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Testing for Uncovered Interest Parity Conditions in a Small Open Economy : A State Space Modelling Approach

Bhatta, Guna Raj; Nepal, Rabindra; Harvie, Charles; … - 2021

the uncovered interest parity (UIP) condition and simulate the risk premium between the pegged currencies of Nepal and …

Persistent link: https://www.econbiz.de/10013220180

Who Did It? A European Detective Story Was It Real, Financial, Monetary and/or Institutional : Tracking Growth in the Euro Area with an Atheoretical Tool

Comunale, Mariarosaria - 2020

During the past thirty years, euro area countries have undergone significant changes and experienced diverse shocks. We aim to investigate which variables have consistently supported growth in this tumultuous period. The paper unfolds in three parts. First, we assemble a set of 35 real,...

Persistent link: https://www.econbiz.de/10012842780

The Macroeconomic Effects of Commodity Price Uncertainty

Tran, Trung Duc - 2021

This paper studies the macroeconomic effects of commodity price uncertainty (CPU) shocks. Using Australia as a case study, an econometric-based CPU index is proposed to reveal that Australia has experienced an unprecedented increase in uncertainty from the commodity market recently. Evidence...

Persistent link: https://www.econbiz.de/10013250796

What Explains Excess Trade Persistence? A Theory of Habits in the Supply Chains

Comunale, Mariarosaria; Dainauskas, Justas; Lastauskas, … - 2021

International trade flows are volatile, imbalanced, and fragmented across off-shored supply chains. Yet, not much is known about the mechanism through which trade flows adjust in response to shocks over time. This paper derives a dynamic gravity equation from a theory of habits in the supply...

Persistent link: https://www.econbiz.de/10013250513

Revisiting the Commodity Curse : A Financial Perspective

Alberola, Enrique - 2017

We study the response of a three-sector commodity-exporter small open economy to a commodity price boom. When the economy has access to international borrowing and lending, a temporary commodity price boom brings about the standard wealth effect that stimulates demand and has long-run...

Persistent link: https://www.econbiz.de/10012963083

Incorporating Relevant Multivariate Information for Characterizing Half-Life with an Application to Purchasing Power Parity

Wong, Benjamin - 2017

Half-lives are summary measures of persistence, and are usually characterized from impulse response functions (IRFs) of univariate time series models. Two issues which occur with half-life characterization in multivariate time series are IRFs become conditional on specific shocks and are often...

Persistent link: https://www.econbiz.de/10012951598

Macro-Financial Effects of Portfolio Flows : Malaysia's Experience

Hwa, Tng - 2017

This paper studies the causes and effects of portfolio flows in Malaysia. We use Structural Vector Autoregression (SVAR) and Autoregressive Distributed Lag (ARDL) models to analyse the interactions among portfolio flows, global and domestic macro and financial variables within a common empirical...

Persistent link: https://www.econbiz.de/10012957221

Current Account Dynamics Under Information Rigidity and Imperfect Capital Mobility

Shibata, Akihisa - 2018

The current account in developed countries is highly persistent and volatile in comparison to their output growth. The standard intertemporal current account model with rational expectations (RE) fails to explain the observed current account and consumption dynamics. The RE model extended with...

Persistent link: https://www.econbiz.de/10012908417

Hysteresis and full employment in a small open economy

Watson, Timothy; Tervala, Juha - 2021

We simulate a small open economy Two Agent New Keynesian (TANK) model featuring ‘learning by doing’ in production whereby changes in employment generate hysteresis in productivity and output. Credit constraints and hysteresis amplify the efficacy of Fiscal stimulus in a small open economy...

Persistent link: https://www.econbiz.de/10013225795

Global economic impacts of climate shocks, climate policy and changes in climate risk assessment

Fernando, Roshen; Liu, Weifeng; McKibbin, Warwick J. - 2021

results demonstrate that there can be potentially significant costs associated with policies to reduce emissions, and the … costs differ across sectors and across countries.We also address whether changes in climate risk perceptions can … with historical experience. The cost appears to be smaller than the economic costs of changes in physical climate risk and …

Persistent link: https://www.econbiz.de/10013235452