scholarly journals The Long-Run Superneutrality of Money Revised: the Extended European Evidence

2016 ◽  
Vol 16 (3) ◽  
pp. 187-203 ◽  
Author(s):  
Oleg Deev ◽  
Martin Hodula
Keyword(s):  
Endogenous Growth ◽  
Output Growth ◽  
Real Output ◽  
Vector Autoregressive ◽  
Additional Hypothesis ◽  
Long Run ◽  
Large Panel ◽  
European Economies ◽  
Structural Vector

Abstract This article investigates the validity of the money superneutrality concept for the large panel of European economies. While focusing exclusively on endogenous growth theories including the Mundell-Tobin effect, we examine the long-run response of real output to a permanent inflation shock in every studied country using a structural vector autoregressive framework. For the majority of countries in our sample, the longrun superneutrality concept is confirmed since the original increase/decrease in output growth fades in time. We also test the additional hypothesis of whether the group of countries with smaller in-sample inflation mean forms the exception to the long-run money superneutrality. As the result, modern economies might be better described from the viewpoint of Sidrauski.

scholarly journals Marginal Employment Growth Effects In The South African Economy

2017 ◽  
Vol 16 (2) ◽  
pp. 143-156
Author(s):  
Irrshad Kaseeram ◽  
Darma Mahadea
Keyword(s):  
South Africa ◽  
Employment Growth ◽  
Output Growth ◽  
Growth Effect ◽  
Annual Data ◽  
Real Output ◽  
Dynamic Interactions ◽  
Middle Income ◽  
Long Run ◽  
Marginal Employment

South Africa relative to its peers (upper middle income countries) suffers from high unemployment and sub-optimal economic growth. This study investigates the ‘marginal effects of employment’ with respect to real output and capital in South Africa, using annual data covering the period 1946-2015.  It estimates the responsiveness of employment to real output growth and capital, employing the short and long-run dynamic interactions between these variables via the application of the VAR/VECM Johansen (1991) framework.  The results show that there exists a statistically significant long-run co-integrating relationship between labour employment and real GDP growth. Marginal employment growth effect is positive; a one per cent increase in GDP tends to increase employment by about one third of one per cent. Employment adjusts consistent with expectations when it overshoots its structural relationship with other variables. However, real output tends to adjust contrary to expectations, implying significant diminishing returns to employment in the economy. Growth in capital impacts positively on output and employment. The study concluded that greater labour market flexibility and higher worker productivity is needed across all sectors of the economy.

Structural Vector Autoregressive Models

2020 ◽  
Author(s):  
Luca Gambetti
Keyword(s):  
Linear Functions ◽  
Impulse Response Functions ◽  
Vector Autoregressions ◽  
Structural Shocks ◽  
Vector Autoregressive ◽  
Varying Coefficients ◽  
Macroeconomic Analysis ◽  
Long Run ◽  
Time Varying Coefficients ◽  
Structural Vector

Structural vector autoregressions (SVARs) represent a prominent class of time series models used for macroeconomic analysis. The model consists of a set of multivariate linear autoregressive equations characterizing the joint dynamics of economic variables. The residuals of these equations are combinations of the underlying structural economic shocks, assumed to be orthogonal to each other. Using a minimal set of restrictions, these relations can be estimated—the so-called shock identification—and the variables can be expressed as linear functions of current and past structural shocks. The coefficients of these equations, called impulse response functions, represent the dynamic response of model variables to shocks. Several ways of identifying structural shocks have been proposed in the literature: short-run restrictions, long-run restrictions, and sign restrictions, to mention a few. SVAR models have been extensively employed to study the transmission mechanisms of macroeconomic shocks and test economic theories. Special attention has been paid to monetary and fiscal policy shocks as well as other nonpolicy shocks like technology and financial shocks. In recent years, many advances have been made both in terms of theory and empirical strategies. Several works have contributed to extend the standard model in order to incorporate new features like large information sets, nonlinearities, and time-varying coefficients. New strategies to identify structural shocks have been designed, and new methods to do inference have been introduced.

