This paper attempts to identify the effects of monetary policy shock on output and price level in Thailand during 2005Q1 and 2016Q2. Recently available policy rate is used as a monetary policy variable. The structural VAR methodology is employed to identify the monetary policy shock. To enhance the precision of the model specification, the short-run restrictions are imposed on the specified structural model of cointegrated variables to allow the levels of variables to interact simultaneously with each other. The results from the analysis of the structural model reveal that a shock to monetary policy drives cycles for both real GDP and the inflation rate.
{"title":"Identifying the Effects of Monetary Policy Shock on Output and Prices in Thailand","authors":"Komain Jiranyakul","doi":"10.2139/ssrn.2888260","DOIUrl":"https://doi.org/10.2139/ssrn.2888260","url":null,"abstract":"This paper attempts to identify the effects of monetary policy shock on output and price level in Thailand during 2005Q1 and 2016Q2. Recently available policy rate is used as a monetary policy variable. The structural VAR methodology is employed to identify the monetary policy shock. To enhance the precision of the model specification, the short-run restrictions are imposed on the specified structural model of cointegrated variables to allow the levels of variables to interact simultaneously with each other. The results from the analysis of the structural model reveal that a shock to monetary policy drives cycles for both real GDP and the inflation rate.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"52 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128423498","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
ASEAN leaders approved the ASEAN Vision 2020 plan which attempts to turn ASEAN into a more competitive region within the world economy. The purpose of this paper is to discuss the feasibility of monetary and financial integration among ASEAN member countries. Monetary and financial integration are two strategies for promoting economic expansion in ASEAN. Some scholars suggest that integration is feasible as ASEAN countries are primed for integration as they share the need to grow economically and protect themselves from a future economic shock. In contrast, some scholars argue that integration is not feasible due to the high degree of economic, political, and socio-cultural diversity among ASEAN countries. ASEAN must develop a plan that accounts for the diverse levels of development and different levels of economic stability. ASEAN must resolve member policy ineffectiveness and incentivize member countries to address bad incentive structures and moral hazard. ASEAN must also device methods and strategies that enable and support policymakers to collaborate effectively while being incentivized to pursue ASEAN region’s best interests. If ASEAN leaders are able to design appropriate frameworks, strategies, and plans that reconcile the items mentioned throughout this paper, we believe ASEAN economic integration to be feasible in the long-run.
{"title":"The Feasibility of Monetary and Financial Integration in ASEAN: Policy Considerations for Enhancing Integration Feasibility","authors":"Anchalee Pooittiwong, Byron Ramirez","doi":"10.2139/ssrn.2850710","DOIUrl":"https://doi.org/10.2139/ssrn.2850710","url":null,"abstract":"ASEAN leaders approved the ASEAN Vision 2020 plan which attempts to turn ASEAN into a more competitive region within the world economy. The purpose of this paper is to discuss the feasibility of monetary and financial integration among ASEAN member countries. Monetary and financial integration are two strategies for promoting economic expansion in ASEAN. Some scholars suggest that integration is feasible as ASEAN countries are primed for integration as they share the need to grow economically and protect themselves from a future economic shock. In contrast, some scholars argue that integration is not feasible due to the high degree of economic, political, and socio-cultural diversity among ASEAN countries. ASEAN must develop a plan that accounts for the diverse levels of development and different levels of economic stability. ASEAN must resolve member policy ineffectiveness and incentivize member countries to address bad incentive structures and moral hazard. ASEAN must also device methods and strategies that enable and support policymakers to collaborate effectively while being incentivized to pursue ASEAN region’s best interests. If ASEAN leaders are able to design appropriate frameworks, strategies, and plans that reconcile the items mentioned throughout this paper, we believe ASEAN economic integration to be feasible in the long-run.