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1
Reifschneider, David L., David J. Stockton, and David W. Wilcox. "Econometric models and the monetary policy process." Carnegie-Rochester Conference Series on Public Policy 47 (December 1997): 1–37. http://dx.doi.org/10.1016/s0167-2231(98)00002-5.
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Taylor, John B. "Econometric models and the monetary policy process." Carnegie-Rochester Conference Series on Public Policy 47 (December 1997): 39–42. http://dx.doi.org/10.1016/s0167-2231(98)00003-7.
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Baranovskyi, O. I., M. O. Kuzheliev, D. M. Zherlitsyn, O. S. Sokyrko, and A. V. Nechyporenko. "ECONOMETRIC MODELS OF MONETARY POLICY EFFECTIVENESS IN UKRAINE." Financial and credit activity: problems of theory and practice 3, no. 30 (September 30, 2019): 226–35. http://dx.doi.org/10.18371/fcaptp.v3i30.179546.
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Dobronravova, E. P. "Industry effects of monetary policy in Russia: Econometric analysis." Journal of the New Economic Association 55, no. 3 (2022): 45–60. http://dx.doi.org/10.31737/2221-2264-2022-55-3-3.
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This paper presents the econometric analysis of the heterogenous effects of monetary policy on industrial output and producer prices in manufacturing sector in Russia. The estimation of the differences in the impulce responses to the interest rate shock is conducted using structural VAR-models, the analysis of key industrial characteristics, explaining differences through monetary transmission channes, is based on principal components and correlations. Our findings reveal the strongest response to monetary policy in such industries as manufacture of rubber and plastic products, manufacture of non-metallic mineral products, manufacture of pulp and paper, manufacture of machinery nd equipment, manufacture of electrical, electronic and optical equipment and manufacture of motor vehicles and equipment. Besides, in these industries the response is usually deffered to 2–3 months after the shock. Our findings also show that the impact of monetary shocks on output is particulary strong in industries producing capital goods and supplies for construction but particularly weak in industries with high concentration and high profits. That means that differences in industrial responses to monetary policy can be described by two key channels of monetary transmission — interest rate channel (due to high demand sensitivity to interest rate changes) and bank lending channel (due to important role of bank loans in fi rms’ financing).
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Nikolaychuk, Sergiy, and Yurii Sholomytskyi. "Using Macroeconomic Models for Monetary Policy in Ukraine." Visnyk of the National Bank of Ukraine, no. 233 (September 29, 2015): 54–64. http://dx.doi.org/10.26531/vnbu2015.233.054.
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An important precondition for successful implementation of inflation targeting is the ability of the central bank to forecast inflation given the fact that the inflation forecast has become an intermediate target. Certainly, this means there should be clear understanding of the monetary policy transmission mechanism functioning within the bank, because it is precisely through transmission channels that a central bank has to ensure convergence of its inflation forecast to the target. And it is almost impossible to pursue inflation targeting without a set of macroeconomic models that describes the monetary policy transmission mechanism and helps to analyse the current state of the economy as well as forecast (simulate) short- and medium-term macroeconomic scenarios. This article provides a review of the current state of macroeconomic modelling at central banks and describes the history of development and actual stance of the National Bank of Ukraine’s system of macroeconomic models. The existing system provides quite reliable support for the current monetary policy decision-making process, but it has to be improved by implementing a more sophisticated model (such as a dynamic stochastic general equilibrium model) and enhancing the set of econometric models for shortterm forecast purposes in the future.
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Kartaev, Filipp, and Natalia Kozlova. "Econometric Assessment of Monetary Policy Impact on the Dynamics of the Russian Stock Market." Moscow University Economics Bulletin 2016, no. 1 (February 28, 2016): 22–43. http://dx.doi.org/10.38050/01300105201612.
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The article provides the analysis of the impact of monetary policy shock generated by the Bank of Russia on the Russian stock market yield dynamics. We have estimated the features and duration of the effect using SVAR models and monthly data for the period from 2005 to 2013. We examine a wide range of proxies for the monetary conditions: the key interest rate, monetary aggregate M2, the refinancing rate and the interbank lending rate.
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Fabris, Nikola. "Challenges for Modern Monetary Policy." Journal of Central Banking Theory and Practice 7, no. 2 (May 1, 2018): 5–24. http://dx.doi.org/10.2478/jcbtp-2018-0010.
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Abstract The first central banks were founded in the XVII century and monetary policy has been evolving ever since. Knowledge on monetary economy has improved significantly over the last couple of decades and a consensus has been reached in a number of areas. As a result, hyperinflations have been extremely rare over the past decades. The global financial crisis challenged traditional monetary policy that was based on the approach involving one instrument (reference interest rate) and one goal (price stability). It is obvious that we need a new approach to monetary policy and I believe that changes will happen gradually in the future. This paper consists of two parts. The first part covers the traditional monetary policy and deals with issues where consensus has been reached, as well as with issues on monetary policy objectives, transparency, and macroprudential policy. The second part addresses the issues that pose a challenge for monetary policy and for which there is no complete consensus. This part elaborates on the dilemma involving rules versus discretions, a new approach to banking supervision, monetary policy during a crisis, the role of econometric models, and the need for international coordination of monetary policy.
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Pažický, Martin. "The consequences of unconventional monetary policy in euro area in times of monetary easing." Oeconomia Copernicana 9, no. 4 (December 31, 2018): 581–615. http://dx.doi.org/10.24136/oc.2018.029.
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Research background: In this research paper, an attempt is made to evaluate the impacts of ECB’s unconventional monetary policy which has been applied after Global Financial Crisis. Because of the new economic and monetary conditions, the effectiveness of conventional monetary tools has been questioned.
Purpose of the article: Designed models examine the consequences of unconventional monetary policy for macroeconomic variables, monetary variables and interest rates in the euro area. Particular attention is paid to the response of the price level, represented by HICP, to various monetary policy innovations. Except a shock in credit multiplier and asset purchase programme (APP), also the effectiveness of a conventional monetary tool, such as main refinancing operation (MRO) interest rate, is inspected.
Methods: Use has been made of impulse responses from structural VAR models to analyze a large sample that covers the time horizon of 1999 to 2016. Several econometric tests are performed to provide a profound analysis. The conclusions from baseline models are verified in multiple robustness check models, which are specified under alternative conditions.
Findings & Value added: It has been found that, in the aftermath of the Global Financial Crisis, conventional monetary instruments are effective in the short-run. In the long-run, unconventional monetary policy has a greater potential to stabilize the economy than the traditional interest rate transmission channel. The conclusions from the baseline models are verified in multiple robustness check models, which are specified under alternative conditions.
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Naeem Nawaz, Shahzada M., and Ather Maqsood Ahmed. "New Keynesian Macroeconomic Model and Monetary Policy in Pakistan." Pakistan Development Review 54, no. 1 (March 1, 2015): 55–71. http://dx.doi.org/10.30541/v54i1pp.55-71.
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The New Keynesian (NK) models have advantage over the Real Business Cycle (RBC) models as they allow rigidities in the structure of the model, hence provide built-in mechanism to incorporate the structural shocks. The estimation of the NK model for Pakistan’s economy remains a relatively unexplored area. This study attempts to estimate a closed economy version of the NK model using robust econometric technique. On the empirical side macroeconomic dynamics have been investigated in response to unanticipated monetary shock. The reaction of the monetary authority (the State Bank of Pakistan) in response to structural shocks has been assessed by exploring the role of forward looking expectations. The SVAR model has been employed to estimate the structural parameters. The response of macroeconomic aggregates to structural shocks has also been simulated along with discussing the forecast error variance decomposition. The role of forward looking expectations is found to play prominent role in the prevailing market structure of the country. The State Bank of Pakistan (SBP) has been found to respond to shocks after a lag of one or more periods indicating time inconsistency problem which is due to discretionary monetary policy stance being adopted by the monetary authority. The distorted beliefs of economic agents about the stance of monetary policy have pointed towards weak effectiveness of the monetary policy. The results suggest that the SBP would have to adopt an independent and transparent monetary policy by following some sort of Taylor-type rule. JEL Classification: C32, C51, E52, E58 Keywords: New Keynesian Models, Real Business Cycle Models, Forward Looking Expectations, SVAR Model, Price Puzzle
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Creel, Jérôme, and Paul Hubert. "HAS INFLATION TARGETING CHANGED THE CONDUCT OF MONETARY POLICY?" Macroeconomic Dynamics 19, no. 1 (July 25, 2013): 1–21. http://dx.doi.org/10.1017/s1365100513000199.
