This paper applies a Factor-augmented error correction model proposed by Banerjee. A, Marcellino. M¡]2009¡^to measure the impact of the United States¡¦ monetary policy on Taiwan. The FECM model has the following advantages. First, it has refined the dynamic factor model, since it allows us to include the error correction terms into equation. Second, we can improve FAVAR model¡¦s shortcomings, the common factor lack of economic interpretation, by using the method of Belviso. F, Milani. F¡]2006¡^. Third, the cointegration can analyze long-run and short-run dynamics of non-stationary variables. Forth, we propose the generalized impulse respone to analyze the FECM model, it doesn¡¦t require orthogonalization of shocks and is invariant to the ordering of the variables. Finally, we indeed prove the interest rate channel does exist in Taiwan and United States through the method of FECM model.

Business cycle is an important issue for economist. Because the fluctuations of product and employment have deep influences on people¡¦s life and social stability, almost every government tries to reduce the volatility of national business cycles. If we want to make it, we must realize it first. Since countries communicate with each other more frequently in recent decades, the volatility of national product cycles is not only influenced by domestic economic variables but also foreign ones. The purpose of this paper is to analyze the effect of transmission mechanism on international business cycles synchronization (BCCs). The major purpose of this paper is to analyze the effect of international vertical specialization on BCCs among industrial countries. There are two kinds of effect. One is indirect effect. Vertical specialization happens between industrial countries and developing countries, so it can reduce bilateral trade intensity among industrial countries. Through this way, BCCs among industrial countries will reduce. The other one is direct effect. Vertical specialization changes the economic structure of industrial countries. Industrial countries can focus on product development and market research. This kind of economic structure is less capital intensive, which lessens the effect of common shocks to industrial country¡¦s business cycles. BCCs among industrial countries will reduce. We measured the effect using the data from G6 (Canada, France, Germany, Japan, UK and US). The result is consistent with our inferance. Vertical specialization can reduce BCCs by reducing bilateral trade intensive among industrial countries. There is a negative relation between Vertical specialization and BCCs among industrial countries.

This thesis investigated the role of monetary policy in Namibia for the period 1993 to 2011. It aims at achieving six objectives. First, it reviews the evolution of monetary policy in Namibia for the period 1980 to 2011. Second, it investigates the interest rate channel of the monetary policy transmission mechanism in Namibia. Third, it analyses the credit channel of the monetary policy transmission mechanism in Namibia. Fourth, it evaluates the exchange rate channel of the monetary policy transmission mechanism in Namibia. Fifth, it studies the money effect model in the context of the monetary policy transmission mechanism in Namibia. Sixth, it examines the exchange rate pass–through (ERPT) to domestic prices in Namibia. In order to achieve the objectives of the relative importance of the different channels of monetary policy transmission, a structural vector autoregressive model of the Namibian economy is constructed. Specifically the responses of the output and prices to monetary policy shocks for Namibia over the quarterly period 1993:Q1 to 2011:Q4 are investigated using impulse response functions and forecast variance error decompositions obtained from a structural vector autoregressive model (SVAR). The thesis also examined the exchange rate pass-through from exchange rate to domestic prices using both SVAR and the single equation error correction model (ECM). Estimation results on the different channels of monetary policy transmission mechanism showed that the interest rate channel and the credit channel are effective in transmitting monetary policy actions. The exchange rate channel is also operative but not effective. The money effect model confirms that inflation in Namibia is not a monetary phenomenon. The results of the pass-through relationship showed that there is an incomplete but high exchange rate pass-through from exchange rate to domestic prices.

The topic of financial contagion has attracted increased attention in economic literature over the past three decades; in particular after the Asian crisis of 1997. This dissertation investigates financial contagion and its effects on South Africa after the 2007 global financial crisis. In particular, it examines whether South Africa experienced contagion from the United States stock market to its own over the period 1 July 2007 to 1 April 2009 within the strict definition of contagion or otherwise: the fraction of exceedance events in the stock market that is left unexplained by its own covariates but is explained by the exceedance from another region. This is tested empirically with a binomial-nominal logistic model. In addition to this, various financial and trade transmission mechanisms are tested to empirically determine through which channels the crisis was propagated. The analysis makes use of quarterly data from January 2002 to April 2009, within an OLS framework, with a dummy variable differentiating the periods before and after the collapse of Lehman Brothers. The findings suggest that contagion was in fact not present in this crisis, which speaks to market rationality and indicates that the South African stock market did in fact react rationally to a changing macroeconomic environment over this period. The transmission mechanism analyses indicate that there was a change in the interdependence relationship between the two stock markets following the crash of Lehman Brothers in September 2008. It is apparent that both trade and financial variables played significant roles in the propagation of this crisis.

