Pub Date : 2011-02-01DOI: 10.1111/j.1468-0106.2010.00532.x
Keen Meng Choy
This paper sets out to discover the salient characteristics of economic fluctuations in the small open economy of Singapore. To this end, band‐pass filters and unobserved components models are first used to extract the cyclical components in macroeconomic variables. The extent to which domestic business cycles are influenced by foreign economic cycles with regards to their persistence, comovement and volatility properties are then assessed using time‐series statistics. The paper also documents how shocks originating from abroad are propagated to the broader economy. Although it is found that idiosyncratic features are present in Singapore's macroeconomic fluctuations, there are also stylized business cycle facts to be learnt about small open economies in general.
{"title":"Business Cycles in Singapore: Stylized Facts for a Small Open Economy","authors":"Keen Meng Choy","doi":"10.1111/j.1468-0106.2010.00532.x","DOIUrl":"https://doi.org/10.1111/j.1468-0106.2010.00532.x","url":null,"abstract":"This paper sets out to discover the salient characteristics of economic fluctuations in the small open economy of Singapore. To this end, band‐pass filters and unobserved components models are first used to extract the cyclical components in macroeconomic variables. The extent to which domestic business cycles are influenced by foreign economic cycles with regards to their persistence, comovement and volatility properties are then assessed using time‐series statistics. The paper also documents how shocks originating from abroad are propagated to the broader economy. Although it is found that idiosyncratic features are present in Singapore's macroeconomic fluctuations, there are also stylized business cycle facts to be learnt about small open economies in general.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123139694","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}
Pub Date : 2011-02-01DOI: 10.5089/9781455216758.001.A001
T. Poghosyan, Samya Beidas-Strom
This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect competition and habit formation in the consumer’s utility function. Oil imports are explicitly modeled in the consumption basket and domestic production. Bayesian estimation methods are employed on quarterly Jordanian data. The model’s properties are described by impulse response analysis of identified structural shocks pertinent to the economy. These properties assess the effectiveness of the pegged exchange rate regime in minimizing inflation and output trade-offs. The estimates of the structural parameters fall within plausible ranges, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility, it offers a relatively low risk premium.
{"title":"An Estimated Dynamic Stochastic General Equilibrium Model of the Jordanian Economy","authors":"T. Poghosyan, Samya Beidas-Strom","doi":"10.5089/9781455216758.001.A001","DOIUrl":"https://doi.org/10.5089/9781455216758.001.A001","url":null,"abstract":"This paper presents and estimates a small open economy dynamic stochastic general-equilibrium model (DSGE) for the Jordanian economy. The model features nominal and real rigidities, imperfect competition and habit formation in the consumer’s utility function. Oil imports are explicitly modeled in the consumption basket and domestic production. Bayesian estimation methods are employed on quarterly Jordanian data. The model’s properties are described by impulse response analysis of identified structural shocks pertinent to the economy. These properties assess the effectiveness of the pegged exchange rate regime in minimizing inflation and output trade-offs. The estimates of the structural parameters fall within plausible ranges, and simulation results suggest that while the peg amplifies output, consumption and (price and wage) inflation volatility, it offers a relatively low risk premium.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2011-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116177453","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}
While recent advances in communications technology have effectively reduced the physical distance that knowledge and innovations have to travel between countries, cultural differences between countries still limit the ease with which innovations are transferred and adapted. So, countries with common cultural or linguistic characteristics can share technology and innovations more easily. This paper separates out the impact of cultural spillovers from geographic spillovers using the data on bilateral genetic distance used by Spolaore and Wacziarg (2009). We find that greater growth spillovers occur between countries that are geographically closer and also between countries that are culturally similar. We also find that there are greater growth spillovers between countries that have greater bilateral trust, even when one controls for the bilateral geographic distance.
