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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

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

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

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

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

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

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

Structural Shocks and the Comovements between Output and Interest Rates

Mertens, Elmar - 2011

Stylized facts on U.S. output and interest rates have so far proved hard to match with DSGE models. But model predictions hinge on the joint specification of economic structure and a set of driving processes. In a model, different shocks often induce different comovements, such that the overall...

Persistent link: https://www.econbiz.de/10013128641

Oil price fluctuations and exchange rate dynamics in the MENA region : evidence from non-causality-in-variance and asymmetric non-causality tests

Nouira, Ridha; Hadj Amor, Thouraya; Rault, Christophe - 2018

The aim of this paper is to investigate the exchange rate consequences of oil-price fluctuations and to test for the dynamics of oil price volatility by examining interactions between oil market and exchange rate in selected MENA countries (Egypt, Jordan, Morocco, Qatar, Saudi Arabia, Tunisia,...

Persistent link: https://www.econbiz.de/10011897569

The Rise of China and Its Implications for Emerging Markets - Evidence from a GVAR Model

Feldkircher, Martin - 2015

reacts to selected exogenous macroeconomic shocks and the repercussions for the world economy of a shock emanating from China … global financial crisis, our results are threefold: First, we show that a 1% shock to Chinese output translates to a ….2%, while countries in South-Eastern Europe see a permanent 0.1% reduction in output. Secondly, to benchmark the shock to …

Persistent link: https://www.econbiz.de/10013036455