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An analysis of the impact of the exchange rate on unemployment in South Africa / Sonika van DykVan Dyk, Sonika January 2014 (has links)
A volatile real exchange rate and high unemployment rate is a growing concern in South Africa, therefore the right macroeconomic policy is required. The challenge is to find stability in the real exchange rate paired with a low inflation rate, both of which are necessary to promote long term economic growth, which in turn creates more job opportunities. This study analyses the impact of the exchange rate on unemployment in South Africa by considering quarterly data for the period 2003 to 2013. In this study, the macroeconomic transmission channel is divided into two transmission paths, imports and exports. These find their roots in the Phillips curve and the Keynesian theory on unemployment respectively. The vector error correction model (VECM), together with an analysis of the impulse response functions and variance decompositions, are implemented to determine the short and long run impacts of the exchange rate on unemployment. After the completion of a variety of specifications, estimations and tests, both macroeconomic transmission paths revealed in the empirical analysis that the real exchange rate has a significant impact on unemployment. In the imports transmission path, the real exchange rate, imports and the CPI have significant long term relationships with unemployment. Furthermore, the exports transmission path found significant short term relations with unemployment in considering the real exchange rate, exports and economic growth. The impulse responses in both transmission paths indicated that a shock in the exchange rate will have a significant effect on unemployment in the short run. Similar results were found with the variance decomposition. In the import transmission path, movements in the real exchange rate explained an increasing portion of the variance in unemployment. Alternatively, in the export transmission path the real exchange rate and exports explained an increasing portion of the variance. The evidence therefore suggests that South Africa should focus more on stabilising the exchange rate, since fluctuations in unemployment are a result of shocks in the real exchange rate, following the macroeconomic transmission channels discussed. / MCom (Economics)--North-West University, Vaal Triangle Campus, 2015
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The association between inflation-adjusted accounting income and the behaviour of share pricesGevers, Willem Rudolf 12 1900 (has links)
Thesis (PhD (Business Management))--University of Stellenbosch, 1992. / ENGLISH ABSTRACT: In this dissertation the association between inflation-adjusted data and the behaviour of share prices is investigated. The primary purpose of this investigation is to make a contribution to the body of knowledge regarding share price behaviour, and more specifically with respect to the relationship between inflation accounting and the share
market.
The disclosure of inflation-adjusted data is not mandatory in South Africa, and few companies have disclosed supplementary current cost income statements. A somewhat larger number of companies make provision for inflation in their financial results by revaluing their assets and accounting for additional depreciation. Prior to 1984 a fair proportion of the companies listed on the Johannesburg Stock Exchange also used the LIFO method of inventory valuation. The disclosed inflation-adjusted data is very limited,
necessitating the estimation of the inflation-adjusted data.
To estimate the inflation adjustments, a number of inflation accounting models were developed based either on AC 201 or other suggestions found in the literature. These models were then applied to the financial results of listed industrial companies. In the first empirical analysis contained in this dissertation the inflation adjustments generated by the various models were compared to identify unique models for further use in the market
related empirical work. From this analysis it was established that AC 201 is open to such a divergent interpretation that significantly different inflation adjustments are generated.
From the literature reviewed, three research designs showed promise for application to the market related empirical analyses. The first design used was the event study which was used to evaluate the share market's reaction to the abolition of the tax benefits associated with the LIFO method of inventory valuation. The share market showed no significant reaction for a period of 21 weeks surrounding the announcement, making possible statements regarding the relative efficiency of the Johannesburg Stock Exchange impossible. It was, however, established that the research design used is very sensitive to sample formation, and it is recommended that special care should be used in market related studies to ensure that both operating and holding companies are not included in the same sample.
The second research design used was the incremental information content design. Limited incremental information content was found in the inflation-adjusted income for companies which disclosed no inflation adjustments. For companies that did disclose some aspects of inflation accounting, the inflation-adjusted income was often the better explanatory variable of the residual share returns, but no incremental information content could be
detected. Based on analyses performed on single years of data it was found that the inflation-adjusted income was as good an explanatory variable of the residual share returns as the historic cost variable.
