scholarly journals How influential are COVID–19 data points? A fresh look at an estimated small scale DSGE model for the Philippines

2021 ◽  
Vol 58 (1&2) ◽  
pp. 14-37
Author(s):  
Lawrence Dacuycuy
Keyword(s):  
Financial Distress ◽  
The Philippines ◽  
New Keynesian ◽  
Shock Propagation ◽  
Small Scale ◽  
Parameter Estimates ◽  
Dsge Model ◽  
Identification Schemes ◽  
Dynamic Stochastic ◽  
The Impact

Shocks emanating from the global pandemic continue to reshape the macroeconomic landscape—dimming national growth prospects, prolonging widespread financial distress among households, firms, and governments and heightening uncertainty. Using a small-scale New Keynesian Dynamic Stochastic General Equilibrium (DSGE) model for the Philippines, we examine the model’s sensitivity to COVID-19 datapoints or extreme observations. Relative to estimates during the base period (2002Q1 to 2019Q4), the inclusion of extreme datapoints worsens the model’s log data density progressively, from the consideration of the first quarter of 2020 to the full sample – an indication that shock propagation mechanisms associated with COVID–19 and other natural disasters should be integrated into the model. Even with the inclusion of said extreme observations, however, the model’s parameters are identified, provided identification schemes are evaluated at posterior median estimates. Judging from the sets of parameter estimates relative to the base sample, the effects of extreme observations are found to be non–uniform, especially the size of the shocks. But there are other parameters, notably those that are embedded in the Taylor rule, which are relatively as stable as some household related parameters. These results imply that the size of standard errors for demand, supply, and monetary policy shocks adjust to partially capture the impact of extreme datapoints.

ENERGY IN A MODEL OF FIRM ENTRY

2018 ◽  
Vol 24 (2) ◽  
pp. 231-254
Author(s):  
Soma Patra
Keyword(s):  
Negative Impact ◽  
The United States ◽  
Energy Price ◽  
Firm Entry ◽  
Energy Prices ◽  
Dsge Model ◽  
Price Shocks ◽  
Firm Level ◽  
Dynamic Stochastic ◽  
The Impact

Nine out of the last ten recessions in the United States have been preceded by an increase in the price of oil as noted by Hamilton [Palgrave Dictionary of Economics]. Given the small share of energy in gross domestic product this phenomenon is difficult to explain using standard models. In this paper, I show that firm entry can be an important transmission and amplifying channel for energy price shocks. The results from the baseline dynamic stochastic general equilibrium (DSGE) model predict a drop in output that is two times the impact in a model without entry. The model also predicts an increase in energy prices would lead to a decline in real wages, investment, consumption, and return on investment. Additionally, using US firm level data, I demonstrate that a rise in energy prices has a negative impact on firm entry as predicted by the DSGE model. This lends further support toward endogenizing firm entry when analyzing the effects of energy price shocks.

scholarly journals The Vietnamese business cycle in an estimated small open economy New Keynesian DSGE model

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Phuong V. Nguyen
Keyword(s):  
Business Cycle ◽  
Open Economy ◽  
Small Open Economy ◽  
Research Paper ◽  
New Keynesian ◽  
Dsge Model ◽  
Content Type ◽  
Business Cycle Fluctuations ◽  
Dynamic Stochastic ◽  
The Business Cycle

PurposeThe primary purpose of this paper is to investigate the sources of the business cycle fluctuations in Vietnam. To this end, the author develops a small open economy New Keynesian dynamic stochastic general equilibrium (SOE-NK-DSGE) model. Accordingly, this model includes various features, such as habit consumption, staggered price, price indexation, incomplete exchange-rate pass-through (ERPT), the failures of the law of one price (LOOP) and the uncovered interest rate parity. It is then estimated by using the Bayesian technique and Vietnamese data 1999Q1–2017Q1. Based on the estimated model, this paper analyzes the sources of the business cycle fluctuations in this emerging economy. Indeed, this research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.Design/methodology/approachA SOE-NK-DSGE model—Bayesian estimation.FindingsThis paper analyzes the sources of the business cycle fluctuations in Vietnam.Originality/valueThis research paper is the first attempt at developing and estimating the SOE-NK-DSGE model with the Bayesian technique for Vietnam.

scholarly journals Macroprudential Policy in a Heterogeneous Environment—An Application of Agent-Based Approach in Systemic Risk Modelling

Entropy ◽  
2020 ◽  
Vol 22 (2) ◽  
pp. 129
Author(s):  
Jagoda Kaszowska-Mojsa ◽  
Mateusz Pipień
Keyword(s):  
Systemic Risk ◽  
Financial Distress ◽  
Dynamic Stochastic General Equilibrium ◽  
Macroprudential Policy ◽  
Risk Modelling ◽  
Agent Based ◽  
Macroprudential Policies ◽  
Dynamic Stochastic ◽  
Rbc Models ◽  
The Impact

