scholarly journals Time-varying impact of U.S. financial conditions on China's inflation: a perspective of different types of events

2021 ◽  
Vol 5 (4) ◽  
pp. 604-622
Author(s):  
Yanhong Feng ◽  
◽  
Shuanglian Chen ◽  
Wang Xuan ◽  
Tan Yong ◽  
...  
Keyword(s):  
Financial Market ◽  
Trade Flow ◽  
Time Varying ◽  
Vector Autoregressive ◽  
Financial Conditions ◽  
Time Varying Parameter ◽  
Different Types ◽  
Changes Over Time ◽  
Over Time ◽  
Time Point

<abstract> <p>In recent years, the frequency adjustment of U.S. monetary policy has a dynamic and global impact on other countries' economy. Based on the financial conditions index (FCI), the paper employs the time-varying parameter vector autoregressive model with stochastic volatility (TVP-VAR-SV) and spillover index respectively to investigate the time-varying impact of U.S. financial conditions (UFCI) on China's inflation (CINF) and its impact mechanisms. Some results are achieved as follows: first, the impacts of UFCI on CINF vary greatly over time both in the dimension of action duration and time point. Second, the effects of UFCI on CINF directly relate to different types of major events, and they are heterogeneous in action duration, degree, direction as well as the trend and range of fluctuations. In addition, UFCI can work on CINF through trade flow and China's financial market, and the China's financial market plays a main conductive role, and its conductive effect changes over time.</p> </abstract>

scholarly journals Construction of China’s financial conditions index in the post-crisis era

2019 ◽  
Vol 2 (2) ◽  
pp. 258-276
Author(s):  
Nan Li ◽  
Liu Yuanchun
Keyword(s):  
Financial Stability ◽  
Design Methodology ◽  
Predictive Power ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Financial Variables ◽  
Financial Conditions ◽  
Time Varying Parameter ◽  
Better Than

Purpose The purpose of this paper is to summarize different methods of constructing the financial conditions index (FCI) and analyze current studies on constructing FCI for China. Due to shifts of China’s financial mechanisms in the post-crisis era, conventional ways of FCI construction have their limitations. Design/methodology/approach The paper suggests improvements in two aspects, i.e. using time-varying weights and introducing non-financial variables. In the empirical study, the author first develops an FCI with fixed weights for comparison, constructs a post-crisis FCI based on time-varying parameter vector autoregressive model and finally examines the FCI with time-varying weights concerning its explanatory and predictive power for inflation. Findings Results suggest that the FCI with time-varying weights performs better than one with fixed weights and the former better reflects China’s financial conditions. Furthermore, introduction of credit availability improves the FCI. Originality/value FCI constructed in this paper goes ahead of inflation by about 11 months, and it has strong explanatory and predictive power for inflation. Constructing an appropriate FCI is important for improving the effectiveness and predictive power of the post-crisis monetary policy and foe achieving both economic and financial stability.

UK Fiscal Squeezes over a Century

2017 ◽  
Author(s):  
Christopher Hood ◽  
Rozana Himaz
Keyword(s):  
Data Sources ◽  
Fiscal Consolidation ◽  
Financial Outcomes ◽  
Financial Conditions ◽  
Deficit Reduction ◽  
Before And After ◽  
The Uk ◽  
Changes Over Time ◽  
Spending Cuts ◽  
Over Time

This chapter draws on historical statistics reporting financial outcomes for spending, taxation, debt, and deficit for the UK over a century to (a) identify quantitatively and compare the main fiscal squeeze episodes (i.e. major revenue increases, spending cuts, or both) in terms of type (soft squeezes and hard squeezes, spending squeezes, and revenue squeezes), depth, and length; (b) compare these periods of austerity against measures of fiscal consolidation in terms of deficit reduction; and (c) identify economic and financial conditions before and after the various squeezes. It explores the extent to which the identification of squeeze episodes and their classification is sensitive to which thresholds are set and what data sources are used. The chapter identifies major changes over time that emerge from this analysis over the changing depth and types of squeeze.

scholarly journals Viral phylodynamics and the search for an ‘effective number of infections’

2010 ◽  
Vol 365 (1548) ◽  
pp. 1879-1890 ◽  
Author(s):  
Simon D. W. Frost ◽  
Erik M. Volz
Keyword(s):  
Exponential Growth ◽  
Initial Phase ◽  
Epidemiological Data ◽  
Time Varying ◽  
Effective Number ◽  
Epidemiological Models ◽  
Effective Population ◽  
Coalescence Rate ◽  
Changes Over Time ◽  
Over Time

