Economics Commons^™

A Text Mining Analysis Of Central Bank Monetary Policy Communication In Nigeria, Mohammed M, Tumala, Babatunde S. Omotosho

CBN Journal of Applied Statistics (JAS)

This paper employs text-mining techniques to analyse the communication strategy of the Central Bank of Nigeria (CBN) during the period 20042019. Since the policy communique released after each meeting of the CBN’s monetary policy committee (MPC) represents an important tool of central bank communication, we construct a corpus based on 87 policy communiques with a total of 123, 353 words. Having processed the textual data into a form suitable for analysis, we examined the readability, sentiments, and topics of the policy documents. While the CBN’s communication has increased substantially over the years, implying increased monetary policy transparency; the computed Coleman …

Skbi Big 5 Survey 2019 August, Singapore Management University

Sim Kee Boon Institute for Financial Economics

On balance, our overall interpretation of the multiyear Big5 survey results implies the following economy-at-risk scale (least to most): India, China, US, Japan and Euro Area (i.e., India’s economy appears to be the least at-risk, while the Euro Area might be the most at-risk). Broadly, survey participants expect the risks to GDP growth to be tilted to the downside in 2019 and 2020 followed by a more balanced growth environment in 2021. But participants seem to lean toward a more balanced risk assessment on headline inflation from 2019 through 2021, with the exception of the Euro Area, where a modest …

Empirical Analysis Of China’S Exchange Rate And Macroeconomic Policy, Jia Ji

Dissertations, Theses, and Capstone Projects

This dissertation examines the effects of exchange rate and macroeconomic policy in China. It consists of three chapters. Chapter 1 explores the dynamics of monetary transmission mechanism. As China’s domestic financial markets deepen and develop further toward a market-based system, the country’s monetary policy transmission should continue to improve in the sense that the policy instrument’s influence on economic conditions increases in magnitude and stabilized across time. Using a short-term key interest rate as a standard monetary policy tool and time-varying parameter techniques, this study empirically demonstrates that China’s monetary policy framework is in the midst of transitioning to a …

The Size Of The Multiplier: Comparing Alternate Views After The Great Recession, Daniel Focht

Electronic Theses and Dissertations

This thesis reviews the major theoretical frameworks and their outlook on the government spending, its effectiveness, the implied size of the multiplier and how they differed in empirical studies. This is followed by an estimation of the government multiplier for the major U.S. fiscal policy, namely the American Recovery and Reinvestment Act (ARRA), after the Great Recession of 2007-2009. Own estimation of the size of the multiplier is presented using a standard SVAR model based on New Keynesian approach for time period between 2009 and 2018. In addition, following the classical economic theory, the multiplier is recalculated in the absence …

Teaching Courses In Macroeconomics And Monetary Policy With Bloomberg Analytics, Dean D. Croushore, Hossein S. Kazemi

Economics Faculty Publications

In this article, the authors illustrate the use of Bloomberg for analyzing topics in macroeconomics and monetary policy in economics and finance courses. The hands-on experience that students gain from such a course has many benefits, including deeper learning and clearer understanding of data. The authors describe goals and learning objectives, then compare Bloomberg with Federal Reserve Economic Data (FRED). In addition, they provide examples of how to use Bloomberg in the classroom, describe how to have students perform sector analysis, show how Bloomberg tools are useful for analyzing monetary policy, discuss how to use Bloomberg to analyze the financial …

How Does The Thai Stock Market Respond To Monetary And Fiscal Policy Shocks?, Suthawan Prukumpai, Yuthana Sethapramote

DLSU Business & Economics Review

This study examines the impacts of monetary and fiscal policy on the Thai stock market using the structural vector autoregressive (SVAR) model. In addition to the data on the market aggregate level, we also consider the response of stock prices at the sectoral level. The empirical results show that the Thai stock market significantly responds to both monetary policy and fiscal policy. However, monetary policy has stronger effects on both real output and stock prices than those of fiscal policy. Fiscal policy shocks affect the stock market only for the next two to three quarters. In addition, sector indices wereused …

Monetary Conditions, Oil Revenue And Economic Growth In Nigeria, Kingsley Imandojemu, Akinlosotu Nathaniel Toyosi

