This thesis estimates the effects of monetary policy shocks by employing vector auto regressions (VAR). I argue that to the extent the central bank and the private sector have information not reflected in the VAR, the measurement of policy innovations is contaminated. These incorrectly estimated policy shocks then generate misleading results about the effects of monetary policy. This thesis first attempts to figure out the variables indeed observed by central banks to make monetary policy decisions and then formulates the monetary policy reaction function by using those variables. Having identified more realistic monetary policy functions in VAR models, I conclude that most of the previous puzzling results about the effect of monetary policy shocks might be due to incorrectly identifying the monetary policy reaction function. / Thesis (Ph.D, Economics) -- Queen's University, 2009-06-15 15:59:13.04

The master thesis evaluates similarity of transmission mechanisms of the CEE countries and the Euro zone. Comparison of transmission mechanisms is conducted using VAR model and impulse response functions of main economic variables to an unexpected monetary policy tightening. An unexpected rise in interest rates is followed by a fall in output, other reactions usually differ for CEECs and the Euro zone members. The price puzzle still occurs in the CEE economies. Different reactions are reason for careful consideration of the Euro adoption.

This thesis was aimed at investigating the volatility and relationship between inflation rates and exchange rates in Ghana. The data for the study was obtained from the World Data Bank, the Bank of Ghana, and the Ghana Statistical Service. It covered a period from 1980 to 2016. The main variables were the real exchange rate and inflation. The software used to run the data was Stata. The study employed Vector Autoregressive (VAR) model. The VAR model was chosen by reason that the data set were integrated but not cointegrated. The study result shows that in the short-run, a percentage change in the variability of the real exchange rate induces 54% change in the variability of inflation rate. Again, a percentage change in the variability of real exchange rate induces 90% change in the variability of real exchange rate.

This study aims to conduct a descriptive analysis of inflation targeting in Mongolia. In this context, I will assess whether the current inflation targeting practice of Mongolia is classified as a fully-fledged, eclectic, or inflation targeting lite regime. Then I will verify that Mongolia validates the prerequisites necessary for the implementation of fully fledged inflation targeting. Finally, I will proceed to a VAR model analysis aiming to describe the determinants of inflation. The results show that the inflation targeting practice of Mongolia falls in inflation targeting lite countries categorization and most of the prerequisites to adopt fully fledged inflation targeting have not been fulfilled. It would require significant improvement in the independence of the Bank of Mongolia’s operation and monetary policy decision making, modeling capabilities within the Bank of Mongolia, and financial stability. Finally, the VAR model results show a relationship among the variables, CPI, money supply, exchange rate, and GDP in Mongolia. The principal finding is that the money supply and exchange rate are more important in explaining variation in CPI than GDP in Mongolia.

Esta tese analisa o comportamento das economias dos quatro países membros do Mercosul (Argentina, Brasil, Paraguai e Uruguai) sob o funcionamento de regimes de câmbio flutuante, que substituíram os regimes de câmbio mais rígidos a partir do final da década de 1990. O objetivo consiste em verificar se, sob regimes de câmbio flutuante, há sinais de convergência macroeconômica entre os países do Bloco, por meio da aplicação de um modelo VAR (vetores auto-regressivos) e de testes empíricos complementares. A simulação de choques com o uso de vetores auto-regressivos visou comparar o funcionamento e os efeitos das políticas monetária e cambial dos países por meio das elasticidades entre as variáveis, obtidas nas funções de resposta a impulso, e da participação de cada variável no sistema, analisada pela decomposição da variância dos erros de previsão. Complementarmente, foram executados testes de exogeneidade, com o intuito de se efetuar uma análise comparativa, e de estabilidade, para avaliar a ocorrência de eventuais choques simétricos na região. Os resultados da estimativa e dos testes permitiram demonstrar que não há qualquer indício de convergência macroeconômica entre os países do Mercosul, pois além da elasticidade distinta entre as variáveis estimadas para cada um dos países e das diferenças na classificação da exogeneidade das variáveis, os diferentes períodos de instabilidade indicam assimetria de choques entre os países da região. / This thesis examines the behavior of the economies of the four member countries of Mercosur (Argentina, Brazil, Paraguay and Uruguay) from the operation of floating exchange regimes, which replaced the strictest regimes since the end of the 90s. The goal is to determine if, under floating exchange rate, there are signs of macroeconomic convergence among countries of the bloc, through the application of a VAR (Vector Autoregression) model and complementary empirical tests. The simulation of shock with the use of vector autoregression model intended compare the operation and the effects of monetary and exchange rate policies of the countries through elasticities between variables, which has been obtained in the impulse response functions, and of the participation of each variable in the system, verified by the decomposition of the forecasting errors from the variance. In addition, exogeneity tests were performed, in order to make a comparative analysis, and stability, to evaluate the occurrence of symmetric shocks in the region. The results of estimation and testing enabled to demonstrate that there is no evidence of macroeconomic convergence among the Mercosur countries, because beyond the distinguished elasticity between variables estimated for each of the countries and the differences in classification of variables exogeneity, different periods of instability indicate asymmetry of shocks among countries of the region.