Assessment of welfare effects of macroprudential policy seems the most important application of the Dynamic Stochastic General Equilibrium (DSGE) framework of macro-modelling. In particular, the DSGE-3D model, with three layers of default (3D), was developed and used by the European Systemic Risk Board and European Central Bank as a reference tool to formally model the financial cycle as well as to analyze effects of macroprudential policies. Despite the extreme importance of incorporating financial constraints in Real Business Cycle (RBC) models, the resulting DSGE-3D construct still embraces the representative agent idea, making serious analyses of diversity of economic entities impossible. In this paper, we present an alternative to DSGE modelling that seriously departs from the assumption of the representativeness of agents. Within an Agent Based Modelling (ABM) framework, we build an environment suitable for performing counterfactual simulations of the impact of macroprudential policy on the economy, financial system and society. We contribute to the existing literature by presenting an ABM model with broad insight into heterogeneity of agents. We show the stabilizing effects of macroprudential policies in the case of economic or financial distress.

Shock Propagation Effects in Multilayer Assembly Including a Liquid Phase

2017 ◽  
Vol 755 ◽  
pp. 181-189 ◽  
Author(s):  
Judith Bourguille ◽  
Luca Bergamasco ◽  
Gilles Tahan ◽  
Daniel Fuster ◽  
Michel Arrigoni
Keyword(s):  
Shock Propagation ◽  
Small Scale ◽  
Multiple Reflections ◽  
Protective Material ◽  
Cavitation Inception ◽  
Two Samples ◽  
Cavitation Threshold ◽  
Laser Impact ◽  
Impact Energies ◽  
The Impact

During a ballistic impact, the protective material that plays the role of armour has to dissipate the kinetic energy in order to limit the projectile penetration in the target. Our aim is to emphasis on the role played by a liquid-filled system on the impact energy mitigation due to cavitation inception and later bubble expansion. To observe this, small scale experiments have been carried out on a three layers sample (Aluminium-Water-PMMA) submitted to shock waves induced by laser impact applied on the Al face. Rapid camera visualizations allow reproducing, at small scale, the effects of projectiles on armours for various monitored impact energies. We observe the formation of bubbles for sufficiently intense impacts due to traction effects in the water caused by the multiple reflections of waves within the sample. The cavitation threshold of water under dynamic loading is then experimentally investigated for two samples: one with 600 μm thick Al / 400 μm of water and 3 mm of PMMA, the other with 1000 μm thick Al / 1600 μm of water and 3 mm of PMMA. Using dimensional analysis, we show that the energy taken during the process of inception and bubble expansion becomes more important as the energy of the impact increases.

scholarly journals The impact of microfinance to borrowers. business, personal and financial status and the mediating role of service satisfaction: evidence from the Philippines

2021 ◽  
Author(s):  
Arneil Garcia Gabriel ◽  
Jeff B. Suyu ◽  
Jennifer G. Fronda ◽  
Vilma Ramos
Keyword(s):  
Quantitative Research ◽  
Small And Medium Enterprises ◽  
The Philippines ◽  
Small Scale ◽  
Microfinance Institutions ◽  
Quantitative Research Methods ◽  
Financial Status ◽  
Level Of Satisfaction ◽  
Microfinance Institution ◽  
The Impact

Abstract The backbone of the economy of a developing country like the Philippines is its small and medium enterprises relying on soft loans provided by microfinance institutions. To assess the level of satisfaction of microfinance borrowers on the services of microfinance institution and their services as well as its impact to the business, personal and financial status are necessary for the continued operation of this industry. The objective of this study is to measure the customer level of satisfaction of the services of a microfinance institution in the Philippines and determine its impacts on the customers’ small scale business. The study used a mixed of qualitative and quantitative research methods to gather data and analyze them. The study found that the micro finance institution is giving its borrowers quality services as manifested by a very satisfied rating to the four services provided. It was also described that the institution is positively bringing impact on its borrowers’ business, personal & financial status as manifested by a high and very high impact on the two variables. The study finally revealed that the profile of the customers has significant relationship with the level of satisfaction and impact to business of its borrowers while some areas of services have to be revisited to prevent customer dissatisfaction as there are signs showing low level of satisfaction.

scholarly journals HETEROGENEITY IN WAGE SETTING BEHAVIOR IN A NEW-KEYNESIAN MODEL

2019 ◽  
Vol 24 (6) ◽  
pp. 1512-1546
Author(s):  
Sylvester C. W. Eijffinger ◽  
Anderson Grajales-Olarte ◽  
Burak R. Uras
Keyword(s):  
New Keynesian ◽  
Wage Rigidity ◽  
Nominal Wage ◽  
Dsge Model ◽  
Wage Setting ◽  
Sticky Information ◽  
Bayesian Techniques ◽  
Us Economy ◽  
Output Fluctuations ◽  
Dynamic Stochastic

