Essays On Monetary Policy In An Oil Exporting Economy
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Essays On Monetary Policy In An Oil Exporting Economy
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Author : Mohamed Tahar Benkhodja
language : en
Publisher:
Release Date : 2012
Essays On Monetary Policy In An Oil Exporting Economy written by Mohamed Tahar Benkhodja and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
The aim of this thesis is to analyze the impact of external shocks on oil exporting economies and the role of monetary policy in this context. It consists of three essays. In the first essay, we build a Multi-sector Dynamic Stochastic General Equilibrium (DSGE) model to investigate the impact of both windfall (an increase in oil price) and boom (an increase in oil resource) on an oil exporting economy. Our model is built to see if the two oil shocks (windfall and boom) generate, in the same proportion, a Dutch Disease effect. Our main findings show that the Dutch disease effect under its two main mechanisms, namely spending effect and resource-movement effect, occurs only in the case of flexible wages and sticky prices, when exchange rate is fixed. We also compare the source of fluctuations that leads to a strong effect in term of de-industrialization. We conclude that the windfall leads to a stronger effect than a boom. Finally, the choice of flexible exchange rate regime helps to improve welfare.In the second essay, we estimate, by using the Bayesian approach, a DSGE model for Algerian economy investigating the dynamic effect of four external shocks (oil price, real exchange rate, international interest rate and foreign inflation), and examining the appropriate monetary policy rule. Our main findings show that, over the period 1990Q1-2010Q4, core inflation target is the best monetary rule to stabilize both output and inflation. In the third essay, we investigate the impact of the recent increase of oil price on a small open oil exporting economy. For this, we estimate a Dynamic, Stochastic, General equilibrium (DSGE) model for some oil producing countries using the Bayesian approach. We consider, in this essay, a sample of 16 oil exporting countries (Algeria, Argentina, Ecuador, Gabon, Indonesia, Kuwait, Libya, Malaysia, Mexico, Nigeria, Oman, Russia, Saudi Arabia, United Arab Emirates, and Venezuela) over the period from 1980 to 2010, except for Russia where our sample begins in 1992. In order to distinguish between high-dependent and low-dependent countries, we use two indicators : the ratio of fuel exports to total merchandise exports and the ratio of oil exports to GDP. We estimate the median for each ratio on our 16 studied countries. Countries above (below) the median are considered as high (low) oil dependent economies. We verify if the first group is more sensitive to the Dutch disease effect. We also assess the role of monetary policy. Our main findings show that in the first sample, namely high oil dependant economies, 6 countries are affected by the Dutch disease (decrease in the manufacturing production). Low oil dependant countries, are less affected by the fluctuation of oil price. Indeed, only one country has suffered a Dutch disease effect after the shock. Nevertheless, Regarding the appropriate monetary policy rule, we find that both inflation targeting and exchange rate rules may be effective to contain the size of the Dutch disease effect. Our results suggest that in Algeria and Saudi Arabia, inflation targeting offers better performances. We observe the opposite in Gabon, Kuwait, Oman, and Venezuela. Such results are consistent with economic theory. Indeed, we see that in more open economies and smaller countries (in terms of economic size), the exchange rate rule is preferable to inflation rule. Venezuela seems an exception. Such country does not fulfill the traditional criteria favoring the choice of the exchange rule. In fact, this exception is only apparent. First, if we consider the volatility, we see that Venezuela is among the most volatile economy. Second, Venezuela suffers from a fiscal dominance effect: both inflation rate and fiscal deficit are the highest relative to other studied countries.
Essays On Monetary Policy In Oil Producing Economies
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Author : Roman Eduardo Romero Villarreal
language : en
Publisher:
Release Date : 2007
Essays On Monetary Policy In Oil Producing Economies written by Roman Eduardo Romero Villarreal and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with categories.
The fourth essay extends the model presented in the first essay and explores the relationships between oil revenues, fiscal policy and monetary policy in net oil-exporting economies.
Essays In Monetary Policy And Financial Markets
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Author : Fatma S. Tepe
language : en
Publisher:
Release Date : 2014
Essays In Monetary Policy And Financial Markets written by Fatma S. Tepe and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with Economics categories.
