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Book part
Publication date: 22 November 2012

Eiji Okano, Masataka Eguchi, Hiroshi Gunji and Tomomi Miyazaki

We analyze fluctuations in inflation and the nominal exchange rate under optimal monetary policy with local currency pricing by developing two-country DSGE local currency pricing

Abstract

We analyze fluctuations in inflation and the nominal exchange rate under optimal monetary policy with local currency pricing by developing two-country DSGE local currency pricing and producer currency pricing models. We estimate our models using Bayesian techniques with Japanese and US data, and calculate impulse response functions. Our estimation results show that local currency pricing is strongly supported against producer currency pricing. From the estimated parameters, we show that completely stabilizing consumer price index inflation is optimal from the viewpoint of minimizing welfare costs and that completely stabilizing consumer price index inflation is consistent with completely stabilizing the nominal exchange rate.

Details

DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments
Type: Book
ISBN: 978-1-78190-305-6

Keywords

Article
Publication date: 13 June 2022

Tacinur Akça

The purpose of this study is to make an analysis of the short- and long-term effects of inflation, exchange rate, housing interest rate, industrial production index, total housing…

Abstract

Purpose

The purpose of this study is to make an analysis of the short- and long-term effects of inflation, exchange rate, housing interest rate, industrial production index, total housing loans and housing volume on housing inflation in Turkey, taking into account the multiple structural breaks.

Design/methodology/approach

Multiple structural break Lee–Strazicich unit root test, autoregressive distributed lag bound test and Granger causality test based on error correction model were used.

Findings

There is both a short- and long-term relationship between housing prices and macrovariables. Housing prices are mostly affected by housing interest rates, housing volume, real exchange rate and total housing loans in the short run. In the long run, it is mostly affected by total housing loans, housing volume and housing interest rates.

Research limitations/implications

The variables used in the analysis are: housing price index, consumer price index, dollar rate, housing interest rate, industrial production index, total housing loan amount and domestic loan volume. Because the data that variables started common is 2010:M01, the period starting from this date until 2021:M12 is considered. The research covers only Turkey as a country. Determining the micro- and macroeffects of housing prices can always offer solutions for the problems experienced in housing supply and housing demand.

Originality/value

While investigating housing prices, there are no studies in which total housing loans and housing volume are included in the model together. However, it is important to analyze the effect of the current conjuncture, in which there has been constant increases in foreign exchange rates and high inflation in recent years, on housing prices in Turkey. In this study, investigating these effects by using econometric methods that include structural breaks also increases the original value of this study.

Open Access
Article
Publication date: 19 November 2019

Van Anh Pham

The purpose of this paper is to examine and analyze the exchange rate pass-through into inflation (ERPT) in Vietnam.

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Abstract

Purpose

The purpose of this paper is to examine and analyze the exchange rate pass-through into inflation (ERPT) in Vietnam.

Design/methodology/approach

The paper examines and analyzes the ERPT in Vietnam by applying vector autoregression model over the period 2008‒2018.

Findings

The key finding of the research is that from the impulse response results, the transmission of exchange rate shocks to inflation is significant in Vietnam, and this is incomplete exchange rate pass-through. Moreover, the evidence from variance decompositions argues that exchange rate is an important factor to explain the fluctuation of inflation.

Originality/value

In overall, the depreciation or appreciation of exchange rate in Vietnam will considerably impact inflation.

Details

Journal of Economics and Development, vol. 21 no. 2
Type: Research Article
ISSN: 2632-5330

Keywords

Article
Publication date: 27 July 2012

Jihene Bousrih

The purpose of this paper is to deal with the dynamics of a Neo‐Keynesian model applied to a small open economy, in order to show the impact of commercial openness on the choice…

Abstract

Purpose

The purpose of this paper is to deal with the dynamics of a Neo‐Keynesian model applied to a small open economy, in order to show the impact of commercial openness on the choice of the optimal inflation target.

Design/methodology/approach

The author uses a neo‐Keynesian model with calibration for Chile.

Findings

The results show that there is a relation between the degree of openness and the type of inflation targeting policy.

Originality/value

The originality of the paper is to use a neo‐Keynesian model to deal with a small open economy, which uses inflation targeting as a monetary rule.

Details

Journal of Financial Economic Policy, vol. 4 no. 3
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 3 February 2023

Thuy Hang Duong

The purpose of this paper is to examine the effects of several structural shocks in oil prices on the Vietnamese economy and answer three key research questions: Is there a…

Abstract

Purpose

The purpose of this paper is to examine the effects of several structural shocks in oil prices on the Vietnamese economy and answer three key research questions: Is there a relationship between oil price shocks and macroeconomic indicators in Vietnam? How do different types of oil price impulses affect Vietnamese inflation and economic performance? To what extent do structural shocks in oil prices explain variations in Vietnam’s macroeconomic indicators?

