MONEY SUPPLY VOLATILITY AND THE MACROECONOMY

2019 ◽  
Vol 24 (6) ◽  
pp. 1392-1402
Author(s):  
Apostolos Serletis ◽  
Libo Xu
Keyword(s):  
Money Supply ◽  
Output Growth ◽  
Correction Model ◽  
Monthly Data ◽  
Vector Error Correction ◽  
Vector Error ◽  
The Usa ◽  
Growth Volatility ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Structural Vector

This paper extends the ongoing literature on the macroeconomic effects of money supply volatility. We use monthly data for the USA and a bivariate, Markov switching, structural vector error correction model that is modified to accommodate generalized autoregressive conditional heteroscedasticity-in-mean errors to isolate the effects of money growth volatility on output growth. The model allows us to study how monetary uncertainty affects economic growth across different macroeconomic regimes.

CONTRACTIONARY TECHNOLOGY SHOCKS

2017 ◽  
Vol 21 (7) ◽  
pp. 1752-1789 ◽  
Author(s):  
Francesco Giuli ◽  
Massimiliano Tancioni
Keyword(s):  
Large Body ◽  
Technology Shocks ◽  
Price Setting ◽  
Monetary Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Marginal Costs ◽  
Vector Error ◽  
Technology Improvement ◽  
Structural Vector

This paper adds to the large body of literature on the effects of technology shocks empirically and theoretically. Using a structural vector error correction model, we first provide evidence that not only hours but also investment decline temporarily following a technology improvement. This result is robust to important data and identification issues addressed in the literature. We then show that the negative response of inputs is consistent with an estimated monetary model in which the presence of strategic complementarity in price setting, in addition to nominal rigidities, lowers the sensitivity of prices to marginal costs, and monetary policy does not fully accommodate the shock.

scholarly journals THE IMPACT OF POPULATION IMMIGRATION ON THE LABOUR MARKET OF THE UNITED KINGDOM

Ekonomika ◽  
2013 ◽  
Vol 92 (2) ◽  
pp. 64-78
Author(s):  
Gindra Kasnauskienė ◽  
Loreta Vėbraitė
Keyword(s):  
Labour Market ◽  
Linear Regression Models ◽  
Real Wages ◽  
Correction Model ◽  
Vector Error Correction ◽  
The United Kingdom ◽  
Vector Error ◽  
Short Run ◽  
The Impact ◽  
Structural Vector

Abstract. The impact of immigration on the labour market has become a very important subject of public and political debates in recent years. The aim of this study was to estimate the impact of immigration on the labour market of the United Kingdom in 1991–2010. Using a system of equations for immigration, unemployment, wage and gross domestic product, the structural vector error correction model and linear regression models were developed. The application of the structural vector error correction model has shown that immigration has a negative impact on the country’s labour market in the short run as it reduces real wages and increases unemployment. The linear regression models have indicated that immigration, ceteris paribus, negatively influencesunemployment and real wages in the long run.Key words: immigration, labour market, impact, short run, long run

scholarly journals Does Uncertainty Matter for Trade - Economic Growth Nexus in Indonesia?

2021 ◽  
Vol 67 (1) ◽  
pp. 147
Author(s):  
Panky Tri Febiyansah ◽  
Bintang Dwitya Cahyono ◽  
Rio Novandra
Keyword(s):  
Economic Growth ◽  
Causal Relationship ◽  
Output Growth ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
The Impact ◽  
The Relationship

This paper aims to test the impact of uncertainty on the causal relationship among exports, imports, and economic growth in Indonesia. The relationship is constructed by examining the presence of FDI-adjusted exports and imports (trade) and the output link using conditional variances-covariances derived from the generalized autoregressive conditional heteroskedastic (GARCH) process in a vector error correction model (VEC-GARCH model). Using evidence in Indonesia, the model exposes the uni-directional nexus from trade performance to trade-adjusted output growth in the absence of uncertainty. The volatility effects are evident in the causal relationship between trade and output. The finding shows that the uncertainty effects hamper the trade-economic growth nexus. Incorporated with the long-run causality, trade still causes output even after containing the contributions of volatility. The significant role of imports highlights the higher demand for intermediate capital products and the inclusion of technology in strengthening economic growth.

Does Fiscal Deficit Affect Interest Rate in India? An Empirical Investigation

2016 ◽  
Vol 5 (2) ◽  
pp. 87-103 ◽  
Author(s):  
Ritu Rani ◽  
Naresh Kumar
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Money Supply ◽  
Real Interest Rate ◽  
Vector Error Correction Model ◽  
Fiscal Deficit ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run

Fiscal deficit above a certain limit is not good for the country because high government borrowings raise the interest rate and crowd out private investment. This article is an attempt to analyze the impact of fiscal deficit on real interest rate in India over the time period of 1980–1981 to 2013–2014. Autoregressive distributed lags bound testing approach for cointegration and vector error correction model for Granger casualty are used in a multivariate framework in which money supply and inflation are included as additional variables. Bound test results confirm the long-run equilibrium relationship among the competing variables. Further, the rate of interest and fiscal deficit are positively related with each other in long run, whereas money supply and inflation are found to be negative and statistical significant. In addition, results of vector error correction model showed that there is unidirectional causality running from inflation to real interest rate in short run. Based on the findings, it is suggested that that proper fiscal consolidation is required to control high fiscal deficit and burgeoning interest rate in India. Further, government should move from market borrowing to tax revenue to offset fiscal deficit.