scholarly journals SHORT- AND LONG-RUN LINKAGES BETWEEN EMPLOYMENT GROWTH, INFLATION AND OUTPUT GROWTH: EVIDENCE FROM A LARGE PANEL

2014 ◽  
Vol 20 (3) ◽  
pp. 554-575 ◽  
Author(s):  
Marinko Škare ◽  
Guglielmo Maria Caporale
Keyword(s):  
Granger Causality ◽  
Employment Growth ◽  
Panel Cointegration ◽  
Output Growth ◽  
Negative Sign ◽  
Long Run ◽  
Large Panel ◽  
Causality Tests ◽  
Short Run

This study examines the short- and long-run linkages between employment growth, inflation and output growth applying panel cointegration and causality tests to data for 119 countries over the period 1970–2010. We find evidence of positive Granger causality running from output growth to employment growth in the short run. Employment growth Granger causes output growth with a negative sign in the long run. Inflation Granger causes employment and output growth positively in the short run and negatively in the long run.

scholarly journals POPULATION GROWTH INDUCED AND HOUSEHOLDS FINANCIAL VULNERABILITY IN NIGERIA

2021 ◽  
Vol 5 (2) ◽  
Author(s):  
Chidinma C. Mbah ◽  
Chike K. Okoli ◽  
Chinecherem M. Uzonwanne
Keyword(s):  
Population Growth ◽  
World Bank ◽  
Secondary Data ◽  
Rapid Population Growth ◽  
Financial Vulnerability ◽  
Vector Autoregressive ◽  
Long Run ◽  
Structural Vector Autoregressive Model ◽  
The Impact ◽  
Structural Vector

Nigeria has been recording a rapid increase in its population over the years. This reality has posed a serious concern for the welfare of households especially as the increase in population growth puts households at the risk of financial vulnerability. Based on this, this study is on the move to examined the impact population growth induced has on household in Nigeria. The study made use of secondary data obtained from World Bank and the Central Bank statistical bulletine spanning from 1981 to 2020 to analyze the impact of population growth induced and its financial vulnerability on household using a structural vector autoregressive model (SVAR). After the analysis, the study found out that in the long run, an increase in financial vulnerability, due to an increase in population growth decreases household welfare in Nigeria. Hence, this study recommends that the Nigerian legislature should formulate a law against rapid population growth induced to ensure that the increase in population does not outscore the means of subsistence. JEL: H10; H31 <p> </p><p><strong> Article visualizations:</strong></p><p><img src="/-counters-/edu_01/0789/a.php" alt="Hit counter" /></p>

scholarly journals Monetary policy transmission mechanisms in Indonesia: revisiting the role of Divisia money

2020 ◽  
Vol 185 (9-10) ◽  
pp. 91-98
Author(s):  
Maggie May-Jean Tang ◽  
◽  
Chin-Hong Puah ◽  
I Gusti Ayu Purnamawati ◽  
◽  
...  
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Monetary Policy Transmission ◽  
Vector Autoregressive ◽  
Transmission Mechanisms ◽  
Long Run ◽  
Svar Model ◽  
Policy Transmission ◽  
Structural Vector

This study examines the performance of monetary policy transmission mechanisms in Indonesia from the money view. The best choice of a monetary policy transmission channel has been a topic of debate for many years among researchers as well as central banks. This is mainly due to the inconsistent performance of different channels across countries and period of time. Therefore, it is crucial for policymakers to have a prior understanding of the strengths of the various monetary policy transmission channels. The role of Divisia money in the process of transmission mechanism has also been considered in the Structural Vector Autoregressive (SVAR) model of this study with eight variables and quarterly data from 1984Q1 to 2019Q4. In Indonesia, interest-rates are the major tool used by the central bank to achieve the targeted inflation rate. However, our empirical analysis has shown otherwise, suggesting that other channels are better in ensuring the transmission smoothness of the monetary policy. In addition, depending on whether a short- or long-run effect is desired, a different channel should be adopted to transmit the intended impact. This study has affirmed the superiority of Divisia money since most of the fluctuations in the key domestic macroeconomic variables in Indonesia can be explained by the monetary aggregate.

