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 The impact of world oil and food price shocks on the interdependence of Brazil and Russia: SVAR-DCC-GARCH model

2021 ◽  
Vol 2 (4) ◽  
pp. 47-76
Author(s):  
Samkelisiwe Bhebhe ◽  
Ian Ndlovu
Keyword(s):  
Garch Model ◽  
Spillover Effects ◽  
Food Prices ◽  
Food Price ◽  
Stationary Time Series ◽  
Empirical Literature ◽  
Series Data ◽  
Price Shocks ◽  
Macroeconomic Variables ◽  
The Impact

This study seeks to identify the extent to which global oil and food price volatilities affected the interdependence of the Brazilian and Russian economies in the period from 1996 to 2021. The ARCH/GARCH framework was used to model the volatility of oil and food prices. The Structural Vector Autoregressive (SVAR) approach was used to ascertain the sensitivity of key economic indicators to oil and food shocks. The Impulse Response Function (IRF) was used to trace short-term effects over a period of 12 months. Subsequently, the multivariate dynamic conditional correlation DCC-GARCH model, created by Engle & Sheppard (2001), was used to model time-varying correlations of paired macroeconomic variables. This study contributes to the empirical literature in two fundamental ways. Firstly, it pairs the two largest oil and food producers in the BRICS bloc. Secondly, unlike some earlier studies, the applied methodology ensures the effectiveness of the results by using stationary time series data. The results show that Brazil and Russia have long-run spillover effects for all macroeconomic variables in response to both oil and food price shocks. Furthermore, money supply and exchange rate variables exhibited declining positive correlation coefficients during the global financial crisis of 2008–2009, but peaked in early 2020 due to the Covid-19 pandemic. As a corollary of the main findings, the researchers recommend that investors should diversify their portfolios beyond these two economies in order to minimize the risk of contagion during severe global crises.

scholarly journals The Effects of Rising Food and Fuel Costs on Poverty in Pakistan

2008 ◽  
Vol 13 (Special Edition) ◽  
pp. 117-138 ◽  
Author(s):  
Theresa Thompson Chaudhry ◽  
Azam Amjad Chaudhry
Keyword(s):  
Food Prices ◽  
Food Price ◽  
Energy Price ◽  
Price Shocks ◽  
Price Inflation ◽  
Fuel Prices ◽  
Price Increases ◽  
Head Count ◽  
The Impact ◽  
Poverty Levels

The dramatic increase in international food and fuel prices in recent times is a crucial issue for developing countries and the most vulnerable to these price shocks are the poorest segments of society. In countries like Pakistan, the discussion has focused on the impact of substantially higher food and fuel prices on poverty. This paper used PSLM and MICS household level data to analyze the impact of higher food and energy prices on the poverty head count and the poverty gap ratio in Pakistan. Simulated food and energy price shocks present some important results: First, the impact of food price increases on Pakistani poverty levels is substantially greater than the impact of energy price increases. Second, the impact of food price inflation on Pakistani poverty levels is significantly higher for rural populations as compared to urban populations. Finally, food price inflation can lead to significant increases in Pakistani poverty levels: For Pakistan as a whole, a 20% increase in food prices would lead to an 8% increase in the poverty head count.

scholarly journals Relationship between Islamic Stock Prices and Macroeconomic Variables: Evidence from Jakarta Stock Exchange Islamic Index

2015 ◽  
Vol 1 (1) ◽  
pp. 071 ◽  
Author(s):  
Muhammad Rizky Prima Sakti ◽  
MD. Yousuf Harun
Keyword(s):  
Stock Prices ◽  
Inflation Rate ◽  
Stock Exchange ◽  
Policy Instruments ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Monthly Data ◽  
Macroeconomic Variables ◽  
Variance Decompositions ◽  
The Relationship

This paper attempts to analyze the relationship between Jakarta Stock Exchange Islamic Index (JII) and selected macroeconomic variables namely exchange rate, industrial production, inflation rate, and money supply. We used monthly data from January 2000 toDecember 2010.The methodology used in this paper is time series techniques of co-integration and vector autoregression (VAR). In the analysis, we rely on variance decompositions and impulse-response functions to capture the strength of interactions among variables. The results revealed that there is co-integration between Islamic stock prices and macroeconomic variables. Specifically, Indonesian Islamic stock market are driven more by domestic factors. These macroeconomic factors considered to be emphasized as the policy instruments by the governments in order to stabilize Islamic stock prices.

