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Journal articles on the topic 'Monetary policy modelling'

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Published: 4 June 2021
Last updated: 2 February 2022

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1

Marzo, Massimiliano. "Critical Aspects in Modelling Monetary Policy." Economic Notes 32, no. 1 (February 2003): 107–21. http://dx.doi.org/10.1046/j.0391-5026.2003.00106.x.

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2

Martin, Christopher, and Costas Milas. "Modelling Monetary Policy: Inflation Targeting in Practice." Economica 71, no. 282 (May 2004): 209–21. http://dx.doi.org/10.1111/j.0013-0427.2004.00366.x.

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3

Moolman, E., and CB Du Toit. "Modelling price determination in South Africa." South African Journal of Economic and Management Sciences 7, no. 1 (July 23, 2004): 151–69. http://dx.doi.org/10.4102/sajems.v7i1.1434.

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South Africa has been faced with high inflation rates since the early 1970s. Despite continued monetary discipline the inflation target has not yet been met, highlighting South Africa’s price-vulnerability as a small open emerging economy and raising questions about the efficiency of monetary policy. The objectives of this paper are: (i) to analyse the influence of monetary policy on inflation in the small open emerging economy of South Africa, (ii) to highlight the channels other than monetary policy through which inflation can be influenced (iii) to analyse the influence of international prices and the exchange rate on inflation, (iv) to determine the role of the labour market on inflation, especially through wage-push dynamics and (v) to determine the role of demand-pull factors on inflation.
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4

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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Okyere, Francis, and Salifu Nanga. "Modelling the Pattern of Monetary Policy Rates of Ghana." IOSR Journal of Mathematics 10, no. 3 (2014): 45–52. http://dx.doi.org/10.9790/5728-10314552.

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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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SETLHARE, LEKGATLHAMANG. "BANK OF BOTSWANA'S REACTION FUNCTION: MODELLING BOTSWANA'S MONETARY POLICY STRATEGY." South African Journal of Economics 72, no. 2 (July 6, 2005): 384–406. http://dx.doi.org/10.1111/j.1813-6982.2004.tb00118.x.

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8

Romaniuk, Katarzyna. "A new approach for modelling and understanding optimal monetary policy." Economics Letters 100, no. 1 (July 2008): 13–15. http://dx.doi.org/10.1016/j.econlet.2007.10.021.

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9

Church, Keith B., Peter R. Mitchell, Joanne E. Sault, and Kenneth F. Wallis. "Comparative Properties of Models of the UK Economy." National Institute Economic Review 161 (July 1997): 91–110. http://dx.doi.org/10.1177/002795019716100107.

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This article analyses the properties of five leading macroeconometric models of the UK economy, in the light of the current discussion of monetary and fiscal policy-making. In simulation experiments, the interest rate and the basic rate of income tax are used to target the inflation rate and to ensure fiscal solvency. Our results show that monetary shocks soon affect the response of quantity variables, and fiscal shocks have monetary consequences, thus the operation of monetary and fiscal policy cannot be separated. Although the Bank of England's view is that it takes two years for monetary policy to have its maximum effect on inflation, our results show that this depends on the approach taken to the modelling of expectations.
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10

Visokavičienė, Birutė. "MONETARY POLICY IN ADVANCED ECONOMIES DURING THE GLOBAL FINANCIAL CRISIS: LESSONS FOR LITHUANIA." Ekonomika 93, no. 1 (January 1, 2014): 40–56. http://dx.doi.org/10.15388/ekon.2014.0.3023.

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Abstract. The main goal of the research is to develop monetary policy tools and measures enabling to achieve macroeconomic goals of integration into the euro area in the immediate future. It is noted that until the introduction of the euro Lithuania does not have a monetary policy and applies the currency board regime pegging the litas invariably to the euro (hard peg regime). Therefore, it is not only difficult but also risky to try to achieve financial and economic stability in accordance with the relevant Maastricht criteria through fiscal policy measures alone. Monetary policy instruments are necessary to achieve price stability and the overall financial stability. Currently, Lithuania should address the problem of balancing the currency board regime and the Maastricht criteria as a macroeconomic objective through monetary policy tools and measures.The analysis of monetary policies of advanced economies and, first of all, of the euro area reveals the main features of transmission of the monetary policy to a real economy, which can contribute to the successful integration into the euro area. A systemic analysis of the monetary policy is based on monetary and economic theories, laws and patterns, scientific literature and empirical studies. The method used is the logical analysis and systemising of academic literature and modelling of the monetary policy. Such a methodological position enables the justification of the influence of the euro and monetary policy on the future development of the national economy.Key words: monetary policy, euro, exchange rate, inflation, indicators
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11

Otero, Jesús, and Manuel Ramírez. "Modelling the monetary policy reaction function of the Colombian Central Bank." Macroeconomics and Finance in Emerging Market Economies 2, no. 1 (March 2009): 3–11. http://dx.doi.org/10.1080/17520840902726193.

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12

D, Amassoma, and Francis Oluwatosin Esther. "The Efficacy of Monetary Policy Variables in Reducing Unemployment Rate in Nigeria." International Finance and Banking 2, no. 2 (December 18, 2015): 52. http://dx.doi.org/10.5296/ifb.v2i2.8739.

