29 research outputs found
Exchange Rate Pass-Through to Prices: VAR Evidence for Albania
Get PDFThis paper estimates the impact of exchange rate shocks to prices in Albania from 2000Q1 to 2017Q1. The empirical analysis is based on a Vector Autoregressive approach for Albanian economy following Cholesky decomposition scheme. Impulse-response functions give evidence for an incomplete “pass-through” of exchange rate shocks to prices. Impulse-response functions to oil shocks indicates initial positive values for import and producer prices and negative value for consumer prices and interest rates. Variance decomposition reveal that the highest fluctuations of import prices is triggered by growth rate and oil prices shocks, whereas the variance of producer prices and consumer prices is explained by its own innovations. Exchange rate’s innovations are less aggressive to import prices and producer prices then to consumer prices. We perform the robustness check allowing interest rate to be ordered before exchange rates and the results do not change from the previous findings
List of ECB unconventional monetary policies from 2008 to 2018
No full textFollowing the work of Falagiarda, McQuade and Tirpak (2015), I have identified the ECB's unconventional monetary policies (press conferences, press releases and speeches) from 2008-2018
Bank credit to the private sector: VECM approach for Albania
No full textThis study evaluates the determinants of bank credit to the private sector in Albania from 2000 to 2017 using a Vector Error Correction Model which includes both demand and supply-side factors. We perform Augmented Dickey Fuller Test, Phillips-Perron test and Johansen cointegration test to ensure the stationarity and long-run relation between explanatory variables. The results show that credit to the private sector is positively related to economic growth. A higher lending rate will decrease the bank credit to the private sector. Further, the decrease of non-performing loans and domestic government debt will increase the funds available for the private sector. The negative sign of error correction term and the diagnostic tests for autocorrelation, normality and ARCH effects ensure that our model is properly defined
COVID-19 Outbreak and US Economic Policy Uncertainty: An ARDL Approach
No full textThe outbreak of COVID-19 is generating shock waves to financial markets and the real economy all over the world and the depth of the recession coming ahead depends on policy response. This paper investigates the impact of COVID-19 (measured by the number of new cases and deaths) and brent oil prices on the economic policy uncertainty of the United States. I use daily data from 1 January to 25 August 2020 and I use an Autoregressive Distributed Lag (ARDL) model to estimate the relation of COVID-19, oil price dynamics and policy uncertainty. The findings indicate that new infection cases in the US have a significant effect on the US EPU, while there is no significant impact of death cases on economic policy uncertainty. Further, there is an inverse relation between brent oil prices and policy uncertainty meaning that economic policy uncertainty will increase as brent oil prices decrease
Spillovers of ECB’s Unconventional Monetary Policies in Nordic Countries
No full textIn Chapter 1, under the supervision of Prof. Luca Riccetti, we have done a review of
all quantitative easing announcements taken by ECB from 20008 to 2018 which
includes public speech, conferences and press speech. Further, we have done a
literature review on the empirical studies which use autoregressive conditional
heteroskedastic models and event studies. The results of the event study show that the
sign effect of the communications has a significant impact on long-term government bonds of Nordic countries.
In Chapter 2, we have done a review of macroprudential policies applied in Nordic
countries. Further, we have estimated the impact of unconventional monetary policies
in a set of financial variables such as long- and medium-term government bonds,
exchange rate, credit default swaps and corporate bond indices. The results indicate a heterogeneity among countries however, the financial connection of the region with the EU is high no matter the proximity.
In Chapter 3, with my supervisor Prof. Luca Riccetti we have estimated the impact of
non-standard measures in equity markets. The findings show that using an Exponential Generalized Autoregressive Conditional Heteroskedastic model, the findings confirm
the impact of monetary policy surprises in Nordic stock returns. Second, the results indicate that a positive monetary surprise is associated with a decrease of the yields in the distressed countries and a decrease of the domestic government bond yield, increase the stock market prices
Spillovers of ECB’s Unconventional Monetary Policies in Nordic Countries
Get PDFNel Capitolo 1, sotto la supervisione del Prof. Luca Riccetti, abbiamo sottoposto a revisione tutti gli annunci della BCE dal 2008 al 2018 relativi agli allentamenti quantitativi, annunci che includono discorsi pubblici, conferenze e discorsi con la stampa. Inoltre abbiamo fatto una revisione della letteratura sugli studi empirici che utilizzano modelli autoregressivi ed eteroschedastico - condizionali, oltre agli studi di eventi. I risultati mostrano che l'effetto del segno delle comunicazioni ha un impatto significativo sui titoli di stato a lungo termine dei paesi nordici.
Nel Capitolo 2 abbiamo esaminato le politiche macroprudenziali applicate nei Paesi nordici. Inoltre abbiamo stimato l'impatto delle politiche monetarie non convenzionali in un insieme di variabili finanziarie come titoli di Stato a medio e lungo termine, tassi di cambio, assicurazioni della parte creditrice di un contratto sottostante e indici delle obbligazioni societarie . I risultati indicano un'eterogeneità tra i Paesi. Tuttavia, il collegamento finanziario della regione con l'UE è alto, indipendentemente dalla vicinanza.