The final research design used was the income measurement perspective. It was found that in general the historic cost income behaved as expected, but the inflation adjustment to income seldom displayed any income measuring properties. The only inflation accounting model that displayed signs of income measurement properties contained as part of its adjustment unrealised holding gains on fixed assets. This could be a indication that the disclosure of unrealised holding gains could be useful. The lack of results found for
AC 201 possibly points to its inadequacy. In general the relationship between the inflation-adjusted data and the share market was found to be very weak. / AFRIKAANSE OPSOMMING: In hierdie proefskrif word die verwantskap tussen inflasie-aangepaste data en die gedrag van aandeelpryse ondersoek. Die primere doel met hierdie studie is om by te dra tot die kennis oor die gedrag van aandeelpryse, en dan meer spesifiek met betrekking tot die verwantskap tussen inflasie-rekeningkunde en die aandelemark.
In Suid-Afrika is dit nie verpligtend om inflasie-aangepaste data bekend te maak nie, en min maatskappye publiseer 'n aanvullende inkomstestaat van huidige koste. 'n Ietwat groter aantal maatskappye maak voorsiening vir inflasie in hul finansiele resultate deur hul bates te herwaardeer en addisionele waardevermindering af te skryf. Voor 1984 het 'n aantal maatskappye wat op die Johannesburgse Effektebeurs genoteer is, ook voorraad
volgens die LIEU metode gewaardeer. Slegs beperkte inflasie-aangepaste data is dus beskikbaar, wat die skatting van sodanige data noodsaak.
Om die inflasie-aangepaste data te kan skat, is 'n aantal inflasie-rekeningkunde modelle ontwikkel, op grond van of RE 201 of ander voorstelle in die literatuur. Hierdie modelle is daarna toegepas op die finansiele resultate van genoteerde nywerheidsmaatskappye. In die eerste empiriese ondersoek wat in hierdie proefskrif vervat is, is die inflasieaanpassings
wat deur die onderskeie modelle gegenereer is, met mekaar vergelyk om te
bepaal watter uniek is vir gebruik in die markverwante empiriese ondersoek wat volg.
Met hierdie ondersoek is vasgestel dat RE 201 so uiteenlopend vertolk kan word dat inflasie-aanpassings wat statisties beduidend van mekaar verskil, gegenereer word. Uit die literatuur wat bestudeer is, blyk dit dat drie verskillende navorsingsontwerpe geskik vir toepassing in die markverwante ondersoeke is. Die eerste ontwerp wat gebruik is, is die gebeurtenisstudie waarmee die effektebeurs se reaksie bepaal is op die afskaffing van die belastingvoordeel wat aan die LIEU-voorraadwaardasie gekoppel was. Die
effektebeurs het gedurende die 21 weke rondom hierdie aankondiging geen betekenisvolle reaksie getoon nie. Dit maak enige afleidings oor die relatiewe doeltreffendheid van die effektebeurs onmoontlik. Daar is wel vasgestel dat die navorsingsontwerp baie sensitief vir die samestelling van die steekproef is. Dit word aanbeveel dat sorg gedra behoort te word dat 'n bedryfsmaatskappy nie saam met sy houermaatskappy in dieselfde steekproef
opgeneem word nie.
Die tweede navorsingsontwerp wat gebruik is, berus op die inkrementele inligtingsinhoud. Die inflasie-aangepaste inkomstesyfers van maatskappye wat geen aanpassings vir inflasie toon nie, bevat beperkte inkrementele inligting. Vir maatskappye wat wel inflasieaanpassings openbaar maak, is die inflasie-aangepaste inkomstesyfer dikwels die beste beskrywende veranderlike van die residuele aandeelopbrengste, maar geen inkrementele inligting kon gevind word nie. Uit ontledings wat op 'n jaarbasis uitgevoer is, kan daar
afgelei word dat die inflasie-aangepaste inkomstesyfer net so 'n goeie beskrywende veranderlike van die residuele aandeelopbrengste as die historiesekoste-inkomstesyfer is.
Die laaste navorsingsontwerp wat gebruik is, berus op die inkomstemetingsperspektief. In die algemeen is daar gevind dat die historiesekoste-inkomstesyfer volgens verwagting reageer, maar dat die inflasie-aanpassing selde enige inkomstemetingseienskappe bevat.