This dissertation examines the interaction between macroeconomic aggregates and financial markets in two different essays. The expansion of derivatives markets has prompted interest in estimating options-implied measures to analyze market participants’ beliefs about future movements in the prices of these derivatives’ underlying assets and the probability these participants assign to unlikely events (see Datta et al., 2014). In this spirit, analyzing oil market is important for two main reasons. First, among all commodities, crude oil futures and derivatives are the most traded and liquid asset in the whole commodity market. Second, the informational content of oil derivatives can be indicative of shifts in global economic expectations which may be of interests to producers, investors and policy makers. Because the risk neutral density (RND, hereafter) consists of information from various option series that have a wide range of strike prices and maturities, we can conjecture more detailed effects of news announcements on market sentiment by investigating the changes in the RND. Chapter 1 links the crude oil market to macroeconomic risk by studying the RND around the U.S. macroeconomic news announcements. I use a non-parametric method to recover the RND and conduct regression analysis using daily data. The analysis provides several noteworthy results. First, I find that the RND is systematically affected by certain macroeconomic news announcements. Second, after controlling for the content of the news, my results indicate that good news tend to make the distribution less negatively skewed, whereas bad news have an opposite effect. However, I do not find any systematic pattern between the content (bad/good) of the news and the implied volatility or kurtosis. Hence, my results show that better/worse-than-expected news in macroeconomic announcements may both increase and decrease implied volatility and kurtosis of the option implied distribution. Finally my estimates obtained from nonlinear regressions display that the magnitude of the surprise may play into this effect; for example worse-than-expected news in Housing Starts announcement decrease the implied volatility and increase the implied kurtosis only when the size of surprise is not too large. How should a central bank conduct monetary policy in the presence of financial shocks? In Chapter 2, I use different nonlinear policy rules and address this question. Most empirical work on monetary policy relies on simple linear policy rules, however it is not clear whether such a rule can be an adequate representation of a process as complex as that of monetary policy. I first estimate Markov Switching Taylor rules with constant transition probabilities to allow for state-contingent policy making during 1987.3-2008.4. As a proxy for financial stress, I use the Adjusted National Financial Conditions Index constructed by the Chicago Fed. Then, I allow transition probabilities driving the monetary policy stance to vary over time and be a function of economic and financial indicators. The paper provides clear-cut evidence that, during the Greenspan-Bernanke tenure, the U.S. monetary policy can be characterized falling into two distinct regimes; a conventional regime where the Fed puts a greater emphasis on targeting inflation while stabilizing the economic outlook and a distressed regime where the Fed responds aggressively to output gaps and is less concerned with inflation. The distressed regime is closely correlated with times of financial imbalances. The empirical results show that nonlinear models outperform the simple linear specification in terms of model fit and the ability to track the actual interest rate. Also, the economic and financial indicators are found to be informative in dating the evolution of the state of the monetary policy stance. The results have implications for nonlinear rules to be a useful guideline for forecasting and policy analysis.
Managing Global Money
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Author : Graham Bird
language : en
Publisher: MacMillan
Release Date : 1988
Managing Global Money written by Graham Bird and has been published by MacMillan this book supported file pdf, txt, epub, kindle and other format this book has been release on 1988 with Business & Economics categories.
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Monetary Policy In An Oil Exporting Economy
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Author : Franz Hamann
language : en
Publisher:
Release Date : 2019
Monetary Policy In An Oil Exporting Economy written by Franz Hamann and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
The sudden collapse of oil prices poses a challenge to inflation-targeting central banks in oil-exporting economies. In this article, the authors illustrate this challenge and conduct a quantitative assessment of the impact of changes in oil prices in a small open economy in which oil represents an important fraction of its exports. They build a monetary, three-sector, dynamic stochastic general equilibrium model and estimate it for the Colombian economy. They model the oil sector as an optimal resource extracting problem and show that in oil-exporting economies the macroeconomic effects vary according to the degree of persistence of oil price shocks. The main channels through which these shocks pass to the economy come from the real exchange rate, the country risk premium, and sluggish price adjustments. Inflation-targeting central banks in such economies face a policy dilemma: raise the policy rate to fight increased inflation coming from the exchange rate passthrough or lower it to stimulate a slowing economy.
Essays On Macro Finance
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Author : Vadim Aevskiy
language : en
Publisher:
Release Date : 2021
Essays On Macro Finance written by Vadim Aevskiy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This thesis consists of three self-contained essays that deal with different aspects of macroeconomics and finance. The common object for study all of the three is the interest rate in the context of European economies both developed (the Eurozone) and emerging (Russia). The EU and Russia are important parts of the World economy and closely interrelated to each other. Therefore, from the point of view of academicians and policymakers it is important to study the main macroeconomic driving factors of such economies from the Global perspective. The first essay is devoted to constructing a term structure of interest rates model in the case of a country entering into currency area. The second essay also deals with interest rates, but in the context of monetary policy, namely it finds the Taylor rule specification that fits best Russia's data. The third essay considers Russia's economic policies in a broader context, specifically a calibrated DSGE model is developed to evaluate the role of the banking sector in shock transmission in an oil-exporting economy like Russia.