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115921451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper investigated the effects of Monetary Policy and control of money supply on the profitability of Deposit Money Banks (DMBs) in Nigeria from 1999 to 2013. The specific objectives of the study were to: determine the relationship between money supply, the level of credit in the economy, macroeconomic variables (inflationary rate, exchange rate movement, and Real Gross domestic Product and the profitability of DMBs in Nigeria. Three research questions and three hypotheses were raised. Ordinary Least Linear Regression Analysis method was adopted for the study which employed SPSS statistical tool to run the correlation and regression analysis.Data gathered included Quasi Money (QM), Real Gross Domestic Product (RGDP), Exchange Rate (ER), Inflation (INF), Lending Interest Rate (LIR) Real Interest Rate (RIR) Domestic Credit to Private sectors (DCP), Currency in Circulation (CC) and Return on Assets (ROA). The findings revealed among others that; quasi money has insignificant positive relationship with profitability of DMBs, while currency in circulation has insignificant positive relationship with profitability of DMBs in Nigeria. The level of credit in the economy has significant negative relationship with profitability of DMBs. More so, inflation, exchange rate, and real GDP have insignificant relationship with the profitability of the banks. Hence, monetary policy influences the DMBs directly, as well as indirectly through through feed-back effects from the economy It is recommended among others that, monetary policy must work in random to create the right macroeconomic framework, create a favourable investment climate by facilitating the emergence of market based interest rate and exchange rate regimes that would attract both domestic and foreign investments, create jobs, promote non-oil export and revive industries that are currently operating far below installed capacity. The government should also endeavor to make the financial sector less volatile and more viable as it is in developed market economies. Finally, given the limitations of monetary policy in Nigeria, it should be used along with government fiscal policy.
{"title":"Monetary Policy, the Control of Money Supply and its Effects on the Profitability of Deposit Money Banks in Nigeria (1999-2013)","authors":"C. S. Okaro","doi":"10.12816/0033190","DOIUrl":"https://doi.org/10.12816/0033190","url":null,"abstract":"This paper investigated the effects of Monetary Policy and control of money supply on the profitability of Deposit Money Banks (DMBs) in Nigeria from 1999 to 2013. The specific objectives of the study were to: determine the relationship between money supply, the level of credit in the economy, macroeconomic variables (inflationary rate, exchange rate movement, and Real Gross domestic Product and the profitability of DMBs in Nigeria. Three research questions and three hypotheses were raised. Ordinary Least Linear Regression Analysis method was adopted for the study which employed SPSS statistical tool to run the correlation and regression analysis.Data gathered included Quasi Money (QM), Real Gross Domestic Product (RGDP), Exchange Rate (ER), Inflation (INF), Lending Interest Rate (LIR) Real Interest Rate (RIR) Domestic Credit to Private sectors (DCP), Currency in Circulation (CC) and Return on Assets (ROA). The findings revealed among others that; quasi money has insignificant positive relationship with profitability of DMBs, while currency in circulation has insignificant positive relationship with profitability of DMBs in Nigeria. The level of credit in the economy has significant negative relationship with profitability of DMBs. More so, inflation, exchange rate, and real GDP have insignificant relationship with the profitability of the banks. Hence, monetary policy influences the DMBs directly, as well as indirectly through through feed-back effects from the economy It is recommended among others that, monetary policy must work in random to create the right macroeconomic framework, create a favourable investment climate by facilitating the emergence of market based interest rate and exchange rate regimes that would attract both domestic and foreign investments, create jobs, promote non-oil export and revive industries that are currently operating far below installed capacity. The government should also endeavor to make the financial sector less volatile and more viable as it is in developed market economies. Finally, given the limitations of monetary policy in Nigeria, it should be used along with government fiscal policy.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115025073","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using a multiple regression analysis in the autoregressive distributed lag framework with ECM we include three major components of fiscal policy variables (Government capital expenditure, Government recurrent expenditure and Government Budget Deficit) as regressors and the rate of poverty in Nigeria as the dependent variable, this study explored the potency of fiscal policy in Nigeria in addressing the seemingly endemic poverty scourge from 1980-2011. Findings indicate that the level of government capital expenditures in Nigeria does not reduce the level of poverty in the country over the period of time covered by the study. Although the ECM result, which shows the speed of adjustment of the model from the short run to the long run equilibrium, is on the average, yet the economy did not show any sign of much potency in using the selected fiscal policy variables to tackle the menace of poverty in Nigeria. The study recommends that government should intensify action in implementing effective fiscal policies to ameliorate the level of poverty conditions in Nigeria.
