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Author : Kristoffer Nimark
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (84 download)
Download or read book A Structural Model of Australia as a Small Open Economy written by Kristoffer Nimark and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kristoffer Nimark
Publisher :
ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (137 download)
Download or read book A Structural Model of Australia as a Small Open Economy written by Kristoffer Nimark and published by . This book was released on 2007 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sets up and estimates a structural model of Australia as a small open economy using Bayesian techniques. Unlike other recent studies, the paper shows that a small micro-founded model can capture the open economy dimensions quite well. Specifically, the model attributes a substantial fraction of the volatility of domestic output and inflation to foreign disturbances and matches the evidence from reduced-form studies. In addition, the model relies much less than other estimated models on a persistent shock to the risk premium to explain changes in the nominal exchange rate. The paper also investigates the effects of various exogenous shocks on the Australian economy.
Author : Jamie Lee Cross
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (144 download)
Download or read book Essays on Economic and Policy Time Variations in Small Open Economies written by Jamie Lee Cross and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Jiansheng Zhong
Publisher :
ISBN 13 :
Total Pages : 90 pages
Book Rating : 4.:/5 (1 download)
Download or read book Essays on Small Open Economies written by Jiansheng Zhong and published by . This book was released on 2017 with total page 90 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 : Mardi Dungey
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (318 download)
Download or read book Towards a Structural VAR Model of the Australian Economy written by Mardi Dungey and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : OECD
Publisher : OECD Publishing
ISBN 13 : 9264067183
Total Pages : 208 pages
Book Rating : 4.2/5 (64 download)
Download or read book OECD Reviews of Regulatory Reform: Australia 2010 Towards a Seamless National Economy written by OECD and published by OECD Publishing. This book was released on 2010-02-15 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: This review presents a general picture, set within a macroeconomic context, of regulatory achievements and challenges in Australia, including regulatory quality at federal level as well as across levels of government, competition policy and market openness.
Author : Marcos Antonio Coutinho da Silveira
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.F/5 ( download)
Download or read book A Small Open Economy as a Limit Case of a Two-country New Keynesian DSGE Model written by Marcos Antonio Coutinho da Silveira and published by . This book was released on 2006 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Peter Wobst
Publisher : Intl Food Policy Res Inst
ISBN 13 : 0896291200
Total Pages : 219 pages
Book Rating : 4.8/5 (962 download)
Download or read book Structural Adjustment and Intersectoral Shifts in Tanzania written by Peter Wobst and published by Intl Food Policy Res Inst. This book was released on 2001-01-01 with total page 219 pages. Available in PDF, EPUB and Kindle. Book excerpt: Examines structural adjustment and stabilization policies in Tanzania from the mid-1980s to the late 1990s. Formulates a model to analyse the effects of these policies on overall economic growth, sectoral performance, welfare and income distribution. Highlights the policy bias against agriculture, exchange rate devaluation and the behaviour of commodity markets. Includes a review of the transition to a free market economy since independence in 1961.
Author : Gary Koop
Publisher : Now Publishers Inc
ISBN 13 : 160198362X
Total Pages : 104 pages
Book Rating : 4.6/5 (19 download)
Download or read book Bayesian Multivariate Time Series Methods for Empirical Macroeconomics written by Gary Koop and published by Now Publishers Inc. This book was released on 2010 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular. Bayesian Multivariate Time Series Methods for Empirical Macroeconomics reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Author : Aman Ullah
Publisher : CRC Press
ISBN 13 : 9781420070361
Total Pages : 532 pages
Book Rating : 4.0/5 (73 download)
Download or read book Handbook of Empirical Economics and Finance written by Aman Ullah and published by CRC Press. This book was released on 2016-04-19 with total page 532 pages. Available in PDF, EPUB and Kindle. Book excerpt: Handbook of Empirical Economics and Finance explores the latest developments in the analysis and modeling of economic and financial data. Well-recognized econometric experts discuss the rapidly growing research in economics and finance and offer insight on the future direction of these fields. Focusing on micro models, the first group of chapters describes the statistical issues involved in the analysis of econometric models with cross-sectional data often arising in microeconomics. The book then illustrates time series models that are extensively used in empirical macroeconomics and finance. The last set of chapters explores the types of panel data and spatial models that are becoming increasingly significant in analyzing complex economic behavior and policy evaluations. This handbook brings together both background material and new methodological and applied results that are extremely important to the current and future frontiers in empirical economics and finance. It emphasizes inferential issues that transpire in the analysis of cross-sectional, time series, and panel data-based empirical models in economics, finance, and related disciplines.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1455274518
Total Pages : 40 pages
Book Rating : 4.4/5 (552 download)
Download or read book New Zealand written by International Monetary Fund and published by International Monetary Fund. This book was released on 2011-05-09 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Savings Working Group in New Zealand presented recommendations in February 2011, and suggested raising national saving by 2–3 percent of GDP. The increase in net public saving in the country explains part of the reason for lower net private saving in New Zealand. Net public saving of the country is about 3 percent of GDP above the average of advanced countries for the past 15 years. Financial liberalization also appears to have played a role in saving behavior.
Author : International Monetary Fund. Research Dept.