Information on the dynamics of the effective population size over time can be obtained from the analysis of phylogenies, through the application of time-varying coalescent models. This approach has been used to study the dynamics of many different viruses, and has demonstrated a wide variety of patterns, which have been interpreted in the context of changes over time in the ‘effective number of infections’, a quantity proportional to the number of infected individuals. However, for infectious diseases, the rate of coalescence is driven primarily by new transmissions i.e. the incidence, and only indirectly by the number of infected individuals through sampling effects. Using commonly used epidemiological models, we show that the coalescence rate may indeed reflect the number of infected individuals during the initial phase of exponential growth when time is scaled by infectivity, but in general, a single change in time scale cannot be used to estimate the number of infected individuals. This has important implications when integrating phylogenetic data in the context of other epidemiological data.

scholarly journals A time-varying approach to analysing fiscal policy and asset prices in South Africa

2014 ◽  
Vol 6 (1) ◽  
pp. 46-63 ◽  
Author(s):  
Rangan Gupta ◽  
Charl Jooste ◽  
Kanyane Matlou
Keyword(s):  
Fiscal Policy ◽  
Stock Prices ◽  
Asset Prices ◽  
Marked Change ◽  
Var Model ◽  
Time Varying ◽  
Content Type ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
The Impact

Purpose – This paper aims to study the interplay of fiscal policy and asset prices in a time-varying fashion. Design/methodology/approach – Using South African data since 1966, the authors are able to study the dynamic shocks of both fiscal policy and asset prices on asset prices and fiscal policy based on a time-varying parameter vector autoregressive (TVP-VAR) model. This enables the authors to isolate specific periods in time to understand the size and sign of the shocks. Findings – The results seem to suggest that at least two regimes exist in which expansionary fiscal policy affected asset prices. From the 1970s until 1990, fiscal expansions were associated with declining house and slightly increased stock prices. The majority of the first decade of 2000 had asset prices increasing when fiscal policy expanded. On the other hand, increasing asset prices reduced deficits for the majority of the sample period, while the recent financial crises had a marked change on the way asset prices affect fiscal policy. Originality/value – This is the first attempt in the literature of fiscal policy and asset prices to use a TVP-VAR model to not only analyse the impact of fiscal policy on asset prices, but also the feedback from asset prices to fiscal policy over time.

scholarly journals Inspecting Gradual and Abrupt Changes in Emotion Dynamics With the Time-Varying Change Point Autoregressive Model

2020 ◽  
Vol 36 (3) ◽  
pp. 492-499
Author(s):  
Casper J. Albers ◽  
Laura F. Bringmann
Keyword(s):  
Negative Affect ◽  
Positive Affect ◽  
Change Point ◽  
A Priori ◽  
Ar Model ◽  
Time Varying ◽  
Abrupt Changes ◽  
Emotion Dynamics ◽  
Changes Over Time ◽  
Over Time

Abstract. Recent studies have shown that emotion dynamics such as inertia (i.e., autocorrelation) can change over time. Importantly, current methods can only detect either gradual or abrupt changes in inertia. This means that researchers have to choose a priori whether they expect the change in inertia to be gradual or abrupt. This will leave researchers in the dark regarding when and how the change in inertia occurred. Therefore in this article, we use a new model: the time-varying change point autoregressive (TVCP-AR) model. The TVCP-AR model can detect both gradual and abrupt changes in emotion dynamics. More specifically, we show that the inertia of positive affect and negative affect measured in one individual differs qualitatively in how it changes over time. Whereas the inertia of positive affect increased only gradually over time, negative affect changed both in a gradual and abrupt fashion over time. This illustrates the necessity of being able to model both gradual and abrupt changes in order to detect meaningful quantitative and qualitative differences in temporal emotion dynamics.

scholarly journals Mortgage debt and time-varying monetary policy transmission

2021 ◽  
pp. 1-26
Author(s):  
David Finck ◽  
Jörg Schmidt ◽  
Peter Tillmann
Keyword(s):  
Monetary Policy ◽  
Dynamic Stochastic General Equilibrium ◽  
Household Debt ◽  
Time Varying ◽  
Mortgage Debt ◽  
Vector Autoregressive ◽  
Time Varying Parameter ◽  
Policy Transmission ◽  
Dynamic Stochastic ◽  
Adjustable Rate

Abstract This paper studies the role of monetary policy for the dynamics of US mortgage debt, which accounts for the largest part of household debt. A time-varying parameter vector autoregressive (VAR) model allows us to study the variation in the sensitivity of mortgage debt to monetary policy. We find that an identically sized policy shock became less effective over time. We use a dynamic stochastic general equilibrium model to show that a fall in the share of adjustable rate mortgages (ARMs) can replicate this finding. Calibrating the model to the drop in the ARM share since the 1980s yields a decline in the sensitivity of housing debt to monetary policy which is quantitatively similar to the VAR results. A sacrifice ratio for mortgage debt reveals that a policy tightening directed toward reducing household debt became more expensive in terms of a loss in employment. Counterfactuals show that this result cannot be attributed to changes in monetary policy itself.

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