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An asymmetric analysis of the relationship between oil prices and output: The case of Turkey

Çatik, A. Nazif; Önder, Özlem - In: Economic Modelling 33 (2013) C, pp. 884-892

nonlinear and exhibits an asymmetric pattern: oil price changes have a significant effect on inflation and output when the …

Persistent link: https://www.econbiz.de/10011048840

Stock market response to monetary and fiscal policy shocks: Multi-country evidence

Chatziantoniou, Ioannis; Duffy, David; Filis, George - In: Economic Modelling 30 (2013) C, pp. 754-769

A Structural VAR model is employed to investigate the effects of monetary and fiscal policy shocks on stock market performance in Germany, UK and the US. A significant number of past studies have concentrated their attention on the relationship between monetary policy and stock market...

Persistent link: https://www.econbiz.de/10010608293

Exchange rate pass-through to inflation in China

Jiang, Jiadan; Kim, David - In: Economic Modelling 33 (2013) C, pp. 900-912

As the Chinese economy becomes more open and the authorities scrapped the peg to the U.S. dollar in July 2005, exchange rate movements start to influence the price inflation in China in a significant way. This paper estimates a structural vector autoregression (SVAR) model to investigate the...

Persistent link: https://www.econbiz.de/10010738000

Exploring determinants of housing prices: A case study of Chinese experience in 1999–2010

Zhang, Yanbing; Hua, Xiuping; Zhao, Liang - In: Economic Modelling 29 (2012) 6, pp. 2349-2361

How do macroeconomic variables affect housing prices? In this paper we apply a non-linear modeling approach, the Nonlinear Auto Regressive Moving Average with eXogenous inputs (NARMAX), to investigate determinants of housing prices in China over the period 1999:01 to 2010:06. The NARMAX...

Persistent link: https://www.econbiz.de/10010588229

Is the relationship between monetary policy and house prices asymmetric across bull and bear markets in South Africa? Evidence from a Markov-switching vector autoregressive model

Simo-Kengne, Beatrice D.; Balcilar, Mehmet; Gupta, Rangan; … - In: Economic Modelling 32 (2013) C, pp. 161-171

This paper examines asymmetries in the impact of monetary policy on the middle segment of the South African housing market from 1966:M2 to 2011:M12. We use Markov-switching vector autoregressive (MS-VAR) model in which parameters change according to the phase of the housing cycle. The results...

Persistent link: https://www.econbiz.de/10010664390

A New Keynesian SVAR model of the Australian economy

Leu, Shawn Chen-Yu - In: Economic Modelling 28 (2011) 1, pp. 157-168

that the Reserve Bank of Australia (RBA) stabilises output fluctuations in the short run while maintaining a medium …

Persistent link: https://www.econbiz.de/10010573310

Oil price uncertainty, monetary policy and the macroeconomy: The Canadian perspective

Bashar, Omar H.M.N.; Wadud, I.K.M. Mokhtarul; Ahmed, Ali; … - In: Economic Modelling 35 (2013) C, pp. 249-259

affect the aggregate level of output, the oil price uncertainty exerts considerable impacts on the Canadian economy. It is … found that oil price uncertainty makes a major contribution to overall variations in the output level. Results also show … that higher oil price uncertainty significantly decreases both output and price levels, resembling an adverse demand shock …

Persistent link: https://www.econbiz.de/10010719368

The asymmetry of inflation adjustment in Turkey

Çiçek, Serkan; Akar, Cüneyt - In: Economic Modelling 31 (2013) C, pp. 104-118

We investigated the dynamic behavior of the overall inflation rate, its subgroups, and inflation rates of traded and non-traded goods in Turkey between 1994:M1 and 2012:M5 by using a quantile autoregression approach developed by Koenker and Xiao (2004). This method makes no assumptions about the...

Persistent link: https://www.econbiz.de/10011048831

Leader of the pack? German monetary dominance in Europe prior to EMU

Reade, J. James; Volz, Ulrich - In: Economic Modelling 28 (2011) 1, pp. 239-250

In this paper, the monetary policy independence of European nations in the years before European Economic and Monetary Union (EMU) is investigated using cointegration techniques. Daily data is used to assess pairwise relationships between individual EMU nations and ‘lead’ nation Germany, to...

Persistent link: https://www.econbiz.de/10011048900

Low-inflation-targeting monetary policy and differential unemployment rate: Is monetary policy to be blamed for the financial crisis? — Evidence from major OECD countries

Jean Louis, Rosmy; Balli, Faruk - In: Economic Modelling 30 (2013) C, pp. 546-564

Since the mid-1990s, monetary policy discussion has been centered around whether targeting inflation rate too low was responsible for the differential unemployment rate observed between major OECD countries and the US. In late 2000s with the financial crisis, critiques have argued that these...

Persistent link: https://www.econbiz.de/10011048907

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