02072cas a2200265 a 4500 AALejournalIMF015384 230101c9999 xx r poo 0 0eng d 5.00 USD 9781513552545 1018-5941 BD-DhAAL BD-DhAAL Gomez-Pineda, Javier. Systemic Risk, Aggregate Demand, and Commodity Prices / Javier Gomez-Pineda, Dominique Guillaume, Kadir Tanyeri. Washington, D.C. : International Monetary Fund, 2015. 1 online resource (52 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students The paper presents a global model with systemic and country risks, as well as commodity prices.We show that systemic risk shocks have an important impact on world economic activity, with the busts in world output gap corresponding to unobserved systemic risk associated with major financial events. In addition, systemic risk shocks are shown to be important drivers of output gaps while country risk premium shocks can have important effects on the trade balance. Commodity prices, in particular the price of oil, are shown to be demand driven. The model performs well at one- and four-quarter horizons compared to a survey of analysts' forecasts. In addition, systemic risk shocks explain a large share of the forecast variance for the world output gap, country output gaps, the price of oil, and country risk premiums. The importance of systemic risk shocks lends support for financial surveillance with a systemic focus. Mode of access: Internet Guillaume, Dominique. Tanyeri, Kadir. IMF Working Papers; Working Paper ; No. 2015/165 Full text available on IMF http://elibrary.imf.org/view/journals/001/2015/165/001.2015.issue-165-en.xml IMF e-Library