In this thesis we provide evidence about the relative importance of foreign (Russian) and domestic monetary policy shocks for Belarusian economy. We employ a ten variable structural VAR model with block exogeneity and a set of dummy variables introduced to deal with instability of the data that corresponds to the periods of crises (2008 and 2011). We find that Belarus is significantly influenced by foreign shocks that account for 20 to 60 percent of fluctuations in domestic variables in the long run. The foreign demand and oil prices for Belarus are the main determinants of the domestic output and net export, while the foreign interest rate strongly affects Belarusian interest rate, money demand and the share of loans in GDP. Regarding the domestic monetary shocks, we find that the exchange rate is the most important channel in the Belarusian monetary transmission mechanism. We conclude that deeper trade integration with Russia could be beneficial for Belarusian economy, while in case of the monetary union creation the conduct of an independent monetary policy in Belarus could be further complicated.

This paper examines the major potential drivers of five international real estate markets with a focus on pushing versus pulling effects. Using a quantile regression approach for the period 2000-2015 we examine the coefficients during three different market conditions: downward (bearish), normal (median) and upward (bullish). Using monthly data we look at five of the larger securitized property markets, namely, the US, UK, Australia, Singapore and Hong Kong. We find inconclusively that stock market volatility, as measured by the pushing factor VIXS&P500, best informs property market returns during bearish market environment. We also find that our pulling factors, money supply, treasury yields and unemployment presents theoretically grounded results in most cases with the expected signage. However, compared to the volatility index, pulling factors are not as uniformly suited for informing property market returns during bearish markets. We also find a range of insignificant results, which might be indicative of a suboptimal model specification and/or choice of estimation method.

A thesis submitted to the Faculty of Commerce, Law and Management, University of the Witwatersrand, Johannesburg, in Ful llment of the Requirements for the Degree of Doctor of Philosophy in Economics 15 July, 2015 / The thesis focuses on the sources of macroeconomic uctuations in ten (10) selected African economies over the period 1990-2011. Data for the study were obtained from the International Financial statistics (IFS), the World Bank, and Central Bank database of the selected countries. We formulate a dynamic stochastic general equilibrium (DSGE) model for the thesis. We estimate the model using quarterly time series data. Due to data availability, the sample size di¤ers from one country to the other. First, we investigate the relative contributions of internal and external shocks to economic uc- tuations in African economies. Second, we evaluate the signi cance of the balance sheet channel in African economies. Third, we investigate the ef- fectiveness of sovereign wealth funds in reducing macroeconomic volatility caused by commodity price shocks. The thesis has 5 chapters. Chapter 1 is the general introduction. Chapters 2, 3, and 4 are stand-alone related papers on macroeconomic uctuations. Chapter 5 is the conclusion. Chapter 1 introduces the study. We discuss the research problem, the moti- vation, the objectives, and the research questions. We also explain both our theoretical and empirical contributions to the literature. Moreover, we high- light the signi cance and the key ndings of the study. Finally, we conclude the chapter with a brief outline on the organisation of the study. Chapter 2 investigates the relative contributions of internal and external shocks to macroeconomic uctuations in African economies. We formulate and estimate a monetary DSGE model to examine the sources of economic uctuations in ten African countries. The model is estimated with the Bayesian technique using twelve macroeconomic variables. Generally, the ndings indicate that both the internal and external shocks signi cantly in- uence output uctuations in African countries. Over a four quarter horizon, internal shocks are dominant while over eight to sixteen quarter horizons, the external shocks are dominant. Among the external shocks, external debt, ex- change rate, foreign interest rate and commodity price shocks account for a large part of output variations in African economies. Money supply and productivity shocks are the most important internal shocks contributing to output uctuations in African countries. To ensure macroeconomic stability, African countries need to formulate appropriate exchange rate and exter- nal debt management policies, diversify the economies, and create sovereign wealth funds (SWFs) or use hedging instruments. Chapter 3 evaluates the quantitative signi cance of the balance sheet chan- nel in African economies. We construct an open economy monetary DSGE model where entrepreneurs nance investment by issuing foreign currency- denominated debt. The model is estimated with Bayesian technique. The evidence suggests that the balance sheet e¤ects are empirically important in African economies. The marginal likelihood results clearly favour the model with nancial frictions. Moreover, the ndings indicate that the balance sheet e¤ect reduces the e¤ectiveness of monetary policy, raises the sensitiv- ity of the risk premium to external debt, and contracts output. This indi- cates that exchange rate depreciation is contractionary in African economies. We conclude that African countries should reduce their exposure to foreign currency-denominated debt and also deepen their domestic bond markets. Chapter 4 investigates the e¤ectiveness of sovereign wealth funds (SWFs) in reducing macroeconomic volatility in commodity exporting African countries. We formulate and simulate a dynamic stochastic general equilibrium (DSGE) model that features SWFs. The simulation results suggest that the creation of SWFs can reduce macroeconomic volatility in commodity exporting coun- tries. Particularly, SWFs can reduce government expenditure, real exchange rate, and external debt volatility. Since these are the channels through which commodity price shocks are transmitted to the African economies, we rec- ommend that African countries should create SWFs to sterilize the in ow of commodity revenue and to prevent the resource curse problem. Chapter 5 concludes the study. We summarize the key ndings in Chapters 2, 3, and 4. We highlight the policy implications of our ndings. Finally, we suggest areas for further research.