scholarly journals Analisis Kausalitas antara Investasi, Pendapatan Nasional, dan Jumlah Uang Beredar

2020 ◽  
Vol 3 (1) ◽  
pp. 606-615
Author(s):  
Asila Murdiah ◽  
Prasetyo Ari Bowo
Keyword(s):  
Error Correction ◽  
Causal Relationship ◽  
Granger Causality ◽  
Money Supply ◽  
National Income ◽  
Error Correction Model ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error

The relationship between investment, national income and money supply are interrelated. Increased investment can increase national income. Likewise, the increase in national income can increase investment. Besides investment increase can also increase the money supply. As investment increases, the national income will increase, which means an increase in people's income. The increase in people's income will lead to increased public consumption that would cause an increase in the money supply. If there is excess supply of money, Bank Indonesia will take the policy to reduce interest rates. These conditions will encourage investors to invest which in turn will increase the output and national income. This study aims to prove the causal relationship between the investment, national income and the amount of money circulating in Indonesia period 2007.1-2015.4. To prove the existence of a causal relationship between the study variables then performed Granger causality test method VECM (Vector Error Correction Model). Granger causality analysis results show that, first, there is a causal relationship between national income and investment. Secondly, there is a causal relationship between the national income and the money supply. Third, there is no causal relationship between investment and money supply. Hubungan antara investasi, pendapatan nasional dan jumlah uang beredar saling berkaitan. Peningkatan investasi dapat meningkatkan pendapatan nasional. Begitu pula sebaliknya, peningkatan pendapatan nasional dapat meningkatkan investasi. Selain itu peningkatan investasi juga dapat meningkatkan jumlah uang beredar. Ketika investasi meningkat maka pendapatan nasional akan meningkat yang berarti terjadi peningkatan pendapatan masyarakat. Kenaikan pendapatan masyarakat ini akan menyebabkan konsumsi masyarakat meningkat sehingga akan menyebabkan kenaikan jumlah uang beredar. Apabila terjadi kelebihan jumlah uang beredar, Bank Indonesia akan mengambil kebijakan penurunan tingkat suku bunga. Kondisi ini akan mendorong minat investor untuk berinvestasi yang pada akhirnya akan meningkatkan output dan pendapatan nasional. Penelitian ini bertujuan untuk membuktikan adanya hubungan kausalitas antara investasi, pendapatan nasional dan jumlah uang beredar di Indonesia periode 2007.1-2015.4. Untuk membuktikan ada tidaknya hubungan kausalitas antarvariabel penelitian maka dilakukan uji kausalitas Granger dengan metode VECM (Vector Error Correction Model). Hasil analisis kausalitas Granger menunjukkan bahwa, pertama, terdapat hubungan kausalitas antara pendapatan nasional dan investasi. Kedua, terdapat hubungan kausalitas antara pendapatan nasional dan jumlah uang beredar. Ketiga, tidak terdapat hubungan kausalitas antara investasi dan jumlah uang beredar.

scholarly journals Empirical evidence on Non-Performing Loans and credit frictions: banking sector in Tunisia

2020 ◽  
Vol 2 (3) ◽  
pp. 171-183
Author(s):  
Salha Ben Salem ◽  
◽  
Moez Labidi ◽  
Nadia Mansour ◽  
◽  
...  
Keyword(s):  
Interest Rate ◽  
Error Correction ◽  
Money Supply ◽  
Banking Sector ◽  
Vector Error Correction Model ◽  
Correction Model ◽  
Vector Error Correction ◽  
Vector Error ◽  
Market Interest Rate ◽  
Credit Frictions

Purpose: This paper explores the most important determinants of friction in the Tunisian credit market. The previous literature argued that friction is largely explained by the increase in Non-Performing Loans Nkusu, 2011; Abadi et al. 2014; Rulyasri et al.2017, Roland et all, 2013. Research methodology: We constructed a multivariate Vector Error Correction Model, with five macroeconomic variables (industrial production index, the money supply, money market interest rate) to examine the impact of Non-Performing Loans increase in amplifying the Tunisian credit frictions. Results: The Vector Error Correction Model (VECM) regression results show a negative and important relationship between economic growth and Non-Performing Loans (NPL) ratio, which is very robust during the political crisis of 2011. The money market interest rate and the money supply are positively related to the Non-Performing loan ratio. Limitation: This study was only focused on Tunisian banking sector as one of the pillars of the Tunisian economy. Contributions: This highlights that the nature of the monetary policy adopted by the monetary authority of Tunisia plays a significant role in the fluctuation of the Non-Performing Loans ratio. Bank capitalization is positively and statistically significant with Non-Performing Loan ratio, implying that banks with a low level of capital are more likely to have a riskier credit portfolio that causes the increase of Non-Performing Loans in their balance sheet.

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