Die enigste inflasie-rekeningkunde model wat tekens van inkomstemetingseienskappe toon, bevat ongerealiseerde houwinste op vaste bates as deel van sy regstelling. Dit kan beskou word as 'n teken dat die openbaarmaking van ongerealiseerde houwinste nuttig kan wees.
Die gebrek aan betekenisvolle resultate vir RE 201 hou die moontlikheid in dat dit ontoereikend is. In die algemeen is gevind dat die verwantskap tussen inflasie-aangepaste data en die gedrag van aandele op die effektebeurs baie swak is.
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The viability of implementing inflation targeting as a policy solution to combat inflation in South AfricaGill, Madeline 03 1900 (has links)
Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: Inflation has many negative effects and for this reason the South African Reserve Bank, like
central banks in most countries, is strongly opposed to inflation and uses its monetary policy to
combat it. This action is necessary for continued economic growth, prosperity and a fair
distribution of income and wealth. Low inflation and a stable financial environment are
important prerequisites for the achievement of these objectives on a long-term basis.
In order to combat inflation in South Africa it was announced in the Budget Speech on the 23
February 2000, that a policy of inflation targeting would be implemented in South Africa. The
objective is to bring inflation within the target band of three to six percent by the year 2002.
Inflation targeting has been successful in helping New Zealand, Canada, Israel, the United
Kingdom, Sweden, Australia and Spain achieve and maintain low rates of inflation. This does
not mean, however, that inflation targeting has been implemented without incurring costs in lost
output and employment, but there is no evidence that the adoption of inflation targets has
produced harmful effects to the real economy over the long-term. Instead, the low inflation rates
achieved in the inflation targeting countries have improved the prospects for sustainable longterm
growth.
However, inflation targeting is not appropriate for all countries. There are certain developing
countries that do not meet the basic requirements for adopting inflation targeting.
In this study the viability of implementing inflation targeting as a policy solution to combat
inflation in South Africa is examined. In order to determine this, focus is placed on the key
characteristics and features of inflation targeting. The reasons why countries have implemented
inflation targeting are viewed and the prerequisites that must be met before inflation targeting
can be implemented are discussed. The advantages and disadvantages of this approach are also
highlighted.
Furthermore, focus is placed on how inflation targeting has been implemented in some of the
advanced economies in order to determine whether it can be successfully implemented in developing countries, and if so, in which developing countries. Finally equipped with an
.understanding of the theoretical aspects of inflation targeting and drawing from the lessons of the
international experiences, focus is placed on how viable it is to implement inflation targeting in
South Africa. / AFRIKAANSE OPSOMMING: Wêreldwyd neem Sentrale Banke van ontwikkelende lande, aktiewe stappe in die bekamping van
inflasie. Die Suid Afrikaanse Reserwe Bank, net soos ander Sentrale Banke is ook gekant teen
inflasie en maak gebruik van hulle monetêre beleid vir die bekamping van inflasie. Bekamping
van inflasie is van kardinale belang om voortgesette ekonomiese groei, welvaart en 'n regverdige
verspreiding van inkomste en rykdom te verseker. Lae inflasie en 'n stabiele finansiële
omgewing is belangrike voorvereistes om hierdie finansiële doelwitte in die langtermyn te
bereik.
Ten einde inflasie in Suid Afrika te bekamp, het die Minister van Finansies in sy begrotingsrede
van 23 Februarie 2000, aangekondig dat Suid Afrika 'n beleid van inflasie bekamping gaan
implementeer. Die doelwit van so beleid sou wees om inflasie binne 'n drie tot ses persent
teikenband te beperk teen die jaar 2002.
Inflasie bekamping was suksesvol in die bekamping van inflasie in lande soos New Zealand,
Kanada, Israel, Die Verenigde Koningkryk, Swede, Australia en Spanje, waar lae inflasie koerse
behaal is en gehandhaaf word. Alhoewel 'n beleid van inflasie bekamping met indirekte koste en
'n verlies in produksie en werksgeleenthede gepaard gaan, is daar geen bewyse dat die
implementering van inflasie teikens 'n wesenlike effek op die ekonomie in die langtermyn het
nie. Inteendeel, lae inflasie in die teikengroep lande het verseker dat voortdurende ekonomiese
groei oor die langtermyn gehandhaaf kon word.
