A Structural Vector Autoregression Model of Monetary Policy in Vietnam

2013 ◽  
Author(s):  
Minh Pham
Keyword(s):  
Monetary Policy ◽  
Vector Autoregression ◽  
Structural Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
Structural Vector

scholarly journals Examination of the Exchange Rate and Import Price Pass-through to Inflation: A View from Nigeria

2020 ◽  
Author(s):  
Samuel F Onipede ◽  
Nafiu A Bashir ◽  
Kodili N Nduka ◽  
Nuruddeen Usman
Keyword(s):  
Exchange Rate ◽  
Vector Autoregression ◽  
Import Price ◽  
Domestic Currency ◽  
Structural Vector Autoregression ◽  
Vector Autoregression Model ◽  
Autoregression Model ◽  
Pass Through ◽  
Structural Vector ◽  
Domestic Inflation

Abstract We examine the effect of exchange rate and import price pass-through to inflation in Nigeria using headline inflation and import price data, with the aid of a non-recursive Structural Vector Autoregression model. Our results indicate mostly incomplete ERPT and IPPT to inflation. Specifically, we found that (i) the ERPT to the INF is incomplete at all horizons. (ii) IPPT to the INF is incomplete at all horizons. (iii) IPPT to inflation is relatively more rapid than the ERPT to inflation. The findings further suggest that the monetary authority should be wary of using devaluation of the domestic currency as a way of propping up the economy as that would not only aggravate domestic inflation but likely to also increase the ERPT. Similarly, harmonizing the disparate exchange rate windows in the economy might reduce import price pass-through to domestic inflation. Also, the size and speed of both ERPT and IPPT from the study suggest that relevant authorities need to strengthen domestic industries and instill confidence in consumers, to reduce reliance on imports.JEL Classification: C32; E31; F31; 055

scholarly journals ANALISIS KAUSALITAS KEBIJAKAN FISKAL EKSPANSIF, KEBIJAKAN MONETER EKSPANSIF DAN PERTUMBUHAN EKONOMI DI INDONESIA

2020 ◽  
Vol 2 (1) ◽  
pp. 55
Author(s):  
Fadhliah Yuniwinsah ◽  
Ali Anis
Keyword(s):  
Economic Growth ◽  
Time Series ◽  
Monetary Policy ◽  
Fiscal Policy ◽  
Time Series Data ◽  
Vector Autoregression ◽  
Series Data ◽  
Vector Autoregression Model ◽  
Autoregression Model

This study examined the causality between expansionary fiscal policy, expansionary monetary policy and economic growth in Indonesia’s using a time series data with vector autoregression model (VAR) in the period of 1969-2018. The results of this study showed that are there is no causality between expansionary fiscal policy and expansionary monetary policy but there one-way relationship between them, it is the expansionary monetary policy gives influence to expansionary fiscal policy. There is no causality between expansionary fiscal policy and economic growth but there one-way relationship between them, It is economic growth gives influence to expansionary fiscal policy. And there is no causality between expansionary monetary policy and economic growth but there one-way relationship between them, it is economic growth gives influence to expansionary monetary policy.

The Monetary Policy Impact on the Dynamics of Russia’s Real Economy

2017 ◽  
Vol 2017 (3) ◽  
pp. 80-108
Author(s):  
Marina Tiunova
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Real Economy ◽  
Structural Vector Autoregression ◽  
Real Wages ◽  
Vector Autoregression Model ◽  
Real Gdp ◽  
Negative Effect ◽  
Autoregression Model ◽  
Exchange Rate Shocks

The article examines the influence of monetary policy of the Bank of Russia on the dynamics of real GDP and its components, real wages and employment from 2003 to 2016. Using the Bayesian structural vector autoregression model (BSVAR) with recent dataset, the paper provides the calculation of the extent of changes in the main Russia’s real sector indicators in response to monetary policy, money base and exchange rate shocks. The analysis allows to conclude that monetary policy leads to real variables changes in Russia. The expected contractionary monetary policy of the Central Bank of Russia with higher interest rates had a statistically valid weak negative effect on real indicators.

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