Journal articles: 'Recursive Macroeconomics'

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Baum, Christopher F., Stan Hurn, and Jesús Otero. "Testing for time-varying Granger causality." Stata Journal: Promoting communications on statistics and Stata 22, no. 2 (June 2022): 355–78. http://dx.doi.org/10.1177/1536867x221106403.

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The concept of Granger causality is an important tool in applied macroeconomics. Recently, recursive econometric methods have been developed to analyze the temporal stability of Granger-causal relationships. This article offers an implementation of these recursive procedures in Stata. An empirical example illustrates their use in analyzing the temporal stability of Granger causality among key U.S. macroeconomic series.

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Berardi, Michele, and Jaqueson K. Galimberti. "SMOOTHING-BASED INITIALIZATION FOR LEARNING-TO-FORECAST ALGORITHMS." Macroeconomic Dynamics 23, no. 3 (June 23, 2017): 1008–23. http://dx.doi.org/10.1017/s1365100517000128.

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Under adaptive learning, recursive algorithms are proposed to represent how agents update their beliefs over time. For applied purposes, these algorithms require initial estimates of agents perceived law of motion. Obtaining appropriate initial estimates can become prohibitive within the usual data availability restrictions of macroeconomics. To circumvent this issue, we propose a new smoothing-based initialization routine that optimizes the use of a training sample of data to obtain initials consistent with the statistical properties of the learning algorithm. Our method is generically formulated to cover different specifications of the learning mechanism, such as the least-squares and the stochastic gradient algorithms. Using simulations, we show that our method is able to speed up the convergence of initial estimates in exchange for a higher computational cost.

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Nymoen, Ragnar. "On the Low Degree of Entropy Implied by the Solutions of Modern Macroeconomic Models." Entropy 24, no. 12 (November 25, 2022): 1728. http://dx.doi.org/10.3390/e24121728.

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The non-causal (“forward-looking”) solution used routinely in academic macroeconomics may represent a violation of a law of entropy, namely that the direction of time is one way (from the past and towards the present), and that the variance of economic processes increases with time. In order to re-establish a degree of compatibility with the law of entropy, so called hybrid forms are required add-ins to DSGE (Dynamic Stochastic General Equilibrium) models. However, the solution that uses hybrid forms is a particular special case of a causal solutions of autoregressive distributed lags, VARs and recursive and simultaneous equations models well known from empirical macro econometrics. Hence, hybrid forms of small scale DSGE models can be analysed and tested against competing model equations, using an econometric encompassing framework.

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Binder, Michael, and M. Hashem Pesaran. "Multivariate Linear Rational Expectations Models." Econometric Theory 13, no. 6 (December 1997): 877–88. http://dx.doi.org/10.1017/s0266466600006307.

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This paper considers the solution of multivariate linear rational expectations models. It is described how all possible classes of solutions (namely, the unique stable solution, multiple stable solutions, and the case where no stable solution exists) of such models can be characterized using the quadratic determinantal equation (QDE) method of Binder and Pesaran (1995, in M.H. Pesaran & M. Wickens [eds.], Handbook of Applied Econometrics: Macroeconomics, pp. 139–187. Oxford: Basil Blackwell). To this end, some further theoretical results regarding the QDE method expanding on previous work are presented. In addition, numerical techniques are discussed allowing reasonably fast determination of the dimension of the solution set of the model under consideration using the QDE method. The paper also proposes a new, fully recursive solution method for models involving lagged dependent variables and current and future expectations. This new method is entirely straightforward to implement, fast, and applicable also to high-dimensional problems possibly involving coefficient matrices with a high degree of singularity.

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Park, Sunghwa, Janghan Kwon, and Taeil Kim. "An Analysis of the Dynamic Relationship between the Global Macroeconomy and Shipping and Shipbuilding Industries." Sustainability 13, no. 24 (December 17, 2021): 13982. http://dx.doi.org/10.3390/su132413982.

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Using time-series data from January 2006 to February 2021, this study analyzed the effect of macroeconomic shocks on the shipping and shipbuilding industries. The Granger causality test, recursive structural vector autoregressive models, impulse response analysis, historical decomposition, and local projections model were used to identify the dynamic relationships between the variables and their dynamic effects, based on the results of the theoretical model and previous research. First, the Granger causality test demonstrated that the macroeconomic variables have causal relations with the shipping and shipbuilding industries. Second, the recursive structural vector autoregressive estimation demonstrated that the direction of the shocks from macroeconomic variables is statistically significantly, consistent with the theoretical model. The same results were found in the recursive structural vector autoregressive model and local projection impulse response analysis. Finally, the historical decomposition identified the main causal variables affecting the shipping and shipbuilding industries by period. These findings can help policymakers, operators of shipping and shipbuilding companies, and investors evaluate and make policy-supporting decisions on industry conditions.

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Bacchiocchi, Emanuele, Efrem Castelnuovo, and Luca Fanelli. "GIMME A BREAK! IDENTIFICATION AND ESTIMATION OF THE MACROECONOMIC EFFECTS OF MONETARY POLICY SHOCKS IN THE UNITED STATES." Macroeconomic Dynamics 22, no. 6 (June 23, 2017): 1613–51. http://dx.doi.org/10.1017/s1365100516000833.

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We employ a non-recursive identification scheme to identify the effects of a monetary policy shock in a Structural Vector Autoregressive (SVAR) model for the US post-WWII quarterly data. The identification of the shock is achieved via heteroskedasticity, and different on-impact macroeconomic responses are allowed for (but not imposed) in each volatility regime. We show that the impulse responses obtained with the suggested non-recursive identification scheme are quite similar to those conditional on a recursive VAR estimated with pre-1984 data. In contrast, recursive vs. non-recursive identification schemes return different short-run responses of output and investment during the Great Moderation. Robustness checks dealing with a different definition of investment, an alternative break-point, and federal funds futures rates as an indicator of the monetary policy stance are documented and discussed.