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We aim at establishing whether the institutional adoption of inflation targeting has changed the conduct of monetary policy. To do so, we test the hypothesis of inflation targeting translating into a stronger response to inflation in a Taylor rule with three alternative econometric models: a structural break model, a time-varying parameter model with stochastic volatility, and a Markov-switching VAR model. We conclude that inflation targeting has not led to a stronger response to inflation in the reaction function of the monetary authority. This result suggests that inflation targeting being meant to anchor inflation expectations through enhanced credibility and accountability, it may enable a central bank to stabilize inflation without pursuing aggressive action toward inflation variations.
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Igityan, Haykaz. "Asymmetric Effects of Monetary Policy on the Armenian Economy." Russian Journal of Money and Finance 80, no. 1 (March 2021): 46–103. http://dx.doi.org/10.31477/rjmf.202101.46.
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Whether inflation and output respond symmetrically or asymmetrically to the same size of contractionary and expansionary monetary policy shock has important policy implications. This paper shows the presence of asymmetric responses in Armenian inflation and output to positive and negative monetary policy shocks of the same size by employing econometric models. Contractionary policy decreases inflation less than expansionary policy increases it. Output reacts in the opposite way. An estimated small open economy DSGE model with sticky wages and investment adjustment costs explains about half of the asymmetry observed in the monetary policy transmission mechanism. This paper finds that the main part of inflation reaction asymmetry is a result of a highly convex Phillips curve for the importers. The nonlinearities of the internal economy explain the predominant part of the asymmetry in output reaction.
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Nocoń, Aleksandra. "Sustainable Approach to the Normalization Process of the UK’s Monetary Policy." Sustainability 12, no. 21 (November 6, 2020): 9229. http://dx.doi.org/10.3390/su12219229.
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It has been more than a decade since central banks, in the face of the global financial crisis, implemented a set of unconventional initiatives that included a rapid and significant decrease in their main interest rates and an unprecedented balance sheet policy. Thus far, they still have not returned their monetary policy to the pre-crisis framework and have not implemented a normalization process. Currently, a trend of using econometric models in monetary policy for forecasting purposes has been observed. Among these models, Bayesian vector autoregression models (BVAR models) are increasingly being used by central banks. The main aim of this study was to conduct an empirical verification of the BVAR model’s usage for short-term prediction which could then be used for a sustainable (ordered) normalization process for the UK’s monetary policy. This study verifies a research hypothesis which states that the BVAR model might be a useful tool in the Bank of England’s decision-making process regarding the normalization of its monetary policy. Additionally, the cause and effect analysis, observation method, document analysis method, and synthesis method were also considered. The conducted research indicates that a large BVAR model has a significant predictive value for short-term forecasting.
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Hasan, M. Aynul. "A Rational Expectations Macro-econometric Model of Pakistan's Monetary Policy since 1970s." Pakistan Development Review 26, no. 4 (December 1, 1987): 513–27. http://dx.doi.org/10.30541/v26i4pp.513-527.
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Since April 1985 the operations of the entire financial sector in Pakistan have been transformed into a system which is expected to conform to the laws of 1slamic society. Under this system all banks and other financial institutions are supposed to conduct their borrowing and lending according to an interest free Islamic financial system, except for past commitments which may have been carried over in accordance with original commitments! With this rapid transition towards the interest free banking system in Pakistan, the present decade has witnessed the emergence of the State Bank of Pakistan as a key participant in the area of policy formation. Indeed, the greater participation of the governor and the bank has given rise to a considerable amount of discussion and debate over Pakistan's monetary policy among the academics and politicians at home and abroad. To a large extent, this discussion and analysis has been essentially descriptive, being based upon casual observations rather than tightly formulated econometric models. From the viewpoint of understanding Pakistan's economy over the 1970s and 1980s within the framework of a complete macro model, there is a growing need to empirically establish the mechanisms of monetary policy in Pakistan and to determine its impact on such macro-economic variables as real output and employment.
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Barrell, Ray, and Karen Dury. "Asymmetric Labour Markets in a Converging Europe: Do Differences Matter?" National Institute Economic Review 183 (January 2003): 56–65. http://dx.doi.org/10.1177/0027950103183001461.
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In this paper we investigate whether differences we observe in European labour market transmission mechanisms matter for monetary policy design. We are particularly concerned with the robustness of the choice of rule by the European Central Bank (ECB) but we also comment on the choice of rules in the UK. Three different models of labour markets are constructed, one where the relationships are estimated separately, one where the most statistically acceptable commonalities across countries are imposed and one where common relationships are imposed across all countries. Panel estimation techniques are used to test for commonalities. These models are embedded into the National Institute's Global Econometric Model, NiGEM, and stochastic simulations are run to evaluate different monetary policy rules.
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Ahmed, Ather Maqsood, Muhammad Rafiq, and M. Shahid Iqbal. "Dynamic Properties of an Aggregate Econometric Model of Pakistan's Economy." Pakistan Development Review 32, no. 4II (December 1, 1993): 1031–41. http://dx.doi.org/10.30541/v32i4iipp.1031-1041.
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The use of econometric models for policy planning and decision-making is wide-spread in many developed as well as developing countries. One of the most vexing problems of such an exercise is to construct a model that could adequately reproduce the dynamic behaviour of an economy. The recent experience in modelling has shown that policy objectives could be achieved only by recognising the complex relationship between real and monetary variables. Such an integrated framework .could be used not only to compute impact and dynamic multipliers and to determine the stability of the model, but also to evaluate the relative importance offiscal and monetary policies. In the present paper, this objective is achieved by constructing a linear yet dynamic macro-econometric model of Pakistan's economy.' This model although has a Keynesian structure, but it could easily and meaningfully be solved to determine the values of endogenous variables especially income in terms of pure exogenous variables. In order to establish the dynamic stability of the model, we seek to present the "necessary conditions" that will depend not only on the structure of the model, but also on the estimated paramters of structural equations. After establishing the stability of the model, the next step is policy evaluation. In this regard the impact and the dynamic multipliers will be computed. These multipliers will then be used to assess the relative importance of fiscal and monetary policy variables on income and other dependent variables such as consumption and investment. The time period under consideration ranges between 1959-60 and 1987-88 which includes dramatic events like two wars with India, nationalisation, the oil price hike, recession and floods.
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Sumithra, R. "Monetary Policy Goals for Economic Stability in India." Shanlax International Journal of Economics 8, no. 2 (March 1, 2020): 5–11. http://dx.doi.org/10.34293/economics.v8i2.2155.
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This paper focused on the goals of monetary policy on how to take action to reduce the inflation rate and achieve economic stability in India. The monetary policy the arm of public policy the usual goals of monetary policy are to achieve full employment, to achieve high rate of economic growth, and to stabilize prices and wages, to maintain equilibrium the balance of payment, influencing the cost and availability of credit and increasing the repo rate by central bank and Government of India. Every country needs to achieve price stability in economic development. The inflation rate below close to 2% is low enough to allow the economy to benefit fully from price stability and avoid deflation risk and, beyond the level of inflation above 3 to 10% in any economy of the country, it’s harmful to the economy. Present India’s consumer price inflation rate was (CPI) 3.9% and the whole sale inflation rate of (WPI) 1.8% in the Financial Year of 2019. According to Econometric models estimated in 2020, India’s inflation rate is projected around 4.5%.
In this study, we study whether inflation is an effective tool for controlling inflation and achieving economic stability in India?
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Pilko, A. D., and V. R. Kramar. "The Impact of Monetary Policy on the Financial Stability of the Banking System: Setting a Modeling Problem." Business Inform 2, no. 517 (2021): 81–88. http://dx.doi.org/10.32983/2222-4459-2021-2-81-88.
