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Displaying results 1 to 6 of 6.

  1. Exchange rate pass-through in emerging Asia and exposure to external shocks
    Author: Beirne, John; Renzhi, Nuobu; Panthi, Pradeep
    Published: [2023]
    Publisher:  Asian Development Bank Institute, Tokyo, Japan

    Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 188
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    Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global shocks as propagation channels to both producer and consumer price ERPT, specifically via oil prices, global output, US monetary policy, and the VIX. Our main findings are: (i) ERPT is incomplete and mostly higher for ERPT to producer than consumer prices; (ii) longer-term ERPT to producer and consumer prices is mostly greater in magnitude than shorter-term ERPT; (iii) ERPT has been declining for most Asian EMEs since around 2010; (iv) oil price and global output shocks mostly affect longer-term producer price ERPT in emerging Asia; and (v) US monetary policy and VIX shocks mostly affect longer-term consumer price ERPT in emerging Asia.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/296774
    Series: ADBI working paper series ; no. 1379 (May 2023)
    Subjects: exchange rate pass-through; global shocks; structural VAR; time-varying parameter VAR
    Scope: 1 Online-Ressource (circa 37 Seiten), Illustrationen
  2. The economic impact of Russia's invasion of Ukraine on European countries
    a SVAR approach
    Author: Bruhin, Jonas M.; Scheufele, Rolf; Stucki, Yannic
    Published: [2023]
    Publisher:  Swiss National Bank, Zurich

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SNB working papers ; 2023, 4
    Subjects: Geopolitical risk; structural VAR; narrative sign restriction; war in Ukraine; Russia; Europe
    Scope: 1 Online-Ressource (circa 41 Seiten), Illustrationen
  3. The hard road to a soft landing
    evidence from a (modestly) nonlinear structural model
    Author: Verbrugge, Randal; Zaman, Saeed
    Published: [2023]
    Publisher:  Federal Reserve Bank of Cleveland, [Cleveland, OH]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Federal Reserve Bank of Cleveland working paper series ; no. 23, 03 (January 2023)
    Subjects: nonlinear Phillips curve; frequency decomposition; supply price pressures; structural VAR; nonlinear impulse response functions; welfare analysis
    Scope: 1 Online-Ressource (circa 50 Seiten), Illustrationen
  4. Energy price shocks and inflation in the Euro area
    Author: Neri, Stefano; Busetti, Fabio; Conflitti, Cristina; Corsello, Francesco; Delle Monache, Davide; Tagliabracci, Alex
    Published: [2023]
    Publisher:  Banca d'Italia, [Rom]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Series: Questioni di economia e finanza / Banca d'Italia ; number 792 (July 2023)
    Subjects: inflation; energy prices; structural VAR; time-varying Phillips curve; DynamicFactor model
    Scope: 1 Online-Ressource (circa 33 Seiten), Illustrationen
  5. The multiplier effects of government expenditures on social protection: a multi-country analysis
    Author: Cardoso, Dante de Souza; Carvalho, Laura; Lima, Gilberto Tadeu; Pires, Luiza Nassif; Rugitsky, Fernando; Sanches, Marina da Silva
    Published: [2023]
    Publisher:  [FEA/USP], [São Paulo]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper series / Department of Economics-FEA/USP ; no 2023, 11
    Subjects: Social protection policies; fiscal multipliers; inclusive economic growth; incomeinequality; human development; structural VAR
    Scope: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  6. The multifaceted impact of US trade policy on financial markets
    Author: Boer, Lukas; Menkhoff, Lukas; Rieth, Malte
    Published: 2023
    Publisher:  Humboldt-Universität zu Berlin, Berlin

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
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    Parent title: In: Journal of applied econometrics, Band 38, Ausgabe 3, Seite 388-406, 2022
    Subjects: Außenwirtschaftspolitik; Handelspolitik; Aktienmarkt; Wechselkurs; Zins; Wirkungsanalyse; Vektor-autoregressives Modell
    Other subjects: (stw)Außenwirtschaftspolitik; (stw)Aktienmarkt; (stw)Wechselkurs; (stw)Zins; (stw)Wirkungsanalyse; (stw)VAR-Modell; (stw)USA; (stw)China; Trade policy shock; structural VAR; stock prices; exchange rates; interest rates; heteroskedasticity; Graue Literatur; Kongressbeitrag
    Scope: Online-Ressource