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Dräger, Lena. "RECURSIVE INATTENTIVENESS WITH HETEROGENEOUS EXPECTATIONS." Macroeconomic Dynamics 20, no. 4 (October 9, 2015): 1073–100. http://dx.doi.org/10.1017/s1365100514000741.

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We model agents' endogenous updating of information sets over time under changing macroeconomic conditions. Building on sticky information models, the degree of inattentiveness is endogenized by allowing agents to choose between a costly full-information predictor and a costless sticky-information predictor. This is modeled as a choice between discrete alternatives under rational inattention. Recursive simulation shows that the dynamic equilibrium paths of aggregate variables are highly persistent and match the moments of U.S. data better than a model with fixed sticky information or with sticky prices, especially with regard to higher moments and the degree of persistence. Predictors are chosen in line with the predictions from rational inattention models, as the aggregate degree of attentiveness increases with rising variance of the forecast variable. Moreover, the model can generate hump-shaped impulse responses of inflation to a monetary policy shock if the degree of inattentiveness is sufficiently high.

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Parmanand, Sanjeev. "The impact of Philippine monetary policy on domestic prices and output: evaluating the country’s transmission channels." Philippine Review of Economics 59, no. 1 (June 30, 2022): 46–76. http://dx.doi.org/10.37907/3erp2202j.

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This paper examines the price and output effects of Philippine monetary policy through its transmission channels from 1996 to 2019 using Structural Vector Autoregression (SVAR) models. Recursive and non-recursive identi!cation strategies are implemented to build a model that represents the small open economy of the Philippines, which is affected by exogenous shocks in oil prices and US interest rates. Impulse response functions are then compared between recursive and non-recursive models to select results that demonstrate consistency with macroeconomic theory and overall statistical signi!cance. The Local Projections method is then applied as a means of verifying the accuracy of the preferred model’s results. Findings show that a contractionary shock to Philippine monetary policy has weak short-term effects on domestic output and prices. These results contribute to the literature by characterizing the strength of transmission channels 17 years after in"ation targeting was adopted as a primary component of Philippine monetary policy.

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Poghosyan, Karen. "A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia." Journal of Central Banking Theory and Practice 5, no. 2 (May 1, 2016): 81–99. http://dx.doi.org/10.1515/jcbtp-2016-0012.

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Abstract We evaluate the forecasting performance of four competing models for short-term macroeconomic forecasting: the traditional VAR, small scale Bayesian VAR, Factor Augmented VAR and Bayesian Factor Augmented VAR models. Using Armenian quarterly actual macroeconomic time series from 1996Q1 – 2014Q4, we estimate parameters of four competing models. Based on the out-of-sample recursive forecast evaluations and using root mean squared error (RMSE) criterion we conclude that small scale Bayesian VAR and Bayesian Factor Augmented VAR models are more suitable for short-term forecasting than traditional unrestricted VAR model.

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SKARE, Marinko. "MACROECONOMIC NOISE REMOVAL ALGORITHM (MARINER)." Technological and Economic Development of Economy 23, no. 3 (May 8, 2017): 549–65. http://dx.doi.org/10.3846/20294913.2017.1312629.

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Standard econometric filters fail to extract explicit trend component from macroeconomic data series. Isolated cycles provide no economic interpretation of the extracted component. Adding new data to the sample (filtering) period results in instability of extracted components. This study proposes a new econometric filtering technique (MARINER) able to overcome known shortcomings in standard econometrics filters such as Hodrick and Prescott (1997), Baxter and King (1999), Christiano and Fitzgerald (2003). MARINER provides a practical tool for policy makers dealing with business cycles. It also provides economic interpretation (new theory) on causes and sources of business cycles elaborating on theories developed by Phillips (1962) and Škare (2010). MARINER decomposes GDP macroeconomic data series in trend (long term) and cycles (medium term) components using three year moving average recursive filtering method. Extracted cycles are defined as deviations from equilibrium GDP path (minimized output gap) caused by poor synchronization between monetary and fiscal policy. MARINER bridge the gap in the literature on measuring and causes of business cycles. MARINER can purpose as foundation for building a new, primer econometric filtering methods.

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Shokr, Mohamed Aseel, Zulkefly Abdul Karim, and Mohd Azlan Shah Zaidi. "Monetary policy and macroeconomic responses: non-recursive SVAR study of Egypt." Journal of Financial Economic Policy 11, no. 3 (August 5, 2019): 319–37. http://dx.doi.org/10.1108/jfep-07-2018-0103.

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Purpose This paper aims to examine the effects of monetary policy and foreign shocks on output, inflation and exchange rate in Egypt. Design/methodology/approach This paper studies the effects of monetary policy and foreign shocks on output, inflation and exchange rate by using non-recursive SVAR model and quarterly data. Findings First, the empirical results reveal that monetary policy shocks, through changes in interest rate or money supply, have a significant effect on output, inflation and exchange rate in Egypt. Second, the world oil prices and foreign output have significant impacts on output, inflation and exchange rate in Egypt, while foreign interest rate has a significant effect on domestic output and inflation. Research limitations/implications The limitation of the study is examining one country only. Practical implications The Central Bank of Egypt (CBE) should adjust interest rate to stabilize inflation, output and exchange rate. By stabilizing inflation, output and exchange rate, the CBE would be able to achieve the ultimate targets of monetary policy, namely, price stability and economic growth. Social implications It is important for the CBE because it shows the significant effect of monetary policy on macroeconomic variables in Egypt. Also, it is important for people because it shows the important role for the CBE. Originality/value It is important for the CBE because it examines the effect of monetary policy and foreign shocks on macroeconomic variables.