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The publication is concerned with highlighting the results of the carried out analysis of the existing practice of developing macroeconomic models directed towards determining the main parameters of monetary policy of central banks, as well as assessing their impact on the indicators of financial stability of the banking system. Given the low efficiency of the traditional approaches to the formation of the monetary rule both in countries with developed market economies and in countries with small open economies (in particular, Taylor rule), possible ways to solve this problem are proposed taking into account the existing experience in shaping monetary policy parameters in the context of inflation targeting, which is already available at the NBU. The strengths and weaknesses of the main approaches to the modeling of the monetary transmission mechanism, as well as the forecasting of its impact on the financial stability of the banking system, which are used in the formation of basic and auxiliary models of the central bank, are analyzed. Particular attention is paid to structural econometric models, vector autoregression models and dynamic stochastic models of general equilibrium. As a result, a possible variant for developing an approach to macroeconomic modeling is proposed, in the framework of which assessment and analysis of the impact of monetary policy on the indicators of financial stability of the banking system is envisaged. The practical implementation of this approach makes it possible to develop models for assessing and analyzing the efficiency of the current monetary policy, projecting macroeconomic development scenarios in the short and medium term, which will both directly and indirectly determine the indicators of financial stability of the banking system.
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Liu, Junxiao, and Kerry London. "MODELLING HOUSING SUPPLY AND MONETARY POLICY WITHIN THE CONTEXT OF GLOBAL ECONOMIC TURBULENCE." International Journal of Strategic Property Management 17, no. 1 (April 3, 2013): 1–20. http://dx.doi.org/10.3846/1648715x.2012.735273.
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Housing supply is an essential component of the property sector. Compared with an increasingly strong housing demand, the growth rates of total housing stock in Australia have exhibited a downward trend since the end of the 1990s. Over the same period, the significant adjustments in the Australian monetary policy were being implemented under a turbulent global economic climate. This research aims to identify the relationship between housing supply and monetary policy within the context of global economic turbulence by a vector error correction model with a dummy variable. The empirical evidence indicates that the monetary policy changes and global economic turmoil can significantly affect the supply side of the housing sector in Australia. The models developed in this study assist policy makers in estimating the political impacts in the global context.
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Tan, Chai-Thing, Azali Mohamed, Muzafar Shah Habibullah, and Lee Chin. "The Impacts of Monetary and Fiscal Policies on Economic Growth in Malaysia, Singapore and Thailand." South Asian Journal of Macroeconomics and Public Finance 9, no. 1 (March 2, 2020): 114–30. http://dx.doi.org/10.1177/2277978720906066.
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This article analyses the impact of monetary and fiscal policies on economic growth in Malaysia, Singapore and Thailand from 1980:Q1 to 2017:Q1. Autoregressive distributed lag (ARDL) approach is employed to determine the long-run relationship. Further, a range of econometric models, such as fully modified least squares method (FMOLS), canonical cointegration regression (CCR) and dynamic ordinary least squares method (DOLS), are applied to check the robustness. The results are stable and robust as all the models yield consistency result. The main findings in this study demonstrate that: (a) interest rate had a negative impact on economic growth in three selected countries. (b) Government spending had a negative impact on economic growth in Malaysia and Singapore, but had a positive impact in Thailand. (c) Monetary policy is more effective in Malaysia and Singapore, while fiscal policy is more effective in Thailand. JEL Classification: E52, E58, E62, C01
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Saqib, Najam Us, and Attiya Yasmin. "Some Econometric Evidence on the Relative Importance of Monetary and Fiscal Policy in Pakistan." Pakistan Development Review 26, no. 4 (December 1, 1987): 541–51. http://dx.doi.org/10.30541/v26i4pp.541-551.
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Economists agree that both monetary and fiscal policies can influence the pace of aggregate economic activity. However, their relative importance still remains a widely debated and complicated issue. Given the mushroom growth of different types of economic models, it seems almost impossible to decide their relative importance, at a purely theoretical level. So in this paper, we have tried to deal with this issue empirically in the context of Pakistan. In surveying the literature, we can find a number of empirical studies on this issue, but most of them are for the developed countries. Similar studies for the developing countries are rare. We have been able to find only two such studies for Pakistan, one by Hussain (1982) and the other by Masood and Ahmad (1980). The study by Hussain (1982) covers the period from 1949-50 to 1970-71, and the data used in this study pertain to united (East and West) Pakistan. So the results of his study can hardly be of much relevance to present Pakistan. Masood and Ahmad (1980) use data for present Pakistan from 1959-60 to 1976-77 in their study. They regress induced' expenditures on autonomous expenditures and money supply and assess the relative importance of the two exogeneous variables, on the basis of t-values and beta-coefficients. Their definition of induced and autonomous expenditures seems to be a little arbitrary. Agricultural income, an independent variable in their regressions, turns out to be a dominant variable in a number of equations. The negative sign of the autonomous expenditures in some regressions is difficult to justify. Their efforts, to determine the lag structure, have also been unsuccessful. Although their data are from many individual sources, they have not applied any formal tests to check the consistency of the data and the possible structural change that might have taken place due to the separation of East Pakistan.
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Abuselidze, George. "The Impact of Banking Competition on Economic Growth and Financial Stability: An Empirical Investigation." European Journal of Sustainable Development 10, no. 1 (February 1, 2021): 203. http://dx.doi.org/10.14207/ejsd.2021.v10n1p203.
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The paper examines the level of competition in banking market using different econometric models and analyzes the impact of efficiency of the banking system on the economic growth of the country. The research discusses to ensure banking competition as a function of the Central Bank. Also, the paper includes some recommendations developed to improve banking competition. Our hypothesis is that the existence of high levels of banking competition and low concentration in the banking market balances the speed of money supply in the economic sector. As a result, the Central Bank's monetary policy will be more effective in achieving its core objectives. Therefore, banking competition contributes to the economic growth of the country. In addition, the monetary policy of the Central Bank concentrates on financial stability, which is one of the fundamental factors in the economic development of a country.
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Derkach, T., and H. Alekseievska. "THE INFLUENCE OF DEVELOPED COUNTRIES CENTRAL BANKS' UNCONVENTIONAL MONETARY POLICY ON THE ECONOMY OF UKRAINE." Actual Problems of International Relations, no. 142 (2020): 99–108. http://dx.doi.org/10.17721/apmv.2020.142.1.99-108.
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In the period of globalization, the economic shocks that occurred in one country quickly spread to other countries. So the actions of the developed countries’ Central banks have a significant impact on other countries, in particular emerging markets countries. The paper considers an example of the impact of the European Central Bank, the Federal Reserve and the Bank of Japan's unconventional monetary policy on the Ukrainian economy. The purpose of the study is to assess the impact of the ECB, the Fed and the Bank of Japan's unconventional monetary policy on the financial indicators of Ukraine. The analysis is based on the event study methodology and constructing econometric models using the one least-squares method. The event study method allows to evaluate whether the time series of the studied indicators moves around a certain date. As a result, it was determined that the ECB's unconventional measures had the greatest impact on Ukrainian financial indicators, and the Bank of Japan had the least impact. Non-traditional measures of banks under study affected exchange rates and the yield of two-year government bonds. ECB and Fed’s Unconventional monetary policy had an impact on the MSCI stock index, and the ECB policy also affected the interbank three-month rate. On the whole, the first rounds of unconventional monetary policy of the central banks under study have the main influence on the financial indicators of Ukraine.
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Gu, Huaying, and Chaoqun Han. "Analysis of China’s Pure Electric Vehicle Sales Based on Spatial Econometric Models." International Journal of Economics and Finance 13, no. 1 (December 5, 2020): 12. http://dx.doi.org/10.5539/ijef.v13n1p12.
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This paper empirically investigates the spatial dependence and serial correlation structures among different China’s brands of pure electric vehicle (EV) sales using spatial econometric models. Based on the newly proposed economic distance spatial weight matrix, the empirical results show that EV endurance mileage, power battery capacity, charging time, government subsidy, retail price, and each brand market share have important impacts on EV sales. The per capita disposable income of urban households, gasoline price, loan rate and the number of charging pile are statistically significant determinants of EV sales. In particular, the improvements of the number of charging pile and the rise of gasoline price can increase EV sales, while the rise of loan rate or tight monetary policy may increase the consumers’ cost of purchasing EVs and then decrease EV sales. Another interesting finding is that though the per capita disposable income of urban households increases the EV sales decreases. A plausible explanation would seem to be that the impact of the per capita disposable income of urban households on the EV sales is offset by the decline in government subsidies or the incomplete infrastructures such as the inconvenient of charging stations. Besides, the significantly positive spatial dependence and serial correlation exist among EV manufactures indicates that when developing EV sales strategies, EV manufacturers must consider not only the properties of the EVs they produce, but also the properties of similar types of EVs produced by other brands in the EV market.
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Karpenko, Elena, and Kristina Shestakova. "Management of industrial development of the country: theoretical aspects and tools." University Economic Bulletin, no. 49 (May 22, 2021): 81–87. http://dx.doi.org/10.31470/2306-546x-2021-49-81-87.