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The main purpose of embarking on this study is to ascertain the effectiveness of monetary policy in reducing unemployment rate in Nigeria using data spanning from 1970-2013. Despite the inconsistences in monetary policy instruments in Nigeria over the years there had not been much concrete evidence from theoretical and empirical literatures, regarding whether or not monetary policy is an effective tool that can be used to achieve key macroeconomic objective in the country vis-a-vis unemployment rate. The aforementioned as made this current study to be inevitable in terms of ascertaining whether monetary policy instrument in form of contractionary monetary policy exhibits the tendency to reduce unemployment rate in the country which is a topical issue around the globe. In order to achieve the above goals, the study utilized multiple regressions (OLS) approach and error correction modelling was used to examine the effect of some key monetary policy variables on unemployment in Nigeria. Evidence from the result shows that exchange rate and consumer’s price index are the only monetary policy variables that influence unemployment rate while others do not. The results equally x-rayed that there is a unidirectional causality between monetary policy variable and unemployment rate which runs from exchange rate to unemployment. Owing from the above, the study therefore recommends that, the monetary authorities via central bank of Nigeria should ensure some reasonable monetary policy stands that would be suitable in reducing interest rate in the economy. Furthermore they should ensure relatively stable prices of goods and services which would guarantee sustainable investment that can enhance employment opportunities in the country.
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13

Church, K. B., P. R. Mitchell, D. S. Turner, K. F. Wallis, and J. D. Whitley. "Comparative Properties of Models of the Uk Economy∗." National Institute Economic Review 137 (August 1991): 59–74. http://dx.doi.org/10.1177/002795019113700106.

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This article describes the current versions of six leading macroeconometric models, focusing on their treatment of several current policy issues, namely the role of the housing market, the implications of ERM membership and, more generally, the relative effectiveness of fiscal and monetary policy. Differences in the modelling of the housing sector and the exchange rate are important in explaining differences in overall model properties which are revealed in standard policy simulations. Monetary policy is more potent than in previous versions of the models, which has important implications for the conduct of macroeconomic policy under ERM membership.
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14

Omolade, Adeleke, Philip Nwosa, and Harold Ngalawa. "Monetary Transmission Channel, Oil Price Shock and the Manufacturing Sector in Nigeria." Folia Oeconomica Stetinensia 19, no. 1 (June 1, 2019): 89–113. http://dx.doi.org/10.2478/foli-2019-0007.

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Abstract Research background: The need for diversification of the Nigerian economy has been emphasized and the manufacturing sector has a major role in this. Being an oil producing country, monetary policy is an important macroeconomic policy that has always been used to manage the influence of oil price shock on the manufacturing sector. Purpose: The study examines the relationship between oil price shock, the monetary transmission mechanism and manufacturing output growth in Nigeria. Research methodology: The study applied the structural vector auto regression (SVAR) modelling technique and a descriptive analysis. Results: The results of the study show that the exchange rate is mostly affected by the oil price shock, while the monetary policy instruments and inflation rate are also very responsive to the exchange rate shock. The manufacturing sector output growth has also been shown to be strongly affected by the inflation rate and monetary policy shocks. Novelty: The study has revealed the most effective channel via which oil price shocks affect manufacturing output. The exchange rate channel of the monetary policy transmission mechanism is the most significant channel through which oil price shock affects manufacturing output growth in Nigeria. This shows that effective management of the exchange rate policy via the appropriate monetary policy approach can be used to minimize the adverse effect of oil price shocks on Nigerian manufacturing output.
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15

Loukianova, I. A., M. A. Shkliarova, and S. Yu Vysotsky. "Modelling of Fiscal and Monetary Policy Interactions in the Republic of Belarus." Journal of Tax Reform 5, no. 3 (2019): 220–35. http://dx.doi.org/10.15826/jtr.2019.5.3.069.

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The article discusses classical and modern macroeconomic models of interaction of fiscal and monetary policies in Belarus. The hypothesis of this research is that the interaction of fiscal and monetary policies has a synergistic effect on economic growth and that at certain stages, one of these policies prevails over the other. This hypothesis was tested with the help of an IS-LM model, which was used to investigate the joint effects of monetary and fiscal policies on business activity in Belarus. A Markov switching model was developed in Eviews software to analyze the interaction between these policies. Regression dependences of the average tax burden (including the burden imposed by social security contributions) and GDP, investment and the refinancing rate were built by using Excel software. To solve the IS-LM model, the value of autonomous consumption was computed with the help of the adjusted value of the average propensity to consume. It was found that autonomous consumption is comparable with the budget of subsistence minimum in Belarus. The share of government spending in the GDP structure was on average 35.01%. The comparison of gross savings and investment showed that in the majority of periods, gross savings insignificantly exceeded the amount of investment, that is, the available funds were used for consumer lending rather than for investment. Analysis of the Markov switching model has led us to the conclusion that from the first quarter 2005 until the fourth quarter of 2009, the fiscal policy in Belarus was in the active regime. The passive fiscal policy regime was observed in the period between the first quarter of 2010 and the first quarter of 2019. In this period, a rise in the public debt was accompanied by an increase in the budget surplus. In the second quarter of 2019, there was a transition to a more active fiscal policy, which points to the need to intensify tax reforms.
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16

Georgiadis, Georgios, and Martina Jančoková. "Financial globalisation, monetary policy spillovers and macro-modelling: Tales from 1001 shocks." Journal of Economic Dynamics and Control 121 (December 2020): 104025. http://dx.doi.org/10.1016/j.jedc.2020.104025.

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17

Alaabed, Alaa. "The Efficacy of Monetary Transmission Mechanism: The Case of the United States." International Journal of Islamic Economics 1, no. 01 (August 26, 2019): 30. http://dx.doi.org/10.32332/ijie.v1i01.1575.

