scholarly journals Comparative Analysis of Monetary Policy Shocks and Exchange Rate Fluctuations in Nigeria and South Africa

2018 ◽  
Vol 9 (6) ◽  
pp. 199
Author(s):  
Sulaiman L. A. ◽  
Lawal N. A. ◽  
Migiro S. O.
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Comparative Analysis ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Exchange Rate Fluctuations ◽  
The World ◽  
Policy Shocks ◽  
Short Run

The study examined a comparative analysis of monetary policy shocks and exchange rate fluctuations based on evidence from the two largest economies in Africa (Nigeria and South Africa) – from 1985 to 2015. Data were derived from various sources which include the National Bureau of Statistics, the Central Banks reports and the World Bank database. Vector Autoregressive (VAR) Analysis was used as the estimation technique. The results indicated that the foreign interest rate in South Africa had higher variations in the short-run. While in the long-run, foreign interest rate has higher percentage variations to exchange rate. In Nigeria the world oil price has the higher influence on exchange rate both in the short-run and longrun periods. Based on these results, the study then recommended that the monetary authorities and policymakers in both countries encourage external currency inflows into the economy.  

scholarly journals Comparative Analysis of Monetary Policy Shocks and Exchange Rate Fluctuations in Nigeria and South Africa

2018 ◽  
Vol 9 (6(J)) ◽  
pp. 199-207
Author(s):  
Sulaiman L. A. ◽  
Lawal N. A. ◽  
Migiro S. O.
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Exchange Rate ◽  
Comparative Analysis ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Exchange Rate Fluctuations ◽  
The World ◽  
Policy Shocks ◽  
Short Run

The study examined a comparative analysis of monetary policy shocks and exchange rate fluctuations based on evidence from the two largest economies in Africa (Nigeria and South Africa) – from 1985 to 2015. Data were derived from various sources which include the National Bureau of Statistics, the Central Banks reports and the World Bank database. Vector Autoregressive (VAR) Analysis was used as the estimation technique. The results indicated that the foreign interest rate in South Africa had higher variations in the short-run. While in the long-run, foreign interest rate has higher percentage variations to exchange rate. In Nigeria the world oil price has the higher influence on exchange rate both in the short-run and longrun periods. Based on these results, the study then recommended that the monetary authorities and policymakers in both countries encourage external currency inflows into the economy.  

scholarly journals disaggregated analysis of monetary policy effects on the agricultural sector in Nigeria

2020 ◽  
Vol 14 (3-4) ◽  
pp. 47-58
Author(s):  
Jonathan E. Ogbuabor ◽  
Onyinye I. Anthony-Orji ◽  
Charles O. Manasseh ◽  
Anthony Orji
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Crop Production ◽  
Agricultural Sector ◽  
Forecast Error ◽  
Monetary Policy Shocks ◽  
Forecast Horizon ◽  
Policy Shocks

This study provides a disaggregated analysis of the effects of monetary policy shocks on the agricultural sector in Nigeria from 1981Q1 to 2016Q4. The study utilized the generalized impulse responses and the normalized generalized forecast error variance decompositions from an underlying VAR model, which are order-invariant. The four monetary policy variables used in the study are interbank call rate, monetary policy rate, broad money supply and exchange rate; while the four agricultural sub-sectors investigated are crop production, forestry, fishing and livestock. The study also controlled for the general price level and other economic activities in the overall economy. The findings indicate that the aggregate agricultural sector and its various sub-sectors consistently responded negatively to unanticipated monetary tightening in most of the forecast horizon; while the immediate impact of monetary policy shocks is transmitted to the agricultural sector through the interest rate and money demand (credit) channels. The findings further indicate that apart from these two channels, the roles of monetary policy rate and exchange rate are non-negligible in the long-run. The role of money supply channel in spreading monetary policy shocks to the agricultural sector remained muted all through. The study concludes that the monetary authority should evolve interest rate, credit, and exchange rate policies that will promote the development of the agricultural sector in Nigeria. JEL CODES: E52; N50; C22; N57

scholarly journals INTEREST RATE EFFECTS OF DEMOGRAPHIC CHANGES IN A NEW KEYNESIAN LIFE-CYCLE FRAMEWORK

2014 ◽  
Vol 20 (1) ◽  
pp. 120-164 ◽  
Author(s):  
Engin Kara ◽  
Leopold von Thadden
Keyword(s):  
Monetary Policy ◽  
Interest Rate ◽  
New Keynesian ◽  
Policy Framework ◽  
Small Scale ◽  
Monetary Policy Shocks ◽  
Keynesian Model ◽  
Rate Effects ◽  
Policy Shocks ◽  
Short Run