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The relevance of the research topic is substantiated by the revival of the world community's interest in industry as a driver of economic development. The problem is that industrial development has a number of limitations as a result of imbalances between the resource potential of the economic system, its institutional structure and the dominant technical and economic paradigm, which require the development of special management tools. An analysis of recent publications shows the presence of scientific interest in the search for the relationship between the content of industrial policy, which serves as a tool for managing the country's industrial development, and the level of industrial and economic development in terms of creating certain economic conditions for its formation and implementation. However, the issues of scientific substantiation of the use of specific instruments of the country's economic policy for economic systems of various levels of industrial development are insufficiently studied. The purpose of the study is to determine and substantiate the factors of scientific and technical, foreign economic, financial and monetary spheres, influencing which it is possible to manage the industrial development of the country through the formation of a favorable environment for the implementation of industrial policy. The research methods used in the work are comparison, grouping, correlation-regression analysis, econometric modeling, systematic approach. Results of work. Within the framework of this study, on the basis of the constructed econometric models, the factors of foreign economic, scientific, technical and monetary policy were identified, which form favorable conditions for the implementation of industrial policy. The factors were differentiated for countries with different levels of industrial development. The field of application of the research results is the state policy aimed at stimulating industrial development. Conclusions. The work establishes the priority influence of monetary policy factors at a degree of industrialization from 0 to 1; monetary and scientific and technical policy with a degree of industrialization from 1 to 15; factors of all types are important if the degree of industrialization is higher than 15. Taking into account the above factors when developing the content of the national industrial policy will contribute to: achieving the goals in the field of industrial development, reducing the risks of negative effects from government intervention in industrial production, predicting the consequences of adopting certain economic solutions.
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Van der Geest, Willem. "Peter J. Montiel, Pierre-Richer Agenor, and Nadeem ul Haque. Informal Financial Markets in Developing Countries: A Macroeconomic Analysis. Published in the "Advances in Theoretical and Applied Economics" series edited by Homa Motamen-Scobie. Oxford: Blackwell. 1992. i-xi + 212 pp., including appendices. Hardbound. £40.00." Pakistan Development Review 32, no. 3 (September 1, 1993): 332–35. http://dx.doi.org/10.30541/v32i3pp.332-335.
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This volume reviews the nature and scope of informal financial markets in developing countries and elaborates on the theoretical and conceptual models which analyse 'financial repression' and other aspects of government intervention in financial markets. It also focuses on the consequences which the prevalence of informal financial markets in developing countries may have for monetary and exchange rate policy. In particular, it attempts to capture the functioning of informal, unregulated markets into macroeconomic models, working towards a general eqUilibrium model with informal financial markets. Two types of informal markets are analysed. The first are for informal lending at terms and conditions which differ greatly from those prevailing in the official banking system. The second are the 'parallel' markets for foreign exchange which tend to emerge in response to quantity restrictions on trade and administered allocation of foreign exchange to certain users at official rates, which are well below those on the parellel markets. The key question is whether these informal markets change the efficacy of monetary and credit policy-and, if they do, to what extent and in what direction? Two supporting appendices present econometric analyses of the efficiency of parallel currency markets and the degree of capital mobility in developing countries.
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Caetano, Rafaela Maiara, and Cleomar Gomes Da Silva. "Determinantes da confiança do consumidor e dinâmica da política monetária no Brasil." Brazilian Keynesian Review 5, no. 1 (September 21, 2019): 18. http://dx.doi.org/10.33834/bkr.v5i1.165.
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<p>The aim of this article is to investigate the determinants of consumer confidence in Brazil and possible impacts on monetary policy actions. The econometric methodology applied is based on Autoregressive Distributed Lag (ARDL) Models, particularly the Bounds Testing (ARDL) Approach to Cointegration. For monthly data between January 2003 and December 2016, the empirical results suggest that there is a long run relationship between consumer confidence and the other variables analyzed. As for short-run dynamics, the error correction mechanism varies between 1.9% and 8.7%, depending on the estimated model. This suggests that economic variables influence consumer confidence, and when there is a break in confidence, its recovery is very slow.</p>
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Abu Asab, Noura. "Evidence of customer sophistication behaviour in deposit markets: the case of Qatar." Journal of Economic Studies 47, no. 5 (May 26, 2020): 1181–96. http://dx.doi.org/10.1108/jes-08-2019-0371.
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PurposeThe paper investigates the interest rate policy transmission mechanism and the role of market structure of the banking industry in Qatar.Design/methodology/approachCompetitiveness indexes are used to measure the degree of market power in the banking industry in Qatar. The momentum threshold autoregressive model is applied over the monthly period from January 2005 to June 2018 to examine the magnitude of intermediation and adjustment to disequilibria in the deposit market. In addition, to model interest rate volatility and overcome the problem of heteroscedastic errors in the error correction standard models, an asymmetric EC-EGARCH-M model is applied.FindingsThe findings suggest incomplete pass-through and asymmetric response to monetary shocks. The asymmetric adjustment mechanism is found to be downward rigid which suggests a high degree of customer sophistication and an elastic supply of deposits. The results of the EC-EGARCH-M show that the impact of monetary policy shocks has a significant positive impact on deposit interest rates and that negative monetary shocks trigger more conditional interest rate volatility in the next period than positive monetary shocks for a short maturity rate.Originality/valueThe paper is the first to highlight the behaviour of the interest rate pass through channel and measures the degree of competitiveness of the banking industry for the case of a small, rich country. In addition, using recent data, the paper applies different econometric methodologies and overcomes the problem of heteroskedastic errors by modelling the interest rate volatility using the EC-EGARCH-M model.
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Drobyshevsky, S. M., M. V. Kazakova, E. V. Sinelnikova-Muryleva, P. V. Trunin, and N. D. Fokin. "Trend inflation: Estimates for the Russian economy." Voprosy Ekonomiki, no. 1 (December 30, 2022): 5–25. http://dx.doi.org/10.32609/0042-8736-2023-1-5-25.
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The paper estimates the trajectory of trend inflation for Russia. A discussion of inflation measures used in macroeconomic models is presented, as well as the analysis of theoretical and empirical models that include a trend inflation indicator for monetary policy analysis. The paper also provides an overview of the use of trend inflation by monetary authorities of developed countries and emerging markets. Based on the methodology for assessing trend inflation with the help of models of unobservable components, the Kalman filter and including structural factors, the trajectory of trend inflation for the Russian economy from the beginning of 2001 to the end of 2021 is obtained. In addition, the paper provides a historical decomposition of cyclical inflation into structural shocks, as well as the decomposition of the variance of its forecast error into the considered shocks for 24 months in advance. The results of the econometric analysis testify in favor of a gradual decrease in the trend inflation rate to 4% per year after the 2015 crisis and further stabilization at this level. The situation in 2022 can be analyzed by analogy with the period of 2014—2015, one can expect a similar scenario for trend and actual inflation to return to pre-crisis levels in 2022 within one year (by March 2023).
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Guisinger, Alexandra, and David Andrew Singer. "Exchange Rate Proclamations and Inflation-Fighting Credibility." International Organization 64, no. 2 (April 2010): 313–37. http://dx.doi.org/10.1017/s0020818310000056.
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AbstractIf governments choose economic policies that often run counter to their public commitments, are those commitments meaningless? We argue that government proclamations can be critical in signaling economic policy intentions. We focus on the realm of exchange rate policy, in which countries frequently implement an exchange rate regime that differs from the officially declared regime. We argue that the official exchange rate regime is one of the most important signals of a government's economic policy preferences. When a government makes a de jure public commitment to a fixed exchange rate, it sends a signal to domestic and international markets of its strict monetary-policy priorities. In contrast, a government that proclaims a floating exchange rate signals a desire to retain discretion over monetary policy, even if it has implemented a de facto fixed rate. We use data on 110 developed and developing countries from 1974 to 2004 to test two hypotheses: first, that governments that adopt de facto fixed exchange rates will experience less inflation when they back up their actions with official declarations; and second, that governments that abide by their commitments—as demonstrated by a history of following through on their public declarations of a fixed exchange rate regime—will establish greater inflation-fighting credibility. Within developing countries, democratic institutions enhance this credibility. Results from fixed-effects econometric models provide strong support for our hypotheses.