{"title":"Examining the Fiscal Policy-Poverty Reduction Nexus in Nigeria","authors":"Joel Ede Owuru, A. Farayibi","doi":"10.2139/ssrn.2846065","DOIUrl":"https://doi.org/10.2139/ssrn.2846065","url":null,"abstract":"Using a multiple regression analysis in the autoregressive distributed lag framework with ECM we include three major components of fiscal policy variables (Government capital expenditure, Government recurrent expenditure and Government Budget Deficit) as regressors and the rate of poverty in Nigeria as the dependent variable, this study explored the potency of fiscal policy in Nigeria in addressing the seemingly endemic poverty scourge from 1980-2011. Findings indicate that the level of government capital expenditures in Nigeria does not reduce the level of poverty in the country over the period of time covered by the study. Although the ECM result, which shows the speed of adjustment of the model from the short run to the long run equilibrium, is on the average, yet the economy did not show any sign of much potency in using the selected fiscal policy variables to tackle the menace of poverty in Nigeria. The study recommends that government should intensify action in implementing effective fiscal policies to ameliorate the level of poverty conditions in Nigeria.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"2017 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134318862","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Short-term money market interest rate management within the framework of symmetrical interest rate band is based on central bank open market operations that aim to compensate for a structural deficit and surplus of liquidity in the banking sector to make sure that the money market overnight interest rate is close to the middle of the interest rate band. The Bank of Russia practice in this form of management amid structural deficit of liquidity over the past three years has shown that the period average money market interest rate has been above the key interest rate by more than 0.5 percentage points in half of 14 key rate periods.
对称利率区间框架下的短期货币市场利率管理，以央行公开市场操作为基础，旨在弥补银行业流动性的结构性赤字和盈余，确保货币市场隔夜利率接近利率区间的中间位置。在过去3年流动性结构性赤字的背景下，俄罗斯央行(Bank of Russia)采用这种管理方式的实践表明，在14个关键利率周期中，有一半的周期平均货币市场利率高于关键利率0.5个百分点以上。
{"title":"Bank of Russia Liquidity Management of the Banking Sector: Observations Based on the Past Three Years Experience","authors":"V. Morgunov","doi":"10.2139/SSRN.2842147","DOIUrl":"https://doi.org/10.2139/SSRN.2842147","url":null,"abstract":"Short-term money market interest rate management within the framework of symmetrical interest rate band is based on central bank open market operations that aim to compensate for a structural deficit and surplus of liquidity in the banking sector to make sure that the money market overnight interest rate is close to the middle of the interest rate band. The Bank of Russia practice in this form of management amid structural deficit of liquidity over the past three years has shown that the period average money market interest rate has been above the key interest rate by more than 0.5 percentage points in half of 14 key rate periods.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-09-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134313085","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Franz Hamann, J. Bejarano, Diego Rodríguez, Paulina Restrepo-Echavarria
The sudden collapse of oil prices poses a challenge to inflation-targeting central banks in oil-exporting economies. In this article, the authors illustrate this challenge and conduct a quantitative assessment of the impact of changes in oil prices in a small open economy in which oil represents an important fraction of its exports. They build a monetary, three-sector, dynamic stochastic general equilibrium model and estimate it for the Colombian economy. They model the oil sector as an optimal resource extracting problem and show that in oil-exporting economies the macroeconomic effects vary according to the degree of persistence of oil price shocks. The main channels through which these shocks pass to the economy come from the real exchange rate, the country risk premium, and sluggish price adjustments. Inflation-targeting central banks in such economies face a policy dilemma: raise the policy rate to fight increased inflation coming from the exchange rate passthrough or lower it to stimulate a slowing economy.