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Augustin, Patrick, and Roméo Tédongap. "Real Economic Shocks and Sovereign Credit Risk." Journal of Financial and Quantitative Analysis 51, no. 2 (April 2016): 541–87. http://dx.doi.org/10.1017/s0022109016000259.

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AbstractWe provide new empirical evidence that U.S. expected growth and consumption volatility are closely related to the strong comovement in sovereign spreads. We rationalize these findings in an equilibrium model with recursive utility for credit default swap (CDS) spreads. The framework links a reduced-form default process with country-specific sensitivity to expected growth and macroeconomic uncertainty. Exploiting the high-frequency information in the CDS term structure across 38 countries, we estimate the model and find parameters consistent with preference for early resolution of uncertainty. Our results confirm the existence of time-varying risk premia in sovereign spreads as compensation for exposure to common U.S. macroeconomic risk.

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Rudebusch, Glenn D., and Eric T. Swanson. "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks." American Economic Journal: Macroeconomics 4, no. 1 (January 1, 2012): 105–43. http://dx.doi.org/10.1257/mac.4.1.105.

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The term premium in standard macroeconomic DSGE models is far too small and stable relative to the data—an example of the “bond premium puzzle.” However, in endowment economy models, researchers have generated reasonable term premiums by assuming investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. Long-run nominal risks further improve the model's empirical fit, but do not substantially reduce the need for high risk aversion. (JEL E13, E31, E43, E44)

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Zubarev, A. V., and K. S. Rybak. "The impact of global shocks on the Russian economy: FAVAR approach." Journal of the New Economic Association 56, no. 4 (2022): 48–68. http://dx.doi.org/10.31737/2221-2264-2022-56-4-3.

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In this study, we estimate the contribution of global demand, supply and commodity shocks to the dynamics of Russian macroeconomic variables. The main tool used in this work is a factor augmented vector autoregression (FAVAR) that allows extracting global factors from a wide range of variables. Recursive and sign restrictions are used to identify global shocks. Russian economy is represented by a large set of informational series aggregated into a small number of factors. FAVAR approach allows for extended inference on the reaction of Russian macroeconomic variables to global shocks. Impulse response function analysis shows that Russian economy is affected by all three specifi ed global shocks and forecast error decompositions indicate that those shocks account for nearly 80 per cent of key variables dynamics. We also showed that global demand and global commodity shocks were more crucial compared to the third type of shocks in explaining macroeconomic dynamics.

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Golovanova, Elizaveta, and Andrey Zubarev. "Forecasting Aggregate Retail Sales with Google Trends." Russian Journal of Money and Finance 80, no. 4 (December 2021): 50–73. http://dx.doi.org/10.31477/rjmf.202104.50.

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As the internet grows in popularity, many purchases are being made in online stores. Google Trends is an online tool that collects data on user queries and forms categories from them. We forecast the dynamics of both aggregate retail sales and individual categories of food and non-food products using macroeconomic variables and Google Trends categories that correspond to various product groups. For each type of retail, we consider the best forecasting models from macroeconomic variables and try to improve them by adding trends. For these purposes, we use pseudo-out-of-sample nowcasting as well as recursive forecasting several months ahead. We conclude that forecasts for food and non-food products can improve significantly once trends are added to the models.

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Bullard, James, George W. Evans, and Seppo Honkapohja. "Monetary Policy, Judgment, and Near-Rational Exuberance." American Economic Review 98, no. 3 (May 1, 2008): 1163–77. http://dx.doi.org/10.1257/aer.98.3.1163.

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We study how the use of judgment or “add-factors” in macroeconomic forecasting may disturb the set of equilibrium outcomes when agents learn using recursive methods. We examine the possibility of a new phenomenon, which we call exuberance equilibria, in the New Keynesian monetary policy framework. Inclusion of judgment in forecasts can lead to self-fulfilling fluctuations in a subset of the determinacy region. We study how policymakers can minimize the risk of exuberance equilibria. (JEL E17, E31, E52)

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Saputro, Guntur Eko, and Meirinaldi Meirinaldi. "Pengaruh Stabilitas Makro Ekonomi, Stabilitas Keamanan Dan Pertumbuhan Industri Strategis Terhadap Pertumbuhan Ekonomi." JURNAL EKONOMI 23, no. 1 (March 8, 2021): 1. http://dx.doi.org/10.37721/je.v23i1.757.

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The World Economic Forum in The Global Competitiveness Report 2016-2018, places Indonesia's competitiveness in the 41st rank of 138 countries with a Global Competitiveness index score of 4.52 on a scale of 1-7. Many factors determine the downgrade of Indonesia's competitiveness, including the low security and macroeconomic stability. The fundamental problems in economic development in Indonesia are the low level of welfare, unsustainable economic growth, and the inadequate development process of economic sectors.The research aims to find empirical evidence in the framework of developing economic theory of development regarding the influence of macroeconomic stability structures, security stability and strategic industrial growth and its impact on economic growth. This study uses an explanatory method which aims to explain the causal relationship and test the hypothesis (hypothesis testing study). Secondary data in this study is the semester time series data for the period 2000-2018. The research model is formulated as a recursive linear model in the form of a Cobb-Douglas production function and analyzed using multiple linear regression analysis with the Ordinary Least Square method. The results show that security stability, strategic industrial growth, and macroeconomic stability simultaneously influence economic growth.Keywords: macroeconomic stability, security stability, strategic industrial growth and economic growth.

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Pestova, A. A. "On the effects of monetary policy in Russia: The role of the space of spanned shocks and the policy regime shifts." Voprosy Ekonomiki, no. 2 (February 28, 2018): 33–55. http://dx.doi.org/10.32609/0042-8736-2018-2-33-55.

