scholarly journals The Impact of Oil Shocks in a Small Open Economy New-Keynesian Dynamic Stochastic General Equilibrium Model for an Oil-Importing Country: The Case of South Africa

2018 ◽  
Vol 55 (7) ◽  
pp. 1593-1618 ◽  
Author(s):  
Hylton Hollander ◽  
Rangan Gupta ◽  
Mark E. Wohar
Keyword(s):  
South Africa ◽  
General Equilibrium ◽  
Open Economy ◽  
Equilibrium Model ◽  
Small Open Economy ◽  
Dynamic Stochastic General Equilibrium ◽  
New Keynesian ◽  
Oil Shocks ◽  
Dynamic Stochastic ◽  
The Impact

External Shocks and Their Transmission Channels in Nigeria: A Dynamic Stochastic General Equilibrium Approach

2022 ◽  
pp. 097491012110673
Author(s):  
Titus Ayobami Ojeyinka ◽  
Dauda Olalekan Yinusa
Keyword(s):  
General Equilibrium ◽  
Open Economy ◽  
Dynamic Stochastic General Equilibrium ◽  
Policy Implications ◽  
Output Gap ◽  
External Shocks ◽  
Transmission Channels ◽  
Dynamic Stochastic ◽  
Trade And Exchange ◽  
The Impact

The study examines the sources of external shocks and investigates their transmission channels in Nigeria using the trade-weighted variables from the country’s five top trading partners. Based on the assumption of the small open economy model, the study adopts the New Keynesian Dynamic Stochastic General Equilibrium Model on quarterly data between 1981 and 2018 using the Bayesian estimation technique. Findings from the study reveal that external shocks have a temporary and short-lived effect on the Nigerian economy. In addition, the article shows that oil price, foreign output, and foreign inflation shock have positive impacts on output gap and inflation, while the impact of foreign interest rate shock on the output gap and inflation is negative and not significant. The study also reveals that external shocks collectively explain 86% and 39%of total fluctuations in the output gap and inflation, respectively. Lastly, the study finds that external shocks transmit to the Nigerian economy via different channels. The study, therefore, concludes that terms of trade and exchange rate channels are the dominant transmitters of external shocks in Nigeria. Based on the findings from the study, important policy implications are highlighted.

Asset-based Reserve Requirements in a Dynamic Stochastic General Equilibrium Model

2017 ◽  
Vol 16 (2) ◽  
pp. 216-242
Author(s):  
Tae Soo Kang ◽  
Hyunduk Suh
Keyword(s):  
General Equilibrium ◽  
Financial Institutions ◽  
Equilibrium Model ◽  
Specific Treatment ◽  
Dynamic Stochastic General Equilibrium ◽  
General Equilibrium Model ◽  
New Keynesian ◽  
Asset Return ◽  
Reserve Requirements ◽  
Dynamic Stochastic

We discuss the macroeconomic effects of asset-based reserve requirements (ABRR) in a dynamic stochastic general equilibrium model. In contrast to the conventional reserve requirement system, ABRR impose reserve requirements on financial institutions’ asset holdings. The policy can be used for macro prudential purposes to reduce pro-cyclicality of financial institutions. Using a financial friction New Keynesian model based on Meh and Moran ( 2010 ), we show that ABRR can be a more effective instrument in the presence of sector-specific shocks than the Basel-III type countercyclical capital buffer. The reason is that the former policy can adjust the asset return of the specific sector hit by the shock, whereas the latter does not have such sector-specific treatment.

scholarly journals Modelling the impact of external shocks on economy of Ukraine: DSGE approach

Ekonomika ◽  
2016 ◽  
Vol 95 (1) ◽  
pp. 64-83
Author(s):  
Olena Bazhenova ◽  
Yuliya Bazhenova
Keyword(s):  
General Equilibrium ◽  
Equilibrium Model ◽  
Adjustment Costs ◽  
Dynamic Stochastic General Equilibrium ◽  
General Equilibrium Model ◽  
External Shocks ◽  
The World ◽  
Dynamic Stochastic ◽  
Positive Shock ◽  
The Impact

The paper explores the dynamic stochastic general equilibrium model to study the impact of external shocks on the economy of Ukraine. The dynamic stochastic general equilibrium model is constructed for a small open economy that includes households, firms (domestic manufacturers and importers), government, the National Bank and external sector. The model assumes the new-Keynesian approach that includes the so-called “rigidities” of prices and wages, the existence of the households’ consumption habits and investments with adjustment costs. Also, it takes into account the country’s significant dependence on mineral products imports. All goods in the economy are divided into the domestic ones (that are exported and consumed in the country), imports and mineral products. So the purpose of the model is to study the impact of external shocks on the economy of Ukraine, such as a positive shock in world output, a positive shock in the world aggregate demand, a positive shock in the world interest rate, and a positive shock in world prices.

LABOR MARKET VOLATILITY, SKILLS, AND FINANCIAL GLOBALIZATION

2013 ◽  
Vol 18 (5) ◽  
pp. 1018-1047 ◽  
Author(s):  
Claudia M. Buch ◽  
Christian Pierdzioch
Keyword(s):  
Open Economy ◽  
Small Open Economy ◽  
Dynamic Stochastic General Equilibrium ◽  
Financial Globalization ◽  
Skilled Workers ◽  
Hours Worked ◽  
Skill Levels ◽  
Level Data ◽  
Dynamic Stochastic ◽  
The Impact

We analyze the impact of financial globalization on volatilities of hours worked and wages of high-skilled and low-skilled workers. Using cross-country, industry-level data for the years 1970–2004, we establish stylized facts that document how volatilities of hours worked and wages of workers with different skill levels have changed over time. We then document that the volatility of hours worked by low-skilled workers has increased the most in response to the increase in financial globalization. We develop a dynamic stochastic general equilibrium model of a small open economy that is consistent with the empirical results. The model predicts that greater financial globalization increases the volatility of hours worked, and this effect is strongest for low-skilled workers.

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