scholarly journals An attribution analysis of soybean price volatility in China: global market connectedness or energy market transmission?

2020 ◽  
pp. 1-12
Author(s):  
Youwang Zhang ◽  
Chongguang Li ◽  
Yuanyuan Xu ◽  
Jian Li
Keyword(s):  
Price Volatility ◽  
Global Market ◽  
Energy Price ◽  
Policy Makers ◽  
Market Participants ◽  
Long Run ◽  
Soybean Price ◽  
Short Run ◽  
Pass Through ◽  
The Impact

This study examines the impact of international soybean price and energy price on Chinese soybean price. Applied to monthly data over the period of 2007-2017, results show that both international soybean price and energy price have significant impacts on Chinese soybean price, while the impact from global soybean market tends to be more profound. First, we find that in the long run the cumulative pass-through elasticity of Chinese soybean price to international soybean price is greater than the elasticity to international energy price. Second, in the short run, international soybean price shocks transmit more quickly to Chinese soybean price. Our results shed new light on the determinants of soybean price volatility in China, and provide meaningful implications on the price risk management for market participants and policy makers.

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 Effect of Money Supply on Inflation in Nepal: Empirical Evidence from ARDL Bounds Test

2021 ◽  
Vol 2 (1) ◽  
pp. 84-98
Author(s):  
Uttam Lal Joshi
Keyword(s):  
Money Supply ◽  
Correction Term ◽  
Policy Makers ◽  
Ardl Bounds Test ◽  
Long Run ◽  
Short Run ◽  
Bounds Test ◽  
Monetary And Fiscal Policy ◽  
Relationship Of ◽  
The Impact

This study explores the long-run and short-run relationship of money supply and inflation in the context of Nepal. Data are extracted from Economic Survey of Nepal since 1964/65 to 2018/19 to obtain the relationship. ARDL Bounds test is used for cointegration test where the dependent variable is inflation and money supply and Indian inflation are taken as independent variables to estimate the model. Result shows the long-run cointegration between the variables reveals long-run relationship and the error correction term is found to be negative (-0.98) and significant (p=0.02). The study suggests that policy makers can reduce the impact of money supply on inflation and should focus on the control of inflation adopting monetary and fiscal policy mechanism. Creeping inflation in the pace of economic growth is desirable and successful cure of inflation will help in stability and growth of the country.  

scholarly journals Investigating Exchange Rate Pass-through to Consumer Prices in Nigeria

2021 ◽  
Vol 21 (1) ◽  
pp. 105-121
Author(s):  
Ephraim Ugwu ◽  
Ditimi Amassoma ◽  
Christopher Ehinomen
Keyword(s):  
Exchange Rate ◽  
Research Work ◽  
Exchange Rate Policy ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact ◽  
Negative Shock

Abstract Research background: There have been several studies on the degree of exchange rate pass-through (ERPT) to consumer prices, as well as macroeconomic environment with yet no clear direction. Purpose: This research work investigates exchange rate pass-through effects into consumer prices in Nigeria from 1960 to 2018. Research methodology: The methodology employed by the study for estimation is the Johansen cointegration and Vector Error Correction Model (VECM) procedures. Results: The empirical results indicate an incomplete pass-through of exchange rate into consumer prices in Nigeria. The pass-through is found to be 1.6 for the model under consideration. The impulse response function results indicate that the response of the consumer prices to the exchange rate shock decreases immediately to a negative shock in the short run, and continues along the horizon to a positive shock in the long run. Also, the response of consumer prices to interest rate shock decreases immediately and continues to fluctuate to a negative shock in both the short run long run horizon. Novelty: The results support the view that exchange rate policy should be complimented with coordinated macroeconomic policy approaches in order to control inflationary level in the economy. The study therefore recommends that the Federal Government should adopt a tightening of the monetary policy as it will help reduce the impact of exchange rate depreciation on consumer prices.