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Świtała, Filip, Iwona Kowalska, and Karolina Malajkat. "Size of Banks as a Factor Which Impacts the Efficiency of the Bank Lending Channel." e-Finanse 16, no. 1 (March 1, 2020): 36–44. http://dx.doi.org/10.2478/fiqf-2020-0005.
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AbstractIn most economies the banking sector plays the major role in the financial system. Therefore, it is of great importance to analyse and understand the mechanism of transmission of monetary policy and its impact on the banking sector. One of the possible repercussions of changing the level of official interest rates is the ability to influence the size of bank lending, by means of the bank lending channel. The key aspect our research is a thorough understanding of the functioning of the bank lending channel, with the main goal of this study being an examination of the efficiency of monetary policy transmission through the bank lending channel depending on the size of banks in the sector. This paper examines the abovementioned relation using annual data from 1995-2015 by 1709 commercial and cooperative banks from 27 EU countries and analyzing them in various econometric models. The results indicate that there is a positive impact of a bank’s size on loan growth (defined as the bank size increases, the impact of changes in interest rates in the bank’s lending policy is getting smaller), however, interaction between the variables of size and the interest rate, was proved to be insignificant (in the group of all analysed banks, as well as in commercial and cooperative banks separately).
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Al-Abduljader, Sulaiman T. "International Real Estate Review." International Real Estate Review 22, no. 1 (March 31, 2019): 83–108. http://dx.doi.org/10.53383/100276.
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Regional interdependence among the real estate markets in the Gulf Cooperation Council (GCC) is tested by using a variety of techniques. Econometric tests that involve error correction, symmetric/asymmetric autoregressive distributed lag (ARDL) and structural time series models are utilized. The results reveal the absence of long-run relationships, thus indicating cross-sectional efficiency. However, strong evidence is found for both short and long-run dynamic interdependence when the model allows for asymmetric responses. Finally, the results from the structural time series modeling show that a weak form of interdependence is present, which partly shows that other factors of significant impact explain for the real estate fluctuation other than the corresponding prices of the neighboring countries. Plausible fiscal and monetary policy recommendations are presented.
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Prevedouros, Panos D. "Origin-Specific Visitor Demand Forecasting at Honolulu International Airport." Transportation Research Record: Journal of the Transportation Research Board 1600, no. 1 (January 1997): 18–27. http://dx.doi.org/10.3141/1600-03.
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The development of a PC-based and easy-to-use-and-update econometric model system for forecasting arrivals at the Honolulu International Airport is presented. A model system instead of a single model was designed so that differential growth rates from various origins as well as arrivals affected by curfews at the origin or the destination, or both, can be estimated. The airport system of the state facilitates the only mode of transportation into and out of Hawaii. Planning based on reliable demand forecasts is therefore essential. Separate models of arrivals from Australia and New Zealand, Canada, Germany, Korea, and the United Kingdom were specified and estimated using the Cochrane-Orcutt regression method. Several diagnostic tests were employed to arrive at the final models, as problems of correlation (over time) and collinearity (among variables) were present. Independent variables include the gross domestic product, population, monetary exchange rate, and unemployment rate of the origin countries. Historical values for the independent variables were taken from the publications of international organizations. Variables for wars that tend to affect flying security and natural disasters in Hawaii that affect the supply of tourist accommodations were included in the model specifications.
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Shulyk, Yuliia Vitaliivna, Nataliia Mykolayivna Matviichuk, and Tetiana Oleksandrivna Shmatkovska. "DEPENDENCE OF UKRAINE’S BUDGETARY POLICY ON POLITICAL CYCLES." SCIENTIFIC BULLETIN OF POLISSIA 1, no. 2(10) (2017): 143–51. http://dx.doi.org/10.25140/2410-9576-2017-1-2(10)-143-151.
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Urgency of the research. It is important to determine the impact of political cycles on budgetary policy in order to improve budget funding of Ukraine, accelerate reforms and stimulate economic development. Target setting. The assessment of Ukraine’s budgetary policy dependence on political cycles is important in terms of regulating the budget performance security and financial stability of the state. Actual scientific researches and issues analysis. Political cycles are the subject of research for a number of scientists among them I. Bardin, V. S. Boyko, D. Buchanan, А. Vdovychenko, R. Wagner, N. Dehtyarova, N. M. Lypko, Y. Mironovich, V. Nordhaus, V. Shevchuk. Definition of uninvestigated parts of general matters. Identification of interconnections and interinfluences of political cycles and Ukraine’s budget policy as well as effects of such relations remain insufficient. The research objective. The aim of the article is to determine the dependence of Ukraine’s budgetary policy on political cycles. The statement of basic materials. The article reveals the presence of the influence of political cycles in Ukraine on budget policy. The deterioration of the Ukraine's budget deficit and state debt indicators is analyzed. Based on econometric models the author proves an artificial increase in expenditures. It was found that the growth of social protection costs is a major factor of political cycles influence on the economy. The author also relates Inflationary processes before and after the elections to adjustments in monetary policy, which in turn requires coordination of fiscal and monetary policies. The author characterizes the challenges for the budget policy of Ukraine. Conclusions. The main challenge to the fiscal policy now is to settle indicators Ukraine's budget security com-bined with the financial support of the reforms in the economic and political life, despite the military conflict, shadow economy, the political crisis.
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Ikue, Nenubari John, Ifeanyichukwu Lucky Amabuike, Joseph Ade Ajaba, John Akin Sodipo, and Linus Bamekpari Enegesi. "Financial system, trade concentration and economic growth in West African Monetary Zone (WAMZ)." International Journal of Research in Business and Social Science (2147- 4478) 9, no. 4 (July 14, 2020): 426–36. http://dx.doi.org/10.20525/ijrbs.v9i4.770.
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It is observed that despite the legislative endorsement of the West Africa Countries there is still a glaring divergence in economic structures, which impedes the performance to realize macroeconomic convergence and economic growth within the region. This paper investigated the effects of trade and financial indexes in WAMZ on economic growth. The paper uses three variables and a host of control measures to focus on six countries of WAMZ covering the periods of 2001-2018. Given the heterogeneous nature of the information gathered for the study, the models are cast in static and dynamic panel frameworks that provided micro-structure for the combined data analysis. The models were tested with various econometric and statistical instruments. Results from the analysis show that exported trade is highly concentrated to fewer goods, while imported trade is concentrated on more products and partners; that is, countries in WAMZ tend to shadow liberal import policy. The weak link was also noticed among financial and trade indexes and economic growth in the WAMZ economies. The implications call for short term economic plans and policies in the WAMZ economies so as to collectively monitor economic policies and growth. We equally observed that the structures of the economies in the region are heterogeneous making it rather difficult for regional trade and financial indicators to accelerate output growth in the region. Thus our basic postulations are an inter-policy approach on social, political and economic (trade and finance) arrangements that would neutralize the heterogeneity and foster institutional and attitudinal reforms, eliminate insecurity challenges, and spur political stability and responsible leadership within the regions.
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Attamah, Nick, Anthony Igwe, and Wilfred Isioma Ukpere. "The impact of fiscal and monetary policies on unemployment problem in Nigeria (managerial economic perspective)." Risk Governance and Control: Financial Markets and Institutions 5, no. 2 (2015): 101–9. http://dx.doi.org/10.22495/rgcv5i2c1art4.
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This paper investigates the impact of fiscal and Monetary Policies on Unemployment Problem in Nigeria and covers the periods 1980 to 2013. To achieve this, fiscal policy was captured here by government expenditures and revenues respectively while monetary policy was proxied by broad Money Supply (M2), Interest and Exchange rates respectively. The methodology adopted was econometric analysis employing OLS techniques and unit roots of the series were examined using the Augmented Dickey-Fuller after which the co-integration tests was conducted using the Engle Granger approach. Error correction models were estimated to take care of the short run dynamics. It was found that while government expenditure had a positive relationship with unemployment problem in Nigeria, the result of government revenue was negative and insignificant on unemployment problem. For monetary policy, it was found that money supply and exchange rate had positive and significant impact while interest rate has only a positive relationship on unemployment problem in Nigeria. This meets the a priori expectation. The study also revealed that increases in interest and exchange rates escalate unemployment by increasing cost of production which discourages the private sector from employing large workforce. On the other hand, national productivity measured by real GDP had a negative and significant impact on unemployment rate in Nigeria. This paper recommends that for an effective combat to unemployment problem in Nigeria, there should be a systematic diversion of strategies, thus more emphasis should be laid on aggressively pursuing entrepreneurial development and increased productivity. Again government should aggressively focus on investment, employment generation and economic growth that has mechanism to trickle does to the masses.