This diploma thesis presents results of analysis of monetary policy transmission mechanism in the Czech Republic employing the vector autoregressive (VAR) models. The responsible authority for monetary policy is Czech National Bank that has been using the inflation targeting regime to conduct its monetary policy since 1998. The inflation rate changes, i.e. the changes in repo rate represent a monetary tool for steering actual inflation rate towards the projected or "target" inflation rate. The linear correlation between 2 weeks repo rate and 1 month PRIBOR rate is confirmed. The transmission mechanism is examined within the VAR framework and the relationships between the 1 month PRIBOR rate, gross domestic product and inflation rate are studied. The VAR model including 1 lag is considered as the best performing model. The relationships among variables are analysed by related approaches -- Granger causality, impulse response functions and cointegration. The ability of model to create forecasts is assessed and the ex ante forecasts are produced for one-year horizon. The effects of alternative monetary policies are the subject of scenario analysis.

The appropriateness of inflation targeting in South Africa is examined. South Africa has adopted flexible inflation targeting, wherein considerations for other macroeconomic variables are prioritized. There is evidence of growing concern regarding South Africa’s monetary policy framework., emerging primarily from the trade union movement and the communist party. The concerns are borne out of the developmental challenges that are still facing South Africa, ranging from high unemployment, high levels of poverty and inequality, and low economic growth. In attempt to understand these concerns, the following key economic variables GDP, Manufacturing Data, Exchange Rate, and Repo Rate were investigated using both Eviews and Stat tool. To eliminate the impact of the recent global recession, the data that has been analyzed is up to 2008. The research compares two periods, namely; the pre inflation targeting period (1990 – 1999) and post inflation targeting period (2000 – 2008). The study has found that despite unemployment, inequality and economic growth having being sluggish over the years, these factors are not as a result of inflation targeting. Evidence indicates that inflation has been reduced and stabilized since the adoption of inflation targeting. This research argues that this methodology is important for South Africa’s economic development, as evident by increased output. This research concludes that the implementation of inflation targeting is appropriate for South Africa. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

博士(経済学) / Doctor of Economics / 同志社大学 / Doshisha University

The primary objective of this thesis is to analyse the relationship between money and the macro-economy in Sri Lanka between 1977 and 1985, in order to identify the paths through which monetary policy impulses are transmitted over this period. In doing so, - we also hope to highlight the use of macro-simulation as a tool for the analysis of the monetary transmission mechanism and to emphasise the importance of formulating monetary policy within an explicit monetary control framework. This is especially important in Sri Lanka since monetary policy has been a key instrument of demand management since 1977 and historically there has been a noticeable absence of an explicit monetary control framework. Empirical research on the monetary transmission mechanism has been very limited as far as developing countries are concerned. An exception here is the SEACEN (1981) study which simulates the effects of monetary shocks on a number of South East Asian countries, including Sri Lanka, using a flexible monetarist approach. Our research is based upon a revision of the specification of this model for Sri Lanka and a more comprehensive disaggregation of the monetary transmission channels. Our empirical model produces statistical results which are generally acceptable and conform to a Priori expectations. This model is then simulated dynamically, both, to validate the equations in the context of a complete model and to quantify the impact of alternative policy scenarios relating to the monetary transmission mechanism in Sri Lanka. We believe that our results will help to shed light on the nature of the monetary transmission mechanism in developing countries as well as provide the basis for an on-going analysis of monetary management in Sri Lanka. / Central Bank of Sri Lanka