Il est temps, après 50 ans d’indépendance, de faire la lumière sur les performances économiques du Sénégal en mettant l’accent sur le chemin de la croissance du PIB et le rôle des politiques de stabilisation. En effet, les structures économiques du Sénégal sont tributaires des aléas du contexte international. Ceux-ci sont difficilement contrôlables par les autorités monétaires et budgétaires. Cette présente thèse propose de faire une caractérisation cyclique de la croissance et une analyse des catégories de chocs qui affectent l’économie sénégalaise. Elle a permis de distinguer les chocs extérieurs des fluctuations induites par le fonctionnement de l’économie et de juger de la capacité des instruments monétaires et budgétaires à y faire face. Ainsi, il a été question d’entrevoir l’usage et la nature des politiques monétaire et budgétaire mises en œuvre selon les types de chocs qui touchent l’économie sénégalaise.Les résultats suggèrent la présence d'une volatilité accentuée de la composante cyclique et une forte fréquence de ruptures de tendance. Le Sénégal est fortement affecté par les chocs qui sont principalement externes avec une certaine persistance significative. Quoi que la persistance du PIB ait diminué en particulier depuis la dévaluation de 1994,certaines réformes structurelles s'avèrent nécessaires afin de renforcer la résilience aux chocs et la stabilisation macroéconomique. Ces réformes consistent principalement à atténuer les déficiences dans les secteurs productifs et financiers. De même, la politique monétaire de la BCEAO ne stabilise pas suffisamment les chocs spécifiques du Sénégal tandis que la politique budgétaire nationale s’ajuste aux chocs extérieurs avec une marge de manœuvre très limitée. L’intensité de ces chocs demeure tributaire de la structure de l'économie. / Il is time, after 50 years of independence, to shed light on Senegalese economic performance by focusing on the GDPgrowth path and the role of stabilization policies. Indeed, the behaviors of the Senegalese economic structures are dependent on the vagaries of the international context. These are hardly controllable by the monetary and budgetary authorities. This thesis has proposed to characterize the cyclical growth and analysis of categories of shocks affecting the economy of Senegal. It has distinguished external shocks from fluctuations induced by the functioning of the economy and assessed the ability of monetary and budgetary instruments to deal with them. Thus, there has been discussion of a glimpse of the use and nature of monetary and budgetary policies implemented according to the types of shocks affecting the economy of Senegal.The results suggest the presence of heightened volatility of the cyclical component and a high frequency of breaks intrend. Senegal is highly affected by shocks that are mainly external with some significant persistence. Even though the GDP persistence has decreased particularly since the devaluation of 1994, some structural reforms are needed in order to reinforce the resilience to shocks and the macroeconomic stabilization. These reforms consist in mitigating deficiencies mainly in the productive sector and in the financial. Similarly, the BCEAO’s monetary policy does not sufficiently stabilize the specific shocks of Senegal while national budgetary policy adjusts to external shocks within avery limited scope. The intensity of these shocks is dependent upon the structure of the economy.