{"title":"Monetary Policy in an Oil-Exporting Economy","authors":"Franz Hamann, J. Bejarano, Diego Rodríguez, Paulina Restrepo-Echavarria","doi":"10.20955/r.2016.239-261","DOIUrl":"https://doi.org/10.20955/r.2016.239-261","url":null,"abstract":"The sudden collapse of oil prices poses a challenge to inflation-targeting central banks in oil-exporting economies. In this article, the authors illustrate this challenge and conduct a quantitative assessment of the impact of changes in oil prices in a small open economy in which oil represents an important fraction of its exports. They build a monetary, three-sector, dynamic stochastic general equilibrium model and estimate it for the Colombian economy. They model the oil sector as an optimal resource extracting problem and show that in oil-exporting economies the macroeconomic effects vary according to the degree of persistence of oil price shocks. The main channels through which these shocks pass to the economy come from the real exchange rate, the country risk premium, and sluggish price adjustments. Inflation-targeting central banks in such economies face a policy dilemma: raise the policy rate to fight increased inflation coming from the exchange rate passthrough or lower it to stimulate a slowing economy.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"32 6","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121008015","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Turkish Abstract: Calisma 2008-2014 yillari arasinda Turkiye Bireysel Emeklilik sistemi uzerinde yer alan tum gider kalemlerini siniflandirmak, hesaplamak, analiz etmek ve calismada elde edilen verileri kullanarak giderlerden arindirilmis reel getirileri bulmak ve ortaya cikan sonuclari, ilan edilmis sonuclarla karsilastirmak amaciyla yapilmistir. Giderlerden arindirilmis reel getiri hesaplamalarinda genellikle sadece fon isletim gider kesintileri’nin dikkate alindigi, bu sekilde yapilan hesaplamalar sonucunda inceleme doneminde ortalama reel getirinin yillik % 2.01 olarak hesaplandigi, ancak reel getiri hesabinda plan kapsaminda yapilan diger kesintiler’in de goz onune alinmasi durumunda ortalama (geometrik) reel getirinin yillik % 0,19’a dustugu sonucuna ulasilmistir. Saglanan % 0,19’luk ortalama reel getiri karsiliginda ise, inceleme donemi icerisinde en dusuk toplam kesintinin gerceklestigi 2014 yilinda dahi %2,34 oranindaki kesinti yapildigi hesaplanarak, kamu destegi olmadan mevcut sistemin gider-getiri yapisinin surdurulemez oldugu sonucuna varilmistir. English Abstract: This study aims at categorizing, computing and analyzing fees and costs in Turkish Individual Pension System, computing net real returns after all costs, and comparing results with disclosed fees and returns. The study finds that in practice most of the time, only fund management fees taken into consideration for calculating net returns, and with this method net annual average (geometric) return of the system is calculated as 2,01% for the period of 2008-2014. However, when other “pension plan costs” are taken into account, net annual average return decreases to 0,19%. The study also demonstrates that for generating 0,19% average net return, pension companies received 2,34% fee on average in 2014. Thus, these results show that the existing return and fee level is not sustainable without Government incentives.
土耳其语摘要：2008-2014 年的 Calisma arasinda Turkiye Bireysel Emeklilik sistemi uzerinde yer alan tum gider kalemlerini siniflandirmak, hesaplamak, analiz etmek ve calismada elde edilen verileri kullanarak giderlerden arindirmis reel getirileri bulmak ve ortaya cikan sonuclari, ilan edilmis sonuclarla karsilastirmak amaciyla yapilmistir。在熨斗的安装和卷轴的使用上，熨斗的安装和卷轴的使用都需要一定的时间，因此，熨斗的使用和卷轴的使用都需要一定的时间，否则熨斗的使用和卷轴的使用都会受到影响。01 olarak hesaplandigi, ancak reel getiri hesabinda plan kapsaminda yapilan diger kesintiler'in de goz onune alinmasi durumunda ortalama (geometricrik) reel getirin yillik % 0,19'a dustugu sonucuna ulasilmistir.0.19% of 0.19'luk ortalama reel getiri karsiliginda ise, inceleme donemi icerisinde en dusuk topplam kesintinin gerceklestigi 2014 yilinda dahi %2,34 oranindaki kesinti yapildigi hesaplanarak, kamu destegi olmadan mevcut sistemin gider-getiri yapisinin surdurulemez oldugu sonucuna varilmistir.英文摘要：本研究旨在对土耳其个人养老金制度的费用和成本进行分类、计算和分析，计算扣除所有成本后的实际净收益，并将结果与披露的费用和收益进行比较。研究发现，在实践中，大多数情况下，计算净回报时只考虑基金管理费，用这种方法计算出的 2008-2014 年期间系统的年均（几何）净回报率为 2.01%。然而，如果将其他 "养老金计划成本 "考虑在内，年平均净收益率将降至 0.19%。研究还表明，为了获得 0.19% 的平均净回报率，养老金公司在 2014 年平均收取了 2.34% 的费用。因此，这些结果表明，如果没有政府的激励措施，现有的回报和费用水平是不可持续的。