scholarly journals Export–Output Growth Nexus Using Threshold VAR and VEC Models: Empirical Evidence from Thailand

Economies ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 60 ◽  
Author(s):  
Arisara Romyen ◽  
Jianxu Liu ◽  
Songsak Sriboonchitta
Keyword(s):  
Empirical Evidence ◽  
Output Growth ◽  
The State ◽  
Macroeconomic Policies ◽  
Vector Autoregressive ◽  
Vector Error Correction ◽  
Long Run ◽  
Relevant Variables ◽  
Output Characteristics ◽  
Long Run Equilibrium

This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis is valid, implying feedback within the export–output growth nexus. During business cycles, the export–output characteristics in economic cycles can be classified by the two-threshold VAR and VEC models. These relevant variables converge from the long-run equilibrium. As for the thresholds which are correlated, gross domestic product (GDP) vs. export and GDP vs. import exist as a long-run equilibrium relationship, while there does not seem to be a relationship of export vs. import. Furthermore, a five-year forecast was created (the period of 2018–2022). The export–output growth scenarios appear to swing upward continuously throughout the short-term trend. Therefore, policy-makers should highlight countercyclical macroeconomic policies at lower, medium, and upper regimes to strengthen the state of recovery and encourage the state of short recession.

Fraud and Bank Performance in Nigeria – Var Granger Causality Analysis

e-Finanse ◽  
2020 ◽  
Vol 16 (1) ◽  
pp. 20-26
Author(s):  
Taiwo A. Muritala ◽  
Muftau A. Ijaiya ◽  
Olatanwa H. Afolabi ◽  
Abdulrasheed B. Yinus
Keyword(s):  
Control Systems ◽  
Granger Causality ◽  
Internal Control ◽  
Banking Sector ◽  
Bank Performance ◽  
Causality Analysis ◽  
Vector Autoregressive ◽  
Granger Causality Analysis ◽  
Long Run ◽  
Multivariate Cointegration

AbstractThis paper examines the causality between fraud and bank performance in Nigeria over the period 2000-2016 for quarterly financial data using Johansen’s Multivariate Cointegration Model and Vector Autoregressive (VAR) Granger Causality analysis. The results show a long-run relationship between the variables. Bank performance was found to be linked to Granger fraud variables and vice versa at 10% significant level. This study reveals that there was a direct causal relationship between bank performance and fraud because increase in fraudulent activities in the banking sector leads to reduction in bank performance. Hence, this study recommends that internal control systems of banks should be strengthened so as to detect and prevent fraud. In this way, bank assets would be protected.

Multivariate Markov-switching score-driven models: an application to the global crude oil market

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Szabolcs Blazsek ◽  
Alvaro Escribano ◽  
Adrian Licht
Keyword(s):  
Crude Oil ◽  
Moving Average ◽  
Local Level ◽  
Markov Switching ◽  
Impulse Response Functions ◽  
Common Trends ◽  
Vector Autoregressive ◽  
Oil Market ◽  
Long Run ◽  
Special Cases

Abstract A new class of multivariate nonlinear quasi-vector autoregressive (QVAR) models is introduced. It is a Markov switching score-driven model with stochastic seasonality for the multivariate t-distribution (MS-Seasonal-t-QVAR). As an extension, we allow for the possibility of having common-trends and nonlinear co-integration. Score-driven nonlinear updates of local level and seasonality are used, which are robust to outliers within each regime. We show that VAR integrated moving average (VARIMA) type filters are special cases of QVAR filters. Using exclusion, sign, and elasticity identification restrictions in MS-Seasonal-t-QVAR with common-trends, we provide short-run and long-run impulse response functions for the global crude oil market.

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