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An investigation into the sources of depreciations in Mongolian Tugrik exchange rate : a structural VAR approach

Ganbayar, Gunbileg - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-16

years after a nominal shock hits the economy. The long-run effect of a monthly one standard deviation nominal shock on … indicates that the nominal shock plays a significant role in explaining the depreciation in nominal MNT exchange rate over the … last three decades. Our recommendation is to stop “cash handling” policy, minimize monetary shock, and coordinate fiscal …

Persistent link: https://www.econbiz.de/10012795308

Policy and business cycle shocks : a structural factor model representation of the US economy

Forni, Mario; Gambetti, Luca - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-21

find that (i) the US economy is well described by a number of structural shocks between two and five. Focusing on the four-shock …

Persistent link: https://www.econbiz.de/10012626760

Is the floating exchange rate a shock absorber in Albania? : evidence from SVAR models

Miteza, Ilir; Tanku, Altin; Vika, Ilir - In: Economic change & restructuring 56 (2023) 2, pp. 1297-1326

Persistent link: https://www.econbiz.de/10014252490

Exchange rate pass-through to inflation in Nigeria

Bada, Abiodun S.; Olufemi, Ajibola I.; Tata, Inuwa A.; … - In: CBN journal of applied statistics 7 (2016) 1, pp. 49-70

Concerns about the magnitude and length of exchange rate pass-through to consumer prices have increased in many developing countries in view of its profound implications on price and exchange rate stability as well as the macroeconomic policy environment. This paper examines the exchange rate...

Persistent link: https://www.econbiz.de/10011460225

On the dynamic effects of the cross-section distribution of sectoral price changes in China

Gu, Biao; Fu, Liying; Yu, Kehuan - In: International studies of economics 18 (2023) 4, pp. 468-501

This paper investigates the dynamic interactions of the cross-section distribution of sectoral price changes and the output growth in the Chinese economy. We compare in depth the results of Granger causality tests, Impulse Response, and Forecast Error Variance Decompositions from Mixed Sampling...

Persistent link: https://www.econbiz.de/10014465997

The impact of exchange rate uncertainty on exports : a panel VAR analysis

Muinelo-Gallo, Leonel; Lescano, Ronald Miranda; … - In: Estudios de economía 47 (2020) 2, pp. 157-192

In this paper we analyze the impact of exchange rate uncertainty on export flows among a panel of 27 countries throughout the 1994/01-2014/12 period. In order to do this, we apply a panel vector autoregressive model approach. By dividing the panel into two subgroups that involve...

Persistent link: https://www.econbiz.de/10012405919

Foreign exchange risk premia and goods market frictions

Moon, Seongman - In: Journal of East Asian economic integration 19 (2015) 1, pp. 3-38

Fama’s (1984) volatility relations show that the risk premium in foreign exchange markets is more volatile than, and is negatively correlated with the expected rate of depreciation. This paper studies these relations from the perspective of goods markets frictions. Using a sticky-price general...

Persistent link: https://www.econbiz.de/10011572824

The impact of a political shock on foreign exchange markets in a small and open economy : a dynamic modelling approach

Onour, Ibrahim A.; Sergi, Bruno S. - In: Journal of central banking theory and practice 10 (2021) 3, pp. 137-152

official reserves as the recovery process from a shock becomes more costly in terms of time period needed for the adjustment …

Persistent link: https://www.econbiz.de/10012650924

Symmetric oil price shocks and government expenditure-real exchange rate nexus : ARDL and SVAR models for an oil-based economy, 1970-2018

Algaeed, Abdulaziz Hamad - In: Cogent economics & finance 8 (2020) 1, pp. 1-18

price shock studies, the aim of this paper is to test the impacts of symmetric oil price shocks on government expenditure …-real exchange rate nexus and ultimately, to check the conformity of symmetric oil price shock findings to those prevailing in …

Persistent link: https://www.econbiz.de/10012482836

Monetary policy transmission mechanism in a small open economy under fixed exchange rate : an SVAR approach for Morocco

Ouchchikh, Rachid - In: International journal of business and economic sciences … 11 (2018) 1, pp. 42-51

vector autoregression model (SVAR) to examine the transmission of the effects of a positive monetary policy shock to the real …

Persistent link: https://www.econbiz.de/10011824341

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