1,720,963 research outputs found
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
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
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
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
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
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
External Debt and Economic Growth in Ghana: A Co-integration and a Vector Error Correction Analysis
Get PDFThis paper employed a co-integration analysis and an error correction methodology to examine the impact of external debt on economic growth in Ghana using annual time series from 1970-2017. Estimates show that our normalized long-run co-integrating growth equation coefficients do not differ from our short-run vector error correction coefficients for our variables of interest. Findings are that external debt inflows stimulate growth in Ghana both in the long-run and short-run. Secondly, our study also confirmed the crowding out effect, debt overhang effect and the non-linear effect of external debt on economic growth in Ghana.
From the perspective of policy, we advocate for a judicious allocation of the debt resources such that the cost of servicing the debt will not skew resources away from investment which in a medium to long-term will be inimical to growth
Going Beyond Counting First Authors in Author Co-citation Analysis
Get PDFThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Modeling and forecasting of milk production in the SAARC countries and China
Get PDFThis study uses yearly data from 1961 to 2018 to forecast milk production in South Asian countries (including China) using ARIMA/GARCH models and Holt’s Linear approach. It is revealed that not all the methods are equally effective in forecasting. Comparison of mean absolute percentage errors between ARIMA and Holt’s Linear model shows that Holt’s approach reveals higher errors.ARIMA forecasting results show that India will be the country with the highest milk production, followed by Pakistan and China while GARCH model fits better to Bangladesh. This paper has policy implications as it can be used for the proper planning of dairy products in the South-Asian counties to safeguard nutritional security
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