Revisiting the macroeconomic effects of oil and food price shocks to Pakistan economy: a structural vector autoregressive (SVAR) analysis

2014 ◽  
Vol 38 (2) ◽  
pp. 184-215 ◽  
Author(s):  
Muhammad Arshad Khan ◽  
Ayaz Ahmed
Keyword(s):  
Food Price ◽  
Price Shocks ◽  
Vector Autoregressive ◽  
Macroeconomic Effects ◽  
Structural Vector

Macroeconomic effects of world oil and food price shocks in Asia and Pacific economies: application of SVAR models

2013 ◽  
Vol 37 (3) ◽  
pp. 327-372 ◽  
Author(s):  
Fardous Alom ◽  
Bert D. Ward ◽  
Baiding Hu
Keyword(s):  
Food Price ◽  
Price Shocks ◽  
Macroeconomic Effects

scholarly journals Macroeconomic impacts of global food price shocks on the economy of Turkey

2018 ◽  
Vol 64 (No. 11) ◽  
pp. 517-525
Author(s):  
Ayhan KAPUSUZOGLU ◽  
Xi LIANG ◽  
Nildag Basak CEYLAN
Keyword(s):  
Food Prices ◽  
Food Price ◽  
Impulse Response Functions ◽  
Price Shocks ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Vector Autoregressive ◽  
Macroeconomic Variables ◽  
Svar Model ◽  
The Impact

The purpose of this study is to examine the impact of food prices on the macroeconomic variables of Turkey. The effects are investigated using monthly data for the period January 1980–January 2016. A structural vector autoregressive (SVAR) model is employed for the analysis. Impulse response functions are obtained to assess the impact of food price shocks on the macroeconomic variables of Turkey. To this end, SVAR model is employed as suggested by Cushman and Zha (1997). The impulse responses gathered suggest that the food price causes Turkish Lira (TRY) to appreciate and inflation to increase contemporaneously. This study provides an important contribution to the literature in terms of determining the factors and presenting the measures to be taken against these factors for Turkey which is a developing country and sensitive to macroeconomic factors.

scholarly journals An Assessment of the Effect of World Oil Price Shocks on Uganda’s Official Development Assistance

2020 ◽  
pp. 96-110
Author(s):  
Geoffrey Ogwang ◽  
Tomson Odongo ◽  
Dick N. Kamuganga
Keyword(s):  
Policy Implication ◽  
Development Assistance ◽  
Oil Price ◽  
Oil Price Shocks ◽  
Vector Autoregressive Model ◽  
Price Shocks ◽  
Vector Autoregressive ◽  
Structural Vector Autoregressive Model ◽  
Pass Through ◽  
Structural Vector

This study assesses the effect of world oil price shocks on Uganda’s official development assis-tance using Structural Vector Autoregressive Model (SVAR). The results in this study show in-significant pass-through effect of world oil price shocks to Uganda’s Official Development As-sistance received in the period under the study. The policy implication in this study is that Offi-cial Development Assistance received by Uganda is independent of world oil price shocks.

scholarly journals Macroeconomic Effects of World Energy and Food Price Shocks in South Asia

2014 ◽  
Vol 16 (1) ◽  
pp. 109-116
Author(s):  
Huma Maqsood ◽  
◽  
Habib Ahmad
Keyword(s):  
South Asia ◽  
Food Price ◽  
Price Shocks ◽  
World Energy ◽  
Macroeconomic Effects

On the First-Round Effects of International Food Price Shocks

2018 ◽  
Author(s):  
Rafael Portillo ◽  
Luis-Felipe Zanna
Keyword(s):  
Developing Countries ◽  
Open Economy ◽  
Small Open Economy ◽  
Food Price ◽  
Relative Price ◽  
Asset Market ◽  
Price Shocks ◽  
Market Structures ◽  
Model Features ◽  
Food Share

The chapter presents a small open-economy model to study the first-round effects of international food-price shocks in developing countries. First-round shocks are defined as changes in headline inflation that, holding core inflation constant, help implement relative price adjustments. The model features three goods (food, a generic traded good, and a non-traded good), varying degrees of tradability of the food basket, and alternative international asset market structures. First-round effects depend crucially on the asset market structure. Under complete markets, inter-temporal substitution prevails, making the inflationary impact of international food price shocks proportional to the food share in consumption, which in developing countries is typically large. Under financial autarky, the income channel is dominant, and first-round effects are instead proportional to the country’s food trade balance, which is typically small. The results cast some doubt on the view that international food price shocks inherently have large inflationary effects in developing countries.