Esta tese analisa o comportamento das economias dos quatro países membros do Mercosul (Argentina, Brasil, Paraguai e Uruguai) sob o funcionamento de regimes de câmbio flutuante, que substituíram os regimes de câmbio mais rígidos a partir do final da década de 1990. O objetivo consiste em verificar se, sob regimes de câmbio flutuante, há sinais de convergência macroeconômica entre os países do Bloco, por meio da aplicação de um modelo VAR (vetores auto-regressivos) e de testes empíricos complementares. A simulação de choques com o uso de vetores auto-regressivos visou comparar o funcionamento e os efeitos das políticas monetária e cambial dos países por meio das elasticidades entre as variáveis, obtidas nas funções de resposta a impulso, e da participação de cada variável no sistema, analisada pela decomposição da variância dos erros de previsão. Complementarmente, foram executados testes de exogeneidade, com o intuito de se efetuar uma análise comparativa, e de estabilidade, para avaliar a ocorrência de eventuais choques simétricos na região. Os resultados da estimativa e dos testes permitiram demonstrar que não há qualquer indício de convergência macroeconômica entre os países do Mercosul, pois além da elasticidade distinta entre as variáveis estimadas para cada um dos países e das diferenças na classificação da exogeneidade das variáveis, os diferentes períodos de instabilidade indicam assimetria de choques entre os países da região. / This thesis examines the behavior of the economies of the four member countries of Mercosur (Argentina, Brazil, Paraguay and Uruguay) from the operation of floating exchange regimes, which replaced the strictest regimes since the end of the 90s. The goal is to determine if, under floating exchange rate, there are signs of macroeconomic convergence among countries of the bloc, through the application of a VAR (Vector Autoregression) model and complementary empirical tests. The simulation of shock with the use of vector autoregression model intended compare the operation and the effects of monetary and exchange rate policies of the countries through elasticities between variables, which has been obtained in the impulse response functions, and of the participation of each variable in the system, verified by the decomposition of the forecasting errors from the variance. In addition, exogeneity tests were performed, in order to make a comparative analysis, and stability, to evaluate the occurrence of symmetric shocks in the region. The results of estimation and testing enabled to demonstrate that there is no evidence of macroeconomic convergence among the Mercosur countries, because beyond the distinguished elasticity between variables estimated for each of the countries and the differences in classification of variables exogeneity, different periods of instability indicate asymmetry of shocks among countries of the region.

abtract This paper uses a seasonal dependence VAR model that is proposed by Olivei and Tenreyro in the year 2007.We are to assess whether the effect of a policy exogenous shock differs according to the quarter in which the shock occur. We consider Taiwan as a small open economy with flourishing international trade; the effect of exchange rate is viewed as an important transmission channel in monetary transmission mechanism. First part, we consider domestic monetary policy shock how to influence macroeconomic variables. Second part, the United State is powerful around the world. The Fed policies whether affect Taiwan macroeconomic or not. Finally, discuss an exogenous shock on the exchange rate to impact Taiwan macroeconomic.

This paper applies a Factor-Augmented VAR model proposed by Bernanke, Boivin and Eliasz (2005) to measure the impact of the monetary policy in Taiwan. Our empirical results show that, first, the more the factors added in the benchmark VAR, the more we can explain the price puzzle problem. Second, the effect of the tightening in the monetary policy (the increase in the interbank overnight lending rate) is inconsistent with the results expected by the credit channel.

In retrospect, telecommunication technology and services have seen incessant renovation and development. The wave of liberalization is also the inexorable trend in the global telecommunications industry, the telecommunications industry in Taiwan can not be excluded itself from the trend. The telecommunications industry in Taiwan has been opened by degrees and sought to establish a fair competitive environment. In the meantime, there are several important changes no matter in facets of regulatory regimes, industrial structure, technology, or market demand, etc. The environment of telecommunications industry became more volatile than the monopoly one's. We extend the opinion of Noam (2006) who observed the long-term upturn and downturn in the American telecommunications industry and concluded that that volatility and cyclicality will be an inherent part of the telecommunication sector in the future. First, in our thesis we explore the cyclical behavior of Taiwan telecommunications industry. As the turning point of the telecommunications industry may be obscure, we adopt a Markov Regime-Switching model with two regimes representing contraction and expansion. This nonlinear, two states, regime-switching model shows that Taiwan telecommunications industry has suffered from the cyclic fluctuation since the liberalization had been followed out. We focus on the mobile phone industry thereafter in this study. Since three telecommunication-related laws passed in 1996, the mobile phone industry is the first industry implemented the liberalization policy. In the process of the mobile phone industry's evolution, the carriers in this industry all experience the rapid growth in the mobile phone penetration rate and the fierce competition. Hence, to identify the main explanatory factors of the mobile phone industry fluctuation and cycles we introduce an 11-variable vector autoregressive (VAR) model. The empirical results confirm that the mobile phone industry' output can be influenced by five factors mainly including the macroeconomic status, demand, network effect, relative equipment import price, and output price, and furthermore, the impetus of the liberalization policy and the progress of the technology also play an important role beyond the five main factors in terms of the separate carriers' analysis.

This study seeks to analyse and quantify cross-border effects of discretionary fiscal policies from two major points of view. The aggregate approach rests on the use of the structural vector autoregression model (SVAR) and its extension, the global vector autoregression model (GVAR). The discretionary fiscal impulse itself is then defined as a change in cyclically adjusted balance of the government sector, calculated at quarterly frequencies. This section is then complemented by a case study of a single measure: the German car scrapping scheme during 2009 and its effects on the Czech economy. It was found that cross-border effects of discretionary fiscal policies may be indeed present, in case certain conditions are met. Importantly, a fiscal impulse has to originate from a sufficiently large economy and there needs to be a tight trade linkage between examined countries. In most cases, cross-border effects have also been found of lesser magnitude than direct impacts of fiscal policies on the domestic country. Finally, as demonstrated on the German-Czech case, even a single fiscal measure can trigger substantial cross-border spillovers. It was estimated that this measure positively contributed to real GDP growth in 2009 in the Czech Republic by 0.44 pp.