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This paper empirically investigates the effectiveness of monetary policy transmission in the United States from 1975-2010 using the Long-Run Structural Modelling (LRSM) and the techniques of error correction and variance decompositions. The results indicate that the domestic credit and exchange rate channels are relatively effective in influencing the real GDP per capita, and so is inflation-targeting, while the interest rate channel does not appear to play an important role as a monetary transmission mechanism, bearing in mind the interlinkages between the channels. The empirical analysis suggests that policy measures and structural reforms must be targeted accordingly in order to promote the effectiveness of monetary transmission mechanisms in the US and similar countries.
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18

Saraceno, Francesco, and Roberto Tamborini. "Quantitative easing in a monetary union." Oxford Economic Papers 72, no. 1 (May 27, 2019): 124–48. http://dx.doi.org/10.1093/oep/gpz031.

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Abstract The long season of unconventional monetary policies in advanced economies seems to be coming to an end. How can quantitative easing (QE) be effective where conventional monetary policy fails? How does it work in the peculiar environment of a monetary union? We study this latter case modelling a monetary union as the aggregate of two countries characterized by New Keynesian output and inflation relationships, with a Tobinian money market equation. QE is operated by the single central bank by expanding money supply in exchange for risky assets throughout the union. We assess the stabilization capacity of QE under different types of symmetric and asymmetric shocks, in which case fiscal accommodation at the country level should also intervene.
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19

Soliman, A. S. "The Loss of Predictability of Monetary Policy in a Macrodynamic System: Highly Intertwined Absolute and Transient Basins of Attraction." International Journal of Bifurcation and Chaos 08, no. 10 (October 1998): 2061–72. http://dx.doi.org/10.1142/s0218127498001716.

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The implications of studying basins of attraction as regards monetary policy in a model describing inflation and unemployment is presented. It is shown that when basin boundaries are highly intertwined this may lead to unpredicability in monetary policy, since we cannot determine the final states of the system. We illustrate how basins of attraction may be used to determine whether successive small reductions in the monetary growth rate (gradualist approach), as opposed to a one time reduction (shock approach), would be more successful in achieving the desired levels of inflation (expected inflation) and unemployment. Furthermore, an example is presented on how the concept of transient basins, could be more relevant in the study of economic systems in the ever-changing environment.
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20

Jingyuan, Li, and Tian Guoqiang. "Time inconsistency and reputation in monetary policy: a strategic modelling in continuous time." Acta Mathematica Scientia 28, no. 3 (July 2008): 697–710. http://dx.doi.org/10.1016/s0252-9602(08)60071-5.

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21

Chu, Xiaojun. "Modelling impact of monetary policy on stock market liquidity: a dynamic copula approach." Applied Economics Letters 22, no. 10 (November 17, 2014): 820–24. http://dx.doi.org/10.1080/13504851.2014.980566.

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22

Dumiter, Florin, Petre Brezeanu, Claudia Radu, and Florin Turcas. "Modelling Central Bank Independence and Inflation: Deus Ex Machina?" Studia Universitatis „Vasile Goldis” Arad – Economics Series 25, no. 4 (November 1, 2015): 56–69. http://dx.doi.org/10.1515/sues-2015-0027.

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Abstract Central bank independence represents the core element of assessing the complex relationship between government and central bank, having at background the fundamental issue of a free monetary policy decision-making process from the hands of the political circle. However, central bank independence is a multilevel concept within some social, economic and behavioral implications both for the central banks and for the society at whole. Central bank independence is needed in order to establish an autonomous central bank with a high degree of freedom in choosing its’ instruments, objectives, techniques and tactics. Moreover, a high degree of transparency for the public disclosure and monitoring of central bank operation and transaction is needed for the social barometer of the central bank. Consequently the central bank must have a high degree of accountability and responsibility vis - á - vis of the most democratic institution, i.e. Parliament. In this article it is presented a comprehensive study regarding the complex relationship between central bank independence and inflation by modeling these two monetary policy panacea, in order to make a fine tuning regarding the causal relationship established in a heterodox manner.
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Khalaf, Ammar. "Foreign exchange market pressure index and monetary policy in Iraq." Ekonomski anali 63, no. 219 (2018): 61–82. http://dx.doi.org/10.2298/eka1819061k.

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This paper?s aims are to adequately measure a foreign exchange market pressure index that can be used to discover pressures in the Iraqi foreign exchange market early on, and to examine the effect of monetary policy intervention in the Iraqi foreign exchange market. The modelling approach used is Autoregressive Distributed Lag (ARDL), with monthly time series data spanning 2013-2017. The index used in this paper was able to identify different periods of pressure in the Iraqi foreign exchange market. In addition, the econometric analysis found that the traditional proxies for monetary policy intervention in the foreign exchange market, such as domestic credit and money multiplier, were ineffective in the case of Iraq. The results show that the Central Bank of Iraq (CBI) relied extensively on foreign reserves to mitigate pressures in the foreign exchange market. Due to the nature of the Iraqi economy and where the main source of foreign currency is oil exports, the CBI adopted a fixed exchange rate regime to control inflationary expectations and stabilize the foreign exchange market.
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Haider, Adnan, Musleh Ud Din Musleh Ud Din, and Ejaz Ghani. "Monetary Policy, Informality and Business Cycle Fluctuations in a Developing Economy Vulnerable to External Shocks." Pakistan Development Review 51, no. 4II (December 1, 2012): 609–81. http://dx.doi.org/10.30541/v51i4iipp.609-681.

