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on Open MacroEconomics |
| By: | Hadj Amor Thouraya (University of Nice-Sophia Antipolis, CEMAFI (Centre dEtudes en Macroc006fnomie et Finance Internationale)); El Araj Rita (University of Nice-Sophia Antipolis, CEMAFI (Centre dEtudes en Macroc006fnomie et Finance Internationale)) |
| Abstract: | n this paper, we aim to test the empirical validity of the QTM relationship for the Turkish economy. Using some contemporaneous time series estimation techniques, our estimation results reveal that stationarity characteristics of the velocities of currency in circulation and the broad money aggregate in the economy cannot be rejected through a quantity theoretical co-integrating long-term variable space. We find that there exists an about one-to-one proportionality between money and prices and money and real income, and that exogeneity of money cannot be rejected for the currency in circulation in the economy. But, the exception here comes from the broad monetary aggregate used in the QTM equation such that money seems to be endogenous as for the long-term variable space. |
| Keywords: | Equilibrium real exchange rate, Misalignment, Trade liberalization, International financial integration, Cointegration, PSEM |
| JEL: | F36 F37 F41 G15 |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:voj:wpaper:200915&r=opm |
| By: | Diego, Cerdeiro |
| Abstract: | The paper extends Bernanke and Mihov’s (1998) closed-economy strategy for identification of monetary policy shocks to open-economy settings, accounting for the simultaneity between interest-rate and exchange-rate innovations. The methodology allows a separate treatment of two distinct monetary policy shocks, one that operates through open market operations, and another one that takes place through interventions in the foreign exchange market. The results that the identification strategy yields when applied to the data of a small and open economy are free of the empirical anomalies previously found in the literature. |
| Keywords: | Identification; Structural Vector Autoregressions; Open economy; Monetary policy shock; Foreign Exchange Intervention; Endogenous monetary policy. |
| JEL: | C32 E58 E52 |
| Date: | 2010 |
| URL: | http://d.repec.org/n?u=RePEc:pra:mprapa:21071&r=opm |
| By: | Nabil Ben Arfa (University of Nice - Sophia Antipolis; Faculty of Law, Political Science, Economic and Management; C.E.M.A.F.I; Macroeconomics and International Finance Center) |
| Abstract: | This paper deals with the synchronization of business cycles and economic shocks between the euro area and acceding countries. We therefore extract the business cycle component of output by using Hodrick-Prescott filter. Supply and demand shocks are recovered from estimated structural VAR models of output growth and inflation using long run restriction (Blanchard and Quah). We then check the (A) symmetry of these shocks by calculating the correlation between euro area shocks and those of the different acceding countries. We find that several acceding countries have a quite high correlation of demand shocks with the euro area however supply shocks are asymmetric; the correlation between euro area and central and east European countries (CEECs) is negative. We therefore conclude that joining the European Monetary Union is not yet possible: central and east European countries have to make structural changes to join the European Monetary Union. |
| Keywords: | Central and East European countries, Euro area, SVAR models, Hodrick- Prescott filter, Symmetric-asymmetric shocks |
| JEL: | E32 F42 |
| Date: | 2009–03 |
| URL: | http://d.repec.org/n?u=RePEc:voj:wpaper:200912&r=opm |
| By: | Patnaik, Ila (National Institute of Public Finance and Policy); Shah, Ajay (National Institute of Public Finance and Policy) |
| Abstract: | In this paper, we examine capital account openness and exchange rate exibility in 11 Asian countries. Asia has made slow progress on de jure capital account openness, but has made much more progress on de facto capital account openness. While there is a slow pace of increase in exchange rate exibility, most Asian countries continue to have largely inexible exchange rates. This combination { of moving forward with de facto capital account integration without bringing in exchange rate exibility { has lead to procyclicality of monetary policy when capital ows are procyclical. The paper emphasises the case for a consistent monetary policy framework. |
| Date: | 2010–01 |
| URL: | http://d.repec.org/n?u=RePEc:npf:wpaper:10/64&r=opm |
| By: | Graciela L. Kaminsky |
| Abstract: | The latest boom in commodity prices fueled concerns about fiscal policies in commodity-exporting countries, with many claiming that it triggered loose fiscal policy and left no funds for a rainy day. This paper examines the links between fiscal policy and terms-of-trade fluctuations using a sample of 74 countries, both developed and developing. It finds evidence that booms in the terms of trade do not necessarily lead to larger government surpluses in developing countries, particularly in emerging markets and especially during capital flow bonanzas. This is not the case in OECD countries, where fiscal policy is of an acyclical nature. |
| JEL: | E3 E62 F41 |
| Date: | 2010–02 |
| URL: | http://d.repec.org/n?u=RePEc:nbr:nberwo:15780&r=opm |
| By: | Ravallion, Martin |
| Abstract: | To the surprise of many observers, the 2005 International Comparison Program (ICP) found substantially higher purchasing power parity (PPP) rates, relative to market exchange rates, in most developing countries. For example, China’s price level index -- the ratio of its PPP to its exchange rate -- doubled between the 1993 and 2005 rounds of the ICP. The paper tries to explain the observed changes in PPPs. Consistently with the Balassa-Samuelson model, evidence is found of a"dynamic Penn effect,"whereby more rapidly growing economies experience steeper increases in their price level index. This effect has been even stronger for initially poorer countries. Thus the widely-observed static (cross-sectional) Penn effect has been attenuated over time. On also taking account of exchange rate changes and prior participation in the ICP’s price surveys, 99 percent of the variance in the observed changes in PPPs is explicable. Using a nested test, the World Bank’s longstanding method of extrapolating PPPs between ICP rounds using inflation rates alone is out performed by the model proposed in this paper. |
| Keywords: | Markets and Market Access,Economic Theory&Research,Emerging Markets,E-Business,ICT Policy and Strategies |
| Date: | 2010–03–01 |
| URL: | http://d.repec.org/n?u=RePEc:wbk:wbrwps:5229&r=opm |