scholarly journals Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China

2021 ◽  
Vol 67 (No. 8) ◽  
pp. 327-336
Author(s):  
Jiawu Dai ◽  
Liurui Deng ◽  
Lan Yang
Keyword(s):  
Exchange Rates ◽  
Exchange Rate Regime ◽  
Spillover Effect ◽  
Macroeconomic Policies ◽  
Agricultural Prices ◽  
Monetary Expansion ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Impact ◽  
Empirical Foundation

This study aims to test the overshooting effect of agricultural prices and the absorber hypothesis of exchange rates by extending the existing overshooting model. Using a combination of modern time series methods and monthly aggregate data from China, we demonstrate that overshooting of agricultural prices does indeed occur since the impact of monetary expansion on flexible agricultural prices is significantly larger than on relatively sticky industrial prices. Granger causality tests confirm that monetary expansion is a possible determinant of the movements of both agricultural and industrial prices, thus providing a solid empirical foundation for the overshooting hypothesis. Our findings also confirm the absorber hypothesis, in that the overshooting effect of agricultural prices under a fixed exchange rate regime (ERR) is shown to be greater than that under a floating ERR. The main policy implication is that policymakers should pay attention to the spillover effect of monetary expansion on agricultural prices when adjusting macroeconomic policies, especially under a fixed ERR.

Impact of external currency exposures on macroeconomic policies

2020 ◽  
pp. 23-40
Author(s):  
I. V. Prilepskiy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Positive Impact ◽  
Exchange Rate Regime ◽  
Macroeconomic Policies ◽  
Panel Regressions ◽  
Financial Account ◽  
Currency Exposure ◽  
Cross Country ◽  
The Impact

Based on cross-country panel regressions, the paper analyzes the impact of external currency exposures on monetary policy, exchange rate regime and capital controls. It is determined that positive net external position (which, e.g., is the case for Russia) is associated with a higher degree of monetary policy autonomy, i.e. the national key interest rate is less responsive to Fed/ECB policy and exchange rate fluctuations. Therefore, the risks of cross-country synchronization of financial cycles are reduced, while central banks are able to place a larger emphasis on their price stability mandates. Significant positive impact of net external currency exposure on exchange rate flexibility and financial account liberalization is only found in the context of static models. This is probably due to the two-way links between incentives for external assets/liabilities accumulation and these macroeconomic policy tools.

A Replication of “Is Public Expenditure Productive?” (Journal of Monetary Economics, 1989)

2017 ◽  
Vol 47 (3) ◽  
pp. 623-629
Author(s):  
Christopher Clarke ◽  
Raymond G. Batina
Keyword(s):  
Public Expenditure ◽  
Monetary Economics ◽  
Public Capital ◽  
Data Sources ◽  
Exact Methods ◽  
Us Economy ◽  
The Us ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Impact

We replicate the results of the landmark paper by Aschauer (1989) on the impact of public capital on the US economy. We obtained data from his stated sources and followed his exact methods and are able to replicate his main results. We also extend his data to the period 1949 to 2015, use different data sources, DOLS and VECM estimation, and Granger causality tests. We are again able to replicate his results. Please see the longer version of our article for details.

scholarly journals Innovative Development of the Agricultural Sector in the Visegrad Group Countries

2021 ◽  
Vol 14 (1) ◽  
pp. 1-13
Author(s):  
Anastasiia Burdiuzha
Keyword(s):  
Granger Causality ◽  
Agricultural Sector ◽  
Value Added ◽  
Innovation Activity ◽  
European Patent ◽  
Innovative Development ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Impact ◽  
Visegrad Group

Abstract Subject and purpose of work: Analysis of the innovative development trends of the agricultural sector in the Visegrad Group countries in 1995–2019. Investigation of the impact of innovation on value added to GDP by the sector and the patent activity. Materials and methods: Secondary data used in the current research were taken from Eurostat, World Bank and European Patent Office databases. They were analyzed by applying OLS models and Granger causality tests. Results: First, composition of R&D expenses in each Visegrad country was examined. Then its relationship to agricultural GDP and the number of the patents granted was tested by means of OLS models. Forecasting the relationship between variables examined was carried out by running Granger causality tests. Conclusions: There was a constant growth in agricultural innovation activity investment from 1995 to 2019. Nevertheless, the countries examined have not yet reached the EU’s objective concerning the R&D intensities. Innovation activity had a positive impact on the value added to GDP by agriculture and on the number of the patents granted.