In this paper we estimate a New-Keynesian dynamic stochastic general equilibrium (NK DSGE) model with heterogeneity in price and wage setting behavior. In a recent study, Coibion and Gorodnichenko develop a DSGE model, in which firms follow four different types of price setting schemes: sticky prices, sticky information, rule-of-thumb, or flexible prices. We enrich Coibion and Gorodnichenko framework by incorporating heterogeneity in nominal wage setting behavior among households. We solve this DSGE model and estimate it using Bayesian techniques for the US economy from 1955 to 2008. The estimation results show the relevance of heterogeneity in wage setting among households. More importantly, we identify qualitative and quantitative business cycle features allowed by the heterogeneity in wage rigidity, such as the persistence in price and wage inflation, which a standard NK model with only Calvo-type wage rigidity fails to achieve. We also show that modeling wage-rigidity heterogeneity—as opposed to standard Calvo wages—amplifies the macroeconomic output fluctuations resulting from a technology shock while it mitigates the output fluctuations following a monetary tightening.

scholarly journals The effects of military and non-military government expenditures on private consumption

2017 ◽  
Vol 54 (3) ◽  
pp. 442-456 ◽  
Author(s):  
Marco Lorusso ◽  
Luca Pieroni
Keyword(s):  
Private Consumption ◽  
Negative Impact ◽  
Military Spending ◽  
New Keynesian ◽  
Impulse Response Functions ◽  
Military Government ◽  
Budget Deficits ◽  
Us Economy ◽  
Dynamic Stochastic ◽  
The Impact

In this article, we provide evidence that civilian and military government spending have specific characteristics that can affect private consumption differently. Our vector autoregressive (VAR) estimates for the US economy for the period 1960–2013 show that civilian expenditure induces a positive and significant response on private consumption, whereas military spending has a negative impact. We also analyze the effects of these public spending components for the subsamples 1960–79 and 1983–2013, respectively. Our results show that the main transmission channels of both civilian and military expenditures have changed over time. We adopt a new Keynesian approach and develop a dynamic stochastic general equilibrium (DSGE) model in order to simulate the empirical evidence. Both the larger persistence of shocks in military spending and the different financing mechanisms, which account for the propensity of policymakers to use budget deficits to finance wars, mimic the differences in the empirical responses of private consumption. Simulated impulse response functions of alternative specification models prove the robustness of our analysis. In particular, we assess the impact of civilian and military shocks in the presence of different (i) shares of heterogeneous households, (ii) price rigidities, and (iii) monetary reactions in response to different government shocks.

scholarly journals Impacts of COVID-19 on the Catch of Small-Scale Fishers and Their Families Due to Restriction Policies in Davao Gulf, Philippines

2022 ◽  
Vol 8 ◽  
Author(s):  
Edison D. Macusi ◽  
Stefenie Katrin V. Siblos ◽  
Martha Elena Betancourt ◽  
Erna S. Macusi ◽  
Michael N. Calderon ◽  
...  
Keyword(s):  
The Philippines ◽  
World Health ◽  
Small Scale ◽  
Catch Per Unit Effort ◽  
Global Pandemic ◽  
Travel Restrictions ◽  
The Government ◽  
Health Organization ◽  
Reduced Mobility ◽  
The Impact

COVID-19 was declared a global pandemic by the World Health Organization in 2020 with countries putting up several measures to mitigate and flatten the curve of hospitalizations and death from travel bans to home confinements and local lockdowns. This pandemic created health and economic crises, leading to increased incidence of poverty and food crisis especially on both agriculture and the fisheries in many developing nations including the Philippines. The specific objectives of this study were to assess the impact of COVID-19 restrictions on the catch per unit effort (CPUE) of small-scale fishers and to determine what factors could influence the volume of their catch during this time of pandemic. Moreover, this also investigated the impact of COVID-19 restrictions to fishers and their families. To do that we surveyed N = 200 small-scale fishers around the Davao gulf using semi-structured questionnaire and inquired on the impact of the COVID-19 to their fishing operation, catch, fishing costs, and their families. The collected socioeconomic variables, including emotional responses to the pandemic were then related to the CPUE and the volume of catch. The results show that fishers were highly affected by the pandemic due to the lockdown policy imposed in the fishing villages during the earlier phases of restrictions by the government. Fishers were affected in terms of the volume of their catch, also fishing costs, and emotionally as they were also frustrated due to the impacts of the hard lockdown. The restricted fishing access was found to have important and major set-back on the fishing operations of fishers and the same was experienced also by the middlemen given the low fish price and reduced mobility of the fish traders. COVID-19 also impacted the fishers, and their families through lack of mobility, food inadequacy, travel restrictions and their children’s education.

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