Showing 1 - 10 of 88
We estimate an SVAR model for the Australian economy based on an open economy New Keynesian model that accounts for the forward-looking behaviour exhibited by economic agents. Deep structural parameters are identified by placing exclusion restrictions on the VAR residuals and the covariance...
Persistent link: https://www.econbiz.de/10010573310
As the Chinese economy becomes more open and the authorities scrapped the peg to the U.S. dollar in July 2005, exchange rate movements start to influence the price inflation in China in a significant way. This paper estimates a structural vector autoregression (SVAR) model to investigate the...
Persistent link: https://www.econbiz.de/10010738000
This paper revisits the link between oil price uncertainty and macroeconomy in the context of a net oil exporting country, Canada. Results obtained from alternative Structural VAR models suggest that while shocks to oil price level do not affect the aggregate level of output, the oil price...
Persistent link: https://www.econbiz.de/10010719368
A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market...
Persistent link: https://www.econbiz.de/10010608293
Forecasting poverty in the future is mostly a matter of forecasting economic growth. The objective of the study is to examine the inter-temporal link between growth and poverty in Pakistan, over the next 25years period i.e., from the years 2011 to 2035. The generalized version of variance...
Persistent link: https://www.econbiz.de/10010608240
Understanding the impact of exchange rate movements on prices is critical from a policy perspective in order to gauge the appropriate monetary policy response to currency movements. This study assesses the extent to which the movements in exchange rate affect domestic consumer prices in Pakistan...
Persistent link: https://www.econbiz.de/10011048708
This paper investigates the sources of exchange rate fluctuations when monetary policy follows a Taylor rule interest rate reaction function. We first present a simple dynamic exchange rate model with Taylor rule fundamentals which is triangular in the long-run impacts of shocks to the output...
Persistent link: https://www.econbiz.de/10010573318
Increases in the real price of oil not explained by changes in global oil production or by global real demand for commodities are associated with significant increases in economic policy uncertainty and its four components (the volume of newspaper coverage of policy uncertainty, CPI forecast...
Persistent link: https://www.econbiz.de/10010719365
After the huge rise and fall of agricultural commodity spot and futures prices between 2007 and 2008, the potential reasons for and the impact of the strong rise in volatility provoked an intensive debate in the media as well as in the academic literature. However, owing to the increasing...
Persistent link: https://www.econbiz.de/10010729827
Since the seminal work by Sims (1980), the impulse response functions are regularly applied to capture the propagation mechanism of a shock across time. This paper suggests a new approach for allowing asymmetry in the impulse response functions. This is an issue that has been neglected in the...
Persistent link: https://www.econbiz.de/10010729835