scholarly journals Macroeconomic variables and food price inflation, nonfood price inflation and overall inflation: A case of an emerging market

2017 ◽  
Vol 7 (2) ◽  
pp. 38-48
Author(s):  
Raphael T Mpofu
Keyword(s):  
Growth Rate ◽  
Emerging Market ◽  
Food Prices ◽  
Food Price ◽  
The South ◽  
Price Inflation ◽  
Macroeconomic Variables ◽  
Independent Variables ◽  
The Impact ◽  
Food Inflation

The paper analyses the association between certain macroeconomic variables and food price inflation, non-food price inflation and overall inflation in Zimbabwe, and also seeks to determine the level of association between these variables, given food security implications and overall well-being of its citizens. The study reveals that during the 2010 to 2016 period, Zimbabwe experienced stable food prices—annual food price inflation for food and non-alcoholic beverages averaged a relatively low growth rate of 0.12% monthly, while non-food inflation monthly growth rate was 0.09% and overall inflation growth rate was 0.11%. Although inflation from 2010 had been declining, of late, the increase in annual inflation has been underpinned by a rise in non-food inflation. Zimbabwe’s annual inflation remains lower than inflation rates in other countries in the region. Despite the increases lately in overall inflation, it remained below zero in January 2016, mostly driven by the depreciation of the South African rand and declining international oil prices. It should also be noted that domestic demand continued to decline in 2015, leading to the observed decline in both food and non-food prices. While food inflation has remained relatively low, it should be noted that non-food expenditures is significant component of the household budget and the rising prices result often lead to declining purchasing power and force households to make difficult choices in terms of their purchases. The findings of the study are food inflation has a low association with the independent variables under study; Zimbabwe broad money supply, rand-dollar exchange rates and the South Africa food inflation. There is, however, a very strong association between non-food inflation and these independent variables, as well as between overall inflation and the independent variables. Given the mostly rural population and the high level of unemployment in Zimbabwe, it can be surmised that the distributional burden of the effects of rising non-food prices between 2009 and 2016 fell mostly on these vulnerable groups as they had the lowest disposable income. In addition, it can also be surmised that domestic production can cushion the impact of rising prices in general, particularly on food. A deliberate policy of increasing domestic food production would therefore go a long way in ensuring lower price changes of both food and non-food items.

The Impact of Policy Uncertainty on Macro Variables – An SVAR-Based Empirical Analysis for EU Countries

2017 ◽  
Vol 68 (2) ◽  
Author(s):  
Dominik Kronen ◽  
Ansgar Belke
Keyword(s):  
Stock Market ◽  
Policy Uncertainty ◽  
Stock Market Volatility ◽  
Market Uncertainty ◽  
Vector Autoregressive ◽  
Svar Model ◽  
Negative Effect ◽  
Macro Variables ◽  
The Impact ◽  
Structural Vector

AbstractIn light of the rising political and economic uncertainty in Europe, we aim to provide a basic understanding of the impact of policy and stock market uncertainty on a set of macroeconomic variables such as production and investment. In this paper, we apply a structural vector autoregressive (SVAR) model to gain first insights that may help to identify avenues for further research. We find that stock market volatility shows a fairly consistently negative effect. However, the implications of policy uncertainty for Europe and the euro area in particular are not so straightforward.

scholarly journals Yield curve dynamics with macroeconomic factors in Iberian economies

2020 ◽  
Vol 10 (3) ◽  
pp. 193-203
Author(s):  
Isabel Maldonado ◽  
Carlos Pinho
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Yield Curve ◽  
Error Variance ◽  
Impact Factors ◽  
Strong Impact ◽  
Impulse Response Functions ◽  
Macroeconomic Factors ◽  
Vector Autoregressive ◽  
Future Evolution

Abstract The aim of this paper is to analyse the bidirectional relation between the term structure of interest rates components and macroeconomic factors. Using a factor augmented vector autoregressive model, impulse response functions and forecasting error variance decompositions we find evidence of a bidirectional relation between yield curve factors and the macroeconomic factors, with increased relevance of yield factors over it with increased forecasting horizons. The study was conduct for the two Iberian countries using information of public debt interest rates of Spain and Portugal and macroeconomic factors extracted from a set of macroeconomic variables, including indicators of activity, prices and confidence. Results show that the inclusion of confidence and macroeconomic factors in the analysis of the relationship between macroeconomics and interest rate structure is extremely relevant. The results obtained allow us to conclude that there is a strong impact of changes in macroeconomic factors on the term structure of interest rates, as well as a significant impact factors of the term structure in the future evolution of macroeconomic factors.