'n Beleid van inflasie bekamping is nie wenslik vir alle lande nie. Daar is verskeie
ontwikkelende lande wat nie aan die basiese voorvereistes vir die implementering van 'n beleid
van inflasie bekamping voldoen nie.
In hierdie studie word die wenslikheid, al dan nie vir die implementering van 'n beleid van
inflasie bekamping, as 'n beleidsoplossing in die bekamping van inflasie in Suid Afrika
ondersoek. Ten einde dit te bereik word die fokus op die hoof karaktertrekke en einskappe van
inflasie bekamping geplaas. Die redes waarom lande inflasie bekamping implementeer, asook die voorvereistes waaraan voldoen moet word, alvorens 'n beleid van inflasie bekamping
geimplementeer kan word, word bespreek. Die voor- en nadele van hierdie werkswyse word ook
uitgelig.
Voorts word gefokus op die implementering van inflasie bekamping in ontwikkelde ekonomieë,
om te bepaal of dit op die ekonomieë van ontwikkelende lande toegepas kan word, en indien wel,
watter ontwikkelende lande?
Toegerus met 'n begrip van die teoretiese aspekte van inflasie bekamping, gepaardgaande met
die internasionale ervarings, word daar gefokus op die wenslikheid, vir die implementering van
'n beleid van inflasie bekamping in Suid Afrika.
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Inflation as a determinant of South African inflation-linked bond returnsVan Zyl, Jaco 04 1900 (has links)
Thesis (MDF)--Stellenbosch University, 2015. / ENGLISH ABSTRACT: “Inflation is as violent as a mugger, as frightening as an armed robber and as deadly as a hit
man.” – Ronald Reagan
It is widely publicised that inflation-linked instruments provide a hedge against rising inflation. This
has led investors to assume that high inflation creates an opportunity to beat the market when
investing in this asset class. This assumption is based on the belief that higher inflation creates
higher returns. It is due to this belief that a research question was formulated to determine if
inflation is in fact a determinant of inflation-linked bond returns.
This research study investigated, as a first objective, the relationship between the South African
prime lending interest rate and the South African consumer price index inflation between 2000 and
2013. The Augmented Dickey-Fuller test was applied to test for unit roots between interest and
inflation. This test was extended to six other emerging countries that, together with South Africa,
are issuers of government inflation-linked bonds. The researcher’s intention was to compare the
relationship between interest rates and inflation in South Africa with that of the six other countries.
Surprisingly, the results indicated that South African inflation and interest are non-stationary. After
testing for cointegration, it was concluded that there is no relationship between the prime lending
interest rate and inflation in the data set and most of the variation can be explained by means of
the autocorrelation of residuals in previous periods more than the prime lending rate.
As a second objective, the same methodology was applied to determine whether there is any
relationship between the South African consumer price index inflation and the South African
government inflation-linked bond returns. The results indicated that the series is not cointegrated
which means that no relationship exists between inflation and inflation-linked bond returns.
The third objective looked at alternative factors that could explain what the real determinants of
inflation-linked bond returns are. It was concluded that the trend in inflation is really the source of
inflation-linked bond performance, with the effects of the lead and lag periods causing capital
losses and profits.
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大數據預測通貨膨脹率 / Forecasting Inflation with Big Data廖珈燕, Liao, Jia Yan Unknown Date (has links)
本文主要是透過 Google trends 網站提供的關鍵字搜尋量資料,
探討網路資料是否能夠提供通貨膨脹率的即時資訊。
透過美國消費者物價指數的組成細項作為依據,蒐集美國2004年1月至2015年12月的 Google trends 關鍵字變數,並藉由最小絕對壓縮挑選機制(Least absolute shrinkage and selection operator)、
彈性網絡(Elastic Net)以及主成分分析法(Principal component analysis)等等變數挑選機制,有效地整合大量的關鍵字資料。實證結果發現,透過適當變數挑選後的 Google trends 關鍵字變數確實可改善美國通貨膨脹率的即時預測表現,並為美國通貨膨脹率提供額外有效的資訊。此外,我們透過台灣的關鍵字資料檢驗,也確認Google trends 關鍵字資料可以幫助台灣通貨膨脹率的即時預測。
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Constraining fundamental physics with cosmologyFlauger, Raphael Manfred 04 February 2010 (has links)
It is shown in three examples that future cosmological data may allow
us to constrain fundamental physics in interesting ways.