This paper develops a small-scale DSGE model that embeds a demographic structure within a monetary policy framework. We extend the nonmonetary overlapping-generations model of Gertler and present a small synthesis model that combines the setup of Gertler with a New Keynesian structure, implying that the short-run dynamics related to monetary policy can be compared with that of the standard New Keynesian model. In sum, the model offers a New Keynesian platform that can be used to characterize the response of macroeconomic variables to demographic shocks, similarly to the responses to technology or monetary policy shocks. We offer such characterizations for flexible and sticky price equilibria. Empirically, we calibrate the model to demographic developments projected for the euro area. The main finding is that the projected slowdown in population growth and the increase in longevity contribute slowly over time to a decline in the equilibrium interest rate.

Monetary policy and macroeconomic responses: non-recursive SVAR study of Egypt

2019 ◽  
Vol 11 (3) ◽  
pp. 319-337
Author(s):  
Mohamed Aseel Shokr ◽  
Zulkefly Abdul Karim ◽  
Mohd Azlan Shah Zaidi
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Monetary Policy Shocks ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Svar Model ◽  
Policy Shocks ◽  
Effect Of Monetary Policy ◽  
Foreign Shocks

Purpose This paper aims to examine the effects of monetary policy and foreign shocks on output, inflation and exchange rate in Egypt. Design/methodology/approach This paper studies the effects of monetary policy and foreign shocks on output, inflation and exchange rate by using non-recursive SVAR model and quarterly data. Findings First, the empirical results reveal that monetary policy shocks, through changes in interest rate or money supply, have a significant effect on output, inflation and exchange rate in Egypt. Second, the world oil prices and foreign output have significant impacts on output, inflation and exchange rate in Egypt, while foreign interest rate has a significant effect on domestic output and inflation. Research limitations/implications The limitation of the study is examining one country only. Practical implications The Central Bank of Egypt (CBE) should adjust interest rate to stabilize inflation, output and exchange rate. By stabilizing inflation, output and exchange rate, the CBE would be able to achieve the ultimate targets of monetary policy, namely, price stability and economic growth. Social implications It is important for the CBE because it shows the significant effect of monetary policy on macroeconomic variables in Egypt. Also, it is important for people because it shows the important role for the CBE. Originality/value It is important for the CBE because it examines the effect of monetary policy and foreign shocks on macroeconomic variables.

scholarly journals Trade Balance Response to Shocks in Monetary Policy and Exchange Rate: Evidence from Pakistan using SVECM Approach

2017 ◽  
Vol 18 (3) ◽  
pp. 579-594
Author(s):  
Abdul Rahman Nizamani ◽  
Zulkefly Abdul Karim ◽  
Mohd Azlan Shah Zaidi ◽  
Norlin Khalid
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Trade Balance ◽  
Trade Deficit ◽  
Monetary Policy Shocks ◽  
Trade Surplus ◽  
Vector Error Correction ◽  
Policy Shocks ◽  
Short Run ◽  
Exchange Rate Shocks

This paper examines the effects of monetary policy and exchange rate shocks on the trade balance of Pakistan. Theseeffects are further investigated on the two broad categories of trade surplus and trade deficit sectors.Thisstudy has employed the Structural Vector Error Correction Model (SVECM) withalongrun and short run restrictions to identify the monetary policy shocks. The results from the SVECM are consistent with the standard theoretical expectationsi.e. free from empirical puzzles.The findings have revealed that the tradebalance deteriorates to the contractionary monetary policy shocks, providing support to the expenditure switching effects of monetary policy in Pakistan. Furthermore, the effectiveness of monetarypolicyis only limited to trade surplus sectors.On the other hand, the exchange rateshocks do not support the J-Curve effects on both the aggregate as well as disaggregate level trade balance.

scholarly journals Monetary Policy Shocks and Industrial Sector Performance in South Africa

2016 ◽  
Vol 8 (3(J)) ◽  
pp. 26-40 ◽  
Author(s):  
Adebayo Augustine Kutu ◽  
Harold Ngalawa
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Interest Rate ◽  
Exchange Rates ◽  
Industrial Sector ◽  
Output Growth ◽  
Industrial Output ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Sector Performance

This paper employs an eight variable Structural Vector Auto regression (SVAR) model to examine how monetary policy shocks affect industrial sector performance in South Africa using monthly data from 1994:1 to 2012:12.The study finds no direct link between exchange rate and interest rate shocks and industrial output growth. A money supply shock, however, is observed to exert a significant positive impact on industrial output growth from about the eighth month. The study also reveals that the interest rate response to an unanticipated increase in the rate of inflation is insignificant, reflecting the infrequent changes of the repo rate in the country. We also find evidence of a symbiotic relationship between industrial output growth and other sectors of the economy that form components of aggregate output. The study further demonstrates that monetary authorities have very limited control over industrial output growth using instruments of monetary policy. In addition, it is found that relatively large proportions of the variations in the rate of inflation are explained by changes in money supply, exchange rates and industrial output. We also observe that variations in exchange rates are largely explained by unexpected changes in the exchange rates themselves, which supports the Martingale Hypothesis of exchange rates.