Nel Capitolo 3, con il mio relatore Prof. Luca Riccetti, abbiamo stimato l'impatto di misure non standard sui mercati azionari. L'utilizzo di un modello eteroschedastico condizionale autoregressivo generalizzato esponenziale conferma l'impatto delle sorprese di politica monetaria sui titoli nordici. In secondo luogo, i risultati indicano che una certa sorpresa monetaria positiva è associata a una diminuzione dei rendimenti nei paesi in difficoltà, e una diminuzione del rendimento dei titoli di Stato nazionali aumenta i prezzi del mercato azionario.In Chapter 1, under the supervision of Prof. Luca Riccetti, we have done a review of all quantitative easing announcements taken by ECB from 20008 to 2018 which includes public speech, conferences and press speech. Further, we have done a literature review on the empirical studies which use autoregressive conditional heteroskedastic models and event studies. The results of the event study show that the sign effect of the communications has a significant impact on
long-term government bonds of Nordic countries.
In Chapter 2, we have done a review of macroprudential policies applied in Nordic countries. Further, we have estimated the impact of unconventional monetary policies in a set of financial variables such as long- and medium-term government bonds, exchange rate, credit default swaps and corporate bond indices. The results indicate a heterogeneity among countries however, the financial connection of the region with the EU is high no matter the proximity.
In Chapter 3, with my supervisor Prof. Luca Riccetti we have estimated the impact of non-standard measures in equity markets. The findings show that using an Exponential Generalized Autoregressive Conditional Heteroskedastic model, the findings confirm the impact of monetary policy surprises in Nordic stock returns. Second, the results indicate that a positive monetary surprise is associated with a decrease of the yields in the distressed countries and a decrease of the domestic government bond yield, increase the stock market prices
Effects of Services on Economic Growth in Albania: AnARDL Approach
Get PDFUsing annual data for the period 2000-2018, the study employed an autoregressive distributed lag (ARDL) methodology to examine the long-run cointegrating relations between service subsectors and economic growth in Albania. Results are presented both for the short run and long run. Findings indicate that the transport sector, communication and financial services have a positive impact on economic growth. However, the manufacturing sector has a negative impact. This confirms Baumol's theory on cost disease but does not corroborate Kaldor's theory. Furthermore, agriculture and industry stimulate the Albanian economy whilst expenditure on health have a limited impact. In addition, the Granger causality test indicates a bidirectional causality from transport, communication and financial services to GDP per capita. Lastly, our models are robust to all the conventional battery of tests
An Agnostic Analysis of Exchange Rate Movement in Ghana
No full textBased on quarterly data for the period 2006:3-2018:4, the effect of exchange movement on a set of price indices in Ghana is examined via a Bayesian Vector Autoregressive model. Using normal inverted-Wishart priors, the posterior estimates are generated by Markov Chain Monte Carlo draws via a sign restriction algorithm. Findings showed that the response of consumer prices (CPI), producer prices (PPI) and non-food prices (NFP) to exchange rate shocks is low and incomplete. Furthermore, the forecast error variance decomposition (FEVD) indicated that CPI is most responsive to exchange rate impulses than NFP and PPI. In addition, inflationary pressures in Ghana emanated from exchange rate sources other than monetary sources. The paper recommends “pricing in local currency” as a deliberate policy to insulate domestic prices from volatilities in the exchange rate
External Debt and Economic Growth: Two-Step System GMM Evidence for Sub-Saharan Africa Countries
No full textThis paper examines external debt and economic growth relationship in a panel of 48 Sub-Saharan Africa countries (SSA) for the period 1990-2017 using a two-step system General Method of Moments (GMM) technique. Our study shows that contemporaneously, external debt has a negative and statistically significant impact on GDP growth. However, the first lag of external debt variables stimulates GDP growth. The implication is that external debt accumulated in the previous period makes funds available for growth enhancing expenditure in the next period. Furthermore, our study found no evidence of a non-linear relationship between debt and economic growth. Lastly, we found that the deleterious impact of external debt on GDP growth does not preclude poor or rich SSA countries. We recommend the adoption of state-of-the-art measures in collecting domestic revenue to complement external revenue sources. In addition, we advocate for strong macroeconomic environment in SSA so that yield negotiation on the debt will not dissipate the coffers of SSA countries via high debt servicing cost
Interest rate sensitivity of demand for money and effectiveness of monetary policy: fresh evidence from combined cointegration test and ARDL approach
No full textThe money demand function (MDF) is an inevitable monetary policy tool utilized
to examine the impact of the monetary sector on the real sector. However, fnancial
innovation and institutional changes in the late 1970s and early 80s have afected
the money demand stability. Henceforth, less importance has been given to money
in the new Keynesian monetary policy framework. In the preceding backdrop, the
present study examines money demand stability by highlighting the interest rates
sensitivity as an inevitable issue while estimating diferent monetary aggregates.
To this end, we utilize the combined cointegration, autoregressive distributed lag
model, and Hansen’s instability test. The study fnds cointegration among variables
under consideration and a well-specifed MDF, implying a stable short-and longrun money demand relationship in India for the period 1996:Q2 to 2016:Q3. Henceforth, the stable money demand has policy implications in terms of focusing monetary aggregate as an essential indicator or information variable to maintain the price
stability under India’s current fexible infation-targeting framework
