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Oil prices and the dynamics of output and real exchange rate
Meenagh, David; Minford, Patrick; Oyekola, Olayinka - 2015
We examine the role of oil price shocks in effecting changes both at the aggregate and sectoral levels using an estimated dynamic stochastic equilibrium open economy model. Our main finding is that energy price shocks are not able directly to generate the magnitude of the economic downturn...
Persistent link: https://www.econbiz.de/10011787137
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Energy business cycles
Meenagh, David; Minford, Patrick; Oyekola, Olayinka - 2015
We find that, when estimated, a two sector computable dynamic stochastic general equilibrium open economy model of the U.S. that formally admits energy into the production process can generate plausible parameter values that can be applied to deal with a broad range of economic issues. As a...
Persistent link: https://www.econbiz.de/10011471623
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The Role of Global Shocks in Explaining US Output and Real Exchange Rate : Evidence From Unfiltered Data
Meenagh, David - 2020
We investigate the role of global shocks in the determination of US business cycle fluctuations, with a particular focus on their relative contribution to explaining the dynamics of output and real exchange rate. To this end, we develop a two-sector open economy dynamic stochastic general...
Persistent link: https://www.econbiz.de/10012855768
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Energy business cycles
Meenagh, David; Minford, Patrick; Oyekola, Olayinka - 2015
We find that, when estimated, a two sector computable dynamic stochastic general equilibrium open economy model of the U.S. that formally admits energy into the production process can generate plausible parameter values that can be applied to deal with a broad range of economic issues. As a...
Persistent link: https://www.econbiz.de/10011787138
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Piecing the puzzle : real exchange rates and long-run fundamentals
Bjørnland, Hilde Christiane; Brubakk, Leif; … - 2024
This paper examines the structural determinants of real exchange rates, emphasizing the persistent low-frequency movements that traditional models, such as Purchasing Power Parity (PPP) and Uncovered Interest Parity (UIP), often fail to capture. To address this, we propose a structural VAR model...
Persistent link: https://www.econbiz.de/10015324149
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How Should Monetary Policy Respond to Changes in the Relative Price of Oil? Considering Supply and Demand Shocks
Plante, Michael - 2015
exogenous supply shocks and a productivity driven demand shock. When wages are flexible, stabilizing core inflation is optimal … and the nominal rate rises (falls) in response to a demand (supply) shock. When both prices and wages are sticky, core … inflation falls (rises) in response to the demand (supply) shock. Stabilizing CPI inflation generates small welfare losses only …
Persistent link: https://www.econbiz.de/10014204813
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Understanding the global drivers of inflation : how important are oil prices?
Ha, Jongrim; Kose, M. Ayhan; Ohnsorge, Franziska; … - 2023
This paper examines the global drivers of inflation in 55 countries over the 1970-2022 period. We estimate a Factor-Augmented Vector Autoregression model for each country and assess the importance of several global (demand, supply, and oil price) and domestic shocks. We report three main...
Persistent link: https://www.econbiz.de/10013488859
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Macroeconomic implications of oil-price shocks to emerging economies : a Markov regime-switching approach
Togonidze, Sophio; Kočenda, Evžen - 2022
We investigate an impact of oil-price shocks on GDP and exchange rate dynamics in resource-heterogeneous economies. We employ a Markov regime-switching version of a vector autoregressive (VAR) model to allow for regime shifts, non-linear effects and timevarying parameters of the VAR process....
Persistent link: https://www.econbiz.de/10013369064
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External shocks, trade margins, and macroeconomic dynamics
D'Addona, Stefano; Cavallari, Lilia - In: Economies : open access journal 8 (2020) 1/6, pp. 1-26
This paper studies the role of the exchange rate regime for trade of new products. It first provides VAR evidence that a rise in external productivity shifts trade away from new products and more so in fixed regimes. Then, it presents a model with firm dynamics in line with this evidence. We...
Persistent link: https://www.econbiz.de/10012168776
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Supply Shocks and Real Exchange Rate Volatility in a Small Open Economy
Azcona, Nestor - 2016
This paper examines the effect of overall and sector-specific productivity shocks on the real exchange rate in small open economies. A dynamic stochastic small open economy model shows that productivity shocks impact the real exchange rate mostly through changes in the relative price of...
Persistent link: https://www.econbiz.de/10013005242