L'objectif de cette thèse est d'évaluer différents chocs extérieurs et des réformes de politique commerciale sur une petite économie ouverte comme l'Uruguay, en mettant l’accent sur la compréhension des canaux de transmission des chocs vers la répartition des revenus et la pauvreté. Plus précisément, j'évalue deux chocs externes –la récente crise financière et une augmentation des prix alimentaires et pétroliers- et une réforme de politique commerciale: la négociation d'un accord de libre-échange entre le Mercosur et l'Union Européenne. Pour ce faire, j’applique différents modèles d'équilibre général (EGC): deux modèles statiques uni-pays et un modèle global dynamique, MIRAGE-HH, qui comprend une désagrégation des ménages. Les modèles EGC sont combinées avec des techniques de microsimulation: microsimulation non-paramétrique et méthode «micro-accounting». Comme les chocs extérieurs peuvent avoir un impact négatif sur la pauvreté en Uruguay, j’évalue aussi les options politiques visant à atténuer cet impact négatif. Les résultats montrent que les canaux de transmission des réformes de politique commerciale et des chocs extérieurs sont divers et complexes et ils peuvent avoir des effets opposés sur la pauvreté. Ils mettent également en évidence le fait que l'impact sur les différents groupes de population n'est pas uniforme. Dans certains cas, les chocs positifs sur l'économie peuvent encore nuire à des groupes de population. Dans la plupart des cas, les groupes affectés négativement sont les populations déjà vulnérables ayant peu de ressources pour faire face à ces chocs. Pour cette raison, il est important d'évaluer aussi des réponses politiques pour éviter cet impact négatif sur les pauvres. / The aim of this dissertation is to evaluate different external shocks and trade policies on a small open economy such as Uruguay, making an emphasis in understanding the channels of transmission of the shocks to income distribution and poverty in the country. Specifically, I evaluate two external shocks –the recent financial crisis and an increase in food and oil prices- and one trade policy –the negotiation of a free trade agreement between MERCOSUR (conformed by Argentina, Brazil, Paraguay and Uruguay) and the European Union. For doing so, I apply different general equilibrium models: two different static single country models and one global dynamic model, MIRAGE-HH, which includes household disaggregation. The CGE models are combined with microsimulation techniques: non-parametric microsimulations and micro-accounting methods. Results show that the channels of transmission of trade policies and external shocks are diverse and complex and they may have opposite effects on welfare and poverty. They also highlight the fact that the impact on different population groups is not even. In some cases, positive shocks on the economy may still harm population groups. In most cases,iiithey are the already vulnerable population who count with fewer resources to counteract negative shocks. For this reason, it is important to also evaluate policy responses to prevent this negative impact on the poor.

This paper uses a global vector autoregressive (GVAR) model to analyze the relationship between FDI inflows and output dynamics in a multi-country context. The GVAR model enables us to make two important contributions: First, to model international linkages among a large number of countries, which is a key asset given the diversity of countries involved, and second, to model foreign direct investment and output dynamics jointly. The country-specific small-dimensional vector autoregressive submodels are estimated utilizing a Bayesian version of the model coupled with stochastic search variable selection priors to account for model uncertainty. Using a sample of 15 emerging and advanced economies over the period 1998:Q1 to 2012:Q4, we find that US outbound FDI exerts a positive long-term effect on output. Asian and Latin American economies tend to react faster and also stronger than Western European countries. Forecast error variance decompositions indicate that FDI plays a prominent role in explaining GDP fluctuations, especially in emerging market economies. Our findings provide evidence for policy makers to design macroeconomic policies to attract FDI inflows in the respective countries. / Series: Department of Economics Working Paper Series

Un objetivo de este documento es discutir el impacto macroeconómico que un boom (o unacaída) de los precios internacionales de las materias primas de exportación tiene sobre una economíapequeña y abierta que opera en un marco de libre movilidad internacional de los capitales.Para el análisis de los efectos de este choque externo real se utiliza un modelo Mundell-Flemingconvenientemente adaptado. Se distinguen dos efectos: el cambiario, que perjudica al resto de laeconomía, y el efecto vía la demanda agregada, que estimula al resto de la economía. Se comparatambién el impacto macroeconómico de un choque externo real con el de un choque externofinanciero (cambios en la tasa de interés internacional) en una economía dolarizada y con tipo de cambio flexible. El otro objetivo de este documento es mostrar que la intervención esterilizada del banco central en el mercado cambiario puede ser una respuesta eficaz frente a los choques externos reales o financieros. Para determinar el impacto de estos distintos choques externos no solo importan las características de la estructura económica, sino también el sistema vigente de políticas monetarias y fiscales y, en particular, la naturaleza del régimen cambiario. -- One goal of this paper is to discussing the macroeconomic impact that an international commodityprices boom has in a small open economy under perfect capital mobility. A Mundell-Flemingmodel with some adaptations is used for the analysis of this real external shock. There are twoeffects: the monetary one that is a recessionary impulse, and the one that increases aggregatedemand. Also the macroeconomic impact of a real external shock is compared with the effectof a financial external shock (changes in the external rate of interest), in a dollarized economywith a floating exchange rate. The other goal of this paper is to show that central bank sterilizedintervention in the foreign exchange market can be an effective policy response to copy with realo financial external shocks. The macroeconomic impact of external shocks depends upon theeconomic structure, the monetary and fiscal policy mix, and the exchange rate regime.