Revisiting the Link between House Prices and Monetary Policy

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Shiu-Sheng Chen ◽  
Tzu-Yu Lin
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Interest Rate ◽  
The Netherlands ◽  
House Prices ◽  
House Price ◽  
Monetary Policy Shocks ◽  
The Us ◽  
Policy Shocks ◽  
Interest Rate Shock

Abstract This paper revisits the link between house prices and monetary policy using a data set on house prices provided by the Bank for International Settlements. It is found that a loose monetary policy unambiguously results in a rise in real house prices, and such an increase is statistically significant for 19 of the 20 countries studied here. Empirical results also show that for some countries (Belgium, Canada, Switzerland, Denmark, the Netherlands, Sweden, and South Africa), the interest rate shock can explain a large percentage of real house price movements. The response of house prices to monetary policy shocks varies between countries, and the strength of the relationship between house prices and monetary policy can be associated with financial liberalization. On the other hand, evidence shows that interest rate shock plays an important role in explaining recent house price hikes for Australia, Spain, Ireland, the Netherlands, the US, and South Africa. In particular, during 2002–2006, on average 24% of the house price hikes in the US can be attributed to monetary policy shocks. Finally, we also find evidence that central banks react to the housing market, particularly in those countries adopting a policy of inflation targeting.

Monetary Policy Contagion in the West African Monetary Zone

2019 ◽  
Vol 54 (4) ◽  
pp. 375-398
Author(s):  
Moses K. Tule ◽  
Taiwo Ajilore ◽  
Augustine Ujunwa
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Time Series Data ◽  
West African ◽  
The Gambia ◽  
Macroeconomic Fluctuations ◽  
Series Data ◽  
Monetary Policy Shocks ◽  
Policy Shocks ◽  
Short Run

The study utilized quarterly time series data for Nigeria and three selected West African Monetary Zone (WAMZ) countries for the period 1980–2016 to verify whether monetary policy shocks emanating from Nigeria are an important source of macroeconomic fluctuations in WAMZ economies. The study complemented the Global vector autoregressive method with the Diebold–Yilmaz (2009) connectedness weights computation for the analysis. Inferences from generalized impulse response function (GIRF) analysis indicated that an unanticipated Nigerian monetary policy shock depreciates the Nigeria–USA exchange rate, stimulates growth, decelerates inflation and expands the money stock in the short run for Nigeria. In Ghana, Nigeria’s monetary policy shocks similarly depreciates the exchange rate, slows growth with high inflationary impact in the short run. In the Gambia, unanticipated shocks emanating from Nigeria strengthens the Gambia–USA exchange rate, depresses growth and inflationary pressures. Sierra Leone shares the appreciation of its currency with the Gambia, in addition to an economic expansion and rising inflation. Money supply also increases to accommodate the expanding demand. These results validated the thesis that there exist considerable geographical linkages within the WAMZ regions through which macroeconomic fluctuations are transmitted. For policy, monetary authorities in the region should collectively address the question of how to stabilize the economy in response to monetary policy shocks emanating from Nigeria. JEL Codes: E52, E32, E65, F02

The Role of Different Channels in Transmitting Monetary Policy into Output and Price in Vietnam

2015 ◽  
pp. 20-40
Author(s):  
Vinh Nguyen Thi Thuy
Keyword(s):  
Monetary Policy ◽  
Exchange Rate ◽  
Interest Rate ◽  
Money Supply ◽  
Monetary Transmission ◽  
Impulse Response Functions ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate ◽  
Interest Rate Channel

The paper investigates the mechanism of monetary transmission in Vietnam through different channels - namely the interest rate channel, the exchange rate channel, the asset channel and the credit channel for the period January 1995 - October 2009. This study applies VAR analysis to evaluate the monetary transmission mechanisms to output and price level. To compare the relative importance of different channels for transmitting monetary policy, the paper estimates the impulse response functions and variance decompositions of variables. The empirical results show that the changes in money supply have a significant impact on output rather than price in the short run. The impacts of money supply on price and output are stronger through the exchange rate and credit channels, but however, are weaker through the interest rate channel. The impacts of monetary policy on output and inflation may be erroneous through the equity price channel because of the lack of an established and well-functioning stock market.

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