{"title":"Türkiye Bireysel Emeklilik Sistemi Üzerindeki Kesintiler ile Getirilerin Analizi (Analysing Turkish Individual Pension System Fees and Returns)","authors":"Ibrahim Peker","doi":"10.2139/SSRN.2710627","DOIUrl":"https://doi.org/10.2139/SSRN.2710627","url":null,"abstract":"Turkish Abstract: Calisma 2008-2014 yillari arasinda Turkiye Bireysel Emeklilik sistemi uzerinde yer alan tum gider kalemlerini siniflandirmak, hesaplamak, analiz etmek ve calismada elde edilen verileri kullanarak giderlerden arindirilmis reel getirileri bulmak ve ortaya cikan sonuclari, ilan edilmis sonuclarla karsilastirmak amaciyla yapilmistir. Giderlerden arindirilmis reel getiri hesaplamalarinda genellikle sadece fon isletim gider kesintileri’nin dikkate alindigi, bu sekilde yapilan hesaplamalar sonucunda inceleme doneminde ortalama reel getirinin yillik % 2.01 olarak hesaplandigi, ancak reel getiri hesabinda plan kapsaminda yapilan diger kesintiler’in de goz onune alinmasi durumunda ortalama (geometrik) reel getirinin yillik % 0,19’a dustugu sonucuna ulasilmistir. Saglanan % 0,19’luk ortalama reel getiri karsiliginda ise, inceleme donemi icerisinde en dusuk toplam kesintinin gerceklestigi 2014 yilinda dahi %2,34 oranindaki kesinti yapildigi hesaplanarak, kamu destegi olmadan mevcut sistemin gider-getiri yapisinin surdurulemez oldugu sonucuna varilmistir. English Abstract: This study aims at categorizing, computing and analyzing fees and costs in Turkish Individual Pension System, computing net real returns after all costs, and comparing results with disclosed fees and returns. The study finds that in practice most of the time, only fund management fees taken into consideration for calculating net returns, and with this method net annual average (geometric) return of the system is calculated as 2,01% for the period of 2008-2014. However, when other “pension plan costs” are taken into account, net annual average return decreases to 0,19%. The study also demonstrates that for generating 0,19% average net return, pension companies received 2,34% fee on average in 2014. Thus, these results show that the existing return and fee level is not sustainable without Government incentives.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"3 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2016-01-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133203619","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Arabic Abstract: تهدف الورقة إلى تقدير دالة الطلب على النقود في السودان خلال الفترة (1980-2013م). وذلك لإثبات، ثبات دالة الطلب على النقود في السودان، وعدم شمول وفعالية السياسة النقدية في تحقيق الأهداف الكلية. قامت الدراسة بتقدير دالة الطلب على النقود في الأجلين الطويل والقصير عن طريق تحليل التكامل المشترك. توصلت الدراسة إلى نتائج أهمها، أن الدخل القومي الحقيقي، سعر الصرف، معدل التضخم، ومعدل دوران النقود، من أهم العوامل المؤثرة على دالة الطلب على النقود في السودان، وأن معلمات دالة الطلب على النقود في الأجلين الطويل والقصير تمتاز بالثبات، في معظم فترات الدراسة. كذلك توصلت الدراسة إلى عدم فعالية السياسة النقدية لتحقيق الأهداف الكلية لوجود فاصل زمني لاستجابتها لعواملها. أهم التوصيات وجوب وضع محددات الطلب على النقود في الاعتبار عند صياغة السياسة النقدية، مع وضع اعتبار لتكيفها بين الأجلين القصير والطويل.English Abstract: The basic objective of this study is to estimate the Sudanese demand for money function during (1980-2013), to prove the hypotheses of this study that is, the stability of demand for money, incomplete and ineffective monetary policy to attain the aggregate macroeconomic goals. The short-run and the long-run demand for money functions were estimated during (1980-2013) by co-integration methods (error correction model). The main determinants of demand for money function are the national income, exchange rate, inflation rate, and velocity of circulation. The parameters of both the long-run and the short-run of the demand for money function are stable. The monetary policy is not effective due to the lag between the timing and response. The main recommendations are put into consideration the determinants, adjustment in both the short-run and the long-run, mutual effect, coordination of monetary and fiscal policy.