Bullion

This study investigated the relationship between macroeconomic conditions, oil revenue, and economic growth in Nigeria within the period 1981- 2017. To determine this, annual time series data from the World Development Indicator (WDI) and Central Bank of Nigeria Statistical Bulletin was collected for the dependent variable - Gross Domestic Product (the proxy for economic growth) and the independent variables: Labour force participation of productive working age (POP), Interest rate (INTR), Exchange rate (EXCH), Inflation rate (INF) and Oil revenue growth rate (OILR). Taking all variables in natural logarithm, the Ordinary Least Squares (OLS) method, Augmented Dickey Fuller (ADF) unit-root test …

Foreign Exchange Management : Nigeria's Experience With The Unholy Trinity, Moses K. Tule

Bullion

Foreign exchange management is a major component of monetary policy in many central banks in developing and emerging market economies. This is because maintaining price stability is a key mandate of many central banks in ensuring overall macroeconomic stability. An effective exchange rate policy compliments the objectives of monetary policy. The relationship between monetary policy and the exchange rate can be explained in three different channels namely; income channel, price channel and interest rate channel. This are what the article will deliberate on from Nigeria's perspective.

Three Essays On Asset Price Bubbles, Frank Ofori-Acheampong

Dissertations

This dissertation examines various issues associated with asset price bubbles. In the first essay, a Markov regime-switching model with time-varying transition probabilities is developed to identify asset price bubbles in the S&P 500 Index. The model nests two different methodologies; a state-dependent regime-switching model and a Markov regime-switching model. Three bubble regimes are identified; dormant, explosive, and collapsing. Time-varying transition probabilities are specified for each of the nine possible transitions in the Markov regime-switching model. Estimation of the model is done using conditional maximum likelihood with the Hamilton filter. Results show that transition probabilities depend significantly on trading volume and …

A New Keynesian Approach To Estimating Welfare Losses Under Strict And Flexible-Targeting Regimes, Shawn Weber

Theses and Dissertations

How do different inflation-targeting regimes affect the monetary loss-function of a central bank aiming at stabilizing inflation around an inflation target and stabilizing the real economy? Under a basic New-Keynesian framework, this paper examines the effect of inflation-targeting regimes on the monetary loss function of a central bank.

Monetary Policy Management In Nigeria Today: Issues In Stagflation And Recession, Moses K. Tule

Bullion

This article explore the rare and challenging economic problem faced by Nigeria refers to as stagflation. i.e. a condition characterized by the co-existence of declining growth rates along with high unemployment and inflation rates. These negative economic development have raised major concern for policy makers and other economic agents because of the adverse effects on investment, financial stability and livelihood.

Understanding Economic Recession, The Role And Limitations Of Monetary Policy In Recovery, Mustapha Adewale Adigun

Bullion

This article examines the causes and effect of economic recession, highlights the role of monetary policy in economic recovery from a recession and proposes appropriate policy options to address the menace of recession with a view to promote economic recovery. Following the introduction, section 2 addresses the definition, causes, features and brief history, section 3 discuss recent economic recession in Nigeria, section 4 highlights the role of monetary policy and section 5 concludes the paper.

The Effectiveness Of Central Bank Forward Guidance Under Inflation And Price-Level Targeting, Stephen J. Cole

Economics Faculty Research and Publications

This paper examines the effectiveness of central bank forward guidance under inflation and price-level targeting monetary policies. The results show that the beneficial effects of forward guidance increase if a central bank pursues price-level targeting instead of inflation targeting. Output and inflation respond more favorably to forward guidance with price-level targeting than inflation targeting. A monetary policy rule that aggressively reacts to inflation and includes interest rate inertia narrows the performance gap between the two policy regimes. However, forward guidance with price-level targeting is still preferred to forward guidance with inflation targeting after performing multiple robustness checks.

Essays On Public Policy Analysis Using Macroeconomic Models, Akihiro Nomura

Legacy Theses & Dissertations (2009 - 2024)

This thesis is composed of three separate essays.

Essays On Money, Banking, And Finance, Duong Ngo

Legacy Theses & Dissertations (2009 - 2024)

This doctoral dissertation contains three essays on the topics of money, banking, and finance.