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This paper investigates the influence of monetary policy shocks in Russia on the basic macroeconomic and financial indicators. To identify the shocks of monetary policy, the Bayesian approach to the estimation of vector autoregressions (VARs) is applied, followed by extraction of the unexplained dynamics of monetary policy instruments (shocks) using both recursive identification and sign restrictions approach. The estimates show that the monetary policy shocks, apparently, cannot be attributed to the key drivers of cyclical movements in Russia, as they explain only less than 10% of the output variation and from 5 to10% of the prices variation. When applying recursive identification, no restraining effect of monetary policy on prices is found. Respective impact on output is negative and statistically significant in all identification procedures employed; however, the relative contribution of monetary shocks to output is not large. In addition, no significant effect of monetary policy tightening on the stabilization of the ruble exchange rate was found.

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Sobti, Riddhima. "The Macroeconomic Impact of Fiscal Policy Shocks: What do the Indian Data Say?" Margin: The Journal of Applied Economic Research 16, no. 1 (February 2022): 7–27. http://dx.doi.org/10.1177/09738010211067386.

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This article examines the impact of fiscal policy shocks on a set of macroeconomic variables in India, using a seasonally adjusted quarterly dataset for the period 2003–2019. The Gregory-Hansen residual-based test for cointegration and the vector error correction model (VECM) are applied, and impulse responses based on a recursive identification scheme (Cholesky decomposition) is used to assess the effects of a gross tax revenue shock and a government spending shock on economic activity, while accounting for the possibility of structural breaks. The findings indicate that an unexpected fiscal policy shock has an immediate expansionary impact on real GDP and a sudden positive effect on inflation (WPI) and the repo rate; and that the impact is permanent and away from the zero equilibrium. The careful design of policies by the central bank and the government as crucial macroeconomic stabilisation tools is imperative. JEL Classification: E6, H20, H30

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Waszkowski, Adam. "The monetary transmission mechanism in Polish economy." Oeconomia Copernicana 3, no. 3 (September 30, 2012): 21–35. http://dx.doi.org/10.12775/oec.2012.013.

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The aim of this article is to define the monetary transmission mechanism of the Polish economy and to identify the impact of shocks from the monetary policy on macroeconomic indicators such as price levels or GDP. In this regard there were used a theoretical vector autoregression model and conducted its recursive structure proposed by Sims (1980) using Cholesky decomposition. This allowed to isolate the impact of shocks: a supply, a demand, monetary and exchange rate on the value and output growth, inflation and exchange rate. Thanks to this it was visualized in the Polish economy a phenomenon of output and price puzzle.

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Budiawan Tjandrasa, Benny, Hotlan Siagian, and Ferry Jie. "The macroeconomic factors affecting government bond yield in Indonesia, Malaysia, Thailand, and the Philippines." Investment Management and Financial Innovations 17, no. 3 (September 8, 2020): 111–21. http://dx.doi.org/10.21511/imfi.17(3).2020.09.

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The government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management. Acknowledgment It is the author’s pleasure to thank Muhammad Aulia SE MSc CSA® from the Ministry of Finance of Republic Indonesia, for his invaluable contribution to encourage this study and also to share the data required for this paper. He also delivers essential insights into improving the quality of this work. This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors.

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Luan, Hao, and Jun Yang. "Emission Reduction and Economic Impacts of us Carbon Tariffs on China: Based on CGE Model Analysis." Applied Mechanics and Materials 291-294 (February 2013): 1370–74. http://dx.doi.org/10.4028/www.scientific.net/amm.291-294.1370.

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Based on GTAP-E model, a recursive dynamic method is adopted to analyze emission reduction and economic impact of carbon tariffs levied by US on China’s economy and the effects on carbon emission. The results show that China's macroeconomic would suffer a lot. The export of sectors with high embodied carbon emission would decrease significantly. While for sectors with low embodied carbon emission although some of them have high dependence on US, the negative impact on their export would be lower due to trade diversion to other regions. While the implementation of carbon tariffs could reduce global carbon emissions, the effects are quite limited.

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Nusantara, Agung, Sri Nawatmi, and Agus Budi Santosa. "Data Driven Perspective on Stock Price - Macroeconomic Variables: Indonesia Economy 2016-2020." Media Ekonomi dan Manajemen 37, no. 2 (July 5, 2022): 178. http://dx.doi.org/10.24856/mem.v37i2.2818.

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AbstractThe use of a theory-driven perspective is very common, especially in economics research, and even becomes an inevitable approach. Problems arise when data, as a form of reality, does not synergize with theory. The resulting conclusion is very likely to be different from the theoretical statement. One method that refers to data-driven is the Vector Auto-Regressive (VAR) model, which puts all the variables involved in a position as endogenous variables. This study seeks to identify a statistically more accurate relationship in the relationship between variables, stock prices, consumer price index, Jakarta Inter-Bank Over rate, exchange rate, and Net Balance Trade. Observations were made from January 2016 to December 2020. This study found evidence that there is a recursive relationship between stock price variables and macroeconomic variables. The VAR model identifies the Net Balance Trade variable as an endogenous variable in 3 types of sectoral stocks and only manufacturing sector stocks that resemble it. These results have two theoretical consequences: first, setting stock prices without differentiating sectors carries the risk of generalization errors. Second, setting stock prices as the endogenous variable means assuming that the market is perfect, and efficient and market participants have rational behavior.

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Dropsy, Vincent. "Do Macroeconomic Factors Help In Predicting International Equity Risk Premia?: Testing The Out-Of-Sample Accuracy Of Linear And Nonlinear Forecasts." Journal of Applied Business Research (JABR) 12, no. 3 (September 12, 2011): 120. http://dx.doi.org/10.19030/jabr.v12i3.5819.

