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Demand and distribution in integrated economiesRezai, Armon 30 November 2014 (has links) (PDF)
Aggregate demand is influenced by the functional income distribution of an economy and that of its trading partners. This relationship between income distribution and output is analyzed in a short-run two-country Neo-Kaleckian model. The effects of devaluation and redistribution are discussed in detail. Trade and redistribution within one country interact and output increases or decreases with changes in either depending on the specific distributional and exchange rate movements. The Marshall-Lerner condition is shown to be equivalent to the assumption of expansionary devaluation. If devaluation increases output, national redistribution policy toward wage earners is also more likely to be expansionary. (author's abstract)
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An Open Economy Model of Pakistan : Relative Effectiveness of Monetary and Fiscal PolicyHameed, Abid 08 1900 (has links)
This thesis examines the relative effectiveness of monetary and fiscal policy in Pakistan by utilizing an open economy framework. There is a great need for research about the effectiveness of macroeconomic policies as the knowledge of the relative importance of monetary and fiscal policy could prove useful to policymakers and help them understand the macroeconomic adjustment processes of these policy measures.
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Exchange Rate Pass-Through Effect and Monetary Policy in Mongolia: Small Open Economy DSGE modelBuyandelger, Oyu-Erdene January 2014 (has links)
This thesis analyzes the incomplete exchange rate pass-through effect on Mongolian economy and its implication on monetary policy under foreign and domestic shocks. The analysis is carried out in a small open economy New Keynesian DSGE model proposed by Monacelli (2005), where incomplete exchange rate pass-through is introduced via nominal rigidities on import prices. In order to accomplish the goal, we firstly derive the solutions of the model, calibrate the parameters, and finally simulate the impulse responses. Moreover, SVAR estimation is achieved to estimate the pass-through. Four main results are obtained. First, the exchange rate pass-through into import price and inflation is 0.69% and 0.49% respectively in short run, implying incomplete pass-through in Mongolia. Second, the exchange rate acts as a shock absorber for domestic productivity and foreign demand shock, but as a shock amplifier for domestic demand shock. Third, in case of incomplete pass-through the central bank of Mongolia is required to adjust the nominal interest rate more under the productivity shock, but less for the domestic and foreign demand shock. Finally, deviations from the law of one price contributes considerably to the variability of the output gap under the low pass-through. Therefore, considering incomplete pass-through in...
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Monetary policy regime through the lense of New Keynesian DSGE model : case of MongoliaSukhbaatar, Bilguun January 2014 (has links)
This paper identifies an optimal monetary policy rule using a calibrated small open economy DSGE model for Mongolian economy. The main result of this study is that domestic inflation-based Taylor rule is the best monetary policy regime for the Central bank of Mongolia (BoM) in terms of welfare loss. Therefore, the result of welfare analysis suggests that BoM should consider not only CPI inflation but also output gap in order to improve household welfare in economy. On the other hand currency board with fixed exchange rate regime could be very harmful to the Mongolian economy because it makes domestic economy more unstable in comparison to the other regimes. Powered by TCPDF (www.tcpdf.org)
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Financial Stress Transmission from Developed to Emerging CountriesGavrilenco, Nicolae January 2013 (has links)
Charles University in Prague Faculty of Social Sciences Institute of Economic Studies MASTER THESIS Financial Stress Transmission from Developed to Emerging Countries Author: Bc. Nicolae Gavrilenco Supervisor: doc. Roman Horvàth, Ph.D. Academic Year: 2012/2013 Abstract In this research we have analyzed the financial system as it is today, describing the implications financial innovation had and the impact of the recent financial crisis. We tried to understand the nature of the financial stress and its measures. In the context of world financial integration it was also necessary to have a review upon the financial stress transmission channels from developed to emerging countries, determining the linkages and their measures. We employed a structural VAR model to determine whether there is empirical proof of financial Stress transmission from developed to emerging countries and see if financial integration represents the decisive factor in financial stress transmission. Our results suggest that there is a significant impact of financial stress in developed countries on the output of emerging ones. However we can observe an increasing influence of country-specific factors in explaining the variation in the rest of the variable of our model. The results also indicate the level of international financial...
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DSGE modeling of business cycle properties of Czech labor market / DSGE modeling of business cycle properties of Czech labor marketSentivany, Daniel January 2016 (has links)
The goal of this thesis is to develop a DSGE model that accounts for the key business cycle properties of the Czech labor market. We used standard New Keynesian framework for monetary policy analysis and incorporated an elaborated labor market setup with equi- librium wage derived via an alternating offer bargaining protocol originally proposed by Rubinstein (1982) and follow the work of Christiano, Eichenbaum and Trabandt (2013) in the following steps. Firstly, we calibrated the closed economy model according to values suited for the Czech economy and found that the model can not only account for higher volatility of the real wage and unemployment, but can also explain the contemporaneous rise of both wages and employment after an expansionary shock in the economy, so called Shimer puzzle (Shimer, 2005a). Secondly, we demonstrated that the alternating offer bar- gaining sharing rule outperforms the Nash sharing rule under assumption of using the hiring costs in our framework (more so while using search costs) and therefore is better suited for use in larger scale models. Thirdly, we concluded that after estimating the labor market parameters using the Czech data, our model disproved the relatively low values linked to the probabilities of unsuccessful bargaining and job destruction. JEL...