scholarly journals A Spatial Panel Structural Vector Autoregressive Model with Interactive Effects and Its Simulation

Mathematics ◽  
2021 ◽  
Vol 9 (8) ◽  
pp. 883
Author(s):  
Yaqing Liu ◽  
Hongbing Ouyang ◽  
Xiaolu Wei
Keyword(s):  
Autoregressive Model ◽  
Common Factors ◽  
Interactive Effects ◽  
Vector Autoregressive Model ◽  
Finite Sample ◽  
Vector Autoregressive ◽  
Spatial Panel ◽  
The Common ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

The existing spatial panel structural vector auto-regressive model can effectively capture the time and spatial dynamic dependence of endogenous variables. However, the hypothesis that the common factors have the same effect for all spatial units is unreasonable. Therefore, incorporating time effects, spatial effects, and time-individual effects, this paper develops a more general spatial panel structural vector autoregressive model with interactive effects (ISpSVAR) that can reflect the different effects of common factors on different spatial units. Additionally, based on whether or not the common factors can be observed, this paper proposes procedures to estimate ISpSVAR separately and studies the finite sample properties of estimators by Monte Carlo simulation. The simulation results show the effectiveness of the proposed ISpSVAR model and its estimation procedures.

Credit supply shocks and the Great Depression in Germany

2020 ◽  
Author(s):  
Max Breitenlechner ◽  
Daniel Gründler ◽  
Gabriel P Mathy ◽  
Johann Scharler
Keyword(s):  
Great Depression ◽  
Aggregate Demand ◽  
Banking Crisis ◽  
Expansion Phase ◽  
Vector Autoregressive ◽  
Credit Supply ◽  
The Great Depression ◽  
Supply Shocks ◽  
Structural Vector Autoregressive Model ◽  
Structural Vector

Abstract At the peak of the Great Depression in mid-1931, Germany experienced a severe banking crisis. We study to what extent credit constraints contributed to the downturn by fitting a structural vector autoregressive model with data from January 1925 to September 1935. Adverse credit supply shocks contributed strongly to the downturn especially at the time of the 1931 banking crisis. Before that, credit supply shocks had also contributed to the expansion phase preceding the depression. We also find that aggregate demand and U.S. business cycle shocks were the primary drivers of the German Great Depression.

scholarly journals Choosing between identification schemes in noisy-news models

2020 ◽  
Vol 0 (0) ◽  
Author(s):  
Joshua C. C. Chan ◽  
Eric Eisenstat ◽  
Gary Koop
Keyword(s):  
Bayesian Methods ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Structural Shocks ◽  
Vector Autoregressive ◽  
Identification Scheme ◽  
Identification Schemes ◽  
The One ◽  
Small Models ◽  
Structural Vector

AbstractThis paper is about identifying structural shocks in noisy-news models using structural vector autoregressive moving average (SVARMA) models. We develop a new identification scheme and efficient Bayesian methods for estimating the resulting SVARMA. We discuss how our identification scheme differs from the one which is used in existing theoretical and empirical models. Our main contributions lie in the development of methods for choosing between identification schemes. We estimate specifications with up to 20 variables using US macroeconomic data. We find that our identification scheme is preferred by the data, particularly as the size of the system is increased and that noise shocks generally play a negligible role. However, small models may overstate the importance of noise shocks.

scholarly journals Exiting from quantitative easing

2019 ◽  
Vol 10 (3) ◽  
pp. 1069-1107 ◽  
Author(s):  
Fumio Hayashi ◽  
Junko Koeda
Keyword(s):  
Monetary Policy ◽  
Regime Switching ◽  
Economic Conditions ◽  
Quantitative Easing ◽  
Structural Vector Autoregression ◽  
Policy Regime ◽  
State Of The Economy ◽  
Macroeconomic Effects ◽  
Structural Vector ◽  
Empirical Framework

We propose an empirical framework for analyzing the macroeconomic effects of quantitative easing (QE) and apply it to Japan. The framework is a regime‐switching structural vector autoregression in which the monetary policy regime, chosen by the central bank responding to economic conditions, is endogenous and observable. QE is modeled as one of the regimes. The model incorporates an exit condition for terminating QE. We find that higher reserves at the effective lower bound raise inflation and output, and that terminating QE may be contractionary or expansionary, depending on the state of the economy at the point of exit.

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