The first example illustrates that correlations in the polarization of the cosmic
microwave background may allow us to put the strongest limit yet on the mass
of a particle, the graviton, at a level of m . 10−30 eV.
In the second example, it is shown that observations of the correlations of temperature
anisotropies and polarization of the cosmic microwave background
may reveal hints for the realization of a class of string theoretic inflationary
models that go by the name of axion monodromy inflation, or, rule them out.
If the evidence for inflation strengthens substantially, just the requirement that
inflation occurred may be used to constrain models of fundamental physics.
The third example shows that a class of string compactifications that are commonly
used in the context of string phenomenology cannot support inflation
and might thus be ruled out by cosmology.
For completeness, a review of the physics underlying the cosmic microwave
background radiation is included and some analytical results for the signatures
of primordial gravitational waves in the cosmic microwave background
are given. / text
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Essays on monetary policy, saving and investmentLenza, Michele 04 June 2007 (has links)
This thesis addresses three relevant macroeconomic issues: (i) why
Central Banks behave so cautiously compared to optimal theoretical
benchmarks, (ii) do monetary variables add information about
future Euro Area inflation to a large amount of non monetary
variables and (iii) why national saving and investment are so
correlated in OECD countries in spite of the high degree of
integration of international financial markets.
The process of innovation in the elaboration of economic theory
and statistical analysis of the data witnessed in the last thirty
years has greatly enriched the toolbox available to
macroeconomists. Two aspects of such a process are particularly
noteworthy for addressing the issues in this thesis: the
development of macroeconomic dynamic stochastic general
equilibrium models (see Woodford, 1999b for an historical
perspective) and of techniques that enable to handle large data
sets in a parsimonious and flexible manner (see Reichlin, 2002 for
an historical perspective).
Dynamic stochastic general equilibrium models (DSGE) provide the
appropriate tools to evaluate the macroeconomic consequences of
policy changes. These models, by exploiting modern intertemporal
general equilibrium theory, aggregate the optimal responses of
individual as consumers and firms in order to identify the
aggregate shocks and their propagation mechanisms by the
restrictions imposed by optimizing individual behavior. Such a
modelling strategy, uncovering economic relationships invariant to
a change in policy regimes, provides a framework to analyze the
effects of economic policy that is robust to the Lucas'critique
(see Lucas, 1976). The early attempts of explaining business
cycles by starting from microeconomic behavior suggested that
economic policy should play no role since business cycles
reflected the efficient response of economic agents to exogenous
sources of fluctuations (see the seminal paper by Kydland and Prescott, 1982}
and, more recently, King and Rebelo, 1999). This view was challenged by
several empirical studies showing that the adjustment mechanisms
of variables at the heart of macroeconomic propagation mechanisms
like prices and wages are not well represented by efficient
responses of individual agents in frictionless economies (see, for
example, Kashyap, 1999; Cecchetti, 1986; Bils and Klenow, 2004 and Dhyne et al., 2004). Hence, macroeconomic models currently incorporate
some sources of nominal and real rigidities in the DSGE framework
and allow the study of the optimal policy reactions to inefficient
fluctuations stemming from frictions in macroeconomic propagation
mechanisms.
Against this background, the first chapter of this thesis sets up
a DSGE model in order to analyze optimal monetary policy in an
economy with sectorial heterogeneity in the frequency of price
adjustments. Price setters are divided in two groups: those
subject to Calvo type nominal rigidities and those able to change
their prices at each period. Sectorial heterogeneity in price
setting behavior is a relevant feature in real economies (see, for
example, Bils and Klenow, 2004 for the US and Dhyne, 2004 for the Euro
Area). Hence, neglecting it would lead to an understatement of the
heterogeneity in the transmission mechanisms of economy wide
shocks. In this framework, Aoki (2001) shows that a Central
Bank maximizing social welfare should stabilize only inflation in
the sector where prices are sticky (hereafter, core inflation).