La Fièvre de la Vallée du Rift (VFVR) est une arbovirose zoonotique affectant principalement les ruminants et les humains. Son éco-épidémiologie complexe implique de nombreuses espèces de vecteurs, d'hôtes et de voies de transmission. Ainsi, différents mécanismes de transmission et d'émergence sont impliqués dans la circulation du virus de la FVR (VFVR) et ceux-ci dans des écosystèmes contrastés d'Afrique, de la Péninsule Arabique et des îles du sud-ouest de l'Océan Indien, dont l'île de Madagascar.Par sa superficie, sa grande diversité éco-climatique et sa faune et flore endémique, Madagascar est considérée comme une île continent. On y retrouve, en effet, des écosystèmes variés plus ou moins favorables aux moustiques : semi-arides dans le sud-ouest, humides et froids sur les hautes terres centrales, per-humide dans l'est et humides et chaud dans le nord-ouest. Madagascar a été affectée par deux épidémies de FVR en 1990-91 puis 2008-09. Une étude menée lors de la dernière épidémie a montré que le virus avait largement diffusé dans l'île de façon hétérogène.Compte tenu de la complexité des mécanismes de transmission de la FVR et de la diversité des écosystèmes de Madagascar, nous avons supposé que cette hétérogénéité spatiale était due à des mécanismes de transmission et d'émergence qui variaient en fonction des écosystèmes de l'île. Ainsi, le premier objectif de ce travail de thèse étaient de déterminer les mécanismes et les dynamiques de transmission de la FVR inhérents aux différents écosystèmes de Madagascar. Le second objectif a été d'identifier les mécanismes d'émergence de la FVR à Madagascar et de déterminer s'il sera possible, et nécessaire, de prédire cette émergence à l'échelle des écosystèmes.Dans le cadre de ce travail de thèse deux enquêtes sérologiques nationales, l'une bovine (2008) et l'autre humaine (2011-13) ont, premièrement, été analysées par un modèle linéaire mixte généralisé afin d'identifier les facteurs environnementaux et comportementaux favorables à la circulation du virus chez les bovins et les humains. Deuxièmement, deux enquêtes sérologiques bovines, l'une réalisée en 2008 et l'autre en 2014, ont été analysées pour reconstruire la dynamique de transmission de la FVR dans les différents écosystèmes de l'île. Cette reconstruction a été réalisée à partir de données de séroprévalence et d'âge inclues dans un modèle Bayésien hiérarchique pour estimer la force d'infection annuelle de 1992 à 2014. Enfin, afin de faire le lien biologique avec les résultats des travaux menés à une échelle nationale et de décrire les mécanismes de transmission à une échelle fine, des enquêtes longitudinales entomologiques et sérologiques ont été réalisées entre 2015 et 2016 dans un écosystème à risque. Et ceci, afin de décrire la transmission saisonnière du VFVR chez les ruminants associée à la dynamique de transmission des vecteurs potentiels.Nos résultats ont montré que la région du nord-ouest de l'île est une région à risque de transmission. D'une part, elle est constituée d'environnements associant une forte densité de bovins à des zones humides, inondables et irriguées, favorables aux espèces d'Anopheles et Culex. D'autre part, le VFVR semble avoir circulé de façon relativement intense lors de la période inter-épizootique de 1992 à 2007, puis sa transmission a soudainement augmenté en 2007-2008, ce qui est concomitant avec l'apparition des foyers de FVR en 2008. Pour finir, 6 ans après l'épidémie de FVR à Madagascar, le virus semble toujours circuler à bas bruit dans la région. Cette circulation étant probablement due à une transmission vectorielle favorisée par l'abondance de vecteurs potentiels dans la région.Les résultats de ces différents travaux nous ont permis de présenter des hypothèses de transmission dans les différents écosystèmes de l'île et ainsi de proposer des stratégies de surveillance, de prévention et de lutte contre la FVR adaptées au contexte de Madagascar. / Rift Valley fever (RVF) is a zoonotic vector-borne disease affecting ruminants and humans. Its complex eco-epidemiology involves several species of vectors, hosts and transmission routes. These particularities allowed the circulation of RVF virus (RVFV) in a variety of ecosystems involving different transmission and emergence mechanisms. Indeed, the RVFV has affected contrasted eco-regions in Africa, Arabian Peninsula and South-West Indian Ocean islands, including Madagascar.Madagascar is considered as a continent island due to its ecological diversity and its endemicity level of the flora and the fauna. In particular, the variation of the Malagasy ecosystems (semi-arid in the south, humid and cold in the highlands, humid and warm in the north-west and per-humid in the east) has an impact in their presence and /or the relative abundance of some mosquito species. Madagascar was heavily affected by RVF in 1990-91 and 2008-2009, with evidence of a large and heterogeneous spread of the disease.Thus considering the diversity of RVF eco-epidemiological cycles and the variety of Malagasy ecosystems, we hypothesized that, in Madagascar, the mechanisms of transmission would be different according to these ecosystems. Therefore, the first objective of this thesis was to understand the mechanisms and the dynamics of transmission of RVFV in the different ecosystems. The second objective was to determine the mechanisms of emergence of RVFV and if it would be necessary and possible to predict the emergence of RVFV outbreaks according to the ecosystems.Firstly, we analyzed both cattle and human serological data performed at the national level using generalized linear mixed models to identify the environmental and behavioral factors associated with RVF transmission in both cattle and human. Secondly, we reconstructed the dynamic of transmission of RVF in the different Malagasy ecosystems. Seroprevalence data of cattle of known age were fitted using Bayesian hierarchical models to estimate the annual force of infection from 1992 to 2014. Thirdly, to understand the biological process link to the mechanisms of transmission at the national scale, we investigated the fine scale mechanisms of transmission of RVFV in pilot area of an at-risk region. We, thus, performed both longitudinal entomological and serological surveys between 2015 and 2016, in order to describe the seasonal transmission of RVFV among ruminants and its association with the dynamics of RVFV potential vectors.Our results showed that the northwestern part of Madagascar is an at-risk region for RVFV transmission. On one hand, it is characterized by high cattle densities associated with humid, floodplain and irrigated areas suitable for RVFV potential vector like Anopheles and Culex species. On the other hand, RVFV had probably circulated intensively in the region during the 1992-2007 inter-epizootic period and its transmission increased suddenly in 2007-08, almost concomitantly with the first outbreaks recorded in 2008. Finally, RVFV was still circulated in the northwestern region at low level, 6 years after the last epidemic. This circulation is likely due to vectorial transmission favoring by the abundance of several potential vectors of RVFV in this pilot region.Finally, our better understanding of the mechanisms of transmission of RVFV throughout Madagascar allowed us to propose hypothesis of transmission in different ecosystems of Madagascar and consequently refine strategies for RVF surveillance and prevention.