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Wang, Justine, Alla Koblyakova, Piyush Tiwari, and John S. Croucher. "Is the Australian housing market in a bubble?" International Journal of Housing Markets and Analysis 13, no. 1 (April 12, 2018): 77–95. http://dx.doi.org/10.1108/ijhma-03-2017-0026.
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Purpose This paper aims to explore principal drivers affecting prices in the Australian housing market, aiming to detect the presence of housing bubbles within it. The data set analyzed covers the past two decades, thereby including the period of the most recent housing boom between 2012 and 2015. Design/methodology/approach The paper describes the application of combined enhanced rigorous econometric frameworks, such as ordinary least square (OLS), Granger causality and the Vector Error Correction Model (VECM) framework, to provide an in-depth understanding of house price dynamics and bubbles in Australia. Findings The empirical results presented reveal that Australian house prices are driven primarily by four key factors: mortgage interest rates, consumer sentiment, the Australian S&P/ASX 200 stock market index and unemployment rates. It finds that these four key drivers have long-term equilibrium in relation to house prices, and any short-term disequilibrium always self-corrects over the long term because of economic forces. The existence of long-term equilibrium in the housing market suggests it is unlikely to be in a bubble (Diba and Grossman, 1988; Flood and Hodrick, 1986). Originality/value The foremost contribution of this paper is that it is the first rigorous study of housing bubbles in Australia at the national level. Additionally, the data set renders the study of particular interest because it incorporates an analysis of the most recent housing boom (2012-2015). The policy implications from the study arise from the discussion of how best to balance monetary policy, fiscal policy and macroeconomic policy to optimize the steady and stable growth of the Australian housing market, and from its reconsideration of affordability schemes and related policies designed to incentivize construction and the involvement of complementary industries associated with property.
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Atkinson, Paul, and Adrian Blundell-Wignall. "What Problem Is Post-Crisis QE Trying to Solve?" Journal of Risk and Financial Management 15, no. 2 (January 18, 2022): 40. http://dx.doi.org/10.3390/jrfm15020040.
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What problem the Fed and other central banks are solving by printing money and letting interest rates fall to zero is the focus of this paper. This activity does not appear to affect nominal GDP or inflation prior to COVID, and yet central bank liabilities have continued to rise. This suggests the presence of rising cash demand that has prevented excess cash and inflation pressures from emerging. While there was some hope that quantitative easing would be a new instrument in addition to interest rates as far as monetary policy goals were concerned, this has not proved to be the case. Instead, banking system demand for central bank liabilities keeps rising as an endogenous response to the changed business models of banks forced on them by post-crisis re-regulation and extremely low interest rates. These ideas were tested with cointegration and error correction econometric techniques. Examples of the growing risk of leverage and counterparty risks in this disequilibrium process are provided.
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Kokic, Philip, Rohan Nelson, Holger Meinke, Andries Potgieter, and John Carter. "From rainfall to farm incomes—transforming advice for Australian drought policy. I. Development and testing of a bioeconomic modelling system." Australian Journal of Agricultural Research 58, no. 10 (2007): 993. http://dx.doi.org/10.1071/ar06193.
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In this paper we report the development of a bioeconomic modelling system, AgFIRM, designed to help close a relevance gap between climate science and policy in Australia. We do this by making a simple econometric farm income model responsive to seasonal forecasts of crop and pasture growth for the coming season. The key quantitative innovation was the use of multiple and M-quantile regression to calibrate the farm income model, using simulated crop and pasture growth from 2 agroecological models. The results of model testing demonstrated a capability to reliably forecast the direction of movement in Australian farm incomes in July at the beginning of the financial year (July–June). The structure of the model, and the seasonal climate forecasting system used, meant that its predictive accuracy was greatest across Australia’s cropping regions. In a second paper, Nelson et al. (2007, this issue), we have demonstrated how the bioeconomic modelling system developed here could be used to enhance the value of climate science to Australian drought policy.
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Lakner, Zoltán, Anna Kiss, József Popp, Zoltán Zéman, Domicián Máté, and Judit Oláh. "From Basic Research to Competitiveness: An Econometric Analysis of the Global Pharmaceutical Sector." Sustainability 11, no. 11 (June 3, 2019): 3125. http://dx.doi.org/10.3390/su11113125.
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The pharmaceutical sector is a flagship of the economy in most developed countries and is one of the most research-intensive sectors of modern economies. The aim of this paper was to determine the mutual relationships between the research and development (R&D) resources, various indicators of scientific performance and the competitiveness of the sector. We carried out a cointegration analysis of a time series of R+D resources, the number of academic papers published, as well as patents and the competitiveness of this sector in various developed states. The econometric analysis of time series is built on panel cointegration models. Based on the combination of different comprehensive and coherent international databases and applying the latest methods of modern time series analysis, the paper proves that, in most developed countries, a direct, significant, causal, lagged relationship between the monetary resources allocated to R&D and the number of academic papers, as well as the number of patents can be observed. In most cases, a causal relationship can be demonstrated between the number of academic papers and patents, but vice versa, this fact is not provable. This study highlights the complexity of innovation systems in the pharmaceutical sector. The results prove only a weak connection between the number of patents and the number of publications. When evaluating the efficiency of the utilisation of resources allocated to pharmaceutical R+D, the effect of the time lag should be considered.
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Diachkova, Anna V., and Anna E. Kontoboitseva. "Economic Benefits of gender equality: comparing EU and BRICS countries." Economic Consultant 37, no. 1 (March 1, 2022): 4–15. http://dx.doi.org/10.46224/ecoc.2022.1.1.
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Introduction. In the modern economy the problems of scientific analysis shift the focus from the subject area of gender inequality to gender equality, and special significance is attached to assessing the impact of gender on the social welfare. At the same time, it is noted that developed and developing countries currently have differences in the quality and quantity of goals achieved to address the issue of gender equality. The aim of the article is to assess the economic benefits of gender equality for a group of countries in the European Union and BRICS. Materials and methods. Empirical analysis was based on the construction of regression econometric models that assess the impact on the welfare of the country (GDP) of gender equality in combination with basic macroeconomic factors. Fixed effects regression models have the best descriptive capacity for the EU and BRICS countries, which was verified by standard econometric tests. The information base of the study was made up of official statistics from the reports of the World Bank, the World Economic Forum, the International Monetary Fund, and the United Nations. Results and Discussion. As a result of the study, it was revealed that the level of gender equality has a positive effect on the economic development of both the EU countries and the BRICS; a comparison of the results of the constructed econometric models for groups of EU and BRICS countries showed that gender equality has a statistically significant impact on the economic development of countries in each group, and in the BRICS countries it is stronger, so with an increase in gender equality by one, GDP per capita increases by 3.4172 vs. 0.4647 in EU countries. The inclusion of key socio-economic indicators in the analysis made it possible to compare the obtained impact, and it was found that the degree of influence of the equality index is not lower than the degree of influence of basic economic indicators. That increases the importance of this problem both at the level of the country and international associations. The conclusions obtained based on the analysis of macro statistics confirmed the conclusions of the researchers based on microeconomic data. Conclusions. The results of this study are aimed at understanding the problems of gender equality, its impact on the economic well-being of society, both in an individual country and in the world economy as a whole, which can be taken into account in designing the policy of the state and companies that together ensure progress in the development of equality between men and women.
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Popoola, Mufutau Akanmu, Jimoh Olayinka Ajayi, and Tijani Saheed Abiodun. "Exchange Rate Policy Regimes, Private Investment Behaviour and Economic Growth in Nigeria (1960 -2020)." Financial Markets, Institutions and Risks 6, no. 3 (2022): 105–15. http://dx.doi.org/10.21272/fmir.6(3).105-115.2022.