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This paper investigates whether macroeconomic variables can improve the predictability of equity risk premia. Ex ante forecasts of excess returns are generated recursively from both linear regression analysis and nonlinear neural networks. Empirical results suggest that these forecasts are superior to the random walk predicator at almost all horizons in the U.S., Japanese, British and German stock markets. However, there does not appear to be a significant difference between linear and nonlinear forecasts.

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Taylor, Mark P. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification." International Journal of Finance & Economics 9, no. 3 (July 2004): 229–44. http://dx.doi.org/10.1002/ijfe.247.

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Lkhagva, Davaajargal, Zheng Wang, and Changxin Liu. "Mining Booms and Sustainable Economic Growth in Mongolia—Empirical Result from Recursive Dynamic CGE Model." Economies 7, no. 2 (May 29, 2019): 51. http://dx.doi.org/10.3390/economies7020051.

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This research aims to lay out a framework to quantify the impacts of mining booms on the macro-economy in Mongolia, a country that is increasingly dependent upon its mining sector. The study uses a dynamic computable general equilibrium (CGE) model to examine the long-term effects on the economy with three sets of scenarios: (1) a moderate boom in the productivity of agriculture, manufacturing, coal mining and coal service sectors; (2) a drop in the world price of coal and metal ores; and (3) the combination of these two scenarios. We assume that these shocks are seismic, and the findings are important for policymakers to implement policy to deal with the negative impact of mining booms. Our study result shows that reinvestment in the agriculture and manufacturing sectors could help to mitigate the resource curse, and suggests that suitable macroeconomic management and prudent administration of the mining sector’s windfall income are important.

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Den Haan, Wouter J. "Recursive macroeconomic theory, Lars Ljungqvist and Thomas J. Sargent; The MIT Press, Cambridge, MA, 2000, pp. 737, $60." Journal of Economic Dynamics and Control 25, no. 9 (September 2001): 1451–56. http://dx.doi.org/10.1016/s0165-1889(01)00019-7.

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Baghestani, Hamid, and Michael Malcolm. "Factors predicting the US birth rate." Journal of Economic Studies 43, no. 3 (August 8, 2016): 432–46. http://dx.doi.org/10.1108/jes-08-2014-0137.

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Purpose – The purpose of this paper is to take a forecasting approach to examine the relationship between the US birth rate, marriage rate, and economic conditions (measured by both realized unemployment and expected unemployment). The expectation data come from the Michigan Surveys of Consumers. Design/methodology/approach – Utilizing monthly data, the authors first specify a univariate and three augmented autoregressive integrated moving average forecasting models for 1975-2001. Second, the authors use recursive estimation to generate multi-period forecasts of the birth rate for 2002-2008. Third, the authors employ standard evaluation methods to compare the predictive information content of the forecasts. Findings – First, the birth rate is pro-cyclical. Second, the marriage rate contains useful predictive information for the birth rate. Third, controlling for past information in the birth and marriage rates, both realized and expected unemployment embody useful information for predicting the birth rate. Fourth, expected unemployment is a more informative indicator than realized unemployment. Practical implications – The finding that the birth rate is pro-cyclical emphasizes the importance of economic stability in promoting childbearing, and the authors suggest counter-cyclical macroeconomic policy to shield families from major shocks. A stable economy, and especially one where families are optimistic about the future, promotes childbearing. The results also empower policymakers to analyze systematically the impact of changes to the structure of marriage on childbearing. Originality/value – This appears to be the first study that utilizes a forecasting approach to better understand the complex relationships between childbearing, marriage, and macroeconomic conditions.

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Setiastuti, Sekar Utami. "TIME-VARYING MACROECONOMIC IMPACTS OF GLOBAL ECONOMIC POLICY UNCERTAINTY TO A SMALL OPEN ECONOMY: EVIDENCE FROM INDONESIA." Buletin Ekonomi Moneter dan Perbankan 20, no. 2 (October 31, 2017): 129–48. http://dx.doi.org/10.21098/bemp.v20i2.809.

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This paper studies macroeconomic impacts of global economic policy uncertainty shocks to a small open economy. To that end, I use monthly Indonesian data along with a measure of global economic policy uncertainty developed by Baker et al. (2016) and Davis (2016) and estimate a time-varying parameter Bayesian structural VAR with non-recursive identification using framework proposed by Canova and Pérez Forero (2015). I find that global economic policy uncertainty shocks lead to a reduction in prices, interest rate, and trade balance in all global events included in the estimation. The impact on output, however, largely varies across events. A surprise movement of global economic policy uncertainty triggers a contraction in output around the 2008 global financial crisis but, following the 2016 US presidential election, output reacts positively to the shock. Despite these notable variations in the responses of output, the proportion of the forecast error variance of output due to the shock is very small and decreases rapidly over time—which indicates that the shock presents an inconsequential effect to output. Nonetheless, the proportion of the forecast error variance of trade balance due to the shock is considerably higher than the forecast error variance of output and inflation. This further suggests that, via international trade, a global economic policy uncertainty shock could still pose harm for Indonesia.

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Boccanfuso, Dorothée, Luc Savard, Jonathan Goyette, Véronique Gosselin, and Clovis Tanekou Mangoua. "An impact analysis of climate change on the forestry industry in Quebec." Canadian Journal of Forest Research 48, no. 2 (February 2018): 216–26. http://dx.doi.org/10.1139/cjfr-2017-0220.

