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Author: Soo Y. Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 314
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Book Description
Author: Soo Y. Kim
Publisher:
ISBN:
Category :
Languages : en
Pages : 314
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Book Description
Author: Soo-Yong Kim
Publisher:
ISBN:
Category : Balance of payments
Languages : en
Pages : 352
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Author: Selim Elekdag
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 34
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Book Description
This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabilities combined with the presence of the financial accelerator for emerging market countries. Using Korean data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, our estimates of the Taylor rule imply a strong preference to smooth both exchange rate and interest rate fluctuations.
Author: Stephanie Schmitt-Grohé
Publisher: Princeton University Press
ISBN: 0691189544
Category : Business & Economics
Languages : en
Pages : 483
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Book Description
An essential introduction to one of the most timely and important subjects in economics International Macroeconomics presents a rigorous and theoretically elegant treatment of real-world international macroeconomic problems, incorporating the latest economic research while maintaining a microfounded, optimizing, and dynamic general equilibrium approach. This one-of-a-kind textbook introduces a basic model and applies it to fundamental questions in international economics, including the determinants of the current account in small and large economies, processes of adjustment to shocks, the determinants of the real exchange rate, the role of fixed and flexible exchange rates in models with nominal rigidities, and interactions between monetary and fiscal policy. The book confronts theoretical predictions using actual data, highlighting both the power and limits of given theories and encouraging critical thinking. Provides a rigorous and elegant treatment of fundamental questions in international macroeconomics Brings undergraduate and master’s instruction in line with modern economic research Follows a microfounded, optimizing, and dynamic general equilibrium approach Addresses fundamental questions in international economics, such as the role of capital controls in the presence of financial frictions and balance-of-payments crises Uses real-world data to test the predictions of theoretical models Features a wealth of exercises at the end of each chapter that challenge students to hone their theoretical skills and scrutinize the empirical relevance of models Accompanied by a website with lecture slides for every chapter
Author: Michael Parkin
Publisher: Manchester University Press
ISBN: 9780719007125
Category : Currency question
Languages : en
Pages : 316
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Author: Mr.Serhat Solmaz
Publisher: International Monetary Fund
ISBN: 1513598988
Category : Business & Economics
Languages : en
Pages : 23
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Book Description
External headwinds, together with domestic vulnerabilities, have loomed over the prospects of emerging markets in recent years. We propose an empirical toolbox to quantify the impact of external macro-financial shocks on domestic economies in parsimonious way. Our model is a Bayesian VAR consisting of two blocks representing home and foreign factors, which is particularly useful for small open economies. By exploiting the mixed-frequency nature of the model, we show how the toolbox can be used for “nowcasting” the output growth. The conditional forecast results illustrate that regular updates of external information, as well as domestic leading indicators, would significantly enhance the accuracy of forecasts. Moreover, the analysis of variance decompositions shows that external shocks are important drivers of the domestic business cycle.
Author: Jongkyou Jeon
Publisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 220
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Author: Jiansheng Zhong
Publisher:
ISBN:
Category : Economic policy
Languages : en
Pages : 90
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Book Description
This dissertation research puts a focus on small open economies, whose policies do not affect world prices and interest rates. In the first chapter, it is shown that recent Canadian data from 2001 to 2013 feature a notable procyclical trade balance, which contrasts with the countercyclical trade balance in 1981-2000. By using a dynamic small open economy model built based upon Mendoza's (1991) framework, driven by correlated domestic productivity shocks and world credit spread shocks, I can generate the observed trade balance pattern in the pre-2000 and post-2000 periods. In addition, my analysis shows that the world credit spread shocks explain a large portion of the considerable change in the cyclicality of trade balance, and that the low world real risk-free interest rate after 2000 partially accounts for the procyclical trade balance in the same time period. Applications of the model to other developed small open economies, such as Australia and New Zealand, yield similar results, suggesting that the world credit spread shocks have an impact on macroeconomic dynamics and help improve model performance. The second chapter concerns an innovative exchange rate policy implemented by the Reserve Bank of Australia (RBA). From 2013 to mid-2015, in order to achieve balanced economic growth, the RBA tried to bring down the Australian dollar by presenting public speeches and monetary policy statements that expressed a strong preference for a lower exchange rate, which is known as jawboning down the currency. To investigate the effectiveness of the central bank's jawboning strategy, I analyze the Australian economy with a structural vector autoregressive (SVAR) model, in which the Exchange Rate Stance Index (ERSI) is constructed to measure the magnitude of jawboning. The empirical results show that an unanticipated increase in the ERSI, which is equivalent to strengthened jawboning by the RBA, will lead to a significant and lasting fall in the real exchange rate. However, the ERSI shock fails to improve GDP over the medium term, suggesting that the jawboning strategy is not an effective exchange rate policy tool to boost GDP growth. The third chapter investigates how the global and local financial shocks would contribute to the large fluctuations of the unemployment rates in the emerging markets. We use a panel structural vector autoregressive (VAR) model to analyze monthly data from six emerging countries between 1999 and 2015. The results show that the local financial risk factors, including the country spread and the dividend yield, account for a larger portion of unemployment movements than the global financial risks, including the U.S. risk-free real interest rate and the global financial risk proxied by the U.S. Baa corporate spread.
Author: Jamie Lee Cross
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
This thesis consists of four research papers. The first three papers explore the prevalence and significance of time variation within the Australian economy. The final paper is distinct in that it analyzes the effects of economic and policy uncertainty on the Canadian economy. In the first paper (Chapter 2), I address recent concerns that Australian monetary policy is currently less effective than in the past. To investigate this hypothesis, I estimate a time varying structural vector autoregression (SVAR) model. The main result is that monetary policy effectiveness has increased over the sample period, with little evidence to support the claim of a weaker transmission mechanism since the 2007/08 global financial crisis. In the second paper (Chapter 3 - joint with Aubrey Poon), we build on the results in the first paper by investigating the forecasting properties of Gaussian and Student's-t distributed classes of time varying autoregressive models when predicting Australian macroeconomic variables. The main result is that time varying parameters, stochastic volatility and the Student's-t error distribution are all important modeling features of the data. More specifically, a VAR model with the proposed features provides the best inflation and interest rate forecasts over the entire sample. Surprisingly, a simple rolling window autoregressive model provides the best real GDP growth forecasts. In the third paper (Chapter 4 - joint with Aubrey Poon), we build on the results in the first two papers, by quantifying the impacts of international shocks in driving Australian business cycle fluctuations. Our methodology builds on classes of Gaussian and Student's-t distributed, time varying panel VAR models, by proposing a fat-tailed common stochastic volatility factor. We find an important asymmetry in the effects of international shocks, with around 47 percent of negative and 68 percent of positive fluctuations resulting from foreign disturbances. More generally, international shocks have contributed to around half of all Australian business cycle fluctuations over the past two decades. The fourth paper (Chapter 5 - joint with Aubrey Poon, Joshua Chan and Timothy Kam), deviates from the first three papers in that it uses Canadian data. Our objective is to quantify the impacts of uncertainty shocks to the business cycle fluctuations of a small open economy. Using a Bayesian-estimated structural model, we quantify which time-varying risk - in domestic demand or supply conditions, in domestic monetary or fiscal policy, or, in international economic and policy spillovers factors - matter for a small open economy like Canada. Our results suggest that the historical movements in Canadian real GDP are due largely to domestic fiscal- and monetary-policy shocks, and, due to non-negligible time variations in the riskiness of these policy shocks.
Author: Laurent Ferrara
Publisher: Springer
ISBN: 3319790757
Category : Business & Economics
Languages : en
Pages : 300
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Book Description
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
