Academic literature on the topic 'SVAR, Emerging Markets, SFAVAR'

This paper studies the Spillover effect of US unconventional monetary policy (UMP) on Egypt as a case study of an emerging market and a small open economy The authors adopts structural vector autoregressive (SVAR) model with variable lag structure. The Wu and Xia (2016)’s shadow interest rate is used as a measure of U.S. unconventional monetary policy. In case of Egypt, we use Short Interest rate (r) as a measure of monetary policy rate; our empirical results reveal that US unconventional monetary policies significantly affect the monetary policy of Egypt but this effect is less on other macroeconomic variables. The main recommendation of the paper is that monetary authority in Egypt should take into consideration the conflict effect of US monetary policy on Egyptian economic indicators, and at the same time it should implement suitable policies coincide with it to achieve the economic stability and targeting inflation.

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

This study uses a Bayesian SVAR to demonstrate that movements in household consumption can be explained by expansionary credit easing policy. The latter reflects ongoing heterodox monetary policy regimes in many countries, especially emerging markets and developing economies (EMDEs). Using Nigeria’s data over the period from Q1 1995 to Q4 2018, the empirical analysis reveals that the role of credit easing in the household consumption is not important in Nigeria, as a large part of the variation in household consumption can be explained by shocks to other economic activities. The findings also indicate a rough estimate that the impact threshold of credit easing on household consumption is no more than 2 percent, thus requiring accelerators and accelerator policy to overcome the threshold. Our results suggest the need for a broad-based policy response to fully maximize the positive effect of credit supply shock on private spending and aggregate demand in general.

This paper is aimed at filling the gap in existing economic research by delivering new evidence on the money‑labour nexus in the emerging markets of the non‑eurozone Visegrad group countries (i.e. Czech Republic, Hungary and Poland). Analyses are based on the Strucutral VAR (SVAR) models of the monetary transmission mechanism, estimated using monthly data from the 2000:1–2014:2 period. In order to obtain impulse responses, the short‑run restrictions set, based on the monetary transmission theory, is imposed. Two different identification schemes are considered.The results confirm that there exists a nexus between monetary policy, employment, and unemployment. According to the obtained estimates monetary policy shocks invoked lagged, hump‑shaped reactions of output, employment and unemployment in each of the analysed countries.

Abstract This paper examines monetary policy spillovers from the US and the People’s Republic of China (PRC) to real and financial sectors in advanced and emerging Asian economies over the period 2000 to 2020. Using a structural vector autoregression (SVAR) approach, we find that Asian economies overall are more susceptible to spillovers to GDP, inflation, and the current account emanating from monetary policy shocks in the PRC than to those from the US. This is related to high inter-regional trade integration in Asia and is in line with previous research findings. However, while the prevailing literature has highlighted the dominant role of US monetary policy as a transmitter of shocks to global and Asian financial markets, we find more persistence in the response of advanced Asian interest rates to PRC monetary policy shocks. In addition, emerging Asian economies are found to be more susceptible to shocks emanating from the PRC in respect of equity markets and exchange rates. The rising synchronization of Asian financial markets in relation to the PRC as the financial account in the PRC has gradually opened as well as indirect effects via trade and regional value chains help to rationalize our findings.

Abstract: Chapter one The aim of this paper is to examine the role of monetary and fiscal policies in explaining macroeconomic fluctuations in Ethiopia using a structural VAR approach, over the period 1997/1998:1 to 2016/17:4. Its mains results can be presented as follows: first, an increase in government spending has an expansionary effect on output, while an increase in tax revenue has a contractionary effect, with spending multipliers larger than net tax revenue multipliers; second, contractionary monetary policy is associated with a fall in output; third, monetary policy contributes to very small fluctuations in output and it is one of the responsible sources of the high and persistence inflation in the country; fourth, the contributions of fiscal policy shocks are larger than that of monetary policy shocks in explaining movements in output, with roughly equivalent contributions coming from shocks in fiscal policy components. Furthermore, the effects of fiscal and monetary policy shocks on output and inflation have improved qualitatively and quantitatively when both policy variables are jointly examined than estimating a separate model; suggesting the role of a joint analysis of fiscal and monetary policy shocks.
Abstract: Chapter two This paper explores the international spillovers of the U.S, the Euro Area (EA hereafter), Chinese and Japanese monetary policy shocks on a number of macroeconomic variables in 17 Emerging Market Economies (EMEs). After expansionary monetary policy in these four big economies, industrial production increases in typical emerging markets. These results are robust to most countries considered in the analysis over the sample period. The short-term interest rates also fall in the typical emerging markets regardless of where the shock is originated. However, the response of the real trade-weighted exchange rates in the typical emerging market economies is strong and short-lived after monetary expansion in the Euro Area, but persistent after monetary expansion from the U.S, Japan, and China. Moreover, the size of the responses of the industrial production in emerging Europe and Asia respond more to the monetary innovations in the Euro Area and China, respectively. There is also a substantial cross country heterogeneity in the responses of the macroeconomic aggregates in the emerging markets, where the size of the spillovers vary with the country-specific characteristics. Countries with higher trade openness and higher financial integration display stronger spillover in production as compared to other counterparts after the U.S. and the Japanese M3 innovations. Moreover, the degree of debt burden matters for the transmission of the U.S, the Euro Area and Japan monetary policy shocks and does not seem to matter for monetary expansions in China.