Essays On Oil Price Fluctuations And Macroeconomic Activity
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Author : Dommèbèiwin Juste Mètoiolè Somé
language : en
Publisher:
Release Date : 2014
Essays On Oil Price Fluctuations And Macroeconomic Activity written by Dommèbèiwin Juste Mètoiolè Somé and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays On External Shocks And Monetary Policy In The Sri Lankan Economy
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Author : Yashodha Warunie Senadheera Senadheera Pathirannehelage
language : en
Publisher:
Release Date : 2017
Essays On External Shocks And Monetary Policy In The Sri Lankan Economy written by Yashodha Warunie Senadheera Senadheera Pathirannehelage and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
The past few decades have been marked with episodes of global economic turbulence that have created macroeconomic instability in both developed and developing economies. With its gradual economic integration with global markets, Sri Lanka is increasingly exposed to unanticipated shocks emanating from foreign economies. This dissertation, comprising of three independent essays, aims to deepen the knowledge on the effects of external shocks, their cross-border transmission channels and appropriate monetary policy responses for the Sri Lankan economy. External shocks transmitted through trade and financial market linkages have a considerable welfare effect on small open economies such as Sri Lanka. The monetary policy regime of a country plays a vital role in minimizing the social welfare losses arising from external shocks. The first essay of this thesis (Chapter 2) investigates the welfare implications of six alternative monetary policy rules for the Sri Lankan economy using a calibrated DSGE model with nominal rigidities, delayed exchange rate pass-through and financial frictions. The model is solved numerically by taking second-order approximation of the full set of model equations. Domestic goods inflation targeting rule minimizes the welfare losses caused by foreign interest rate and foreign output shocks. Social welfare is lowest under the strict exchange rate targeting rule when the economy is affected by external shocks. This essay demonstrates the importance of taking second-order approximations of the full set of model equations in welfare analysis. The second essay of this dissertation (Chapter 3) empirically investigates the effects of external shocks on the Sri Lankan economy using a Structural Vector Auto-Regression (SVAR) model with a block exogeneity assumption and long-run and short-run restrictions. This essay examines the impact of foreign monetary policy shocks on the domestic economy using alternative measures: the effective federal funds rate and the US shadow short rate. Although domestic shocks are the primary source of macroeconomic fluctuations in Sri Lanka, foreign shocks also play a considerable role in explaining the variability in output growth and domestic inflation. Shocks to foreign output growth and oil price inflation have a notable effect on the growth of domestic output. Shocks to the effective federal funds rate explain the variance of Sri Lanka's output growth better than the shocks to the US shadow short rate. Further, the impacts of oil price inflation and the effective federal funds rate shocks on domestic inflation are noteworthy. The foreign shocks are transmitted to the domestic economy through the trade channel as well as through the financial market channel. The deteriorating terms of trade in the past two decades has been a concern for the policy-makers of Sri Lanka. The recent literature has argued that the effect of the terms of trade shocks on an economy depends on the characteristics of the underlying shock. Using a sign restricted VAR model, the third essay (Chapter 4) examines the effect on the Sri Lankan economy of external shocks that cause terms of trade fluctuations. Three external shocks, viz., world demand shocks, world supply shocks and globalization shocks are considered in this study. The world demand shocks do not have a significant long-term effect on Sri Lanka's real output, but the negative world supply shocks are contractionary. Conversely, positive globalization shocks increase domestic output permanently. Both positive world demand shocks and globalization shocks are inflationary while negative world supply shocks increase domestic prices initially but reduce the prices after two quarters. World demand shocks have largely contributed to the fluctuations in trade balance in Sri Lanka since 2007, whereas the importance of globalization shocks on the imports, exports and trade balance has increased since 2010. Contribution from globalization shocks to the variance in domestic output and price levels has increased since 2007.
The Great Inflation
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Author : Michael D. Bordo
language : en
Publisher: University of Chicago Press
Release Date : 2013-06-28
The Great Inflation written by Michael D. Bordo and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-28 with Business & Economics categories.
Controlling inflation is among the most important objectives of economic policy. By maintaining price stability, policy makers are able to reduce uncertainty, improve price-monitoring mechanisms, and facilitate more efficient planning and allocation of resources, thereby raising productivity. This volume focuses on understanding the causes of the Great Inflation of the 1970s and ’80s, which saw rising inflation in many nations, and which propelled interest rates across the developing world into the double digits. In the decades since, the immediate cause of the period’s rise in inflation has been the subject of considerable debate. Among the areas of contention are the role of monetary policy in driving inflation and the implications this had both for policy design and for evaluating the performance of those who set the policy. Here, contributors map monetary policy from the 1960s to the present, shedding light on the ways in which the lessons of the Great Inflation were absorbed and applied to today’s global and increasingly complex economic environment.
Economic Policy And The Great Stagflation
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Author : Alan S. Blinder
language : en
Publisher: Elsevier
Release Date : 2013-09-11
Economic Policy And The Great Stagflation written by Alan S. Blinder and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-09-11 with Business & Economics categories.
Economic Policy and the Great Stagflation discusses the national economic policy and economics as a policy-oriented science. This book summarizes what economists do and do not know about the inflation and recession that affected the U.S. economy during the years of the Great Stagflation in the mid-1970s. The topics discussed include the basic concepts of stagflation, turbulent economic history of 1971-1976, anatomy of the great recession and inflation, and legacy of the Great Stagflation. The relation of wage-price controls, fiscal policy, and monetary policy to the Great Stagflation is also elaborated. This publication is beneficial to economists and students researching on the history of the Great Stagflation and policy errors of the 1970s.