{"title":"Growth Spillovers: Separating the Impact of Cultural Distance from Geographic Distance","authors":"A. Chaudhry, R. Ikram","doi":"10.2139/ssrn.1723703","DOIUrl":"https://doi.org/10.2139/ssrn.1723703","url":null,"abstract":"While recent advances in communications technology have effectively reduced the physical distance that knowledge and innovations have to travel between countries, cultural differences between countries still limit the ease with which innovations are transferred and adapted. So, countries with common cultural or linguistic characteristics can share technology and innovations more easily. This paper separates out the impact of cultural spillovers from geographic spillovers using the data on bilateral genetic distance used by Spolaore and Wacziarg (2009). We find that greater growth spillovers occur between countries that are geographically closer and also between countries that are culturally similar. We also find that there are greater growth spillovers between countries that have greater bilateral trust, even when one controls for the bilateral geographic distance.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"47 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125977303","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}
Pub Date : 2010-02-01DOI: 10.5089/9781451962765.001.A001
Andrew J. Swiston
This paper investigates Central America's external linkages over the last fifteen years of increased integration in light of the 2008-09 global recession. Using structural VAR models, it is found that a one percent shock to U.S. growth shifts economic activity in Central America by 0.7 to 1 percent, on average. Spillovers from global shocks and the rest of the region also affect activity in some countries. Spillovers are mostly transmitted through advanced country financial conditions and fluctuations in external demand for Central American exports. Shocks to advanced economies associated with the 2008-09 financial crisis lowered economic activity in the region by 4 to 5 percent, on average, accounting for a majority of the observed slowdown. The impact was almost twice as large as elasticities estimated on pre-crisis data would have predicted. These results underscore the importance of operating credible policy frameworks that enable a countercyclical policy response to external shocks.
{"title":"Spillovers to Central America in Light of the Crisis: What a Difference a Year Makes","authors":"Andrew J. Swiston","doi":"10.5089/9781451962765.001.A001","DOIUrl":"https://doi.org/10.5089/9781451962765.001.A001","url":null,"abstract":"This paper investigates Central America's external linkages over the last fifteen years of increased integration in light of the 2008-09 global recession. Using structural VAR models, it is found that a one percent shock to U.S. growth shifts economic activity in Central America by 0.7 to 1 percent, on average. Spillovers from global shocks and the rest of the region also affect activity in some countries. Spillovers are mostly transmitted through advanced country financial conditions and fluctuations in external demand for Central American exports. Shocks to advanced economies associated with the 2008-09 financial crisis lowered economic activity in the region by 4 to 5 percent, on average, accounting for a majority of the observed slowdown. The impact was almost twice as large as elasticities estimated on pre-crisis data would have predicted. These results underscore the importance of operating credible policy frameworks that enable a countercyclical policy response to external shocks.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"30 1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132157253","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}
While I agree that labour mobility is restricted in comparison to commodity or capital flows, as the saying goes ‘necessity is the mother of all inventions’. Commodity flow was limited in the 18 th and 19 th century with countries resorting to various tariff and non-tariff barriers with the objective of protective their domestic industries. As governments across nations realized the need of encouraging trade with other countries they entered into bilateral free trade agreements with them. With time the concept of free trade areas set in where economic integration was seeked for by removing trade barriers among members but each country determines its own barriers against nonmembers. ( NAFTA the one of the biggest free trade agreement took place in 1994 among USA, Canada and Mexico)
{"title":"Globalization, Immobility of Labour and Income Disparity","authors":"Shital Jhunjhunwala","doi":"10.2139/SSRN.1524122","DOIUrl":"https://doi.org/10.2139/SSRN.1524122","url":null,"abstract":"While I agree that labour mobility is restricted in comparison to commodity or capital flows, as the saying goes ‘necessity is the mother of all inventions’. Commodity flow was limited in the 18 th and 19 th century with countries resorting to various tariff and non-tariff barriers with the objective of protective their domestic industries. As governments across nations realized the need of encouraging trade with other countries they entered into bilateral free trade agreements with them. With time the concept of free trade areas set in where economic integration was seeked for by removing trade barriers among members but each country determines its own barriers against nonmembers. ( NAFTA the one of the biggest free trade agreement took place in 1994 among USA, Canada and Mexico)","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"10 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-12-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127465306","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}
By using quarterly data from 2001-2007 and applying various approaches, we estimate real equilibrium exchange rate misalignment for Azerbaijani Manat (AZN) and find that AZN is slightly overvalued. Purchasing power parity approach does not explain the equilibrium exchange rate. However using behavioral and permanent equilibrium exchange rate approaches, we find that the relative productivity, terms of trade, trade openness, net foreign assets, government expenditures and oil prices are the main determinants of misalignment.