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Quebec’s forests represent 20% of Canadian forests and 2% of the world forests. Over the entire planet, forests play a major role in habitat preservation and in supplying goods and services to the population. However, climate change will have an impact on the forest through inter alia increased droughts, forest fires, warmer weather, and infestations. In this paper, we analyze the economic impact of climate change on the forest industry in Quebec over a 40-year period using a recursive dynamic computable general equilibrium model. We find that the climate change effects will be relatively weak on most macroeconomic variables as agents adjust their behavior over time and factors are reallocated across sectors. We find that climate change could generate losses in gross domestic product of up to Can$300 million (0.12% of gross domestic product) at the end of a 40-year period for Quebec’s economy. However, we find relatively more important effects within the sectors of the forest industry, with losses ranging from 3% to 7.5%.

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Jha, Saakshi. "The dynamics of survey-based household inflation expectations in India." IIM Ranchi journal of management studies 1, no. 1 (December 13, 2021): 38–54. http://dx.doi.org/10.1108/irjms-08-2021-0109.

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PurposeThe author analyzes households' inflation expectations data for India, collected quarterly by the RBI for more than a decade. The contribution of this paper lies in two folds. First, this study examines the relationship between relatively recent inflation expectations survey of households (IESH) and the actual inflation for India. Secondly, the author employs a structural VAR with the time period 2006 Q2 to 2020 Q2 on inflation expectation survey data of India. A short-term non-recursive restriction is imposed in the model in order to capture the simultaneous co-dependence causal effect of inflation expectation and realized inflation.Design/methodology/approachThis paper studies the dynamic behavior of inflation expectations survey data in two folds. First, the author analyzes the time series property of the survey data. The author begins with testing the stationarity property of the series, followed by the casual relationship between the expected and actual inflation. The author further examines the short-run and long-run behavior of the IESH with actual inflation. Employing autoregressive distributed lag and Johansen co-integration, the author tested if a long-run relationship exists between the variables. In the second approach, the author investigates the determinants of inflation expectations by employing a non-recursive SVAR model.FindingsThe preliminary explanatory test reveals that inflation expectation is a policy variable and should be used in monetary policy as an instrument variable. The model identifies the price puzzle for India. The author finds that the response of inflation to a monetary policy shock is neutral. The results also indicate that the expectations of the general public are self-fulfilling.Originality/valueIESH has only commenced from September 2005, hence is relatively new as compared to other survey in developed countries. Being a new data set so far, the author could not locate any study devoted in analyzing the behavior of the data with other macroeconomic variables.

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Nuru, Naser Yenus. "Monetary and fiscal policy effects in South African economy." African Journal of Economic and Management Studies 11, no. 4 (May 4, 2020): 625–38. http://dx.doi.org/10.1108/ajems-08-2019-0308.

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PurposeThe main purpose of this study is to see the macroeconomic effects of monetary and fiscal policy shocks in South Africa.Design/methodology/approachThe joint effects of monetary and fiscal policy are analyzed by applying short-run contemporaneous restrictions for the identification of shocks in an SVAR in order to derive impulse response functions. Hence, a general AB model of (Amisano and Giannini, 1997) identification scheme, which is not recursive, is employed in this study.FindingsThe author shows that monetary tightening leads to a fall in real economic activity and depreciates the exchange rate. And in regard to the fiscal policy, the author calculates an initial government spending multiplier of 0.20, which later peaks at 0.40. The tax multiplier is almost 0 on impact and statistically insignificant. However, the author finds evidence supporting the existence of accommodative stance between monetary policy and fiscal policy, which is important for economic and political decision-making.Originality/valueEmpirical studies that deal with the joint effects of monetary and fiscal policy for South Africa through the SVAR framework are quite limited. This paper, therefore, contributes to the empirical literature on the effects of monetary and fiscal policy in a small open economy like South Africa.

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Gunter, Ulrich, Irem Önder, and Egon Smeral. "Are Combined Tourism Forecasts Better at Minimizing Forecasting Errors?" Forecasting 2, no. 3 (June 29, 2020): 211–29. http://dx.doi.org/10.3390/forecast2030012.

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This study, which was contracted by the European Commission and is geared towards easy replicability by practitioners, compares the accuracy of individual and combined approaches to forecasting tourism demand for the total European Union. The evaluation of the forecasting accuracies was performed recursively (i.e., based on expanding estimation windows) for eight quarterly periods spanning two years in order to check the stability of the outcomes during a changing macroeconomic environment. The study sample includes Eurostat data from January 2005 until August 2017, and out of sample forecasts were calculated for the last two years for three and six months ahead. The analysis of the out-of-sample forecasts for arrivals and overnights showed that forecast combinations taking the historical forecasting performance of individual approaches such as Autoregressive Integrated Moving Average (ARIMA) models, REGARIMA models with different trend variables, and Error Trend Seasonal (ETS) models into account deliver the best results.

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SHAIKH, FARHAN AHMED, and SYED MUHAMMAD AHSAN HUSSAIN. "EXCHANGE RATE PASS — THROUGH TO DOMESTIC PRICES: EVIDENCE FROM PAKISTAN." Journal of Management and Research 2, no. 1 (December 2, 2019): 1–14. http://dx.doi.org/10.29145/jmr/21/0201002.

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Exchange Rate Pass — Through is the phenomena that explains to what extent the movements in exchange rate affect macroeconomic variables of any economy. This paper analyses the movements of exchange rate that has affected on wholesale price index, consumer price index, large scale manufacturing, fuel and lightening and the growth of money supply. The data from June 2005 to June 2011 is analyzed by using the econometric framework. In this study, the econometric model, recursive VAR, suggested by McCarthy (2000), is applied in order to measure the movements of exchange rate pass — through to domestic prices by using the impulse response function and variance decomposition. In this study, the results of the impulse response have shown that impact of exchange rate pass through is high on wholesale price index. While the results of the impulse response have shown that the impact of exchange rate pass through is much lower for Consumer Price Index. The result of the variance decomposition has shown that the variance decomposition is indicating that for the CPI variance decomposition is as much as the 5.48 percent. For the WPI the variance decomposition is as much as 10.15 percent and the other variations are explained by the other independent variables.