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Modelling the sources of Business Cycle Fluctuations (BCF)1 in an open economy Dynamic Stochastic General Equilibrium (DSGE) framework is a fascinating area of research. The main advantage of this framework over traditional modelling approach is due to an additional feature of micro-foundations in terms of welfare optimisation. This feature allows structural interpretation of deep parameters in a way that is less skeptical to Lucas critique [Lucas (1976)]. In DSGE modelling context, the sources of BCF are normally viewed as exogenous shocks, which have potential power to propagate the key endogenous variables within the system. This requires a careful identification, as the transmission of these shocks may emanate from internal side, such as, political instability; weak institutional quality in terms of low governance, or from external side, such as, natural disaster (like, earth quacks and floods); international oil and commodity prices; sudden stops in foreign capital inflows; changes in term of trade and exchange rate, or any combination of shocks from both sides. Also, the nature and magnitude of these shocks may vary, depending upon their variances and persistence levels.
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Mason, Helen, Michael Jones-Lee, and Cam Donaldson. "Modelling the monetary value of a QALY: a new approach based on UK data." Health Economics 18, no. 8 (August 2009): 933–50. http://dx.doi.org/10.1002/hec.1416.

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Sanders, James, Giulio Lisi, and Cheryl Schonhardt-Bailey. "Themes and Topics in Parliamentary Oversight Hearings: A New Direction in Textual Data Analysis." Statistics, Politics and Policy 8, no. 2 (December 20, 2017): 153–94. http://dx.doi.org/10.1515/spp-2017-0012.

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Abstract This paper contributes to the growing empirical work on deliberation in legislatures by proposing a novel approach to analysing parliamentary hearings using both thematic and topic modelling textual analysis software. We explore variations in deliberative quality across economic policy type (fiscal policy, monetary policy and financial stability) and across parliamentary chambers (Commons and Lords) in UK select committee oversight hearings during the 2010–2015 Parliament. Our overall focus is not only to suggest a multi-method approach to the textual analysis of parliamentary data, but also to explore more substantive aspects of parliamentary oversight, such as: (1) the extent to which oversight varies between unelected and elected policy makers; and (2) whether parliamentarians conduct oversight more forcefully or more along partisan lines when they are challenging fellow politicians as opposed to central bank officials. Our findings suggest consistent differences in deliberative styles between types of hearings (fiscal, monetary, financial stability) and between chambers (Commons, Lords).
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Belke, Ansgar, and Thorsten Polleit. "Monetary policy and dividend growth in Germany: long-run structural modelling versus bounds testing approach." Applied Economics 38, no. 12 (July 10, 2006): 1409–23. http://dx.doi.org/10.1080/00036840500369100.

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28

Damayanti, Sari. "Analisis Penerapan Kebijakan Moneter Suku Bunga Jangka Pendek pada Variabel-variabel Endogen MakroEkonomi Indonesia." Binus Business Review 5, no. 2 (November 28, 2014): 638. http://dx.doi.org/10.21512/bbr.v5i2.1187.

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This study analyzed the impact of the implementation of monetary policy through short-term interest rates setting on the variation that occurs in the endogenous variables of Indonesian macro economy in the period of 2000-2009 by implementing the Structural Vector Autoregressive approach (SVAR) which is the development of Vector Autoregressive (VAR) modelling with Eviews program. By careful examination of the results, this study indicates that the value of interest rate changes is significantly associated with shocks that are associated with monetary policy. The monetary sector is heavily influenced by real GDP shock, liquidity, and inflation shock. However, the monetary sector is only slightly affected by the decomposition of the variance of the exchange rate, which is very sensitive to the inflation shock. The study also indicates that the endogenous variables in the value of changes in interest rates and real exchange rate of rupiah will be close to convergence in the long term. The endogenous variables are more susceptible to changes in variables derived from domestic, such as the level of demand for domestic currency liquidity, compared to variables derived from international capital exposure. Thus, the value of the variable interest rate changes can be used to reduce the potential risks derived from domestic money demand shock.
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29

Renne, Jean-Paul. "A tractable interest rate model with explicit monetary policy rates." European Journal of Operational Research 251, no. 3 (June 2016): 873–87. http://dx.doi.org/10.1016/j.ejor.2015.12.014.

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30

Richardson, Pete. "Simulating the European economies under alternative monetary policy assumptions." Journal of Forecasting 11, no. 5 (August 1992): 389–421. http://dx.doi.org/10.1002/for.3980110506.

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Ani, Ani, Vahagn Davtyan, Haykaz Igityan, Hasmik Kartashyan, and Hovhannes Manukyan. "Modelling the Effects of a Health Shock on the Armenian Economy." Russian Journal of Money and Finance 79, no. 4 (December 2020): 18–44. http://dx.doi.org/10.31477/rjmf.202004.18.

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This paper extends the closed economy DSGE model in order to evaluate the impact of the coronavirus on the economy. Our model makes it clear that people,s decisions to reduce consumption and working hours due to the health crisis lead to an economic recession. As a result, the spread of the virus declines. Expansionary monetary policy decreases the size of GDP decline, but it is costly in terms of public health. This result shows that there is a trade-off between the output loss caused by the epidemic and the health consequences of the epidemic.
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Plushchevskaya, J. "On the Validity of the Theoretical Bases of Inflation Targeting and New Keynesian General Equilibrium Models." Voprosy Ekonomiki, no. 5 (May 20, 2012): 22–36. http://dx.doi.org/10.32609/0042-8736-2012-5-22-36.

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The latest world economic and financial crisis highlighted problems in macroeconomic policies pursued by developed economies as well as the necessity of searching for an effective regulatory framework. In particular, doubts have occurred in the indisputability of advantages of inflation targeting and its theoretical basis: the New Keynesian dynamic stochastic general equilibrium models. The reason for doubts lies mainly in the lack of confidence in the new neoclassical synthesis propositions which form the basis for the modern monetary theory and structural modelling. The article reveals close links between contemporary mainstream economics, inflation targeting and New Keynesian dynamic stochastic general equilibrium models, concentrates on controversial points of the theory which bring into question applicability of the monetary policy regime and the models, and finally, outlines further research agenda.
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Colucci, Domenico, and Vincenzo Valori. "Stabilizing inflation in a simple monetary policy model with heterogeneous agents." Mathematics and Computers in Simulation 108 (February 2015): 233–44. http://dx.doi.org/10.1016/j.matcom.2013.09.002.

