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Open Access
Article
Publication date: 23 August 2019

Luciano Campos

This paper aims to estimate the impact of the 2000s commodity boom in the major Latin American economies.

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Abstract

Purpose

This paper aims to estimate the impact of the 2000s commodity boom in the major Latin American economies.

Design/methodology/approach

The author used a structural vector autorregresive analysis where the selection of variables is conditional on a New Keynesian Model for a small open economy.

Findings

The evidence indicates that the Argentinean nominal exchange rate appreciated less while its output and inflation grew more than those of the other nations when subjected to commodity shocks. These results are interpreted as a more aggressive leaning-against-the-wind intervention by Argentina, probably to avoid the Dutch disease. Although the effects with regard to output were indeed stronger in Argentina, this was only at the expense of higher inflation and volatility suffered during the boom.

Originality/value

At the time of the writing of this paper, no work had evaluated Argentinean underperformace to the manner in which its exchange rate policy was handled in comparison with the rest of the region during the boom. This paper intends to fill this gap.

Details

Applied Economic Analysis, vol. 27 no. 79
Type: Research Article
ISSN: 2632-7627

Keywords

Open Access
Article
Publication date: 7 July 2021

Aula Ahmad Hafidh

This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP…

2383

Abstract

Purpose

This paper investigates the structural model of vector autoregression (SVAR) of the interdependent relationship of inflation, monetary policy and Islamic banking variables (RDEP, RFIN, DEP, FIN) in Indonesia. By using monthly data for the period 2001M01-2019M12, the impulse response function (IRF), forecasting error decomposition variation (FEDV) is used to track the impact of Sharīʿah variables on inflation (prices).

Design/methodology/approach

This research uses quantitative approach with SVAR model to reveal the problem.

Findings

The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate (RDEP). The impact of both conventional (7DRR) and Sharīʿah (SBIS) policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.

Originality/value

The empirical results of SVAR, the IRF show that policy shocks have a negative impact on all variables in Islamic banking except the equivalent deposit interest rate ‘RDEP’. The impact of both conventional “7DRR” and Sharīʿah “SBIS” policies has a similar pattern. While the transmission of Sharīʿah monetary variables as a policy operational target in influencing inflation is positive. In addition, the FEDV clearly revealed that the variation in the Sharīʿah financial sector was relatively large in monetary policy shocks and their role in influencing prices.

Details

Islamic Economic Studies, vol. 28 no. 2
Type: Research Article
ISSN: 1319-1616

Keywords

Open Access
Article
Publication date: 17 September 2024

Haydory Akbar Ahmed and Hedieh Shadmani

In this research, we explore the dynamics among measures of income inequality in the USA, male and female unemployment rates, and growth in government transfer using time series…

Abstract

Purpose

In this research, we explore the dynamics among measures of income inequality in the USA, male and female unemployment rates, and growth in government transfer using time series data.

Design/methodology/approach

This research adopts a macro-econometric approach to estimate a structural VAR model using time series data.

Findings

Our structural impulse responses found that growth in government transfer increases unemployment rates for both males and females. Female income inequality declines with increased government transfer. When the female income ratio rises, we observe that government transfer outlays fall over the forecast horizon. Variance decomposition finds that growth in government transfers is impacted by the male unemployment rate relatively more than the female unemployment rate. This research, therefore, suggests gender-specific government transfers to reduce income inequality. This, in effect, may reduce government transfer outlays over time.

Practical implications

This research, therefore, suggests gender-specific government transfers to reduce income inequality. This, in effect, may reduce government transfer outlays over time.

Originality/value

This research investigates the dynamics among income inequality, government transfer, and unemployment rates. There is a dearth of research articles that adopt a macro-econometric in this area.

Details

Journal of Economics and Development, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1859-0020

Keywords

Open Access
Article
Publication date: 7 February 2022

Johnson Worlanyo Ahiadorme

This paper aims to examine the distributional channel of monetary policy (MP) and evaluate how financial development (FD) affects the transmission mechanism from MP to income…

Abstract

Purpose

This paper aims to examine the distributional channel of monetary policy (MP) and evaluate how financial development (FD) affects the transmission mechanism from MP to income inequality.

Design/methodology/approach

The empirical investigation is implemented for 32 sub-Saharan African countries over the period 2000–2017, with the aid of vector autoregressions and a dynamic panel data model.

Findings

This study shows that MP has a significant impact on income inequality and the financial system plays an important role by dampening the dis-equalising effects of MP shocks. Both MP and FD directly exert redistributive effects. However, the financial system appears to wield the greatest impact and contribute more to the inequality dynamics.

Practical implications

The policy-relevant conclusion is that the financial system is crucial for the monetary transmission mechanism and the effects of MP actions. As the economy develops financially, it may require less movement in the policy position to achieve the desired policy outcome. Also, macroeconomic stabilisation policies may not be distributionally neutral and may have a role to play in averting longer-term increases in inequality.

Originality/value

Contrary to previous studies, this study indicates MP by the structural shocks to purge the MP stance of the issues of endogenous and anticipatory actions. A distinctive finding of this paper is that cross-country differences in monetary regimes and income explain a significant variation in the distributional impacts of monetary policy. Notwithstanding, the evidence shows that the strength of the transmission is more dependent on FD than the nature of the policy regime.

Details

Studies in Economics and Finance, vol. 39 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Open Access
Article
Publication date: 18 May 2020

Juan Carlos Cuestas and Merike Kukk

This paper aims to investigate the mutual dependence between housing prices and housing credit in Estonia, a country that experienced rapid debt accumulation during the 2000s and…

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Abstract

Purpose

This paper aims to investigate the mutual dependence between housing prices and housing credit in Estonia, a country that experienced rapid debt accumulation during the 2000s and big swings in house prices during that period.