Measuring price discovery in the European wheat market using the partial cointegration approach

2019 ◽  
Vol 47 (3) ◽  
pp. 1173-1200
Author(s):  
Teresa Vollmer ◽  
Helmut Herwartz ◽  
Stephan von Cramon-Taubadel
Keyword(s):  
Price Discovery ◽  
Price Volatility ◽  
Market Regulation ◽  
Futures Prices ◽  
Policy Makers ◽  
Market Participants ◽  
Policy Debates ◽  
Long Run ◽  
Wheat Market

Abstract Understanding price discovery in agricultural spot and futures markets is important for market participants and policy makers, because it can contribute to better management decisions and more informed policy debates on market regulation. Combining partial cointegration with state space modelling, we generate time-varying price discovery metrics for the European wheat market that allow for shifts in the long-run relationship. We find that the futures market dominates price discovery in terms of efficiency, but that this dominance is reduced in phases of higher price volatility. We find evidence of persistent shocks in the long-run relationship between spot and futures prices that appear to be related to variations in the quality of the wheat harvest, and to the concatenation of the futures prices.

scholarly journals Impact of Monetary Policy Uncertainty and Fiscal Policy Uncertainty on CO2 Emissions in the Us

2020 ◽  
Author(s):  
Khalid Anser ◽  
Qasim Syed ◽  
Noreen Khalid ◽  
Jamshid Ali Turi ◽  
Juned Ali Shah
Keyword(s):  
Monetary Policy ◽  
Fiscal Policy ◽  
Environmental Degradation ◽  
Carbon Emissions ◽  
Annual Data ◽  
Policy Uncertainty ◽  
Policy Makers ◽  
Long Run ◽  
Short Run ◽  
The Impact

Abstract Nowadays, environmental degradation is perceived as one of the serious concerns across the globe. One of the prime reasons behind environmental degradation is CO2 emissions. Therefore, researchers are actively putting their efforts to explore the determinants of CO2 emissions to mitigate CO2 emissions. On this basis, the present study contributes to the existing literature by investigating the impact of monetary policy uncertainty (MPU) and fiscal policy uncertainty (FPU) on CO2 emissions (environmental degradation). The current study employs ARDL methodology and uses annual data ranging from 1985 to 2019 for US. The results from the ARDL model report that there is an existence of long-run relationship among the variables. Moreover, MPU escalates the carbon emissions in both short-run and long-run. This implies that increase in MPU is responsible for rise in environmental degradation. On the contrary, FPU plunges the carbon emissions in both short- and long-run. This indicates that increase in FPU decreases the environmental degradation. Findings from the current study propose that policy makers should introduce reforms and launch policies to shrink MPU. Next, this study proposes that rule should be adopted as monetary policy making framework in lieu of discretion. Furthermore, the current study recommends that FPU should not be utilized as a tool to mitigate environmental degradation, because FPU has severe economic impacts.

Has the Export Pricing Behaviour of German Enterprises Changed?

2007 ◽  
Vol 227 (3) ◽  
Author(s):  
Kerstin Stahn
Keyword(s):  
Export Price ◽  
Price Setting ◽  
Competitive Pressure ◽  
Product Categories ◽  
Long Run ◽  
Short Run ◽  
Price Determinants ◽  
Pass Through ◽  
The Individual ◽  
The Impact

SummaryThe question as to whether the globalisation-related increase in competitive pressure may have caused the importance of cost pass-through (CPT) and pricing-to-market (PTM) for export pricing in Germany to shift since the 1990s is addressed by testing the long-run export pricing behaviour of German enterprises for changes in the impact of its determinants. As globalisation may have affected competitive pressure in individual product markets differently, export pricing is analysed for 11 product categories. Analytically, this problem is solved by applying the Saikkonen (1991) approach to estimate the individual export price categories in single equations. The first hypothesis – that CPT is stronger, and PTM weaker, for heterogeneous products than for homogeneous products – is found to hold more for CPT than for PTM. The second hypothesis, which presumes that CPT has weakened and PTM has strengthened since the 1990s, is confirmed with respect to the overall outcome, although for several product categories the results conflict with the hypothesis. Moreover, error correction models are used to test exporters’ short-run price-setting behaviour for asymmetry, ie whether short-run increases in the export price determinants are passed through to a different extent than decreases. It is shown that symmetric export pricing is seldom rejected.

scholarly journals Assessing the impact of macroeconomic variables on pension benefits in Ghana: A case of Social Security and National Insurance Trust

2017 ◽  
Vol 20 (1) ◽  
Author(s):  
Grace Ofori-Abebrese ◽  
Robert Becker Pickson ◽  
Sherifatu Abubakari
Keyword(s):  
Monetary Policy ◽  
Pension Reform ◽  
Economic Indicators ◽  
Standard Of Living ◽  
Domestic Currency ◽  
Policy Makers ◽  
Long Run ◽  
Short Run ◽  
Pension Benefits ◽  
The Impact