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34

Pandey, Richa, and V. Mary Jessica. "Determinants of Indian housing market: effects and counter-effects." Property Management 38, no. 2 (December 23, 2019): 199–218. http://dx.doi.org/10.1108/pm-06-2018-0038.

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Purpose The purpose of this paper is to study the effect of the 2008 global financial crisis on housing market dynamics in an emerging economy like India using quarterly data (Q4 2008–2009 to Q1 2018–2019). The study explores the extent of linkages between housing prices, monetary policy and financial stability by explaining the nature of the shocks to the housing sector and the degree of impact of those shocks; the possibility of adverse feedback loop which is beyond the natural levels; and the usefulness of explicit and direct role of monetary policy for the housing market stability, which was the loudest demand immediately after the crisis. Design/methodology/approach The paper follows a three-step methodology: data transformations, a variable selection process “general-to-specific modelling” with the help of OxMetrics 6 Package, and vector autoregressive modelling with the help of EViews 10. F-test was used to describe the short-term relationships between the variables. Impulse response and variance decomposition were used to explain the type of relationship (negative or positive) and the period of the relationships, respectively. Findings The study finds that the housing sector is sensitive to the monetary policy shocks, whereas the contribution of the housing market shocks to the fluctuations in other market variables is not substantial, though not negligible. As far as the nature of the shocks is concerned, the observed dynamics in the real house prices are diverging from their fundamental levels. The housing market shocks are more or less static; it rules out the chances for a self-reinforcing feedback loop with the existing setup. Research limitations/implications The study concludes that the observed dynamics in the real house prices are diverging from their fundamental levels. Given the limitation, the researchers could extend this study by decomposing the part of the risk to the sector contributed by the other drivers, which may be inherent imperfections in housing markets, weak and unreliable wealth effect, and the presence of behavioural biases. Practical implications The present study finds countercyclical measures to be more useful for this sector as compared to the forward-looking monetary policy reforms in this sector. The central bank in India should continue to refrain from responding directly to the housing sector fluctuations. Investors can enjoy investing in the housing sector without any fear of the crisis as of now. The effect of speculation is small but not negligible, which enjoins the investors and the policy-makers to remain watchful. Interest rate, money supply and inflation lead (Granger-cause) the housing prices. This information is relevant for spending and investment decisions. Social implications The study feels that banks should avoid using monetary policy to balance the house prices. This will be beneficial both for the economy and the society, as any change in monetary policy to especially curb out surging housing prices may adversely affect the output, and finally, may lead to the deflation. The fear of deflation may cause devastating economic, financial and social effects. Originality/value The study contributes to the literature by shedding some new insights about the interrelationship between macroeconomic variables, housing prices and financial stability in the aftermath of the 2008–2009 financial crisis. Such types of studies are absent from emerging markets, particularly from India.
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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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Mahrous, Sherif Nabil, Nagwa Samak, and Mamdouh Abdelmoula M. Abdelsalam. "The effect of monetary policy on credit risk: evidence from the MENA region countries." Review of Economics and Political Science 5, no. 4 (May 20, 2020): 289–304. http://dx.doi.org/10.1108/reps-07-2019-0099.

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Purpose The purpose of this paper is to explore the effect of monetary policy on bank risk in the banking system in some MENA countries. It explores how some economic and credit indicators affect the level of risk in the banking sector. It combines many factors that could affect banks’ risk appetite such as macroeconomic conditions, banks’ credit size and lending growth. The authors use nonperforming loans as a proxy for banking sector risks. At first, the authors have analyzed the linear relationship between monetary policy and credit risk. As mentioned above, nonlinearity is expected in the underlying relationship, and, thus, they have investigated the nonlinear relationship to deeply analyse the relationship using the dynamic panel threshold model, as stimulated by Kremer et al. (2013). Threshold models have gained a great importance in economics and finance for modelling nonlinear behaviour. Threshold models are useful in showing the turning points in the behaviour of financial and economic indicators. This technique has been applied in this study to study the effect of monetary policy on credit risk. Design/methodology/approach This paper is divided into the following sections: Section 2 which previews the recent literature; Section 3 which includes some stylized facts about the relationship between credit risk and monetary policy; Section 4 which deals with the model and methodology; Section 5 which handles the data sources and discusses the results, and finally Section 6 which is the conclusion. The paper adopts dynamic panel threshold model of Kremer et al. (2013). Findings The results show that the relationship between monetary policy and credit risk is positive and significant to a certain threshold, 6.3. If the lending interest rate is higher than 6.3, this increases the credit risk in the banking sector, because increasing the lending interest rate imposes huge burdens on the borrowers, and, therefore, the bad loans and nonperforming loans become more likely. Thus, the MENA countries need to decrease the lending interest rate to be less than 6.3 to reduce the effect of monetary policy on credit risk. Further, these results are qualitatively robust regarding the inclusion of additional control variables, using alternative threshold variables and further endogeneity checks of the credit risk, such as Risk premium and the squared term of the lending interest rate. The results of taking the risk premium and the squared term of the lending interest rate as a threshold served the analysis and confirmed the positive relationship between monetary policy and credit risk above a certain threshold. As for the risk premium, the relationship below the threshold was negative and significant. Other related research points might be a good avenue for the future research such as applying this approach to micro data of banks from different MENA countries. Also, more sophisticated approaches like time-varying panel approach to assess the relationship over the time can be applied. Originality/value The importance of this paper lies in the fact that it does not only study the effect of time, but it also focuses on the panel data about some economic and credit indicators in the MENA region for the first time. This is because central banks in the MENA region have common characteristics and congruous level of economic growth. Therefore, to study how the monetary policy affects those countries’ credit risks in their lending policies, this requires careful analysis of how the central banks in this region might behave to control default risks.
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37

Novikova, Tatyana. "Territorial inequality: an agent-based approach in modelling of social policy." E3S Web of Conferences 301 (2021): 03001. http://dx.doi.org/10.1051/e3sconf/202130103001.