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To improve economic growth acceleration, the Nigerian government should continue to formulate and implement several policies including exchange rate policy regimes. Exchange rate policy regime of any government could be a fixed exchange rate regime when the price of a country’s currency in terms of another country’s currency is fixed to a value by the monetary authority; it could be a floating regime when the price of a country’s currency in terms of another country’s currency is left to be determined by the forces of demand and supply, while a managed-floating regime is undertaken when there is an element of both fixed and floating regimes. Following the Barro (1990) theoretical framework, this study attempted to assess the effects each exchange rate regime has on the economy through the mechanism of private investment spending. The researcher carefully selected macroeconomic variables that have been considered in the econometric models for empirical analysis of the research study in this dissertation through statistical estimation techniques as guided by Barro (1990) and international studies, specifically that of Sahoo et al., (2012), in this area of study. These variables include GDP as an indicator for economic growth, Private capital, private sector credit, real exchange rate, interest rate, government capital expenditure, trade openness, exchange rate regimes dummies, total employment, and spending on health and education. Specifically, the study set out to empirically quantify the impact of both fixed and floating regimes on private investment spending and in turn, on economic growth in Nigeria.Through this study, the key determinants of private investment spending and economic growth in Nigeria. To achieve the study’s objectives and address the respective research questions, preliminary examinations of the data were conducted through the use of visual and unit root tests and some of the variables were found to be stationary at levels (i.e., 𝐼(0)) while some are stationary in their first differences (i.e., 𝐼(1)). The study proceeded to estimate both private investment and economic growth models simultaneously using Two-Stage Least Squares (TSLS) method.
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Sukharev, O. S., and E. N. Voronchikhina. "Financial Wealth in Macroeconomic Dynamics." Finance: Theory and Practice 26, no. 2 (April 29, 2022): 118–35. http://dx.doi.org/10.26794/2587-5671-2022-26-2-118-135.
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The article examines the financial wealth that affects macroeconomic dynamics from a comparative perspective for some countries. The purpose of the study is to identify changes in financial wealth and determine their impact on macroeconomic dynamics, taking into account the assessment of the impact of the level of social indicators — inequality and poverty, in particular, on changing the goals of economic development — growth rate, human development index. The methodology consists of empirical, structural, comparative analysis, econometric modeling, which is reduced to the construction of multiple regressions based on the Gretl 2020b software module, multiplicative models by the type of production functions. Taking into account these methods, an analysis algorithm has been developed to assess the impact of financial wealth on macroeconomic dynamics. The implementation of this algorithm made it possible to carry out a comparative analysis of the results for Russia, the G7 countries and China in terms of the influence of financial wealth on their development. The main empirical result is that financial wealth has a stronger effect on economic dynamics and social indicators of development than non-financial wealth, and is associated with the growth rate of highly developed countries. For Russia, the growth of financial wealth, albeit small, was associated with high growth rates, however, the econometric analysis revealed that financial wealth did not have a decisive influence on growth rates, reducing the human development index, unlike other countries, this affected the increase in this index. The authors conclude that the Russian economy showed the lowest sensitivity of GDP to financial wealth, but high to the Gini index, with only China and Russia having a higher sensitivity to non-financial rather than financial wealth compared to other reviewed countries. The prospect of using the results is to adjust macroeconomic policy, monetary and financial instruments, taking into account the sensitivity of target macroeconomic parameters to financial wealth, including the differentiation of policy instruments for each country.
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Bawa, Sani, Ismaila S. Abdullahi, Danlami Tukur, Sani I. Barda, and Yusuf J. Adams. "Asymmetric Impact of Oil Price on Inflation in Nigeria." Central Bank of Nigeria Journal of Applied Statistics, Vol. 11 No. 2 (April 8, 2021): 85–113. http://dx.doi.org/10.33429/cjas.11220.4/8.
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This study examines the impact of oil price shocks on inflation in Nigeria. A NonLinear Autoregressive Distributed Lag (NARDL) approach was applied on quarterly data spanning 1999Q1 to 2018Q4. Results showed that oil price increases led to increase in headline, core and food measures of inflation in Nigeria. However, a decline in oil price resulted in a decline in the marginal cost of production and culminated in moderation of domestic inflation. Furthermore, negative oil price shocks led to higher inflation in Nigeria when exchange rate is dropped from the models, indicating that exchange rate absorbed the impact of oil price declines earlier, as lower oil prices culminated in lower external reserve, depreciation of the naira and ultimately higher inflationary pressures. Also, core inflation tends to respond more to oil price increases than food inflation. These results were robust to changes in econometric specifications and sample period. The study recommends that monetary policy actions of the Central Bank of Nigeria should focus on taming core inflation in periods of substantial oil price increases while strengthening its efforts at ensuring domestic sustainability in food production through its agricultural intervention programmes to further minimize the impact of international oil prices on food inflation. Similarly, the fiscal authorities should ensure that the fiscal stance is not excessively procyclical in periods of rising oil prices.
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Pavanelli, Giovanni. "Is There an Endogenous Tendency towards Equilibrium in Economic Systems? Business Cycles and Crises in the Modern Economic Thought." Bulgarian Journal of International Economics and Politics 1, no. 2 (June 20, 2022): 3–19. http://dx.doi.org/10.37075/bjiep.2021.2.01.
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This paper critically examines the models of economic crises and business cycles devised by leading economists from the nineteenth century to the present day in the light of the current reflections on the limits of the so-called ‘mainstream’ theory. To this end, the article analyses the point of view of the classical authors (J.B. Say, Ricardo, Malthus and Sismondi) and the first analyses of crises in terms of business cycles (Tooke, Juglar, Jevons). It discusses then Tugan-Baranovsky and Arthur Spiethoff models, Wesley C. Mitchell contribution and the monetary explanations of the cycles during the 1920s (R.G. Hawtrey and Irving Fisher). It then examines the main interpretative models of cycles and crises during the 1930s: L. Mises and F. Hayek models, Irving Fisher’s Debt-deflation theory and Keynes contribution. The econometric approach of Frisch and Tinbergen and the ‘real business cycles’ model are then presented, as well as the ‘heterodox’ approach of Hyman Minsky. A main interpretative line of this paper is to maintain that, in spite of its complex taxonomy, modern analysis on business cycles and crises draws inspiration from two distinct methodological approaches that reflect radically different visions of how market economies actually work. The ‘majority’ view is the one shared by most marginalist and neoclassical authors and by the ‘New Classical Economists’. According to them, economic systems are intrinsically stable and tend to converge towards equilibrium. Fluctuations are caused by exogenous shocks bound to be reabsorbed quickly. Contrary to this view, two research approaches are identified having in common a marked attention to the institutional context. On the one hand, the contributions of Schumpeter and, to some extent, Mitchell who shared the belief that fluctuations should be studied with reference to a specific historical context. On the other hand, the analysis of J.M. Keynes and H. Minsky who believe that economic systems are potentially unstable, full employment cannot be taken for granted and appropriate policy measures are needed. Keywords: business cycles, crises, Say’s Law, Hyman Minsky, Wesley C. Mitchell, New Classical Economics, real business cycles JEL: B3, N1, B41
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Manickavasagam, Jeevananthan, and Visalakshmi S. "An investigational analysis on forecasting intraday values." Benchmarking: An International Journal 27, no. 2 (October 4, 2019): 592–605. http://dx.doi.org/10.1108/bij-11-2018-0361.
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Purpose The algorithmic trading has advanced exponentially and necessitates the evaluation of intraday stock market forecasting on the grounds that any stock market series are foreseen to follow the random walk hypothesis. The purpose of this paper is to forecast the intraday values of stock indices using data mining techniques and compare the techniques’ performance in different markets to accomplish the best results. Design/methodology/approach This study investigates the intraday values (every 60th-minute closing value) of four different markets (namely, UK, Australia, India and China) spanning from April 1, 2017 to March 31, 2018. The forecasting performance of multivariate adaptive regression spline (MARSplines), support vector regression (SVR), backpropagation neural network (BPNN) and autoregression (1) are compared using statistical measures. Robustness evaluation is done to check the performance of the models on the relative ratios of the data. Findings MARSplines produces better results than the compared models in forecasting every 60th minute of selected stocks and stock indices. Next to MARSplines, SVR outperforms neural network and autoregression (1) models. The MARSplines proved to be more robust than the other models. Practical implications Forecasting provides a substantial benchmark for companies, which entails long-run operations. Significant profit can be earned by successfully predicting the stock’s future price. The traders have to outperform the market using techniques. Policy makers need to estimate the future prices/trends in the stock market to identify the link between the financial instruments and monetary policy which gives higher insights about the mechanism of existing policy and to know the role of financial assets in many channels. Thus, this study expects that the proposed model can create significant profits for traders by more precisely forecasting the stock market. Originality/value This study contributes to the high-frequency forecasting literature using MARSplines, SVR and BPNN. Finding the most effective way of forecasting the stock market is imperative for traders and portfolio managers for investment decisions. This study reveals the changing levels of trends in investing and expectation of significant gains in a short time through intraday trading.