{"title":"تقدير وتحليل دالة الطلب على النقود في السودان 1980-2013 (Estimation of Money Demand in the Sudanese Economy (1980-2013))","authors":"Issam A.W. Mohamed, Ezzaldeen Ezzaldeen M Fadla","doi":"10.2139/SSRN.2695283","DOIUrl":"https://doi.org/10.2139/SSRN.2695283","url":null,"abstract":"Arabic Abstract: تهدف الورقة إلى تقدير دالة الطلب على النقود في السودان خلال الفترة (1980-2013م). وذلك لإثبات، ثبات دالة الطلب على النقود في السودان، وعدم شمول وفعالية السياسة النقدية في تحقيق الأهداف الكلية. قامت الدراسة بتقدير دالة الطلب على النقود في الأجلين الطويل والقصير عن طريق تحليل التكامل المشترك. توصلت الدراسة إلى نتائج أهمها، أن الدخل القومي الحقيقي، سعر الصرف، معدل التضخم، ومعدل دوران النقود، من أهم العوامل المؤثرة على دالة الطلب على النقود في السودان، وأن معلمات دالة الطلب على النقود في الأجلين الطويل والقصير تمتاز بالثبات، في معظم فترات الدراسة. كذلك توصلت الدراسة إلى عدم فعالية السياسة النقدية لتحقيق الأهداف الكلية لوجود فاصل زمني لاستجابتها لعواملها. أهم التوصيات وجوب وضع محددات الطلب على النقود في الاعتبار عند صياغة السياسة النقدية، مع وضع اعتبار لتكيفها بين الأجلين القصير والطويل.English Abstract: The basic objective of this study is to estimate the Sudanese demand for money function during (1980-2013), to prove the hypotheses of this study that is, the stability of demand for money, incomplete and ineffective monetary policy to attain the aggregate macroeconomic goals. The short-run and the long-run demand for money functions were estimated during (1980-2013) by co-integration methods (error correction model). The main determinants of demand for money function are the national income, exchange rate, inflation rate, and velocity of circulation. The parameters of both the long-run and the short-run of the demand for money function are stable. The monetary policy is not effective due to the lag between the timing and response. The main recommendations are put into consideration the determinants, adjustment in both the short-run and the long-run, mutual effect, coordination of monetary and fiscal policy.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-11-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129830357","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This paper estimates the cost of disinflation to inclusive growth in Nigeria using quarterly data for the period 1960q1 – 2015q2. Two alternative methodologies are used to estimate the size of the cost of disinflation to inclusive growth in Nigeria. The paper also estimates the effect of central bank independence on the size of this cost. It was found that the cost of disinflation to output and unemployment and, hence, to inclusive growth is small during the sample period. In the period following central bank’s independence, however, the cost of disinflation had fallen to zero. The paper, therefore, concludes that the contractionary monetary policy that disinflations necessitate have very small effects on the inclusiveness of growth in Nigeria. In fact, such costs are nearly non-existent in the last few years. One implication of this finding is that the Central Bank of Nigeria may have little to fear in terms of potential costs of disinflation to inclusive growth, especially through its effect on output and unemployment.