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The article proposes a methodological approach for assessing the territorial inequality based on an agent-oriented spatial model. The main decisions are made in the model at the microeconomic level by households and enterprises with spatial coordinates. Then they are aggregated to the level of regions, industries and the economy as a whole. The evaluation of the indicators according to the criterion of social justice is carried out using two groups of methods: firstly, statistical, primarily the Gini coefficients (which are based on the households’ incomes in regions or country as a whole), and secondly, methods for constructing isoelastic social welfare functions at the national and regional or zonal levels, which are based on the households’ utility functions and include the inequality rejection coefficient. Each value of the coefficient corresponds to a certain concept of social justice. This second group of methods is related to the original approach of the author. The model simulates the development of the government social policy, which is carried out by changing taxes and transfers and taking into account the degree of territorial inequality. Model calculations consider pensions and five types of monetary transfers in a fixed structure: unemployment benefits, child benefits, poverty benefits, social aid and basic income benefits. In a series of experiments, the effect on territorial inequality of changes in the total value of social transfers (with their fixed structure) and tax rates in accordance with the proportionality coefficients was assessed. It is used as a toolkit for changing the system of taxes and transfers and for supporting social policy to reduce spatial inequalities in Russia.
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38

Fu, Hailing, Yuantao Fang, Yi Qu, and Yi Pan. "A Sustainable Economic System to Face the Fluctuation of Fruit Prices: Based on a Small-Region DSGE Model." Discrete Dynamics in Nature and Society 2021 (June 15, 2021): 1–11. http://dx.doi.org/10.1155/2021/6693709.

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This paper builds a new small-scale and regionalization DSGE model that focuses on the sustainable economic system, which was estimated by the Bayesian estimation method using Chinese annual data from 2004 to 2017 to analyze the effect of the fluctuation of fruit prices in Hainan. We find the fluctuation of increasing prices has a negative effect on fruit output. This results in a preference to loosen monetary policy to reduce this influence and then results in price inflation, which will lead to the increase in output and prices simultaneously. Based on our findings, we provide suggestions for policy maker such as the optimization of industrial structures and increased investment in the fruit industry, extending the fruit industry chain and establishing a multifruit industry sustainable economic system.
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39

Stevenson, Matt, Andrew Metry, and Michael Messenger. "Modelling of hypothetical SARS-CoV-2 point of care tests for routine testing in residential care homes: rapid cost-effectiveness analysis." Health Technology Assessment 25, no. 39 (June 2021): 1–74. http://dx.doi.org/10.3310/hta25390.

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Background Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) is the virus that causes coronavirus disease 2019 (COVID-19), which at the time of writing (January 2021) was responsible for more than 2.25 million deaths worldwide and over 100,000 deaths in the UK. SARS-CoV-2 appears to be highly transmissible and could rapidly spread in residential care homes. Objective The work undertaken aimed to estimate the clinical effectiveness and cost-effectiveness of viral detection point-of-care tests for detecting SARS-CoV-2 compared with laboratory-based tests in the setting of a hypothetical care home facility for elderly residents. Perspective/setting The perspective was that of the NHS in 2020. The setting was a hypothetical care home facility for elderly residents. Care homes with en suite rooms and with shared facilities were modelled separately. Methods A discrete event simulation model was constructed to model individual residents and simulate the spread of SARS-CoV-2 once it had entered the residential care facility. The numbers of COVID-19-related deaths and critical cases were recorded in addition to the number of days spent in isolation. Thirteen strategies involving different hypothetical SARS-CoV-2 tests were modelled. Recently published desirable and acceptable target product profiles for SARS-CoV-2 point-of-care tests and for hospital-based SARS-CoV-2 tests were modelled. Scenario analyses modelled early release from isolation based on receipt of a negative SARS-CoV-2 test result and the impact of vaccination. Incremental analyses were undertaken using both incremental cost-effectiveness ratios and net monetary benefits. Results Cost-effectiveness results depended on the proportion of residential care facilities penetrated by SARS-CoV-2. SARS-CoV-2 point-of-care tests with desirable target product profiles appear to have high net monetary benefit values. In contrast, SARS-CoV-2 point-of-care tests with acceptable target product profiles had low net monetary benefit values because of unnecessary isolations. The benefit of allowing early release from isolation depended on whether or not the facility had en suite rooms. The greater the assumed efficacy of vaccination, the lower the net monetary benefit values associated with SARS-CoV-2 point-of-care tests, when assuming that a vaccine lowers the risk of contracting SARS-CoV-2. Limitations There is considerable uncertainty in the values for key parameters within the model, although calibration was undertaken in an attempt to mitigate this. Some degree of Monte Carlo sampling error persists because of the timelines of the project. The example care home simulated will also not match those of decision-makers deciding on the clinical effectiveness and cost-effectiveness of introducing SARS-CoV-2 point-of-care tests. Given these limitations, the results should be taken as indicative rather than definitive, particularly the cost-effectiveness results when the relative cost per SARS-CoV-2 point-of-care test is uncertain. Conclusions SARS-CoV-2 point-of-care tests have considerable potential for benefit for use in residential care facilities, but whether or not this materialises depends on the diagnostic accuracy and costs of forthcoming SARS-CoV-2 point-of-care tests. Future work More accurate results would be obtained when there is more certainty on the diagnostic accuracy of and the reduction in time to test result associated with SARS-CoV-2 point-of-care tests when used in the context of residential care facilities, the proportion of care home penetrated by SARS-CoV-2 and the levels of immunity once vaccination is administered. These parameters are currently uncertain. Funding This report was commissioned by the National Institute for Health Research (NIHR) Evidence Synthesis programme as project number 132154. This project was funded by the NIHR Health Technology Assessment programme and will be published in full in Health Technology Assessment; Vol. 25, No. 39. See the NIHR Journals Library website for further project information.
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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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Glass, Anthony J., Karligash Kenjegalieva, and Thomas Weyman-Jones. "The effect of monetary policy on bank competition using the Boone index." European Journal of Operational Research 282, no. 3 (May 2020): 1070–87. http://dx.doi.org/10.1016/j.ejor.2019.10.022.