Publisher : International Monetary Fund
ISBN 13 : 1589069129
Total Pages : 244 pages
Book Rating : 4.5/5 (89 download)
Download or read book IMF Staff Papers, Volume 57, No. 2 written by International Monetary Fund. Research Dept. and published by International Monetary Fund. This book was released on 2010-06-29 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper introduces a new database of financial reforms covering 91 economies over 1973-2005. It describes the content of the database, the information sources utilized, and the coding rules used to create an index of financial reform. It also compares the database with other measures of financial liberalization, provides descriptive statistics, and discusses some possible applications. The database provides a multifaceted measure of reform, covering seven aspects of financial sector policy. Along each dimension the database provides a graded (rather than a binary) score, and allows for reversals.
Author : Mr.Jiaqian Chen
Publisher : International Monetary Fund
ISBN 13 : 151352786X
Total Pages : 28 pages
Book Rating : 4.5/5 (135 download)
Download or read book Measuring Output Gap: Is It Worth Your Time? written by Mr.Jiaqian Chen and published by International Monetary Fund. This book was released on 2020-02-07 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Author : Vladik Kreinovich
Publisher : Springer
ISBN 13 : 3030042006
Total Pages : 1157 pages
Book Rating : 4.0/5 (3 download)
Download or read book Beyond Traditional Probabilistic Methods in Economics written by Vladik Kreinovich and published by Springer. This book was released on 2018-11-24 with total page 1157 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents recent research on probabilistic methods in economics, from machine learning to statistical analysis. Economics is a very important – and at the same a very difficult discipline. It is not easy to predict how an economy will evolve or to identify the measures needed to make an economy prosper. One of the main reasons for this is the high level of uncertainty: different difficult-to-predict events can influence the future economic behavior. To make good predictions and reasonable recommendations, this uncertainty has to be taken into account. In the past, most related research results were based on using traditional techniques from probability and statistics, such as p-value-based hypothesis testing. These techniques led to numerous successful applications, but in the last decades, several examples have emerged showing that these techniques often lead to unreliable and inaccurate predictions. It is therefore necessary to come up with new techniques for processing the corresponding uncertainty that go beyond the traditional probabilistic techniques. This book focuses on such techniques, their economic applications and the remaining challenges, presenting both related theoretical developments and their practical applications.
Author : Simon Ville
Publisher : Cambridge University Press
ISBN 13 : 1316194485
Total Pages : 710 pages
Book Rating : 4.3/5 (161 download)
Download or read book The Cambridge Economic History of Australia written by Simon Ville and published by Cambridge University Press. This book was released on 2014-10-08 with total page 710 pages. Available in PDF, EPUB and Kindle. Book excerpt: Australia's economic history is the story of the transformation of an indigenous economy and a small convict settlement into a nation of nearly 23 million people with advanced economic, social and political structures. It is a history of vast lands with rich, exploitable resources, of adversity in war, and of prosperity and nation building. It is also a history of human behaviour and the institutions created to harness and govern human endeavour. This account provides a systematic and comprehensive treatment of the nation's economic foundations, growth, resilience and future, in an engaging, contemporary narrative. It examines key themes such as the centrality of land and its usage, the role of migrant human capital, the tension between development and the environment, and Australia's interaction with the international economy. Written by a team of eminent economic historians, The Cambridge Economic History of Australia is the definitive study of Australia's economic past and present.
Author : Torben M. Andersen
Publisher : Oxford University Press, USA
ISBN 13 : 0198717105
Total Pages : 385 pages
Book Rating : 4.1/5 (987 download)
Download or read book Reform Capacity and Macroeconomic Performance in the Nordic Countries written by Torben M. Andersen and published by Oxford University Press, USA. This book was released on 2015 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume examines whether the reform experiences in the Nordic economies offer some lessons for the design of the general fiscal framework in the wake of the financial crisis.
Author : Peter J. N. Sinclair
Publisher : Routledge
ISBN 13 : 1135179778
Total Pages : 402 pages
Book Rating : 4.1/5 (351 download)
Download or read book Inflation Expectations written by Peter J. N. Sinclair and published by Routledge. This book was released on 2009-12-16 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Inflation is regarded by the many as a menace that damages business and can only make life worse for households. Keeping it low depends critically on ensuring that firms and workers expect it to be low. So expectations of inflation are a key influence on national economic welfare. This collection pulls together a galaxy of world experts (including Roy Batchelor, Richard Curtin and Staffan Linden) on inflation expectations to debate different aspects of the issues involved. The main focus of the volume is on likely inflation developments. A number of factors have led practitioners and academic observers of monetary policy to place increasing emphasis recently on inflation expectations. One is the spread of inflation targeting, invented in New Zealand over 15 years ago, but now encompassing many important economies including Brazil, Canada, Israel and Great Britain. Even more significantly, the European Central Bank, the Bank of Japan and the United States Federal Bank are the leading members of another group of monetary institutions all considering or implementing moves in the same direction. A second is the large reduction in actual inflation that has been observed in most countries over the past decade or so. These considerations underscore the critical – and largely underrecognized - importance of inflation expectations. They emphasize the importance of the issues, and the great need for a volume that offers a clear, systematic treatment of them. This book, under the steely editorship of Peter Sinclair, should prove very important for policy makers and monetary economists alike.