This research examines the impact of external shocks on Nigeria’s output performance for the period 1981 – 2015. It aims to bring to the fore the importance of considering external shocks during policy design and implementation. The multivariate VAR and VECM frameworks were used to evaluate the impact of the shock variables on Nigeria’s output performance and to achieve the stated objectives. Findings show that the external shock and domestic policy variables have short-run effects on Nigeria’s output performance. Also, all the measures of external shocks and domestic policies display some viable information in explaining the variabilities in Nigeria’s output performance over the horizon. The comparison between the results of the VECM and the unrestricted VAR shows that the unrestricted VAR model outperformed the VECM. The overall result of the study confirms the view about the vulnerability of the Nigerian economy to external shocks. These shocks explain more than half of the variance in real output performance and have varying effects on output performance in Nigeria. The dynamic response of output performance to each of the defined shock variables show that output performance responds rapidly to the shock variables, while its response to the domestic economic variables is seemingly moderate. Finally, the variance decomposition show that international crude oil price and terms of trade have the largest share in accounting for the variability in output performance, followed closely by the shares of capital inflows and monetary policy.

Исследование вопросов оценки влияния внутренних и внешних шоков на инвестиционную привлекательность металлургической отрасли приобретает особую актуальность в настоящее время. Внутренние факторы, такие как изменения в производственных процессах и технологиях, а также внешние воздействия, такие как глобальные тенденции в торговле и экономические санкции, могут значительно повлиять на инвестиционный климат и перспективы развития металлургических предприятий. Цель исследования – анализ влияния внешних и внутренних шоков на инвестиционную привлекательность металлургической отрасли. Объектом исследования являются компании металлургической отрасли, базирующиеся в России, Азии, Европе и США. Основными задачами являются: анализ теоретических основ о понятии инвестиционная привлекательность и современных исследований с целью изучению доминирующих точек зрения по данной проблеме; формулировка гипотез; выбор необходимых для исследования переменных, их описание, сбор данных, описание методологии; построение эконометрической модели; анализ полученных результатов, формулировка выводов и рекомендаций на основе полученных результатов. / The study of the issues of assessing the impact of internal and external shocks on the investment attractiveness of the metallurgical industry is becoming particularly relevant at the present time. Internal factors such as changes in production processes and technologies, as well as external influences such as global trade trends and economic sanctions, can significantly affect the investment climate and prospects for the development of metallurgical enterprises. The purpose of the study is to analyze the impact of external and internal shocks on the investment attractiveness of the metallurgical industry. The object of the study is metallurgical industry companies based in Russia, Asia, Europe and the USA. The main tasks are: analysis of the theoretical foundations of the concept of investment attractiveness and modern research in order to study the dominant points of view on this problem; formulation of hypotheses; selection of variables necessary for research, their description, data collection, description of methodology; construction of an econometric model; analysis of the results obtained, formulation of conclusions and recommendations based on the results obtained.

The goal of this thesis is to identify domestic and foreign shocks that mostly explain variation in the Czech price level. This goal is accomplished by the use of structural vector autoregression. As the Czech Republic is considered to be a small open economy, it is crucial to include foreign variables into the model which are represented by shocks in euro zone. Furthermore, a block exogeneity restriction is imposed because it is unlikely that shocks in the Czech economy can influence macroeconomic development in euro zone. The results of the thesis indicate that foreign shocks explain 70% variability in Czech price level out of which 50% is explained by euro zone's price level shocks. It is likely that in near future Czech economy will experience deflation for a while. Nevertheless, by 2018 Czech inflation rate should be in 1-3% band.