Design/methodology/approach

Lower triangular Cholesky decomposition is performed on a short-term impact matrix in a two-block structural vector autoregressive model. The data set is defined monthly, from January 2000 to December 2021. The contributions of structural shocks in oil prices to the domestic variances are analysed using variance decomposition methods. In this study, both forecast error variance decomposition and historical decomposition are used.

Findings

The consequences of oil price fluctuations on Vietnamese output and inflation depend on different sources of oil price shocks. In comparison, oil supply shocks have an insignificant effect on both domestic industrial output and consumer price index inflation; however, positive shocks in aggregate and precautionary oil demands increase these domestic indicators substantially and sustainably. An analysis of variance decompositions reveals that supply-side oil shocks have very limited explanatory power for variations in domestic variables. Nevertheless, the contributions of unanticipated demand-side booms to domestic variations in the past and projected forecasts are considerable.

Research limitations/implications

The findings from this research uncover potential risks for Vietnam’s economic prospects if the consequences of oil price shocks are not managed effectively.

Originality/value

Given the lack of economic sensitivity to supply-side oil shocks and the strong response to shifts in oil demands, greater pressure on the domestic economy is likely when Vietnam increases its dependence on oil imports.

Article
Publication date: 6 June 2023

Xingrui Zhang and Eunhwa Yang

Housing market research involves observing the relationships between housing value and its indicators. However, recent literature indicates that the disruption of the COVID-19…

Abstract

Purpose

Housing market research involves observing the relationships between housing value and its indicators. However, recent literature indicates that the disruption of the COVID-19 pandemic could have an impact on the forecasting properties of some of the housing indicators. This paper aims to observe the relationships between the home value index and three potential indicators to verify their forecasting properties pre- and post-COVID-19 and provide general recommendations for time series research post-pandemic.

Design/methodology/approach

This study features three vector autoregression (VAR) models constructed using the home value index of the USA, together with three indicators that are of interest according to recent literature: the national unemployment rate, private residential construction spending (PRCS) and the housing consumer price index (HCPI).

Findings

Unemployment, one of the prevalent indicators for housing values, was compromised as a result of the COVID-19 pandemic, and a new indicator for housing value in the USA, PRCS, whose relationship with housing value is robust even during the COVID-19 pandemic and HCPI is a more significant indicator for housing value than the prevalently cited All-Item consumer price index (CPI).

Originality/value

The study adds residential construction spending into the pool of housing indicators, proves that the finding of region-specific study indicating the unbounding of housing prices from unemployment is applicable to the aggregate housing market in the USA, and improves upon such widely accepted belief that overall inflation is a key indicator for housing prices and proves that the CPI for housing is a vastly more significant indicator.

Details

International Journal of Housing Markets and Analysis, vol. 17 no. 1
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 6 May 2014

Peter Mazuruse

The purpose of this paper was to construct a canonical correlation analysis (CCA) model for the Zimbabwe stock exchange (ZSE). This paper analyses the impact of macroeconomic…

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Abstract

Purpose

The purpose of this paper was to construct a canonical correlation analysis (CCA) model for the Zimbabwe stock exchange (ZSE). This paper analyses the impact of macroeconomic variables on stock returns for the Zimbabwe Stock Exchange using the canonical correlation analysis (CCA).

Design/methodology/approach

Data for the independent (macroeconomic) variables and dependent variables (stock returns) were extracted from secondary sources for the period from January 1990 to December 2008. For each variable, 132 sets of data were collected. Eight top trading companies at the ZSE were selected, and their monthly stock returns were calculated using monthly stock prices. The independent variables include: consumer price index, money supply, treasury bills, exchange rate, unemployment, mining and industrial index. The CCA was used to construct the CCA model for the ZSE.

Findings

Maximization of stock returns at the ZSE is mostly influenced by the changes in consumer price index, money supply, exchange rate and treasury bills. The four macroeconomic variables greatly affect the movement of stock prices which, in turn, affect stock returns. The stock returns for Hwange, Barclays, Falcon, Ariston, Border, Caps and Bindura were significant in forming the CCA model.

Research limitations/implications

During the research period, some companies delisted due to economic hardships, and this reduced the sample size for stock returns for respective companies.

Practical implications

The results from this research can be used by policymakers, stock market regulators and the government to make informed decisions when crafting economic policies for the country. The CCA model enables the stakeholders to identify the macroeconomic variables that play a pivotal role in maximizing the strength of the relationship with stock returns.

