors around the world. MaPSTs can offer quantitative, forward-looking assessments of the resilience of financial systems as a whole, to particularly adverse shocks. Therefore, they are well suited to support the surveillance of macrofinancial vulnerabilities and to inform the use of macroprudential policy-instruments. This report summarizes the findings of a joint-research effort by MCM and the Systemic-Risk-Centre, which aimed at (i) presenting state-of-the-art approaches on MaPST, including modeling and implementation-challenges; (ii) providing a roadmap for future-research, and; (iii) discussing the potential uses of MaPST to support policy.

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International Monetary Fund

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ISBN 10

1484375831

ISBN 13

9781484375839

How Should Credit Gaps Be Measured? An Application to European Countries

By: Chikako Baba,Mr.Salvatore Dell'Erba,Ms.Enrica Detragiache,Olamide Harrison,Ms.Aiko Mineshima,Anvar Musayev,Asghar Shahmoradi

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How Should Credit Gaps Be Measured? An Application to European Countries

By: Chikako Baba,Mr.Salvatore Dell'Erba,Ms.Enrica Detragiache,Olamide Harrison,Ms.Aiko Mineshima,Anvar Musayev,Asghar Shahmoradi

Assessing when credit is excessive is important to understand macro-financial vulnerabilities and guide macroprudential policy. The Basel Credit Gap (BCG) – the deviation of the credit-to-GDP ratio from its long-term trend estimated with a one-sided Hodrick-Prescott (HP) filter—is the indicator preferred by the Basel Committee because of its good performance as an early warning of banking crises. However, for a number of European countries this indicator implausibly suggests that credit should go back to its level at the peak of the boom after the credit cycle turns, resulting in large negative gaps that might delay the activation of macroprudential policies. We explore two different approaches—a multivariate filter based on economic theory and a fundamentals-based panel regression. Each approach has pros and cons, but they both provide a useful complement to the BCG in assessing macro-financial vulnerabilities in Europe.

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International Monetary Fund

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ISBN 10

1513525875

ISBN 13

9781513525877

Predicting Recessions

A New Approach for Identifying Leading Indicators and Forecast Combinations

By: Chikako Baba,Turgut Kisinbay

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Predicting Recessions

A New Approach for Identifying Leading Indicators and Forecast Combinations

By: Chikako Baba,Turgut Kisinbay

This study proposes a data-based algorithm to select a subset of indicators from a large data set with a focus on forecasting recessions. The algorithm selects leading indicators of recessions based on the forecast encompassing principle and combines the forecasts. An application to U.S. data shows that forecasts obtained from the algorithm are consistently among the best in a large comparative forecasting exercise at various forecasting horizons. In addition, the selected indicators are reasonable and consistent with the standard leading indicators followed by many observers of business cycles. The suggested algorithm has several advantages, including wide applicability and objective variable selection.

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International Monetary Fund

Published Date

ISBN 10

1463922019

ISBN 13

9781463922016

Second-Round Effects of Oil Price Shocks -- Implications for Europe’s Inflation Outlook

By: Chikako Baba,Mr. Jaewoo Lee

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Second-Round Effects of Oil Price Shocks -- Implications for Europe’s Inflation Outlook

By: Chikako Baba,Mr. Jaewoo Lee

The pass-through effects of oil price shocks on wage and consumer price inflation vary with the states or structural characteristics of an economy. The effects have declined over time in Europe and been higher in emerging European economies than in advanced economies. The pass-through to wages is found to have been higher when the prevailing level of inflation was higher or when the degrees of unionization and centralized bargaining were higher, while lower under a higher credibility of monetary policy. The effects of oil price shocks on core inflation and inflation expectations are consistent with their effects on wages.

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International Monetary Fund

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ISBN 13

9798400219351

Geoeconomic Fragmentation: What’s at Stake for the EU

By: Chikako Baba,Ting Lan,Ms. Aiko Mineshima,Florian Misch,Magali Pinat,Asghar Shahmoradi,Jiaxiong Yao,Ms. Rachel van Elkan

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Geoeconomic Fragmentation: What’s at Stake for the EU

By: Chikako Baba,Ting Lan,Ms. Aiko Mineshima,Florian Misch,Magali Pinat,Asghar Shahmoradi,Jiaxiong Yao,Ms. Rachel van Elkan

Geoeconomic fragmentation (GEF) is becoming entrenched worldwide, and the European Union (EU) is not immune to its effects. This paper takes stock of GEF policies impinging on—and adopted by—the EU and considers how exposed the EU is through trade, financial and technological channels. Motivated by current policies adopted by other countries, the paper then simulates how various measures—raising costs of trade and technology transfer and fossil fuel prices, and imposition of sectoral subsidies—would affect the EU economy. Due to its high-degree of openness, the EU is found to be exposed to GEF through multiple channels, with simulated losses that differ significantly across scenarios. From a welfare perspective, this suggests the need for a cautious approach to GEF policies. The EU’s best defence against GEF is to strengthen the Single Market while advocating for a multilateral rules-based trading system.