本文使用1960年第一季度至2015年第二季度的季度数据估算了尼日利亚反通胀对包容性增长的影响。有两种方法可用于估计尼日利亚反通货膨胀对包容性增长的影响。本文还估计了央行独立性对这一成本规模的影响。研究发现，在样本期内，反通货膨胀对产出和失业的成本，从而对包容性增长的成本很小。然而，在央行独立后的一段时间里，反通胀的成本降至零。因此，本文得出结论，通货紧缩所必需的紧缩货币政策对尼日利亚增长的包容性影响很小。事实上，在过去几年里，这种成本几乎不存在。这一发现的一个含义是，就通货紧缩对包容性增长的潜在成本而言，尼日利亚央行(Central Bank of Nigeria)可能没什么可担心的，尤其是通过其对产出和失业率的影响。
{"title":"Monetary Policy and Inclusive Growth: How Costly are Disinflations to Inclusion in Nigeria?","authors":"A. R. Sanusi","doi":"10.2139/ssrn.2705042","DOIUrl":"https://doi.org/10.2139/ssrn.2705042","url":null,"abstract":"This paper estimates the cost of disinflation to inclusive growth in Nigeria using quarterly data for the period 1960q1 – 2015q2. Two alternative methodologies are used to estimate the size of the cost of disinflation to inclusive growth in Nigeria. The paper also estimates the effect of central bank independence on the size of this cost. It was found that the cost of disinflation to output and unemployment and, hence, to inclusive growth is small during the sample period. In the period following central bank’s independence, however, the cost of disinflation had fallen to zero. The paper, therefore, concludes that the contractionary monetary policy that disinflations necessitate have very small effects on the inclusiveness of growth in Nigeria. In fact, such costs are nearly non-existent in the last few years. One implication of this finding is that the Central Bank of Nigeria may have little to fear in terms of potential costs of disinflation to inclusive growth, especially through its effect on output and unemployment.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127737966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Interest rate differentials between China and the rest of the world provide an attractive target for currency carry trade strategies, but remains problematic due to existing capital controls. We focus on copper holdings as an asset used to facilitate the carry trade. Using a unique dataset of copper stock holdings in Shanghai Futures Exchange, we study whether stock are held for carry trade or consumption purposes and how the copper carry trade position, proxied by copper stock value, reacts to the risk-return characteristics. Using an autoregressive distributed lag model, we reach three main conclusions. First, copper trade financing and stock are related to carry trade return, facilitating the Chinese carry trade. Second, copper carry trade positions are related to factors that affect return, including the onshore-offshore interest rate differential and the USD/CNY forward premium. For every 1 basis point increase in the onshore-offshore interest rate differential, copper carry trade positions increase by $1.5 million USD. Third, traders appear unconcerned about risk factors. FX volatility between RMB/USD makes no contribution to the modeling of copper carry trade position, meaning the carry traders are either fully hedged on FX risks, or they are unconcerned about FX risks. The findings imply that potentially lower Chinese interest rates may significantly reduce Chinese demand for copper and traders are profiting from the currency hedge in the form of fixed exchange rates.
{"title":"Carry Trade Dynamics Under Capital Controls: The Case of China","authors":"Michelle Zhang, C. Balding","doi":"10.2139/SSRN.2623794","DOIUrl":"https://doi.org/10.2139/SSRN.2623794","url":null,"abstract":"Interest rate differentials between China and the rest of the world provide an attractive target for currency carry trade strategies, but remains problematic due to existing capital controls. We focus on copper holdings as an asset used to facilitate the carry trade. Using a unique dataset of copper stock holdings in Shanghai Futures Exchange, we study whether stock are held for carry trade or consumption purposes and how the copper carry trade position, proxied by copper stock value, reacts to the risk-return characteristics. Using an autoregressive distributed lag model, we reach three main conclusions. First, copper trade financing and stock are related to carry trade return, facilitating the Chinese carry trade. Second, copper carry trade positions are related to factors that affect return, including the onshore-offshore interest rate differential and the USD/CNY forward premium. For every 1 basis point increase in the onshore-offshore interest rate differential, copper carry trade positions increase by $1.5 million USD. Third, traders appear unconcerned about risk factors. FX volatility between RMB/USD makes no contribution to the modeling of copper carry trade position, meaning the carry traders are either fully hedged on FX risks, or they are unconcerned about FX risks. The findings imply that potentially lower Chinese interest rates may significantly reduce Chinese demand for copper and traders are profiting from the currency hedge in the form of fixed exchange rates.","PeriodicalId":178626,"journal":{"name":"ERN: Monetary & Fiscal Policies in Emerging Markets (Topic)","volume":"150 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-06-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123728136","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
京公网安备 11010802042870号
京ICP备2023020795号-1
扫码关注我们
求助内容：
应助结果提醒方式：