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El'shin, Leonid Alekseevich, Azat Rafikovich Sharapov, and Aliya Aidarovna Abdukaeva. "System analysis of the impact of reputation capital upon activation of economic activity in the region." Теоретическая и прикладная экономика, no. 4 (April 2021): 75–86. http://dx.doi.org/10.25136/2409-8647.2021.4.36038.

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The search for the factors that launch the mechanisms of economic dynamics remain polemical and generate contradictions between various economic schools and directions. This is caused by the differences in fundamental approaches, as well as by conjunctural transformations that initiate new forms and instruments for activation of economic growth in modern reality. The debates and works dedicated to the contribution of nonmaterial factors to the dynamics of the key macroeconomic indicators of regional systems are particularly acute. In this regard, it is an essential methodological aspect in studying the regional development is the application of approaches that are based on the principles of reputation economics, which covers the reproduction processes through the prism of reputation capital. Considering the relevance of this problem, the author carries out comprehensive analysis of the impact of the reputation capital of the region (classified as intangible assets) upon the growth of business activity of the economic agents. Leaning on the methods of building the system of recursive equations, the key patterns of the impact of reputation upon activation of economic activity in the region are determined. Substantiation is given to the main vectors of implementation of government regional policy through the prism of the theory of reputation economy. The article offers an interpretation, which discloses the priorities and peculiarities of regional development in the era of the Fourth Industrial Revolution, as well as the specific features of strategic territorial management.

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Ogiji, Patricks. "Estimating a Fiscal Reaction Function for Nigeria." Central Bank of Nigeria Journal of Applied Statistics, Vol. 11 No. 1 (September 9, 2020): 35–63. http://dx.doi.org/10.33429/cjas.11120.2/5.

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The study examines the determinants of fiscal balance and the impact of the selected macroeconomic variables on the primary balance of government. It aims to estimate the fiscal reaction function for Nigeria and determine whether the implementation of fiscal policy is sustainable in the long-run. A Fiscal Reaction model was developed and ARDL technique was used to establish the relationships and interactions among the variables. The study investigated whether the fiscal measures pursued by the government from 2000:Q1 to 2018:Q4 was adequate in addressing the accumulation of huge debt. The analysis of the stylized facts reveals that the government had continued to run budget deficits for almost the entire period, except for a few period. The public debt to GDP, which is a major determinant of the primary balance, is negative and significant implying that a fiscal rule that encourages a strong reduction in debt-to-GDP levels would result in substantial pressure for Nigeria to run large primary surpluses in the future. The CUSUM and CUSUMSQ tests show the recursive residual plots of the fiscal reaction function are within the 5 per cent critical lines, hence, providing evidence of stable fiscal reaction function for Nigeria. The study thus, recommends that, apart from the urgent need for the fiscal authorities to adopt urgent reforms to discourage huge debt accumulation, improve revenue generation capacity and more fundamentally, expenditure switching to improve the quality of expenditure, the transition from primary deficits to primary surpluses should follow a gradual process.

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Aldrich, Eric Mark, and Howard Kung. "Computational Methods for Production-Based Asset Pricing Models with Recursive Utility." Studies in Nonlinear Dynamics & Econometrics, December 14, 2019. http://dx.doi.org/10.1515/snde-2017-0003.

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Abstract We compare local and global polynomial solution methods for DSGE models with Epstein- Zin-Weil utility. We show that model implications for macroeconomic quantities are relatively invariant to choice of solution method but that a global method can yield substantial improvements for asset prices and welfare costs. The divergence in solution quality is highly dependent on parameters which affect value function sensitivity to TFP volatility, as well as the magnitude of TFP volatility itself. This problem is pronounced for calibrations at the extreme of those accepted in the asset pricing literature and disappears for more traditional macroeconomic parameterizations.

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Kilian, Lutz, Michael D. Plante, and Alexander W. Richter. "Macroeconomic Response to Uncertainty Shocks: The Perils of Recursive Orderings." Federal Reserve Bank of Dallas, Working Papers 2022, no. 2223 (November 2022). http://dx.doi.org/10.24149/wp2223.

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Kilian, Lutz, Michael D. Plante, and Alexander W. Richter. "Macroeconomic Responses to Uncertainty Shocks: The Perils of Recursive Orderings." SSRN Electronic Journal, 2022. http://dx.doi.org/10.2139/ssrn.4295575.

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Jacob, Tom, and Thomas Paul Kattookaran. "Macroeconomic Dynamics of Foreign Direct Investment in India: An Empirical Analysis." PRAGATI : Journal of Indian Economy 5, no. 2 (December 22, 2018). http://dx.doi.org/10.17492/pragati.v5i2.14372.

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For the past few years, Foreign Direct Investment (FDI) has become the indicator for Economic Growth, especially in emerging economies. This paper empirically investigates the determinants of FDI flows in India by employing the Auto Regressive Distributed Lag (ARDL) model. The result confirm the existence of a long run equilibrium between the FDI and five explanatory variables, namely exchange rate, Wholesale Price Index, Index of Industrial Production, Trade openness and dummy variable (financial crisis). India’s Wholesale Price Index, Exchange Rate volatility and Index of Industrial Production have positively influence the flow of FDI in India and Trade Openness is negatively significant for the flow of FDI in India. The coefficient of the Error Correction Term (ECT) is highly significant with expected sign, which confirm the result of bound test for co-integration. The cumulative sum of recursive residual (CUSUM) test is used for measuring the stability of the model.

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Liu, Hening, and Yuzhao Zhang. "Financial Uncertainty with Ambiguity and Learning." Management Science, March 8, 2021. http://dx.doi.org/10.1287/mnsc.2021.3958.