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Mowlaei, Mohammad. "The impact of foreign capital inflows on economic growth on selected African countries." African Journal of Economic and Management Studies 9, no. 4 (December 3, 2018): 523–36. http://dx.doi.org/10.1108/ajems-01-2018-0021.
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Purpose Nowadays, foreign capital inflow (FCI) is considered as a catalyst for economic development and an important source of transferring technology and foreign exchange earnings from developed to developing countries. The purpose of this paper is to study, first, the impact of different forms of FCIs, namely, foreign direct investment (FDI), personal remittances (PR) and official development assistant (ODA) on economic growth on 26 top African countries; and, second, which of them is more effective on economic growth of the studied countries. The results of this paper are very important for host governments’ policy and help them to design their economic plans to absorb the suitable foreign inflow. Design/methodology/approach The paper uses Pooled Mean Group (PMG) econometric technique to estimate the heterogeneous panels over the period 1992–2016. Findings The results of the study show that all three forms of FCIs have positive and significant effects on economic growth in the long and short run. However, the PR had the most effect on economic growth in the long and short run. The study suggests that the governments should design and implement appropriate fiscal, monetary and trade policies in order to create and improve an enabling environment to attract FCIs as a supplementary source of domestic investment. Research limitations/implications The research limitations of this paper are as follows: data sets of FDI, PR and ODA were available not for all African countries; and, data sets that were available were of before the year 1992. Thus, the research is done for the African countries which had the data sets after the year 1992. Practical implications The result of this paper indicates the impact of each FDI, PR and ODA in economic growth. So, countries can take more attentions to each of them on economic planning. Social implications FCIs are one of the important external source of exchange for each country. So, the study of importance of each of them is necessary for economic planning. Originality/value Most of the previous studies have examined the impact of three different forms of FCIs on economic growth separately, on different countries and regions and using various models and econometric techniques. One of the contributions of this paper is focused on the impacts of FDI, PR and ODA on economic growth separately and simultaneously in 26 top recipient African countries and using the PMG technique which is an advanced econometrical estimation and studied less about it. The other contribution of this research is the comparison of the impact of different FCIs on economic growth, and it is very important for governments’ economic policy.
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Shen, Mei-Li, Cheng-Feng Lee, Hsiou-Hsiang Liu, Po-Yin Chang, and Cheng-Hong Yang. "An Effective Hybrid Approach for Forecasting Currency Exchange Rates." Sustainability 13, no. 5 (March 4, 2021): 2761. http://dx.doi.org/10.3390/su13052761.
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Accurately forecasting the movement of exchange rates is of interest in a variety of fields, such as international business, financial management, and monetary policy, though this is not an easy task due to dramatic fluctuations caused by political and economic events. In this study, we develop a new forecasting approach referred to as FSPSOSVR, which is able to accurately predict exchange rates by combining particle swarm optimization (PSO), random forest feature selection, and support vector regression (SVR). PSO is used to obtain the optimal SVR parameters for predicting exchange rates. Our analysis involves the monthly exchange rates from January 1971 to December 2017 of seven countries including Australia, Canada, China, the European Union, Japan, Taiwan, and the United Kingdom. The out-of-sample forecast performance of the FSPSOSVR algorithm is compared with six competing forecasting models using the mean absolute percentage error (MAPE) and root mean square error (RMSE), including random walk, exponential smoothing, autoregressive integrated moving average (ARIMA), seasonal ARIMA, SVR, and PSOSVR. Our empirical results show that the FSPSOSVR algorithm consistently yields excellent predictive accuracy, which compares favorably with competing models for all currencies. These findings suggest that the proposed algorithm is a promising method for the empirical forecasting of exchange rates. Finally, we show the empirical relevance of exchange rate forecasts arising from FSPSOSVR by use of foreign exchange carry trades and find that the proposed trading strategies can deliver positive excess returns of more than 3% per annum for most currencies, except for AUD and NTD.
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McCallum, Bennett T. "AN INTERVIEW WITH ROBERT E. LUCAS, JR." Macroeconomic Dynamics 3, no. 2 (June 1999): 278–91. http://dx.doi.org/10.1017/s1365100599011074.
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Bob Lucas is widely regarded as the most influential economist of the past 25–30 years, at least among those working in macro and monetary economics. His work provided the primary stimulus for a drastic overhaul and revitalization of that broad area, an overhaul that featured the ascendance of rational expectations, the emergence of a coherent equilibrium theory of cyclical fluctuations, and specification of the analytical ingredients necessary for the use of econometric models in policy design. These are the accomplishments for which he was awarded the 1995 Nobel Prize in Economic Sciences. In addition, he has made outstanding contributions on other topics—enough, arguably, for another prize. Among these are seminal writings on asset pricing, economic growth and development, exchange-rate determination, optimal fiscal and inflation policy, and tools for the analysis of dynamic recursive models.Clearly, Bob Lucas is very much a University of Chicago product; he studied there both as an undergraduate and as a Ph.D. student and has been on the faculty since 1975. Also, he has served as chairman of the Chicago Department of Economics and two terms as an editor of the Journal of Political Economy. Nevertheless, I and several colleagues at Carnegie Mellon like to point out that Bob was a professor here in the Graduate School of Industrial Administration from 1963 until 1974, during which time he conducted and published the central portions of the work for which he was awarded the Nobel Prize. Consequently, I could not resist asking Bob a few questions about his GSIA years in the interview.Many researchers in the economics profession have been impressed and inspired by Lucas's technical skills, but the clarity and elegance of his writing style also deserve mention, plus his choice of research topics. The latter is reflective of Bob's utter seriousness of purpose. Each of his projects attacks a problem that is simultaneously of genuine theoretical interest and also of considerable importance from the perspective of economic policy. There is nothing frivolous about Lucas's research, as he had occasion to remind me during our interview.As is well known to those who have been around him, Bob Lucas is a person who never uses three words when one will suffice—but that one will usually be carefully chosen. This characteristic shows up in the interview below. As a departure from standard MD Interview practice, and with the Editor's permission, this interview was conducted at a distance—i.e., via mail and e-mail. It yielded a smaller number of pages than have previous interviews, but I think that readers will find them stimulating. The process of obtaining them was somewhat challenging but highly informative and thoroughly enjoyable for me.
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Cantore, Cristiano, Filippo Ferroni, and Miguel León-Ledesma. "The Missing Link: Monetary Policy and The Labor Share." Journal of the European Economic Association, August 7, 2020. http://dx.doi.org/10.1093/jeea/jvaa034.
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Abstract The textbook New Keynesian (NK) model implies that the labor share is procyclical conditional on a monetary policy shock. We present evidence that a monetary policy tightening robustly increased the labor share and decreased real wages during the Great Moderation period in the United States, the Euro Area, the United Kingdom, Australia, and Canada. We show that this is inconsistent not only with the basic NK model, but also with medium-scale NK models commonly used for monetary policy analysis and where it is possible to break the direct link between the labor share and the inverse markup. Our results imply that either NK models are unable to separate the dynamics of the labor share from the markup or markups do not respond in the way NK models predict.
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Sriyono, Sriyono. "Snowball Effect of Interest Rate as a Control Instrument On Inflation Framework Targetingin Indonesia." Journal of Economics, Business & Accountancy Ventura 19, no. 3 (March 10, 2017). http://dx.doi.org/10.14414/jebav.v19i3.885.
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Afterthe monetary crisisthe government changes its monetary policy strategyby using a new paradigm that Inflation Targeting framework. This new paradigm has been confirmed in Law No.23 of 1999and UUNo3 of 2004as the basis forthe application of Inflation Targeting Framework inIndonesia The purpose ofthis studywas to determine whether interest rates only impact on inflation or even cause greater impact on other monetary variables. It is very important to knowthe impact,by knowing the impact it can avoid unwanted conditions Data of research is collected since 1970 to 2013, hypothesis testing is used econometric models. The main advantages of econometric models for being able to handle the mutual dependence (interdependence). Beside that econometric model is an invaluable tool for understanding the workings of the economic system and so to test and evaluate policy alternatives andhypothesis testing using multiple regression. The result of this study showed that this study indicate the interest rate turns out not only as an instrument of control of Inflation Targeting Framework but cause a snowball effecton other monetary variables that further strengthen themechanismonInflationTargetingFramework