Author: Lucy Greig Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
We study the effect of uncertainty in New Zealand, a small open economy, by considering global and New Zealand-specific uncertainty proxies, including several US- and global-centric measures and two novel New Zealand-specific uncertainty proxies constructed using surveys of New Zealand firms and professional forecasters. We study the effect of uncertainty on a set of New Zealand macroeconomic variables. While all of the uncertainty proxies contain valuable information to understand macroeconomic fluctuations in New Zealand, a simple SVAR analysis suggests that global uncertainty is more important than domestic uncertainty in driving the New Zealand business cycle. The implications of uncertainty for monetary policy largely depend on how heightened uncertainty interacts with monetary policy objectives.
Author: Miguel Cabello Publisher: ISBN: Category : Languages : en Pages : 0
Book Description
In the aftermath of the 2008 Global Financial Crisis (GFC), scholars and policymakers turned their attention to the role of uncertainty in amplifying the effects of economic or financial shocks on economic activity. A growing literature has focused on addressing this question. Most works find that uncertainty provides an additional transmission mechanism for recessionary shocks, which amplifies their negative effects on the economy. Nonetheless, most of these studies focus on developed economies. It is important to study the effects of uncertainty in the context of small open economies as, unlike developed countries, they are subject to uncertainty from both external and domestic sources. Along these lines, this paper seeks to assess the effects of uncertainty on economic performance in a small open economy and establish the relative importance of external and domestic uncertainty. By using an extended methodology to estimate, simultaneously, a conditional mean model and a stochastic volatility factor model, it is possible to estimate reliable uncertainty measures and describe their distinct dynamics. The impulse-response analysis shows that rising uncertainty produces negative effects on economic activity in a small open economy, and the largest effects happen when external uncertainty climbs. However, we found an intriguing effect: when uncertainty rises, business loans tend to increase immediately after the shock, but return rapidly to their equilibrium level.
Author: MissStephanie Denis Publisher: International Monetary Fund ISBN: 161635562X Category : Business & Economics Languages : en Pages : 46
Book Description
This paper quantifies the economic impact of uncertainty shocks in the UK using data that span the recent Great Recession. We find that uncertainty shocks have a significant impact on economic activity in the UK, depressing industrial production and GDP. The peak impact is felt fairly quickly at around 6-12 months after the shock, and becomes statistically negligible after 18 months. Interestingly, the impact of uncertainty shocks on industrial production in the UK is strikingly similar to that of the US both in terms of the shape and magnitude of the response. However, unemployment in the UK is less affected by uncertainty shocks. Finally, we find that uncertainty shocks can account for about a quarter of the decline in industrial production during the Great Recession.
Author: Alejandro Justiniano Publisher: ISBN: Category : Monetary policy Languages : en Pages : 62
Book Description
This paper explores optimal policy design in an estimated model of three small open economies: Australia, Canada and New Zealand. Within a class of generalized Taylor rules, we show that to stabilize a weighted objective of output, consumer price inflation and nominal interest variation optimal policy does not respond to the nominal exchange. This is despite the presence of local currency pricing and due, in large part, to observed exchange rate disconnect in these economies. Optimal policies that account for the uncertainty of model estimates, as captured by the parameters' posterior distrbution, similarly exhibit a lack of exchange rate response. In contrast to Brainard (1967), the presence of parameter uncertainty can lead to more or less aggressive policy responses, depending on the model at hand.
Author: Apostolos Serletis Publisher: World Scientific Publishing Company Incorporated ISBN: 9789814390675 Category : Business & Economics Languages : en Pages : 142
Book Description
The relationship between the price of oil and the level of economic activity is a fundamental issue in macroeconomics. There is an ongoing debate in the literature about whether positive oil price shocks cause recessions in the United States (and other oil-importing countries), and although there exists a vast empirical literature that investigates the effects of oil price shocks, there are relatively few studies that investigate the direct effects of uncertainty about oil prices on the real economy. The book uses recent advances in macroeconomics and financial economics to investigate the effects of oil price shocks and uncertainty about the price of oil on the level of economic activity.
Author: Mr.Jiaqian Chen Publisher: International Monetary Fund ISBN: 151352786X Category : Business & Economics Languages : en Pages : 28
Book Description
We apply a range of models to the U.K. data to obtain estimates of the output gap. A structural VAR with an appropriate identification strategy provides improved estimates of output gap with better real time properties and lower sensitivity to temporary shocks than the usual filtering techniques. It also produces smaller out-of-sample forecast errors for inflation. At the same time, however, our results suggest caution in basing policy decisions on output gap estimates.
Author: Lucy Greig
Author: Miguel Cabello
Author: Andrea Carriero
Author: Wei-Fong Pan
Author: MissStephanie Denis
Author: Deming Luo
Author: Andrea Carriero
Author: Alejandro Justiniano
Author: Apostolos Serletis
Author: Mr.Jiaqian Chen