Implications Of Macroeconomic Controls In Ghana, Wisdom Takumah

Electronic Theses and Dissertations

Ghana’s desire to achieve sustainable economic growth with relatively stable price level pursue both monetary and fiscal policies that could lead to macroeconomic. This study examines the effects of fiscal and monetary policy on economic growth and determine the level of convergence of growth for Ghana using structural equation modeling (SEM) using time series data from 2008 to 2017. Both short run and long-run results revealed that the ratio of government spending to private investment was statistically significant and it exerted a positive impact on economic growth, an indication that government expenditure is a key channel through which we can …

Nonlinear Taylor Rules: Evidence From A Large Dataset, Jun Ma, Eric Olson, Mark E. Wohar

Economics Faculty Publications

In this paper we estimate nonlinear Taylor rules over the 1986–2008 sample time period and augment the traditional Taylor rule by including principal components to better model Federal Reserve policy. Including principal components is useful in that they extract information about the overall economy from multiple economic indicators in a statistically optimal way. Additionally, given that uncertainty may influence Federal Reserve decisions, we incorporate an uncertainty index in the reaction function of the Federal Reserve. We find substantial evidence that the Federal Reserve responded to increases in macroeconomic uncertainty by cutting the Federal Funds rate over the sample period. We …

The Dynamic Interrelationship Between Interest Rate And Macroeconomic Policy Objectives: Case Of The United Kingdom, Mostafa Aboelsoud, Dimitrios Paparas, Azzouz Zouaoui, Mustafa Kasim

Economics

The objective of this study is to provide empirical evidence on the short- and long-run relationships between the short-term interest rate, London interbank offered rate (LIBOR) and macroeconomic policy objectives, such as price stability, economic growth, and stability of the exchange rate market. For this purpose, we deploy quarterly frequency data from the United Kingdom between 2000 and 2015 and adopt a multiple regression model.

Furthermore, this study uses the Johansen, Stock-Watson cointegration test and the Granger Causality test in order to examine the dynamic short- and long-run relationships among LIBOR, the consumer price index as a proxy of price …

Monetary Policy And Energy Price Shocks, Bao Tan Huynh

Research Collection School Of Economics

A New Keynesian framework with endogenous energy production is proposed to investigate the role of monetary policy in addressing disturbances in energy markets. The novelty of the model lies in the endogenous production of energy with convex costs, explicit modeling of goods with different degrees of energy-dependency and sectoral price rigidities. Our analyses prescribe the desirable monetary responses to four types of energy price shocks, highlighting the distinct characteristics of each shock and affirming the need for diverse policy considerations. We also found several points of divergence in relation to previous studies on addressing energy supply shocks. In addition, we …

Three Essays On Monetary Policy And Exchange Rate Behavior, Wan Wei

Dissertations

In response to the 2007 financial crisis and recession, the Federal Reserve System (the Fed) implemented conventional monetary policy by lowering the Federal funds rate in order to stimulate the economy. However, the Federal funds rate reached its zero-lower bound in November 2008, which meant that lowering the Federal funds rate was no longer an option, because it could not be lowered any further. As a result, the Fed began to implement unconventional monetary policy, by making large-scale asset purchases (LSAPs) usually referred to as quantitative easing (QE). This dissertation studies how monetary policy in the context of the move …

Exchange Rate Management In Period Of Economic Uncertainty, Emmanuel U. Ukeje

Bullion

The paper examines current developments in the management of foreign exchange by the Central Bank of Nigeria in the period of economic uncertainty. It explains how the Bank has implemented different regimes of foreign exchange in order to maintain the external value of its currency as well as ensure them.

Contemporary Issues In The Nigerian Monetary Policy Landscape: Current Challenges And Strategic Options, Shamsideen Okunola Abiodun, Jamiu Aina Babatunde, Kingsley Imandojemu

Bullion

Contemporary central bonking in Nigeria is becoming laced with intricacies, and monetary actions impacting every segment of the society. Paradoxically, monetary policy landscape is characterized by complexities and frequent changes in the monetary environment amidst relatively constant monetary instruments. The economic recession witnessed by Nigeria from Q1 to Q4 of 2016 had reinforced the renaissance of primordial and 'nativist' models of unregulated banking arrangement cum investment options via Ponzi schemes and pyramid schemes, flexible exchange rote regime, selected import forex restrictions, calls for unconventional monetary policy with special reference to negative interest rote, central bonk communication and financial stability concern. …

International Reserves And Global Interest Rates, Gonçalo Pina

Economics

In this paper we study the relationship between foreign currency international reserve holdings and global interest rates. To guide empirical work we solve a simple, small open-economy model with money, where the central bank manages international reserves to smooth inflation over time. This model shows that changes in interest rates are positively related to the target level of reserves. As a consequence interest rate hikes increase reserve transfers, defined as the change in international reserves net of the interest earned on reserves. Using quarterly data for 75 countries between 2000 and 2013, we document a positive relationship between interest-rate changes …