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42

Jadevicius, Arvydas, and Simon Huston. "ARIMA modelling of Lithuanian house price index." International Journal of Housing Markets and Analysis 8, no. 1 (March 2, 2015): 135–47. http://dx.doi.org/10.1108/ijhma-04-2014-0010.

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Purpose – This paper aims to investigate Lithuanian house price changes. Its twin motivations are the importance of information on future house price movements to sector stakeholders and the limited number of related Lithuanian property market studies. Design/methodology/approach – The study employs ARIMA modelling approach. It assesses whether past is a good predictor of the future. It then examines issues relating to an application of this univariate time-series modelling technique in a forecasting context. Findings – As the results of the study suggest, ARIMA is a useful technique to assess broad market price changes. Government and central bank can use ARIMA modelling approach to forecast national house price inflation. Developers can employ this methodology to drive successful house-building programme. Investor can incorporate forecasts from ARIMA models into investment strategy for timing purposes. Research limitations/implications – Certainly, there are number of limitations attached to this particular modelling approach. Firm predictions about house price movements are also a challenge, as well as more research needs to be done in establishing a dynamic interrelationship between macro variables and the Lithuanian housing market. Originality/value – Although the research focused on Lithuania, the findings extend to global housing market. ARIMA house price modelling provides insights for a spectrum of stakeholders. The use of this modelling approach can be employed to improve monetary policy oversight, facilitate planning for infrastructure or social housing as a countercyclical policy and mitigate risk for investors. What is more, a greater appreciation of Lithuania housing market can act as a bellwether for real estate markets in other trade-exposed small country economies.
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43

Mostaghimi, Mehdi. "Monetary policy, composite leading economic indicators and predicting the 2001 recession." Journal of Forecasting 23, no. 7 (2004): 463–77. http://dx.doi.org/10.1002/for.923.

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44

Poměnková, J., and S. Kapounek. "Interest rates and prices causality in the Czech Republic – Granger approach." Agricultural Economics (Zemědělská ekonomika) 55, No. 7 (August 6, 2009): 347–56. http://dx.doi.org/10.17221/2/2009-agricecon.

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Monetary policy analysis concerns both the assumptions of the transmission mechanism and the direction of causality between the nominal (i.e. the money) and real economy. The traditional channel of monetary policy implementation works via the interest rate changes and their impact on the investment activity and the aggregate demand. Altering the relationship between the aggregate demand and supply then impacts the general price level and hence inflation. Alternatively, the Post-Keynesians postulate money as a residual. In their approach, banks credit in response to the movements in investment activities and demand for money. In this paper, the authors use the VAR (i.e. the vector autoregressive) approach applied to the “Taylor Rule” concept to identify the mechanism and impact of the monetary policy in the small open post-transformation economy of the Czech Republic. The causality (in the Granger sense) between the interest rate and prices in the Czech Republic is then identified. The two alternative modelling approaches are tested. First, there is the standard VAR analysis with the lagged values of interest rate, inflation and economic growth as explanatory variables. This model shows one way causality (in the Granger sense) between the inflation rate and interest rate (i.e. the inflation rate is (Granger) caused by the lagged interest rate). Secondly, the lead (instead of lagged) values of the interest rate, inflation rate and real exchange rate are used. This estimate shows one way causality between the inflation rate and interest rate in the sense that interest rate is caused by the lead (i.e. the expected future) inflation rate. The assumptions based on money as a residual of the economic process were rejected in both models.
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Seelajaroen, Ruttachai, Pornanong Budsaratragoon, and Boonlert Jitmaneeroj. "Do monetary policy transparency and central bank communication reduce interest rate disagreement?" Journal of Forecasting 39, no. 3 (December 3, 2019): 368–93. http://dx.doi.org/10.1002/for.2631.

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46

Wam, Hilde Karine, Nils Bunnefeld, Nicholas Clarke, and Ole Hofstad. "Conflicting interests of ecosystem services: Multi-criteria modelling and indirect evaluation of trade-offs between monetary and non-monetary measures." Ecosystem Services 22 (December 2016): 280–88. http://dx.doi.org/10.1016/j.ecoser.2016.10.003.

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47

Madito, Oatlhotse, and Nicholas M. Odhiambo. "The Main Determinants of Inflation in South Africa: an Empirical Investigation." Organizations and Markets in Emerging Economies 9, no. 2 (December 31, 2018): 212–32. http://dx.doi.org/10.15388/omee.2018.10.00011.

