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Articles 1 - 10 of 10
Full-Text Articles in Macroeconomics
From Sentiment And Risk To Trade: A Country-Level Study On Geopolitical Trade Effects, Seung Heo
From Sentiment And Risk To Trade: A Country-Level Study On Geopolitical Trade Effects, Seung Heo
Publications and Research
Can geopolitical risk reshape international trade? I construct directed, monthly measures of bilateral geopolitical risk and its associated sentiment from approximately 5.1 million news articles in the GDELT Event Database, and estimate their effect on trade among eight Asia-Pacific economies at the HS2 product level over 2015--2025, using Poisson pseudo-maximum-likelihood gravity local projections with high-dimensional fixed effects. Pooled across countries, rising risk produces an immediate expansion of trade led by verbal threats and by news tone orthogonal to event content, rather than by material acts, indicating that how a conflict is reported can move trade before the conflict materializes. A …
Exchange Rate Forecast Model: Factor Analysis, Swapnil Landge
Exchange Rate Forecast Model: Factor Analysis, Swapnil Landge
Publications and Research
Forecasting the exchange rate using factor analysis, factors based on cross section exchange rates of different economies in terms of trade, would beat random walk model in longer out of sample horizon forecasting. In this research project, we will replicate the NBER working paper Factor Model Forecasts of Exchange Rates” by Charles Engel, Nelson C. Mark & Kenneth D. West (2012) which has used 17 OECD countries exchange rates in getting the potential factors but with extended time period from 1973:1-2021:4. We will report early sample forecasting statistics for a 1987-1998 sample. Results for late samples (1999-2022) were promising, at …
Can Investment Shocks Helps To Explain The Us Business Cycles?, Swapnil Landge
Can Investment Shocks Helps To Explain The Us Business Cycles?, Swapnil Landge
Publications and Research
In this paper, I developed a standard neoclassical growth model to understand the importance of investment shock on business cycle fluctuation. In addition to investment shock, my model includes technology shock too. Using the Simulation-based PEA (Parameterized expectations algorithm) approach, i estimate the Model. The model provides evidence that investment shocks constitute a significant force behind U.S. business cycles. Model in this paper reaffirms the comovement of consumption and investment with output and accurately predicts the Investment to output,capital to output ratio and the labour for the US economy.
Public Debt, Its Impact On Gdp & Crowding Out Effect: Evidence From The Usa, Swapnil Landge
Public Debt, Its Impact On Gdp & Crowding Out Effect: Evidence From The Usa, Swapnil Landge
Publications and Research
In this study, we examined the long-term relationship between public debt, GDP, private investment, and interest rates. We found two significant long-term relationships among these variables. First, interest rates are positively correlated with public debt and negatively correlated with GDP. Second, private investment is negatively correlated with public debt and positively correlated with GDP. These findings suggest the presence of a crowding out effect, where public debt limits private investment by increasing interest rates and reducing access to available funds.
Stock Market Transmission Channel Of Monetary Policy: Empirical Evidence From Turkey, Ilhami Gunduz
Stock Market Transmission Channel Of Monetary Policy: Empirical Evidence From Turkey, Ilhami Gunduz
Publications and Research
Monetary policy is one of the instruments that policymakers use to provide both sustainable economic growth and price stability. In this study, I analyze the stock market transmission channel of the monetary policy of the Turkish economy not only at the aggregate but also at the sectoral level in a structural vector autoregression (SVAR) framework. I adopt alternative variables as a policy instrument. When the spread is used as a policy instrument, I find that contractionary monetary policy has a significant negative effect on both output and the price level, and it appreciates the Turkish Lira. Besides, the tight monetary …
Shocks To Aggregate Demand And Aggregate Supply In The Midst Of Covid-19, Anna M. Gellerman
Shocks To Aggregate Demand And Aggregate Supply In The Midst Of Covid-19, Anna M. Gellerman
Publications and Research
COVID-19 sent shockwaves throughout the economy, changing the amounts of goods and services distributed and altering the demand. This article discusses the negative demand shock and adverse supply shock that the U.S. economy faced in 2020, and the policies that the government implemented to reverse these effects.
Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz
Global Capital Flows, Time Varying Fundamentals And Transitional Exchange Rate Dynamics: An Ms-Var Approach, Süleyman Hilmi Kal, Ilhami Gunduz
Publications and Research
This paper studies whether dynamic relationship between exchange rate and economic and financial fundamentals vary depending on exchange rate is overvalued and undervalued with respect to its fundamental value. To achieve this, we implement two-state Markov Switching Vector Auto Regression (MSVAR) model with time varying transition probabilities to investigate whether the relationship among exchange rate, interest rate and inflation dynamics depend on overvaluation and undervaluation of exchange rates for the pre-crises period between years 1972-2009. We govern the transition between the undervalued and overvalued states by using Sharpe Ratios of debt and equity investments of the currency to assess whether …
Macroeconomic Stabilization When The Natural Real Interest Rate Is Falling, Sebastien Buttet, Udayan Roy
Macroeconomic Stabilization When The Natural Real Interest Rate Is Falling, Sebastien Buttet, Udayan Roy
Publications and Research
The authors modify the Dynamic Aggregate Demand–Dynamic Aggregate Supply model in Mankiw’s widely-used intermediate macroeconomics textbook to discuss monetary policy when the natural real interest rate is falling over time. Their results highlight a new role for the central bank’s inflation target as a tool of macroeconomic stabilization. They show that even when the zero lower bound is not binding, a prudent central bank will need to match every decrease in the natural real interest rate with an equal increase in the target rate of inflation in order to stabilize the risk of the economy falling into a deflationary spiral, …
A Simple Treatment Of The Liquidity Trap For Intermediate Macroeconomics Courses, Sebastien Buttet, Udayan Roy
A Simple Treatment Of The Liquidity Trap For Intermediate Macroeconomics Courses, Sebastien Buttet, Udayan Roy
Publications and Research
Several leading undergraduate intermediate macroeconomics textbooks now include a simple reduced-form New Keynesian model of short-run dynamics (alongside the IS-LM model). Unfortunately, there is no accompanying description of how the zero lower bound on nominal interest rates affects the model. In this article, the authors show how the aforementioned model can easily be modified to teach undergraduate students about the significance of the zero lower bound for economic performance and policy. This acquires additional significance because economies such as the United States and Japan have been close to the zero lower bound since 2008 and 1995, respectively. The authors show …
Does U.S. Macroeconomic News Make Emerging Financial Markets Riskier?, Esin Cakan, Nadia Doytch, Kamal P. Upadhyaya
Does U.S. Macroeconomic News Make Emerging Financial Markets Riskier?, Esin Cakan, Nadia Doytch, Kamal P. Upadhyaya
Publications and Research
This study analyzes the impacts of US macroeconomic announcement surprises on the volatility of twelve emerging stock markets by employing asymmetric GJR-GARCH model. The model includes both positive and negative surprises about inflation and unemployment rate announcements in the U.S. We find that volatility shocks are persistent and asymmetric. Asymmetric volatility increases with bad news on US inflation in five out of the twelve countries studied and it increases with a bad news on U.S. unemployment in four out of twelve countries. Asymmetric volatility decreases with good news about US employment situation in eight countries out of twelve countries. Such …