Christopher Otrok's Books

Global House Price Fluctuations

Synchronization and Determinants

By: Mr.Hideaki Hirata,Mr.Ayhan Kose,Mr.Christopher Otrok,Mr.Marco Terrones

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Global House Price Fluctuations

Synchronization and Determinants

By: Mr.Hideaki Hirata,Mr.Ayhan Kose,Mr.Christopher Otrok,Mr.Marco Terrones

We examine the properties of house price fluctuations across 18 advanced economies over the past 40 years. We ask two specific questions: First, how synchronized are housing cycles across these countries? Second, what are the main shocks driving movements in global house prices? To address these questions, we first estimate the global components in house prices and various macroeconomic and financial variables. We then evaluate the roles played by a variety of global shocks, including shocks to interest rates, monetary policy, productivity, credit, and uncertainty, in explaining house price fluctuations using a wide range of FAVAR models. We find that house prices are synchronized across countries, and the degree of synchronization has increased over time. Global interest rate shocks tend to have a significant negative effect on global house prices whereas global monetary policy shocks per se do not appear to have a sizeable impact. Interestingly, uncertainty shocks seem to be important in explaining fluctuations in global house prices.

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International Monetary Fund

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ISBN 10

1475591608

ISBN 13

9781475591606

Global Business Cycles

Convergence or Decoupling?

By: Mr.Ayhan Kose,Mr.Christopher Otrok,Mr.Eswar Prasad

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Global Business Cycles

Convergence or Decoupling?

By: Mr.Ayhan Kose,Mr.Christopher Otrok,Mr.Eswar Prasad

This paper analyzes the evolution of the degree of global cyclical interdependence over the period 1960-2005. We categorize the 106 countries in our sample into three groups-industrial countries, emerging markets, and other developing economies. Using a dynamic factor model, we then decompose macroeconomic fluctuations in key macroeconomic aggregates-output, consumption, and investment-into different factors. These are: (i) a global factor, which picks up fluctuations that are common across all variables and countries; (ii) three group-specific factors, which capture fluctuations that are common to all variables and all countries within each group of countries; (iii) country factors, which are common across all aggregates in a given country; and (iv) idiosyncratic factors specific to each time series. Our main result is that, during the period of globalization (1985-2005), there has been some convergence of business cycle fluctuations among the group of industrial economies and among the group of emerging market economies. Surprisingly, there has been a concomitant decline in the relative importance of the global factor. In other words, there is evidence of business cycle convergence within each of these two groups of countries but divergence (or decoupling) between them.

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International Monetary Fund

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ISBN 10

1451870019

ISBN 13

9781451870015

The Sources of Business Cycles in a Low Income Country

By: Romain Houssa,Jolan Mohimont,Mr.Christopher Otrok

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The Sources of Business Cycles in a Low Income Country

By: Romain Houssa,Jolan Mohimont,Mr.Christopher Otrok

We examine the role of global and domestic shocks in driving macroeconomic fluctuations for Ghana. We are able to study the impact of exogenous shocks including productivity, credit supply, and commodity price shocks. We identify the shocks with a combination of sign and recursive restrictions within Bayesian VAR models. As a benchmark we provide results for South Africa to document the difference between two economies with similar structures but different levels of development. We find that global shocks play a more dominant role in South Africa than in Ghana. These shocks operate through three channels: trade, credit and commodity prices.

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International Monetary Fund

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ISBN 10

1484388194

ISBN 13

9781484388198

Regionalization vs. Globalization

By: Mr.Hideaki Hirata,Mr.Ayhan Kose,Mr.Christopher Otrok

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Regionalization vs. Globalization

By: Mr.Hideaki Hirata,Mr.Ayhan Kose,Mr.Christopher Otrok

Abstract: Both global and regional economic linkages have strengthened substantially over the past quarter century. We employ a dynamic factor model to analyze the implications of these linkages for the evolution of global and regional business cycles. Our model allows us to assess the roles played by the global, regional, and country-specific factors in explaining business cycles in a large sample of countries and regions over the period 1960–2010. We find that, since the mid-1980s, the importance of regional factors has increased markedly in explaining business cycles especially in regions that experienced a sharp growth in intra-regional trade and financial flows. By contrast, the relative importance of the global factor has declined over the same period. In short, the recent era of globalization has witnessed the emergence of regional business cycles.

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International Monetary Fund

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ISBN 10

1557753288

ISBN 13

9781557753281

Do Credit Shocks Matter? A Global Perspective

By: Mr.Ayhan Kose,Mr.Christopher Otrok,Raju Huidrom,Mr.Thomas Helbling

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Do Credit Shocks Matter? A Global Perspective

By: Mr.Ayhan Kose,Mr.Christopher Otrok,Raju Huidrom,Mr.Thomas Helbling

This paper examines the importance of credit market shocks in driving global business cycles over the period 1988:1-2009:4. We first estimate common components in various macroeconomic and financial variables of the G-7 countries. We then evaluate the role played by credit market shocks using a series of VAR models. Our findings suggest that these shocks have been influential in driving global activity during the latest global recession. Credit shocks originating in the United States also have a significant impact on the evolution of world growth during global recessions.

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International Monetary Fund

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ISBN 10

1455209619

ISBN 13

9781455209613

How Has Nafta Affected the Mexican Economy? Review and Evidence

By: Mr.Ayhan Kose,Mr.Guy Meredith,Mr.Christopher M. Towe

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How Has Nafta Affected the Mexican Economy? Review and Evidence

By: Mr.Ayhan Kose,Mr.Guy Meredith,Mr.Christopher M. Towe

This paper provides a comprehensive assessment of the impact of NAFTA on growth and business cycles in Mexico. The effect of the agreement in spurring a dramatic increase in trade and financial flows between Mexico and its NAFTA partners, and its impact on Mexican economic growth and business cycle dynamics, are documented with reference both to stylized facts and recent empirical research. The paper concludes by drawing lessons from Mexico's NAFTA experience for policymakers in developing countries. The foremost of these is that in an increasingly globalized trading system, bilateral and regional free trade arrangements should be used to accelerate, rather than postpone, needed structural reform.

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International Monetary Fund

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ISBN 10

1451847971

ISBN 13

9781451847970

The Development of International Monetary Policy

By: Christopher E.S. Warburton

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The Development of International Monetary Policy

By: Christopher E.S. Warburton

The Development of International Monetary Policy traces the development of international monetary policy from mercantilism to quantitative easing. It has been structured to present some of the pressing issues in international monetary relations involving currency valuation, inflation, exchange rates, and regional monetary policy. Additionally, it presents international monetary law as a basis for understanding the concept of monetary sovereignty and the limits of state autonomy in an interdependent world of legal arrangements. The book revisits some controversial arguments about stagflation and expansionary monetary policy, and it uses current time series data and empirical evidence to show why theories about the trade-off between inflation and unemployment are not extinct. Part of the concluding argument indicates that it is imperative for the international community to have a structure for monetary dispute resolutions involving autonomous states. Notably, the author further concludes that fiat money will continue to be a dominant unit of account, more so than crypto-currencies, into the distant future. An accessible and practical read, this is book is a valuable resource for postgraduates, academics and researchers of international trade, finance and economics.

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