Design/methodology/approach

The authors use Bayesian econometric methods on data spanning 2000–2015.

Findings

The estimations show the interdependence between house prices and housing credit. More importantly, negative housing credit innovations had a stronger effect on house prices than positive ones.

Originality/value

The asymmetry in the linkage between housing credit and house prices highlights important policy implications, in that if central banks increase capital buffers during good times, they can release credit conditions during hard times to alleviate the negative spillover into house prices and the real economy.

Details

Journal of Economic Studies, vol. 48 no. 1
Type: Research Article
ISSN: 0144-3585

Keywords

Open Access
Article
Publication date: 29 December 2021

Youssef Alami, Issam El Idrissi, Ahmed Bousselhami, Radouane Raouf and Hassane Boujettou

The present paper aims to evaluate the structural impact of exogenously induced fiscal shocks on the Moroccan economy. This entails an analysis of the effect on the GDP of…

1849

Abstract

Purpose

The present paper aims to evaluate the structural impact of exogenously induced fiscal shocks on the Moroccan economy. This entails an analysis of the effect on the GDP of COVID-19-induced fiscal shocks manifesting in terms of budgetary revenues and expenditures. A key aspect of this analysis addresses the size of the tax and fiscal multipliers.

Design/methodology/approach

The study examines the structural relationship between five variables during the period between Q1 2009 and Q2 2020 using an SVAR approach that allows for a dynamic interaction between ordinary expenditures and revenues on a quarterly basis.

Findings

Positive structural shocks on public spending are likely to negatively impact economic growth. Negative economic growth, in turn, will damage price levels and interest rates, mainly over the long term. However, public-revenue-multiplier-associated shocks exceed these price- and interest-rate multiplier-associated shocks. Indeed, a structural shock to ordinary revenues can have a positive but insignificant impact on the GDP stemming from the ensuing decrease in the government budget deficit that proceeds from the increase in government revenues.

Originality/value

This is one of the first studies in the Moroccan context to assess the impact of the current worldwide pandemic on public finances. In addition, this study highlights the importance of boosting economic recovery through public spending.

Details

Journal of Business and Socio-economic Development, vol. 2 no. 2
Type: Research Article
ISSN: 2635-1374

Keywords

Content available
Book part
Publication date: 18 January 2022

Abstract

Details

Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling
Type: Book
ISBN: 978-1-80262-062-7

Open Access
Article
Publication date: 11 September 2018

Omneia Helmy, Mona Fayed and Kholoud Hussien

The theoretical and empirical literature stipulated that exchange rate shocks do influence the domestic price of imports. Hence, this paper aims to investigate the underlying…

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Abstract

Purpose

The theoretical and empirical literature stipulated that exchange rate shocks do influence the domestic price of imports. Hence, this paper aims to investigate the underlying relationship between the exchange rate and prices known as the exchange rate pass-through.

Design/methodology/approach

The paper uses a structural vector auto-regression (SVAR) model, drawing on Bernanke (1986) and Sims (1986), to empirically examine and analyze the pass-through of exchange rate fluctuations to domestic prices in Egypt.

Findings

The empirical results of the monthly data between 2003 and 2015 revealed that the exchange rate pass-through in Egypt is fairly substantial but incomplete and slow in the three price indices [IMP, producer price index and consumer price index (CPI)]. However, the impact is more prominent for consumer prices than for any other price index. This finding could be attributed to the fact that the CPI in Egypt is composed of a relatively large number of subsidized commodities and goods with administered prices as well as the authorities’ behavior in manipulating prices (i.e. export ban). This is expected to weaken the transmission of exchange rate shocks.

Practical implications

The result has interesting implications for Egypt’s ability to attain an effective inflation targeting regime.

Originality/value

The study contributes to the literature by assessing the effect of changes in the exchange rate (the Egyptian £ vis-à-vis the US$) on prices using an updated time series from 2003 to 2015. It addresses the limitations of the study of Nafie et al. (2004), which found no strong relationship between the exchange rate and inflation rate in the Egyptian context. One of these limitations was using the CPI, as the only price index.

Details

Review of Economics and Political Science, vol. 3 no. 2
Type: Research Article
ISSN: 2631-3561

Keywords

Open Access
Article
Publication date: 25 July 2019

Van Anh Pham

The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam.

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Abstract

Purpose

The purpose of this paper is to evaluate and analyze impacts of the monetary policy (MP) – money aggregate and interest rate – on the exchange rate in Vietnam.

Design/methodology/approach

The study uses data over the period of 2008–2018 and applies the vector autoregression model, namely recursive restriction and sign restriction approaches.

Findings

The main empirical findings are as follows: a contraction of the money aggregate significantly leads to the real effective exchange rate (REER) depreciating and then appreciating; a tightening of the interest rate immediately causes the REER appreciating and then depreciating; and both the money aggregate and the interest rate strongly determine fluctuations of the REER.

Originality/value

The quantitative results imply that the MP affects the REER considerably.

Details

Journal of Asian Business and Economic Studies, vol. 26 no. 2
Type: Research Article
ISSN: 2515-964X

Keywords

Open Access
Article
Publication date: 13 December 2021

Saakshi Jha

The 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…

Abstract

Purpose

The 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/approach

This 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.

Findings

The 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/value

IESH 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.

Details

IIM Ranchi journal of management studies, vol. 1 no. 1
Type: Research Article
ISSN: 2754-0138

Keywords

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