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.
Measuring Uncertainty and Its Impact on a Small Open Economy
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.
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.
Measuring Uncertainty and Its Effects in a Small Open Economy
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.
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.
Measuring Uncertainty and Its Impact on the Economy
Measuring Uncertainty and Its Effects on the Economy
Oil Price Uncertainty
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.
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.
Optimal Simple Money Rules in a Small Open Economy with Information Uncertainty and Measurement Error
Author: Deming Luo
Publisher:
ISBN:
Category : Economic stabilization
Languages : en
Pages : 570
Book Description
Publisher:
ISBN:
Category : Economic stabilization
Languages : en
Pages : 570
Book Description
Measuring Uncertainty and Its Effects in the COVID-19 Era
Monetary Policy and Uncertainty in an Empirical Small Open Economy Model
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.
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.
Measuring Output Gap: Is It Worth Your Time?
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.
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.
Nominal Rigidity and Monetary Uncertainty in a Small Open Economy
Author: Neil Rankin
Publisher:
ISBN:
Category : Cuestión monetaria - Modelos matemáticos
Languages : en
Pages : 33
Book Description
Publisher:
ISBN:
Category : Cuestión monetaria - Modelos matemáticos
Languages : en
Pages : 33
Book Description