Social implications

Macroeconomic variables, such as consumer price index, inflation, etc., directly affect the livelihoods of the general populace. They also impact on the performance of companies. The society can monitor economic trends and make the right decisions based on the current trends of economic performance.

Originality/value

This research opens a new dimension to the study of macroeconomic variables and stock returns. Most studies carried out so far in Zimbabwe zeroed in on multiple regression as the central methodology. No study has been done using the CCA as the main methodology.

Details

Journal of Financial Economic Policy, vol. 6 no. 2
Type: Research Article
ISSN: 1757-6385

Keywords

Article
Publication date: 22 March 2021

Sudeshna Ghosh

The purpose of this paper is to examine the asymmetric impact of economic policy uncertainty (EPU) on the volatility of the housing price index (RP) based on quarterly…

Abstract

Purpose

The purpose of this paper is to examine the asymmetric impact of economic policy uncertainty (EPU) on the volatility of the housing price index (RP) based on quarterly observations from major European countries, namely, France, Germany, Sweden, Greece Italy and the UK.

Design/methodology/approach

The nonlinear autoregressive distributed lag model method is used to investigate the asymmetric impact of EPU on RP. In addition to considering EPU as the explanatory variable, industrial production (IP) (as a proxy for economic growth), interest rate (I), inflationary tendency (Consumer Price Index) and share prices (S) are included as major control variables. The period of the observations runs from 1996Q1 to 2019Q1.

Findings

The Wald test confirms the long-run asymmetric relationship for all countries. The alternative specification of the data sets reconfirms the asymmetric impact on RP in the long run, thereby verifying the robustness of the study.

Research limitations/implications

The study has implications for investors seeking to incorporate housing price behaviour within their portfolio structure. The analysis and findings are constrained by the availability of data.

Originality/value

This is one of the few studies on housing price dynamics related to the major economies of the European region that explore asymmetries. Additionally, it is the first to explore the asymmetry dynamics using the EPU variable.

Details

International Journal of Housing Markets and Analysis, vol. 14 no. 5
Type: Research Article
ISSN: 1753-8270

Keywords

Article
Publication date: 11 May 2023

Apica Sharma and Paras Sachdeva

The study focuses on examining the impact of the supply shock on the Indian macroeconomic variables during the COVID-19 period.

Abstract

Purpose

The study focuses on examining the impact of the supply shock on the Indian macroeconomic variables during the COVID-19 period.

Design/methodology/approach

Time-varying factor augmented vector autoregressive model has been employed to study the asymmetry in transmission of supply shock on Indian economy during pre- and post-COVID-19 times.

Findings

The authors find that with supply shock, retail food inflation outpaced in COVID-19 times. Production levels reported by IIP fell to abysmally low levels in the post-COVID-19 times when the economy stalled. The liquidity stimulus provided by the central bank led to the negative response of policy rates to the supply shocks during the COVID-19 times.

Originality/value

The study stands novel in examining the impact of COVID-19 pandemic on Indian economy through the lenses of asymmetric transmission of supply shock during pre- and post-COVID-19 times.

Details

Journal of Economic Studies, vol. 51 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 7 August 2019

Dinh Doan Van

At present, countries are concerned about inflation and the impact of inflation on each country’s economic growth. This inflation has been said by economists that inflation is a…

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Abstract

Purpose

At present, countries are concerned about inflation and the impact of inflation on each country’s economic growth. This inflation has been said by economists that inflation is a phenomenon of currency and currency, which has caused inflation in some countries by their monetary policy. According to the economic theory of Karl Marx, Irving Fisher, Friedman, inflation is caused by a continuous increase in the money supply.

Design/methodology/approach

The economic theories of Fisher, Friedman and an econometric model are applied to analyse the relationship between money supply and inflation. Besides, Vietnam’s and China’s research data are also collected in the period of 2012-2016.

Findings

It is found out that the continuous increase in the money supply causes inflation in the long-term, but the continuous increase in the money supply growth does not cause inflation in a short time, this was analyzed based on the theory of monetary quantity. Moreover, Chia’s and Vietnam’s correlations of the money supply growth and inflation are 99.1 per cent. These correlations are very close.

Originality/value

Research results show that money supply and inflation are closely related, and the money supply directly affects economic growth. Therefore, the government should have the relevant monetary policy to grow the economy and proposals to make monetary policy, control inflation levels and stimulate economic growth.

Details

Journal of Financial Economic Policy, vol. 12 no. 1
Type: Research Article
ISSN: 1757-6385

Keywords

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