Evaluation Of Monetary, Fiscal And External Inflationary Sources In Nigeria, Samson A. Aladejare

Journal for the Advancement of Developing Economies

This study focuses on evaluating the monetary, fiscal and external inflationary sources in Nigeria. The Auto-Regressive Distributive Lag estimation technique was adapted to capture these effects. Empirical findings of the study showed that overall, the main determining cause of inflation in both short run and long run periods in Nigeria, are more of monetary and external factors and less of fiscal sources. Specifically, the problem of inflation in Nigeria appears to be more of structural phenomenon than monetary in the short run. However, in the long run, combinations of monetary and external factors tend to be the major cause of …

Stock Returns And Interest Rates Around The World: A Panel Data Approach, Tibebe A. Assefa, Omar A. Esqueda, Andre V. Mollick

School of Economics and Finance Faculty Publications

We examine quarterly stock returns of 21 developed and 19 developing economies from 1999 to 2013. Over this period, mean quarterly stock returns of 1.188% in developed economies contrast to 4.220% in developing economies. Economic growth has been substantially lower and interest rates have fallen (risen) in developed (developing) economies. Using dynamic panels, we find statistically significant negative effects of interest rates on stock returns in the developed countries, consistent with the expected cash flow hypothesis. In the developing markets, however, the world market portfolio is the sole determinant of stock returns. The contrasting effect of interest rates change on …

The Role Of Central Banks In Assisting Regional Economic Policy Making, Randall W. Eberts

Presentations

No abstract provided.

Essays On Macroeconomics And Monetary Economics, Fatih Tuluk

Arts & Sciences Graduate Student Theses and Dissertations

My essays that are captured in two chapters of my dissertation focus on shadow banking system, collateralized debt arrangement and monetary policy. The first chapter studies the role of shadow banking in the recent financial crisis, the relationship between shadow banking and traditional banking, and it investigates the monetary policy reaction to overcome the financial frictions associated with the scarcity of collateral or shortages of safe assets that naturally led to the liquidity constraints. On the other hand, the second chapter studies the role of housing as a collateral or as a medium of exchange and it explores how the …

Do Parties Matter? A Political Model Of Monetary Policy In Open Economies, Hulya Unlusoy

Dissertations

In this doctoral dissertation, I present an original political model of monetary policy in open economies that reframes the Mundell-Fleming model when party politics and long-term interest rates are examined with the three economic variables (monetary policy autonomy, capital mobility, fixed exchange rate) that form the basis of the Mundell-Fleming model. The Mundell-Fleming model explains that there is no monetary policy autonomy in the short term under high capital mobility and a fixed exchange rate system. To see whether I arrive at a different conclusion than the Mundell-Fleming model, I pose the following two research questions: 1. What explains variations …

Adventures At The Zero Lower Bound: A Bayesian Time-Varying Parameter Vector Autoregressive Analysis Of Monetary Policy Uncertainty Shocks, Rachel M. Doehr

CMC Senior Theses

Using survey-based measures of future interest rate expectations from the Blue Chip Economic Indicators and the Survey of Professional Forecasters, we examine the relationship between monetary policy uncertainty, captured as the dispersion of interest rate forecasts, and fluctuations in real economic activity and core inflation. We use a flexible time-varying parameter vector autoregression (TVP-VAR) model to clearly isolate the dynamic effects of shocks to monetary policy uncertainty. To further study possible a possible nonlinear relationship between monetary policy uncertainty and the macroeconomic aggregates, we extract the impulse-response functions (IRF’s) estimated at each quarter in the time series, and use a …

Emerging Market Currency Composition Of Reserves, Denomination Of Trade And Currency Movements, Robert N. Mccauley, Hiro Ito, Tracy Chan

Economics Faculty Publications and Presentations

This article analyses the relationships among the unit of account and means of exchange functions of an international currency, on the one hand, and its store of value in official use, on the other hand. Historical evidence links the currency composition of reserves to currency movements. The currency composition of reserves is strongly related in the cross-section to both currency movements and the currency denomination of trade. Data limitations make it hard to distinguish these two factors. A panel analysis of 5 countries from central and eastern Europe shows that both trade invoicing and currency movements drive changing official reserve …