{"title":"Real Exchange Rate Misalignment in Azerbaijan","authors":"Hasanov Fakhri, Fariz Huseynov","doi":"10.2139/ssrn.1788664","DOIUrl":"https://doi.org/10.2139/ssrn.1788664","url":null,"abstract":"By using quarterly data from 2001-2007 and applying various approaches, we estimate real equilibrium exchange rate misalignment for Azerbaijani Manat (AZN) and find that AZN is slightly overvalued. Purchasing power parity approach does not explain the equilibrium exchange rate. However using behavioral and permanent equilibrium exchange rate approaches, we find that the relative productivity, terms of trade, trade openness, net foreign assets, government expenditures and oil prices are the main determinants of misalignment.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134138251","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}
The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term riskfree rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union. JEL codes:
{"title":"Portuguese Average Cost of Capital","authors":"M. E. Mata, D. Justino, J.C. Rodrigues Costa","doi":"10.2139/ssrn.1498327","DOIUrl":"https://doi.org/10.2139/ssrn.1498327","url":null,"abstract":"The oldest Portuguese share index still being calculated is the BVL/PSI-General, one which started the daily series on 5/Jan/1988 with a base value of 1000 points. Everyday a single value is computed based on the closing prices of all the shares included in the sample. Also, all corporate events affecting the price of any share beyond market sentiment are taken into account through proper adjustments, either in the numerator or the denominator of the formula. However, for dates before January 1988, there is nothing comparable to this index since the two different series known either never disclosed the methodology adopted to calculate the index or followed solutions not compatible with the above index. The present paper explains the solutions adopted to replicate as closely as possible the methodology of the BVL-General index to the main market of the Lisbon Exchange for the period 1978 – 1987. This is the first estimate of the historical Equity Risk Premium in Portugal above short-term riskfree rate from the re-opening of the market following the Carnation Revolution (and the accompanying nationalizations), to the present. In showing a value of the same order of magnitude found in other countries, the paper invites further studies on the effects of political decisions such as privatizations and joining the European Union. JEL codes:","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122948125","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 deals with the flow of foreign investments in Russia.
本文论述的是外国投资在俄罗斯的流动情况。
{"title":"Russia's Foreign Investments in 2010","authors":"Ekaterina Iluykhina","doi":"10.2139/ssrn.2186166","DOIUrl":"https://doi.org/10.2139/ssrn.2186166","url":null,"abstract":"This paper deals with the flow of foreign investments in Russia.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123315011","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}
The trade regime currently in place in Uzbekistan supports the development of import-substituting industries and hinders the development of export-oriented industries. Consequently, primary commodities continue to dominate the country’s merchandise exports. The rapid expansion of merchandise exports in 2001-2010 was due mostly to the rise in world prices of primary commodities. The expansion of imports was to a large degree on account of increases in imports of intermediate and capital goods for import-substituting industries. Trade surpluses were achieved through high taxes on imports and rationing of foreign exchange. Significant shifts occurred in the geographic distribution of trade. The share of the EU in both exports and imports decreased, and Russia overtook the EU as Uzbekistan’s top trading partner. The share of China in both exports and imports increased considerably. The share of the Central Asian countries in exports fell significantly, while their share in imports rose modestly. Exports to Afghanistan surged, but imports from Afghanistan remained small. This suggests that there is a lot of scope for expanding economic cooperation between Uzbekistan and other Central Asian countries as well as between Uzbekistan and Afghanistan.
{"title":"Uzbekistan: Trade Regime and Recent Trade Developments","authors":"Briony Anderson, Yuriy Klimov","doi":"10.2139/SSRN.2943838","DOIUrl":"https://doi.org/10.2139/SSRN.2943838","url":null,"abstract":"The trade regime currently in place in Uzbekistan supports the development of import-substituting industries and hinders the development of export-oriented industries. Consequently, primary commodities continue to dominate the country’s merchandise exports. The rapid expansion of merchandise exports in 2001-2010 was due mostly to the rise in world prices of primary commodities. The expansion of imports was to a large degree on account of increases in imports of intermediate and capital goods for import-substituting industries. Trade surpluses were achieved through high taxes on imports and rationing of foreign exchange. Significant shifts occurred in the geographic distribution of trade. The share of the EU in both exports and imports decreased, and Russia overtook the EU as Uzbekistan’s top trading partner. The share of China in both exports and imports increased considerably. The share of the Central Asian countries in exports fell significantly, while their share in imports rose modestly. Exports to Afghanistan surged, but imports from Afghanistan remained small. This suggests that there is a lot of scope for expanding economic cooperation between Uzbekistan and other Central Asian countries as well as between Uzbekistan and Afghanistan.","PeriodicalId":259955,"journal":{"name":"ERN: Open Macroeconomics in Transition Economics (Topic)","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"1900-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127704911","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}
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