Since complete stabilization is the only true objective of the
policymaker in Aoki (2001) and, hence, is not only desirable
but also implementable, the equilibrium real interest rate in the
economy is equal to the natural interest rate irrespective of the
degree of heterogeneity that is assumed. This would lead to
conclude that stabilizing core inflation rather than overall
inflation does not imply any observable difference in the
aggressiveness of the policy behavior. While maintaining the
assumption of sectorial heterogeneity in the frequency of price
adjustments, this chapter adds non negligible transaction
frictions to the model economy in Aoki (2001). As a
consequence, the social welfare maximizing monetary policymaker
faces a trade-off among the stabilization of core inflation,
economy wide output gap and the nominal interest rate. This
feature reflects the trade-offs between conflicting objectives
faced by actual policymakers. The chapter shows that the existence
of this trade-off makes the aggressiveness of the monetary policy
reaction dependent on the degree of sectorial heterogeneity in the
economy. In particular, in presence of sectorial heterogeneity in
price adjustments, Central Banks are much more likely to behave
less aggressively than in an economy where all firms face nominal
rigidities. Hence, the chapter concludes that the excessive
caution in the conduct of monetary policy shown by actual Central
Banks (see, for example, Rudebusch and Svennsson, 1999 and Sack, 2000) might not
represent a sub-optimal behavior but, on the contrary, might be
the optimal monetary policy response in presence of a relevant
sectorial dispersion in the frequency of price adjustments.
DSGE models are proving useful also in empirical applications and
recently efforts have been made to incorporate large amounts of
information in their framework (see Boivin and Giannoni, 2006). However, the
typical DSGE model still relies on a handful of variables. Partly,
this reflects the fact that, increasing the number of variables,
the specification of a plausible set of theoretical restrictions
identifying aggregate shocks and their propagation mechanisms
becomes cumbersome. On the other hand, several questions in
macroeconomics require the study of a large amount of variables.
Among others, two examples related to the second and third chapter
of this thesis can help to understand why. First, policymakers
analyze a large quantity of information to assess the current and
future stance of their economies and, because of model
uncertainty, do not rely on a single modelling framework.
Consequently, macroeconomic policy can be better understood if the
econometrician relies on large set of variables without imposing
too much a priori structure on the relationships governing their
evolution (see, for example, Giannone et al., 2004 and Bernanke et al., 2005).
Moreover, the process of integration of good and financial markets
implies that the source of aggregate shocks is increasingly global
requiring, in turn, the study of their propagation through cross
country links (see, among others, Forni and Reichlin, 2001 and Kose et al., 2003). A
priori, country specific behavior cannot be ruled out and many of
the homogeneity assumptions that are typically embodied in open
macroeconomic models for keeping them tractable are rejected by
the data. Summing up, in order to deal with such issues, we need
modelling frameworks able to treat a large amount of variables in
a flexible manner, i.e. without pre-committing on too many
a-priori restrictions more likely to be rejected by the data. The
large extent of comovement among wide cross sections of economic
variables suggests the existence of few common sources of
fluctuations (Forni et al., 2000 and Stock and Watson, 2002) around which
individual variables may display specific features: a shock to the
world price of oil, for example, hits oil exporters and importers
with different sign and intensity or global technological advances
can affect some countries before others (Giannone and Reichlin, 2004). Factor
models mainly rely on the identification assumption that the
dynamics of each variable can be decomposed into two orthogonal
components - common and idiosyncratic - and provide a parsimonious
tool allowing the analysis of the aggregate shocks and their
propagation mechanisms in a large cross section of variables. In
fact, while the idiosyncratic components are poorly
cross-sectionally correlated, driven by shocks specific of a
variable or a group of variables or measurement error, the common
components capture the bulk of cross-sectional correlation, and
are driven by few shocks that affect, through variable specific
factor loadings, all items in a panel of economic time series.
Focusing on the latter components allows useful insights on the
identity and propagation mechanisms of aggregate shocks underlying
a large amount of variables. The second and third chapter of this
thesis exploit this idea.