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We examine a production-based asset pricing model with regime-switching productivity growth, learning, and ambiguity. Both the mean and volatility of the growth rate of productivity are assumed to follow a Markov chain with an unobservable state. The agent’s preferences are characterized by the generalized recursive smooth ambiguity utility function. Our calibrated benchmark model with modest risk aversion can match moments of the variance risk premium in the data and reconcile empirical relations between the risk-neutral variance and macroeconomic quantities and their respective volatilities. We show that the interplay between productivity volatility risk and ambiguity aversion is important for pricing variance risk in returns. This paper was accepted by Tomasz Piskorski, finance.

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Hwang, Won-Sik, Yeongjun Yeo, Inha Oh, Chanyoung Hong, Sungmoon Jung, Heewon Yang, and Jeong-Dong Lee. "CGE analysis of R&D investment policy considering trade-offs between economic growth and stability." Science and Public Policy, December 26, 2020. http://dx.doi.org/10.1093/scipol/scaa068.

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Abstract This study analysed economic growth and industrial structure under different conditions on research and development (R&D) investment. To simulate counterfactual scenarios, we built a recursive dynamic computable general equilibrium model named as Technology and Economy Modelling for Innovation Policy assessment (TEMIP) that focuses on private and public R&D investments and their net effects from a macroeconomic perspective. The simulation shows gross domestic product increases rapidly in South Korea when a given amount of expenditure is spent on public R&D activities rather than private R&D. Moreover, our simulation results imply that resource allocation for R&D investments should be elaborated through considering whether the ultimate policy goal is oriented towards economic growth or stability.

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Widyastutik, Widyastutik, Iwan Hermawan, Syarifah Amaliah, Yenni Nur’aini, and Kurniawan Khristianto. "The Housing Financing Policy and Its Impacts on Low-Income Communities and Indonesian Economy." MIMBAR : Jurnal Sosial dan Pembangunan, December 31, 2022. http://dx.doi.org/10.29313/mimbar.v0i0.9663.

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The housing financing policy or the Liquidity Facility of Housing Financing (FLPP) aims to help low-income communities (MBR) access affordable and livable housing. Unfortunately, MBR's housing backlog is still high, affecting their productivity. The housing financing policy also leverages the changes in other sectors' activities, which can increase or contract economic performance. This study aims to analyze the impact of housing financing policies on MBR's welfare and the Indonesian economy's performance. The Recursive-Dynamic Computable General Equilibrium (RDCGE) and the Econometric Model capture economic resources reallocation at MBR and macroeconomic levels due to housing financing policies. The study results indicate that the FLPP can potentially increase the growth and development of housing and improve community welfare. In addition, the FLPP positively impacts economic performance, although it will make specific sectors worse off. The policy recommendations are related to the simultaneous improvement of the demand and supply sides, as well as improvement in housing budget

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Oktaviani, Rina, Dedi B. Hakim, Sahara Sahara, and Hermanto Siregar. "Impact of a Lower Oil Subsidy on Indonesian Macroeconomic Performance, Agricultural Sector and Poverty Incidences: A Recursive Dynamic Computable General Equilibrium Analysis." SSRN Electronic Journal, 2007. http://dx.doi.org/10.2139/ssrn.1086380.

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Oktaviani, Rina, Dedi Budiman Hakim, and Hermanto Siregar. "Impact of a Lower Oil Subsidy on Indonesian Macroeconomic Performance, Agricultural Sector and Poverty Incidences (A Recursive Dynamic Computable General Equilibrium Analysis)." SSRN Electronic Journal, 2007. http://dx.doi.org/10.2139/ssrn.3171626.

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Yong, Enn Lun. "Unemployment and the European Union, 2000–2017: structural exploration of distant past economic experience and future prosperity." Journal of Economic Structures 8, no. 1 (September 10, 2019). http://dx.doi.org/10.1186/s40008-019-0165-z.

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Abstract Distant past experience of economic performance is hypothesized to govern long-run employment performance across 28 European Union (EU) state members. Economic studies usually include lag structure for causality analysis, such as the Wold causal chain and recursive vector autoregression. The inquiry of this paper is different from the literature for two reasons: first, it intends to explain theoretically and empirically how long an influence of significant economic experience in the distant past on long-run unemployment would last. Second, the focus is on the EU due to the ongoing debate over economic integration and independent economies, of which Brexit is one prominent example. Based on panel data, a diagrammatic theory conveys the meaning of the distant past economic experience and its relationship with long-run unemployment in the EU. Empirical investigations include causality tests and long-lasting economic influences, where a new simple approach toward Cholesky decomposition is also demonstrated. The effect of an unexpected shock to inflation on unemployment can remain literally substantive for up to nearly four decades, while unemployment effects of some trade-related innovations can last even longer. The results are supported using analogical reasoning of macroeconomic behaviors incorporated in the original concept of this research.

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Kim, Doh-Khul. "Research On Monetary Neutrality: Evidence From Exchange Rate And Trade Balance Of G-7 Countries." Journal of Applied Business Research (JABR) 24, no. 2 (January 14, 2011). http://dx.doi.org/10.19030/jabr.v24i2.1351.

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According to a recent paper by Fisher and Huh (2002), in contrast to a long-run neutrality hypothesis, nominal shocks have long-run effects on a country’s real exchange rate and trade balance. However employing a similar method (VAR) with identical restrictions (long-run neutrality and short-run recursive hypotheses), this paper shows that the effects on the real exchange rate are much shorter in this G-7 country study than what Fisher and Huh (2002) contend. Further, the trade balance improves for a short period of time, from which it can conclude there is a shorter existence of the depreciation effect in response to expansionary monetary shocks, which supports the long-run neutrality hypothesis in an open macroeconomic framework.

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Journal articles on the topic 'Recursive Macroeconomics'

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