Background: One of the most pressing phases for all economic agents is post-retirement standard of living. Irrespective of the higher returns on pension contribution and varied pension reforms, there are possible factors that can render these pension benefits inadequate, which can affect the longevity of retirees. Studies conducted in other countries have concluded that inflation deteriorates the value of pension benefits. Aim: This study, thus, sought to assess the impact of some major economic indicators in the Ghanaian environment on pension benefits.Setting: This study was carried out in Ghana by obtaining quarterly data frequencies on pension benefits and economic indicators spanning the period 2000Q1 to 2014Q4.Method: The Auto-regressive Distributed Lag Model was utilised to examine the long run and short run dynamics of some major economic indicators and pension benefits.Results: The empirical evidence indicated that inflation deteriorates total pension benefits. Increasing monetary policy rate and depreciation of the domestic currency should be an issue to contend with only in the short run rather than in the long run. The study also found the prominence of the implementation of the National Pension Reform in 2008.Conclusion: The study concluded that if policy makers target the reduction in the monetary policy rate and the appreciation of the domestic currency in an effort to stabilise the value of total pension benefits in the long run, it would not be effective in the long run because of their insignificant nature. Policy makers should rather target inflation as the prime tool for stabilising the standard of living of retirees in the long run.

scholarly journals Exchange Rate Pass-through to Consumer Prices in Pakistan: Does Misalignment Matter?

2010 ◽  
Vol 49 (1) ◽  
pp. 19-35 ◽  
Author(s):  
Atif Ali Jaffri
Keyword(s):  
Exchange Rate ◽  
Exchange Rate Regime ◽  
Jel Classification ◽  
Price Inflation ◽  
Long Run ◽  
Consumer Prices ◽  
Short Run ◽  
Pass Through ◽  
Exchange Rate Pass Through ◽  
The Impact

This study investigates the impact of exchange rate changes on consumer prices (commonly known as exchange rate pass-through (ERPT)) in Pakistan for the period 1995M1 to 2009M3. The study estimates short-run and long-run ERPT in Pakistan while taking into account the existing real exchange rate misalignment (RERM). The results suggest that the ERPT to consumer price inflation in Pakistan is very low (close to zero). The impact of the previous periods’ misalignment on inflation is found significant in managed exchange rate regime. However, the overall sample misalignment does not affect inflation. The impact of foreign inflation on domestic inflation is positive and statistically significant. JEL classification: F31, F41, E31 Keywords: Pass-through, Misalignment, Inflation

scholarly journals Interest Rate Pass‐Through: Empirical Evidence from Pakistan

2013 ◽  
Vol 18 (1) ◽  
pp. 39-62
Author(s):  
Sheikh Khurram Fazal ◽  
Muhammad Abdus Salam
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Impulse Response Function ◽  
Weighted Average ◽  
Lending Channel ◽  
Long Run ◽  
Error Correction Mechanism ◽  
Short Run ◽  
Pass Through ◽  
The Impact

This article empirically examines the interest rate pass‐through mechanism for Pakistan, using six‐month treasury bills as a proxy for the policy rate (the exogenous variable) and the weighted average lending rate and weighted average deposit rate as endogenous variables representing the lending and deposit channels, respectively. We use data for a six‐year period from June 2005 to May 2011, published by the central monetary authority in Pakistan. The widely accepted error correction mechanism is used to examine the short‐run and longrun pass‐through; a vector error correction mechanism impulse response function helps measure the short‐run speed of the pass‐through. We find that there is an incomplete pass‐through in Pakistan for both the lending and deposit channels. The impact is greater on the lending channel than on the deposit channel in both the short and long run, while the adjustment speed is higher for the lending channel.

scholarly journals Credibility of the Philippine Central Bank: Evidenced by the Interest Rate Pass-Through

2017 ◽  
Vol 3 (1) ◽  
pp. 47-56
Author(s):  
Chu V. Nguyen
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
Central Bank ◽  
Empirical Finding ◽  
Policy Makers ◽  
Long Run ◽  
Short Run ◽  
Pass Through ◽  
The Interest Rate

This study investigates the Philippine interest rate pass-through over the December 2001 through January 2016 period. The empirical findings suggest that the Philippine Central Bank has not been very effective in formulating and implementing its countercyclical monetary policy. Specifically, the empirical results reveal very low short-run and long- run interest rate pass-through. The Bounds test results indicate no long-term relationship between countercyclical monetary policy and market rates. Notwithstanding the banking system's remarkable performance in the recent years, amid lingering uncertainties in global financial markets, the Philippine Central Bank lacked the credibility in conducting its countercyclical monetary policy. This empirical finding may not be desirable but it forewarns the monetary policy makers of challenges in formulating and implementing their monetary policy.

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