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[en] INFLATION DYNAMICS IN BRAZIL: THE SMALL OPEN-ECONOMY CASE / [pt] DINÂMICA DA INFLAÇÃO NO BRASIL: O CASO DE UMA PEQUENA ECONOMIA ABERTAWALDYR DUTRA AREOSA 25 May 2004 (has links)
[pt] Este trabalho deriva e estima um modelo estrutural para a
inflação em economia aberta. O modelo representa a Curva de
Phillips Neo-Keynesiana padrão (CPNK) e a Curva Híbrida de
Gali e Gertler (1999) como casos particulares. Foram
gerados dois conjuntos de estimativas para a economia
brasileira, tratada inicialmente como uma economia fechada
e a seguir como uma pequena economia aberta. De acordo com
a literatura recente, o modelo considera medidas de custo
marginal como indicador relevante para a inflação e
apresenta inércia inflacionária. Alguns dos resultados podem
ser sintetizados da seguinte forma: (i) O Brasil, quando
tratado como uma economia fechada, apresenta um grau
consideravelmente maior de rigidez nominal do que Estados
Unidos e Europa, bem como um elevado índice de
indexação; (ii) Em economia aberta com indexação, a
aceleração do câmbio nominal acrescido da inflação externa
afeta a inflação ao consumidor, efeito este amplificado
quanto maior a abertura da economia; (iii) O impacto
das variáveis relacionadas a abertura econômica apresenta
um pequeno impacto direto, com o somatório de seus
coeficientes próximo a zero; (iv). Contudo, o impacto
indireto é significativo, alterando consistentemente os
pesos associados a inflação defasada e a expectativa da
inflação futura. / [en] This work develops and estimates a structural model for
inflation in open economies. The model nests the standard
New-Keynesian Phillips Curve (NKPC) and the hybrid curve of
Gali and Gertler (1999) as particular cases. Two sets of
estimates were generated for the Brazilian economy,
treated at first as a closed economy and afterwards as a
small open economy. In line with recent literature, the
model presents inflation inertia and considers a marginal
cost measure as the relevant indicator for inflation.
Some of the findings can be summarized as follows: (i)
Brazil, when treated as a closed economy, shows a
considerably higher degree of nominal stickiness than
United States and Europe, the same occurs with the level
of indexation; (ii) In open economy with indexation, the
acceleration of the nominal exchange rate together with
external inflation affects consumer inflation, being this
effect amplified by the economy s openness; (iii) The
direct impact of the variables related to the economy s
openness on inflation is small, with the sum of its
coeficients close to zero; (iv) However, the
indirect impact is significant since it consistently
changes the weights associated with lagged inflation and
future inflation expectation.
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Essays on testing some predictions of RBC models and the stationarity of real interest ratesJi, Inyeob, Economics, Australian School of Business, UNSW January 2008 (has links)
This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Monetary Policy in Closed and Open EconomiesMickelsson, Glenn January 2009 (has links)
<p>Two DSGE models are calibrated and simulated to investigate how the role of monetarypolicy differs between a closed and an open economy. The central bank conducts monetary policy according to a Taylor (1993) rule, reacting to inflation- and output deviations. Prices are sticky and there are habit components which slow down adjustment of consumption and exports. The models are subjected to shocks in the interest rate, inflation, technology and consumption. In most of the cases the shocks have a bigger and quicker affect on output and employment in the open economy. In connection with positive consumption- and interest rate shocks inflation is big and negative at first but gets positive already two quarters after the shock, due to effects in the exchange rate channel. In closed and open economies, a stronger reaction to output, than in the standard Taylor (1993) rule, decreases welfare losses dramatically.</p>
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Three Macroeconomic Essays: Budget Stabilization Funds, Terms of Trade, Durability and the Small Open Economy Business CycleAl-Nadi, Ali Mohammad 01 May 2011 (has links)
In this dissertation we use Dynamic Stochastic General Equilibrium DSGE) models to explain empirical regularities and policy implications related to (1) durable goods, interest rates and small open economy business cycles, (2) Terms-of-Trade (ToT) and economic fluctuations in small open economies and (3) Budget Stabilization Funds (BSFs) and States’ business cycles. In the first essay, we document that durable spending in developed small open economies constitutes a large share of their total income. Their spending is highly procyclical, sensitive to interest rates, and leads the business cycle. We address these regularities with a RBC model with durable goods. The model successfully replicates the observed business cycle regularities and explains many anomalies not explained in the existing literature. It also emphasizes the role of interest rates uncertainty in explaining the dynamics of the small open economies. The second essay addresses the impacts of the ToT fluctuation on the business cycles of various small open economies. We argue that differences in the degree of durability in domestic production and imports may make these economies more or less sensitive to an identical ToT shock. We found that economies with higher durability usually enjoy more stable business cycle comparing with economies with lower degree of durability. Differences in the persistence of the ToT do affect the dynamic of the external accounts but it cannot explain the observed differences business cycles across small open economies. In the last essay, we evaluate the economic impacts of the Budget Stabilization Funds (BSF) on State-level business cycles. We lay out a State economy RBC model in which a State’s government applies a designated saving rule consistent with households’ optimization. Given the suggested rule we find that the BDFs become a significant automatic stabilizer. It is not only mitigates the procyclicality of the government spending but it also smooth the State’s business cycle.
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