scholarly journals Equity Returns and the Business Cycle: the Role of Supply and Demand Shocks

2013 ◽  
Vol 81 ◽  
pp. 100-124 ◽  
Author(s):  
Alfonso Mendoza Velázquez ◽  
Peter N. Smith
Keyword(s):  
Business Cycle ◽  
Supply And Demand ◽  
Equity Returns ◽  
Demand Shocks ◽  
Supply And Demand Shocks ◽  
The Business Cycle

scholarly journals KARAKTERISTIK TEKANAN INFLASI DI INDONESIA: PENGARUH DINAMIS SISI PERMINTAAN-PENAWARAN DAN PROSPEK KE DEPAN

2007 ◽  
Vol 9 (3) ◽  
Author(s):  
Solikin M. Juhro
Keyword(s):  
Supply And Demand ◽  
Jel Classification ◽  
Demand Shocks ◽  
Supply Shocks ◽  
Supply And Demand Shocks ◽  
Supply Shock ◽  
Preliminary Study ◽  
Second Year ◽  
Parsimonious Model

This preliminary study is aimed to look into characteristics of inflation and sources of shocks triggering inflation pressures in Indonesia. A focus will be directed to find a better measurement about the role of supply and demand shocks. Based on parsimonious model estimation, it can be concluded that the contribution of supply shocks predominant demand shocks ‘proportionally’, implying that a prudent monetary policy is still feasible and can be implemented effectively along with the structural efforts to combat inflation in Indonesia. A further preliminary exercise shows that the prospect of inflation pressures in two year ahead will be statistically the same with the 2006 inflation pressures. However, cautious policy response should be taken in the second year as inflation pressures from supply side will be potentially greater.Keywords: Characteristics of inflation, supply shock, demand shock, inflation, Indonesia.JEL Classification:  JEL Classification: E31, P24

scholarly journals Gulf Cooperation Council Monetary Union: Business Cycle Synchronization, Shocks Correlation

2012 ◽  
Vol 11 (2) ◽  
pp. 137 ◽  
Author(s):  
Nabil Ben Arfa
Keyword(s):  
Business Cycle ◽  
Supply And Demand ◽  
Gulf Cooperation Council ◽  
Output Growth ◽  
Structural Var ◽  
Business Cycle Synchronization ◽  
Demand Shocks ◽  
Gcc Countries ◽  
Supply And Demand Shocks ◽  
Long Run

In this paper we assess the readiness of the Gulf cooperation council members (Qatar, Saudi Arabia, Kuwait and Bahrain) to form a viable currency monetary area. It deals with business cycle synchronization and economic shocks correlation. To do so we employ different methods, first we extract the business cycle component of output using Hodrick-Prescott filter. Second, supply and demand shocks are recovered from an estimated structural VAR model 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 GCC countries. Its appears from our investigation that there is no business cycle synchronization evidence between GCC countries, business cycle is rather divergent among them. And despite of the demand shocks symmetry, supply shocks are rather asymmetric. We therefore conclude that there is no evidence of the readiness of the GCC members to form a monetary currency union

scholarly journals BUSINESS CYCLES AND FINANCIAL CRISES: THE ROLES OF CREDIT SUPPLY AND DEMAND SHOCKS

2014 ◽  
Vol 19 (4) ◽  
pp. 836-882 ◽  
Author(s):  
James M. Nason ◽  
Ellis W. Tallman
Keyword(s):  
Business Cycle ◽  
Financial Crises ◽  
Supply And Demand ◽  
Model Space ◽  
Vector Autoregressions ◽  
Financial History ◽  
Demand Shocks ◽  
Credit Supply ◽  
Supply And Demand Shocks ◽  
Inside Money

This paper explores the hypothesis that the sources of economic and financial crises differ from those of noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to 2010. The sample covers several episodes useful for understanding U.S. economic and financial history, which generate variation in the data that aids in identifying credit supply and demand shocks. We identify these shocks within MS-BVARs by tying credit supply and demand movements to inside money and its intertemporal price. The model space is limited to stochastic volatility (SV) in the errors of the MS-BVARs. Of the 15 MS-BVARs estimated, the data favor a MS-BVAR in which economic and financial crises and noncrisis business cycle regimes recur throughout the long annual sample. The best-fitting MS-BVAR also isolates SV regimes in which shocks to inside money dominate aggregate fluctuations.

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