scholarly journals Role of Zakat as Social Finance Catalyst to Islamic Banking and Economic Growth

2017 ◽  
Vol 2 (2) ◽  
pp. 55-70 ◽  
Author(s):  
Ai Nur Bayinah
Keyword(s):  
Economic Growth ◽  
Positive Impact ◽  
Islamic Banking ◽  
Annual Data ◽  
Impulse Response Functions ◽  
Islamic Banks ◽  
West Java ◽  
Vector Autoregressive ◽  
The Impact ◽  
Integration Analysis

This paper is aimed to assess the contribution of Zakat in boosting Islamic banks’ financing and economic growth for the period 2011-2015, in 10 district/city of West Java Province, Indonesia. Through Vector Autoregressive (VAR) panel co-integration analysis, variance decompositions (VD) and impulse response functions (IRF), this study investigates Zakat, Islamic Banking, and economic growth nexus. Findings in this research highlight that Zakat has a significant impact on Islamic banking, so this institution would contribute to economic growth both in the short and the long run, with fluctuation in variance from the first year. The results lend support to the view that Zakat not only leads to social benefits but also has a positive impact on the economy through increasing Islamic banks’ financing. Therefore, this research will serve as a motivation for the industry players and regulators to continuously promote Zakat as a strategic policy. The originality of this research is to assess Zakat-led growth and finance by analyzing the impact of Zakat on the Islamic banking and regional economic outcome. Another novel aspect of this study is in the methodology as it employs VAR panel co-integration analysis, VDs and IRFs on the set of annual data. Keywords: Zakat, Islamic Banking Financing, Economic Growth, West Java

scholarly journals THE IMPACT OF THE WORLD FOOD PRICE INDEX ON SOME EAST-EUROPEAN ECONOMIES

2018 ◽  
Vol 19 (2) ◽  
pp. 268-287
Author(s):  
Corina Saman ◽  
Cecilia Alexandri
Keyword(s):  
Price Volatility ◽  
Agricultural Trade ◽  
Food Prices ◽  
Food Price ◽  
Long Run ◽  
Short Run ◽  
Positive Shock ◽  
Macroeconomic Implications ◽  
The Impact ◽  
Global Food

This paper deals with the dynamic response of exchange rates, inflation and agricultural foreign trade in Bulgaria, Poland and Romania to global food prices. We employ time-varying VARs with stochastic volatility to estimate the behaviour of these macroeconomic variables over the 2001M1–2015M12 period. The original contribution of this paper is that it captures the time variation and nonlinearities of the relationship between variables taking into account food price volatility and its macroeconomic implications. The main findings of the paper are: (i) high global food prices were transmitted to domestic economies causing pressure on inflation in the long run; (ii) in the short run the impact of a positive shock in international food price increases domestic inflation, depreci-ates the currency and reduces the agricultural trade; (iii) the vulnerabilities to global food prices are more pregnant for Romania and Bulgaria; (iv) the difference in the transmission of world prices is related to the different status of the countries as regards food and agricultural trade. The findings of the research would be significant for the governments to promote policies to help farmers respond to the rising of food prices by growing more and responding to export opportunities that may arise.

scholarly journals Testing for Causality between Oil Prices and Money Supply in Saudi Arabia (Note 1)

2020 ◽  
Vol 6 (4) ◽  
pp. p58
Author(s):  
Moayad Al Rasasi, PhD ◽  
John H. Qualls, PhD ◽  
Sultan Almutairi
Keyword(s):  
Causal Relationship ◽  
Money Supply ◽  
Oil Prices ◽  
Saudi Arabian ◽  
Causality Analysis ◽  
Price Shocks ◽  
Monthly Data ◽  
Causality Relationship ◽  
The Impact ◽  
Fiscal And Monetary Policy

The impact of oil price shocks on a country’s economy has been well studied in the economic literature. However, until now, articles analyzing the impact of these shocks on the Saudi Arabian economy have been relatively sparse. This paper attempts to shed some light on this important topic by examining the causal relationship between oil prices and an important monetary variable, the M3 (broad-based) money supply. Monthly data going back to 1982 were used in this study, which employs unit root tests and Granger causality analysis to test whether there is a causal relationship or not. No discernable causality relationship was found; this lack of such link leads the authors to conclude that this may be due to the prudent and stable fiscal and monetary policy on the part of the Kingdom’s government and its central bank, the Saudi Arabian Monetary Authority (SAMA).

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