Causal Relations Among Stock Prices and Macroeconomic Variables in the Small, Open Economy of Jordan

2002 ◽  
Author(s):  
Aktham Issa Maghyereh
Keyword(s):  
Open Economy ◽  
Stock Prices ◽  
Small Open Economy ◽  
Causal Relations ◽  
Macroeconomic Variables

scholarly journals Interest Rates Targeting of Monetary Policy: An Open Economy SVAR Study of Malaysia

2014 ◽  
Vol 16 (1) ◽  
pp. 1 ◽  
Author(s):  
Zulkefly Abdul Karim ◽  
Bakri Abdul Karim
Keyword(s):  
Monetary Policy ◽  
Interest Rates ◽  
Open Economy ◽  
Small Open Economy ◽  
Structural Var ◽  
Macroeconomic Fluctuations ◽  
Stabilization Policy ◽  
Macroeconomic Variables ◽  
Implementation Of Monetary Policy ◽  
Foreign Shocks

This paper examines the implementation of monetary policy during the interest rates targeting in a small-open economy (i.e. Malaysia) by using an open-economy structural VAR (SVAR) study. It tests the effect of foreign shocks upon domestic macroeconomic fluctuations and monetary policy, and examines how effective monetary policy is in influencing macroeconomic variables. The results show that during interest rates targeting, monetary policy plays a significant role in affecting macroeconomics variables. This finding suggests that monetary policy has an important role as a stabilization policy in a small-open economy.     

scholarly journals MONETARY POLICY AND ASSET PRICES IN A SMALL OPEN ECONOMY: A FACTOR-AUGMENTED VAR ANALYSIS FOR SINGAPORE

2009 ◽  
Vol 05 (01) ◽  
pp. 0950004 ◽  
Author(s):  
HWEE KWAN CHOW ◽  
KEEN MENG CHOY
Keyword(s):  
Monetary Policy ◽  
Open Economy ◽  
Stock Prices ◽  
Vector Autoregression ◽  
Asset Price ◽  
Small Open Economy ◽  
Impulse Response Functions ◽  
Economic Time Series ◽  
Policy Shocks ◽  
The Impact

The ongoing global financial turmoil has revived the question of whether central bankers ought to tighten monetary policy pre-emptively in order to head off asset price misalignments before a sudden crash triggers financial instability. This study explores the issue of the appropriate monetary policy response to asset price swings in the small open economy of Singapore. Empirical analysis of monetary policy based on standard vector autoregression (VAR) models, unfortunately, is often hindered by the use of sparse information sets. To better reflect the extensive information monitored by Singapore's central bank, including global economic indicators, we augment a monetary vector autoregression (VAR) model with common factors extracted from a large panel dataset spanning 122 economic time series and the period 1980q1–2008q2. The resulting FAVAR model is used to assess the impact of monetary policy shocks on residential property and stock prices. Impulse response functions and variance decompositions suggest that monetary policy can potentially be used to lean against asset price booms in Singapore.

scholarly journals A DSGE Model of Slovakia with Frictional Labor Market and Monetary Regime Switch

2017 ◽  
Vol 17 (3) ◽  
pp. 287-313
Author(s):  
Adam Pápai
Keyword(s):  
Labor Market ◽  
Open Economy ◽  
Slovak Republic ◽  
Structural Characteristics ◽  
Structural Parameters ◽  
Small Open Economy ◽  
Parameter Estimates ◽  
Macroeconomic Variables ◽  
Monetary Regime ◽  
Dynamic Stochastic

Abstract The aim of this paper is to examine the dynamical and structural characteristics of Slovakia using a dynamic stochastic general equilibrium model augmented with search and matching mechanisms and other forms of frictions. I implement a switching mechanism to account for the monetary regime change in Slovakia in 2009. My focus lies in the investigation of labor market rigidities that affect the macroeconomic variables. I also examine the long term impact of the recession in 2009 on the Slovak economy. My findings are as follows. Firstly, based on parameter estimates, I identify significant labor market frictions present in the Slovak Republic. Secondly, my results capturing the historical evolution of key macroeconomic variables support the view that the recession in the examined small open economy was mainly caused by shocks originating in the foreign sector. Thirdly, the monetary authority can influence the labor market variables through its transmission channels relatively effectively; and lastly, I discovered that the recession decreased the Slovak economy’s flexibility. While the results of estimations on two sub-samples are quite similar for most of the structural parameters, an increase in price and wage stickiness is observable.

The long-run stability of a small, open economy under crawling peg regime

2002 ◽  
Vol 52 (1) ◽  
pp. 57-78
Author(s):  
S. Çiftçioğlu
Keyword(s):  
Exchange Rate ◽  
Open Economy ◽  
Risk Premium ◽  
Small Open Economy ◽  
Exchange Rate Policy ◽  
Price Stability ◽  
Output Stability ◽  
Long Run ◽  
The Exchange Rate ◽  
The Impact

The paper analyses the long-run (steady-state) output and price stability of a small, open economy which adopts a “crawling-peg” type of exchange-rate regime in the presence of various kinds of random shocks. Analytical and simulation results suggest that with the exception of money demand shocks, an exchange rate policy which involves a relatively higher rate of indexation of the exchange rate to price level is likely to lead to the worsening of price stability for all types of shocks. On the other hand, the impact of adopting such a policy on output stability depends on the type of the shock; for policy shocks to the exchange rate and shocks to output demand, output stability is worsened whereas for the shocks to risk premium of domestic assets, supply price of domestic output and the wage rate, better output stability is achieved in the long run.

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