The purpose of this thesis is to empirically explore the characteristics of the monetary transmission mechanism, with a particular emphasis on the role of banks, in Turkey. By looking at the banking sector at the micro level and exploiting dynamic panel data modeling approaches, the heterogeneity in banks&rsquo / response in terms of their lending and risk-taking to changes in policy interest rates is analyzed. The first essay is an empirical analysis of the bank lending channel of monetary transmission. In this regard, the lending behavior of banks operating over the period 1988-2009 is examined. Given the changes in the policy stance and developments in the financial system following the 2000-01 crisis, the analysis is further conducted for the two sub-periods: 1988-2001 and 2002 2009, to examine whether there is a change in the functioning of the credit channel. Empirical evidence suggests cross sectional heterogeneity in banks&rsquo / response to monetary policy changes during 1988-2009. Regarding the results of the pre-crisis and post-crisis periods, it is found that an operative bank lending channel existed in 1988-2001, however its impact became much stronger thereafter. Furthermore, there are significant differences in the distributional effects due to bank specific characteristics in the impact of monetary policy on credit supply between the two sub-periods. The second essay investigates the existence of risk-taking channel of monetary policy by using quarterly data over the period 2002-2012. Four alternative risk measures are used in the analysis / three accounting-based risk indicators and a market-based indicator. Our findings show that low levels of interest rates have a positive impact of banks&rsquo / risk-taking behavior for all risk measures. In terms of bank specific characteristics, our results imply that large, liquid and well-capitalized banks are less prone to risk-taking.