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This study investigated the determinants of inflation in South Africa using quarterly data from 1970Q1 to 2015Q4. The study was motivated by recent trends in domestic inflation that has frequently been at the upper end of the target range of between 3% and 6%, and the need to guide inflation-related policy since 2008. These recent trends raised concerns regarding the effectiveness of the current monetary policy approach in responding to internal and external factors that are significant in determining domestic inflation. Using Error Correction Model (ECM) modelling techniques, empirical results revealed that inflation expectations, labour costs, government expenditure and import prices are positive determinants, while GDP and exchange rates are negative determinants of inflation. To achieve the macroeconomic policy objective of a stable and low inflation rate for South Africa, more emphasis should be placed on anchoring inflation expectations, which was found to be highly significant in determining inflation.
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Hoomans, T., A. Ament, S. Evers, and JL Severens. "PMC8 ECONOMIC DECISION MODELLING: CALCULATION OF TOTAL NET MONETARY BENEFITS OF GUIDELINE IMPLEMENTATION INTO CLINICAL PRACTICE." Value in Health 9, no. 6 (November 2006): A272. http://dx.doi.org/10.1016/s1098-3015(10)63420-1.

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49

Stevenson, Matt, Andrew Metry, and Michael Messenger. "Modelling of hypothetical SARS-CoV-2 point-of-care tests on admission to hospital from A&E: rapid cost-effectiveness analysis." Health Technology Assessment 25, no. 21 (March 2021): 1–68. http://dx.doi.org/10.3310/hta25210.

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BackgroundSevere acute respiratory syndrome coronavirus 2 (SARS-CoV-2) is the virus that causes coronavirus disease 2019. At the time of writing (October 2020), the number of cases of COVID-19 had been approaching 38 million and more than 1 million deaths were attributable to it. SARS-CoV-2 appears to be highly transmissible and could rapidly spread in hospital wards.ObjectiveThe work undertaken aimed to estimate the clinical effectiveness and cost-effectiveness of viral detection point-of-care tests for detecting SARS-CoV-2 compared with laboratory-based tests. A further objective was to assess occupancy levels in hospital areas, such as waiting bays, before allocation to an appropriate bay.Perspective/settingThe perspective was that of the UK NHS in 2020. The setting was a hypothetical hospital with an accident and emergency department.MethodsAn individual patient model was constructed that simulated the spread of disease and mortality within the hospital and recorded occupancy levels. Thirty-two strategies involving different hypothetical SARS-CoV-2 tests were modelled. Recently published desirable and acceptable target product profiles for SARS-CoV-2 point-of-care tests were modelled. Incremental analyses were undertaken using both incremental cost-effectiveness ratios and net monetary benefits, and key patient outcomes, such as death and intensive care unit care, caused directly by COVID-19 were recorded.ResultsA SARS-CoV-2 point-of-care test with a desirable target product profile appears to have a relatively small number of infections, a low occupancy level within the waiting bays, and a high net monetary benefit. However, if hospital laboratory testing can produce results in 6 hours, then the benefits of point-of-care tests may be reduced. The acceptable target product profiles performed less well and had lower net monetary benefits than both a laboratory-based test with a 24-hour turnaround time and strategies using data from currently available SARS-CoV-2 point-of-care tests. The desirable and acceptable point-of-care test target product profiles had lower requirement for patients to be in waiting bays before being allocated to an appropriate bay than laboratory-based tests, which may be of high importance in some hospitals. Tests that appeared more cost-effective also had better patient outcomes.LimitationsThere is considerable uncertainty in the values for key parameters within the model, although calibration was undertaken in an attempt to mitigate this. The example hospital simulated will also not match those of decision-makers deciding on the clinical effectiveness and cost-effectiveness of introducing SARS-CoV-2 point-of-care tests. Given these limitations, the results should be taken as indicative rather than definitive, particularly cost-effectiveness results when the relative cost per SARS-CoV-2 point-of-care test is uncertain.ConclusionsShould a SARS-CoV-2 point-of-care test with a desirable target product profile become available, this appears promising, particularly when the reduction on the requirements for waiting bays before allocation to a SARS-CoV-2-infected bay, or a non-SARS-CoV-2-infected bay, is considered. The results produced should be informative to decision-makers who can identify the results most pertinent to their specific circumstances.Future workMore accurate results could be obtained when there is more certainty on the diagnostic accuracy of, and the reduction in time to test result associated with, SARS-CoV-2 point-of-care tests, and on the impact of these tests on occupancy of waiting bays and isolation bays. These parameters are currently uncertain.FundingThis report was commissioned by the National Institute for Health Research (NIHR) Evidence Synthesis programme as project number 132154. This project was funded by the NIHR Health Technology Assessment programme and will be published in full inHealth Technology Assessment; Vol. 25, No. 21. See the NIHR Journals Library website for further project information.
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Basu, Rilina, and Ranjanendra Narayan Nag. "Money, the Stock Market and the Macroeconomy: A Theoretical Analysis." Pakistan Development Review 52, no. 3 (September 1, 2013): 235–46. http://dx.doi.org/10.30541/v52i3pp.235-246.

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The finance-growth nexus has become a significant issue in recent macroeconomic modelling and the centre of attention of policy makers. Over the past few decades equity markets have experienced phenomenal growth which has proved to be a major determinant of capital flow to emerging market economies. Naturally, one wants to know how development of equity markets influences the real sector and produces macroeconomic outcomes. In this paper we construct an open economy, structuralist model to examine the short-run and long- run effects of both policy-induced and exogenous shocks on output, the dynamics of stock market valuation and adjustment in monetary base. The model shows that devaluation or capital inflow will boost the economy, while fiscal expansion has deleterious consequences for stock market valuation and investment. JEL Classifications: G01, G12, F32, F36 Keywords: Tobin’s q, Effective Demand, Devaluation
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