The second chapter deals with the issue whether monetary variables
help to forecast inflation in the Euro Area harmonized index of
consumer prices (HICP). Policymakers form their views on the
economic outlook by drawing on large amounts of potentially
relevant information. Indeed, the monetary policy strategy of the
European Central Bank acknowledges that many variables and models
can be informative about future Euro Area inflation. A peculiarity
of such strategy is that it assigns to monetary information the
role of providing insights for the medium - long term evolution of
prices while a wide range of alternative non monetary variables
and models are employed in order to form a view on the short term
and to cross-check the inference based on monetary information.
However, both the academic literature and the practice of the
leading Central Banks other than the ECB do not assign such a
special role to monetary variables (see Gali et al., 2004 and
references therein). Hence, the debate whether money really
provides relevant information for the inflation outlook in the
Euro Area is still open. Specifically, this chapter addresses the
issue whether money provides useful information about future
inflation beyond what contained in a large amount of non monetary
variables. It shows that a few aggregates of the data explain a
large amount of the fluctuations in a large cross section of Euro
Area variables. This allows to postulate a factor structure for
the large panel of variables at hand and to aggregate it in few
synthetic indexes that still retain the salient features of the
large cross section. The database is split in two big blocks of
variables: non monetary (baseline) and monetary variables. Results
show that baseline variables provide a satisfactory predictive
performance improving on the best univariate benchmarks in the
period 1997 - 2005 at all horizons between 6 and 36 months.
Remarkably, monetary variables provide a sensible improvement on
the performance of baseline variables at horizons above two years.
However, the analysis of the evolution of the forecast errors
reveals that most of the gains obtained relative to univariate
benchmarks of non forecastability with baseline and monetary
variables are realized in the first part of the prediction sample
up to the end of 2002, which casts doubts on the current
forecastability of inflation in the Euro Area.
The third chapter is based on a joint work with Domenico Giannone
and gives empirical foundation to the general equilibrium
explanation of the Feldstein - Horioka puzzle. Feldstein and Horioka (1980) found
that domestic saving and investment in OECD countries strongly
comove, contrary to the idea that high capital mobility should
allow countries to seek the highest returns in global financial
markets and, hence, imply a correlation among national saving and
investment closer to zero than one. Moreover, capital mobility has
strongly increased since the publication of Feldstein - Horioka's
seminal paper while the association between saving and investment
does not seem to comparably decrease. Through general equilibrium
mechanisms, the presence of global shocks might rationalize the
correlation between saving and investment. In fact, global shocks,
affecting all countries, tend to create imbalance on global
capital markets causing offsetting movements in the global
interest rate and can generate the observed correlation across
national saving and investment rates. However, previous empirical
studies (see Ventura, 2003) that have controlled for the effects
of global shocks in the context of saving-investment regressions
failed to give empirical foundation to this explanation. We show
that previous studies have neglected the fact that global shocks
may propagate heterogeneously across countries, failing to
properly isolate components of saving and investment that are
affected by non pervasive shocks. We propose a novel factor
augmented panel regression methodology that allows to isolate
idiosyncratic sources of fluctuations under the assumption of
heterogenous transmission mechanisms of global shocks. Remarkably,
by applying our methodology, the association between domestic
saving and investment decreases considerably over time,
consistently with the observed increase in international capital
mobility. In particular, in the last 25 years the correlation
between saving and investment disappears.
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再論通貨膨脹對就業、投資及經常帳的影響 / On the Employment, Investment and Current Account Effects of Inflation Once Again彭彥熹, Peng, Yen Hsi Unknown Date (has links)
This study investigates the effects of an anticipated inflation targeting in a small open economy based on the framework of Mansoorian and Mohsin (2006) with cash-in-advance constraints. It is shown that the steady-state effects of a permanent increase in the inflation rate on capital accumulation, labor and current account are consistent with the results in Mansoorian and Mohsin (2006). However, there is an ambiguous change in consumption depending on the relationship between consumption and labor in the utility function. If consumption and labor is with a large degree of substitution, consumption may rise. Moreover, there is an impact decrease in the shadow price of investment when the policy of targeting a higher inflation rate announces, and the degree of such decrease is inversely related to the time length between the announcement and the realization of policy. Prior to the execution of the policy, the capital stock decumulates and the current account may go through a deficit or surplus first and then deficit along the unstable trajectories depending on the relative impact between the change in the shadow price of investment and the shadow price of assets on the locus where the current account maintains in equilibrium. After the implementation of a higher inflation targeting policy, the capital stock continues to decumulate and the current account accumulates along the stable paths toward the new equilibrium. In addition, the relationship between consumption and labor also influences the dynamic movements of the shadow price of investment.