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International Monetary Fund

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ISBN 13

9798400259098

The 2020-2022 Inflation Surge Across Europe: A Phillips-Curve-Based Dissection

By: Chikako Baba,Mr. Romain A Duval,Ting Lan,Petia Topalova

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The 2020-2022 Inflation Surge Across Europe: A Phillips-Curve-Based Dissection

By: Chikako Baba,Mr. Romain A Duval,Ting Lan,Petia Topalova

In 2021-22, inflation in Europe soared to multidecade highs, consistently exceeding policymakers’ forecasts and surprising with its wide cross-country dispersion. This paper analyzes the key drivers of the inflation surge in Europe and its variation across countries. The analysis highlights significant differences in Phillips curve parameters across Europe’s economies. Inflation is more sensitive to domestic slack and external price pressures in emerging European economies compared to their advanced counterparts, which contributed to a greater passthrough of global commodity price shocks into domestic prices, and, consequently, to larger increases in inflation rates. Across Europe, inflation also appears to have become increasingly backward looking and more sensitive to commodity price shocks since the onset of the COVID-19 pandemic. This finding helps explain why conventional (Phillips curve) inflation models consistently underpredicted the 2021-2022 inflation surge, although it remains too early to conclude there has been a structural break in the inflation process.

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International Monetary Fund

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ISBN 13

9798400234385

Effectiveness of Capital Controls in Selected Emerging Markets in the 2000's

By: Chikako Baba,Annamaria Kokenyne

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Effectiveness of Capital Controls in Selected Emerging Markets in the 2000's

By: Chikako Baba,Annamaria Kokenyne

This paper estimates the effectiveness of capital controls in response to inflow surges in Brazil, Colombia, Korea, and Thailand in the 2000s. Controls are generally associated with a decrease in inflows and a lengthening of maturities, but the relationship is not statistically significant in all cases, and the effects are temporary. Controls are more successful in providing room for monetary policy than dampening currency appreciation pressures. We argue that the macroeconomic impact of capital controls depends on the extensiveness of the policy, the level of capital market development, the support provided by other policies, and the persistence of capital flows.

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International Monetary Fund

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ISBN 10

1463926626

ISBN 13

9781463926625

Macroeconomic Vulnerabilities Stemming from the Global Economic Crisis: The Case of Swaziland

By: Olivier Basdevant,Chikako Baba,MissBorislava Mircheva

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Macroeconomic Vulnerabilities Stemming from the Global Economic Crisis: The Case of Swaziland

By: Olivier Basdevant,Chikako Baba,MissBorislava Mircheva

Swaziland has faced a significant fiscal crisis since 2010, in the wake of loss of transfers from the Southern African Customs Union (SACU). The fiscal crisis has led to increasing vulnerabilities, not only of public finances but also on commercial banks and the private sector. This paper provides an analysis of Swaziland's main macroeconomic vulnerabilities and the main policy implications of the analysis.

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International Monetary Fund

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ISBN 10

1475510160

ISBN 13

9781475510164

Book's by Chikako Baba

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

Macroprudential Stress Tests and Policies: Searching for Robust and Implementable Frameworks

How Should Credit Gaps Be Measured? An Application to European Countries

How Should Credit Gaps Be Measured? An Application to European Countries

Predicting Recessions

Predicting Recessions

Second-Round Effects of Oil Price Shocks -- Implications for Europe’s Inflation Outlook

Second-Round Effects of Oil Price Shocks -- Implications for Europe’s Inflation Outlook

Geoeconomic Fragmentation: What’s at Stake for the EU

Geoeconomic Fragmentation: What’s at Stake for the EU

The 2020-2022 Inflation Surge Across Europe: A Phillips-Curve-Based Dissection

The 2020-2022 Inflation Surge Across Europe: A Phillips-Curve-Based Dissection

Effectiveness of Capital Controls in Selected Emerging Markets in the 2000's

Effectiveness of Capital Controls in Selected Emerging Markets in the 2000's

Macroeconomic Vulnerabilities Stemming from the Global Economic Crisis: The Case of Swaziland

Macroeconomic Vulnerabilities Stemming from the Global Economic Crisis: The Case of Swaziland

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