Exchange rates and prices: revisiting Granger causality tests

2007 ◽  
Vol 29 (2) ◽  
pp. 259-283 ◽  
Author(s):  
Jen-Chi Cheng ◽  
Larry Taylor ◽  
Wenlong Weng
Keyword(s):  
Exchange Rates ◽  
Granger Causality ◽  
Causality Tests ◽  
Granger Causality Tests

scholarly journals Coupling of Currencies: An INR and USD Perspective

2019 ◽  
Vol 18 (3) ◽  
pp. 51-64
Author(s):  
Mayuree Barik ◽  
Aparna Rao
Keyword(s):  
Exchange Rates ◽  
Causality Tests ◽  
The Impact ◽  
The Relationship

This paper aims to explore the relationship between the Indian Rupees (INR) and USDollars (USD). It further tries to identify whether the volatility of exchange rates is affected by various events. Bivariate causality tests have been run on the exchange rates of INR and USD which have revealed a coupled relationship between them. Further, it was found that the magnitude of the impact on the volatility of exchange rates varies according to the nature of the event.

scholarly journals Impact of Macroeconomic Policies on Agricultural Prices

2005 ◽  
Vol 34 (2) ◽  
pp. 226-237 ◽  
Author(s):  
Titus O. Awokuse
Keyword(s):  
Monetary Policy ◽  
Policy Instrument ◽  
Type Model ◽  
Macroeconomic Policies ◽  
Agricultural Prices ◽  
Dynamic Relationship ◽  
Policy Tool ◽  
Time Period ◽  
Monetary Policy Shock ◽  
The Impact

Existing empirical evidence on the impact of macroeconomic variables on agriculture remains mixed and inconclusive. This paper re-examines the dynamic relationship between monetary policy variables and agricultural prices using alternative vector autoregression (VAR) type model specifications. Directed acyclic graph theory is proposed as an alternative modeling approach to supplement existing modeling methods. Similar to results in other studies, this study's findings show that over the time period analyzed (1975–2000), changes to money supply as a monetary policy tool had little or no impact on agricultural prices. The primary macroeconomic policy instrument that affects agricultural prices is the exchange rate, which is shown to be directly linked to interest rate, a source of monetary policy shock.

scholarly journals Determinants of Bank Lending in Nigeria

2020 ◽  
Vol 12 (3) ◽  
pp. 378-398
Author(s):  
Adeola Y. Oyebowale
Keyword(s):  
Granger Causality ◽  
Commercial Banks ◽  
Bank Lending ◽  
Capital Adequacy ◽  
Annual Data ◽  
Bank Capital ◽  
Bounds Testing ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Impact

The willingness of commercial banks to provide loans is determined by various factors. In this regard, this paper provides empirical evidence on determinants of bank lending in Nigeria. The parsimonious model of this study investigates the impact of growth in loan-to-deposit ratio, growth in inflation, growth in broad money, and growth in bank capital on growth in bank lending using annual data from 1961 to 2016. This study adopts the autoregressive distributed lag (ARDL) bounds testing approach and Granger causality tests to investigate the relationship and direction of causality among the variables, respectively. The Granger causality tests show that growth in broad money Granger-causes growth in bank lending, while there is no causality from other explanatory variables to bank lending in Nigeria. Also, this study shows that growth in bank lending Granger-causes growth in loan-to-deposit ratio and growth in inflation in Nigeria. Thus, this paper argues that commercial banks in Nigeria exhibit stern concern for their liquidity and capital adequacy positions while acting as financial intermediaries. Additionally, this paper argues that the Central Bank of Nigeria (CBN) possesses “paper-based” independence.

Hungarian macroeconomic variables — Reflections on causal relationships

2003 ◽  
Vol 53 (1) ◽  
pp. 61-73
Author(s):  
N. Dritsakis
Keyword(s):  
Exchange Rates ◽  
Interest Rates ◽  
Causal Relationships ◽  
Transition Country ◽  
Macroeconomic Variables ◽  
Causality Tests ◽  
Granger Causality Tests ◽  
The Relationship ◽  
The Empirical Analysis ◽  
Multivariate Cointegration

The paper investigates the relationship among macroeconomic variables for a transition country: Hungary. The purpose of this paper is to measure the dynamic interrelationship among macroeconomic variables such as money supply, output, interest rates, inflation and exchange rates. For the empirical analysis of this investigation, quarterly data have been used for the period from 1980 to 2000, and the Johansen multivariate cointegration technique and the Granger causality tests have been applied. The results provide evidence of the existence of important causal relationships between variables that describe macroeconomic activity in Hungary.

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