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中國物價膨脹與經濟成長之實證分析 / Inflation and economic growth in China: an empirical analysis吳銘家, Wu, Ming Jia Unknown Date (has links)
本文旨在研究中國物價膨脹對其經濟成長的非線性效果,一個重要卻未有定論的議題。我們採用自 1986 年至 2006 年中國各省官方公佈的國內生產總值、消費者物價指數、與其它解釋變數的數據,透過追蹤資料進行迴歸分析。本文主要發現為中國物價膨脹門檻的估計結果十分顯著且深具頑強性。當物價膨脹率超過 2.5% 此一門檻值,物價膨脹率每超出 1% 將減低經濟成長率 0.61%;而物價膨脹率低於該門檻值時,物價膨脹率每增加 1% 將刺激經濟成長率 0.53%。是故,我們建議中國政府應維持溫和的物價膨脹以利於長期經濟成長。 / This paper investigates a crucial but still open issue about the nonlinear effect of inflation on economic growth in China. We adopt official provincial data set of gross provincial product, consumer price index, as well as other explanatory variables from 1986 to 2006, and regression of panel data is used for analysis. The main finding is that the inflation threshold effect is highly significant and robust in China. Above the 2.5% inflation threshold, every increase of inflation rate by 1% impedes economic growth by 0.61%; below the threshold, such degree of increase stimulates the growth by 0.53%. We suggest China shall keep inflation rate moderate for long-run growth.
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通貨膨脹目標機制與央行偏好之分析 / Inflation Targets and Contracts with the Central Bank's Preference邱靖懿, CHIU, CHING-YI Unknown Date (has links)
本文旨在探討當央行的目標函數中對通膨和產出的權重有相關時,並且將央行的偏好納入模型之中,對央行其目標通膨機制下之通膨偏誤(inflationary bias)有何影響,最後再比較在不同的目標通膨機制下之通膨偏誤以及預期社會福利。相較於Walsh (1999)的結果,我們得到部份相同、部分不同的結論。以下為三點相異之發現:(1)當央行愈在乎通膨,對通膨有較高的權重,不論在何種目標通膨機制下,其通膨偏誤皆會變小。(2)相較於沒有考慮央行偏好下的政策結果,我們發現考慮央行的偏好後,對通膨偏誤和預期社會福利會有很大的影響。影響的結果則是決定於央行偏好的大小。(3)相較於權衡性政策(discretionary policy)下的通膨偏誤,在非任意政策和宣示政策的模型中加入央行的偏好後,未必有助於降低的通膨偏誤。同樣地,政策比較的結果也是決定於央行偏好的大小。 / In this paper, we extend the model of inflation targeting with a penalty borne by the central bank in Walsh (1999) and add the specification of the central bank’s preference in Muscatelli (1998) to study how the weight on inflation, the central bank’s preference affect the inflationary bias under a non-state-contingent policy and an announcement policy. Moreover, we investigate how the expected social welfare varies under a discretionary policy, a non-state-contingent policy, and an announcement policy. We obtain the following findings in contrast with those in Walsh (1999): First, for a non-state-contingent policy and an announcement policy, when the central bank more cares about inflation, the inflationary bias becomes smaller. Second, compared with the inflationary bias under a non-state-contingent policy and an announcement policy without the central bank’s preference, it has a substantial effect on the inflationary bias and the expected social welfare after considering the preference of the central bank into the models. The monetary policy effect depends on the magnitude of the central bank’s preference. Third, adding the preference of the central bank is not definitely beneficial to reduce the inflationary bias and enhance the expected social welfare compared with under a discretionary policy. Similarly, the outcome is dependent on the degree of the central bank’s preference.
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