Monetary Shocks, Inflation and the Asymmetric Adjustment of EU Output

Empirical studies have suggested that price rigidities ensure that real output responds asymmetrically to monetary shocks. Models advanced by Tsiddon and Ball and Mankiw argue that the degree of asymmetry to demand shocks is sensitive to inflation. This study tests whether this is the case for a sample of EU economies. Maximum likelihood estimation offers confirmation of output asymmetry in the cases of Germany and Italy but no such evidence in France and the UK.     

Asymmetric evidence of gasoline price responses in France: A Markov-switching approach

It has been documented that retail gasoline prices respond more quickly to increases in wholesale prices than they do to decreases in wholesale prices. However, there is little empirical evidence that identifies the link between the pass-through of oil prices to gasoline in different volatility regimes. Using a Markov-switching model on weekly observations of fuel prices from 1990 to 2011, we find that fuel prices respond significantly faster to increases in crude oil prices than to decreases in crude oil prices. However, when volatility is low, the transmittal of a price change from crude oil to retail fuel is higher compared to periods of high volatility. These results provide important information on the behavior of retailers. The findings of this paper therefore provide clues for better understanding the recent dynamics of fuel prices and some policy implications.     

Asymmetric Adjustment Costs, Asymmetric Pricing and Employment: Evidence from the UK

This paper uses an asymmetric multivariate model to investigate asymmetries in employment and pricing behaviour by firms. This generalises the approach of Granger and Lee (1989) and also exploits the cross equation restrictions on the equations for prices and employment implied by a restricted cost function—the dual to a Cobb‐Douglas production function. Our results suggest that both prices and employment respond asymmetrically to shocks to costs and demand.     

Macroeconomic Structure and Oil Price Shocks at the Industrial Level

This paper analyses the role of the macroeconomic structure in the response of industrial output to an oil price shock in six OECD countries. The modelling of the macroeconomic structure is important in examining the effect of an oil price shock on the industry-level output, since the analysis of the transmission mechanisms helps us to better understand the response of industrial output to such a shock. Thus, cross-country differences found in the responses of industrial output to oil price shocks within the European Monetary Union can be partially explained by differences in the transmission mechanisms of such shocks.     

Oil Price Shocks and Volatility in Australian Stock Returns

This paper examines the effect of oil shocks on return and volatility in the sectors of Australian stock market and finds significant effects for most sectors. For the overall market index, an increase in oil price return significantly reduces return, and an increase in oil price return volatility significantly reduces volatility. An advantage of looking at sector returns rather than a general index of stock returns is that sectors may well differ markedly in how they respond to oil price shocks. The energy and material sectors (as expected) and the financial sector (surprisingly) are out of step (in different ways) with results for the other sectors and for the overall index. A rise in oil price increases returns in the energy and material sectors and an increase in oil price return volatility increases stock return volatility in the financial sector. Explanation for the negative (positive) association between oil return (oil return volatility) and returns (volatility of returns) in the financial sector must be based on the association via lending to and/or holdings of corporate bonds issued by firms with significant exposure to oil price fluctuations and their speculative positions in oil‐related instruments.     

Macroeconomic Response to Oil and Food Price Shocks: A Structural VAR Approach to the Indian Economy

The study analyzed the dynamic impact of oil and food price shocks on the macroeconomy of India, using the monthly time series data from April 1994 to May 2016 in a structural vector autoregression (SVAR) framework. Being a net food exporter and net oil importer, the economy is found to face deleterious impacts of global oil and food price shocks on its macroeconomic performance. Output responds negatively to oil and food price hikes along with their volatility and positively to the fall in these prices. Inflation responds positively to all the three transformations of shocks with no signs of coming down, highlighting the price downward inflexibility in India. The study could not establish any evidence of negative demand shocks in face of oil and food price volatility. Central bank responds with a contractionary policy stance to negate the influences of external shocks. Forecast error variance decomposition points out the dominance of external shocks in influencing the domestic variables after their own shocks. Finally, the inflation downward rigidity is observed even in the long run.     

国际原油价格波动对中国宏观经济影响的重新考察

本文对国际原油价格波动对中国宏观经济的影响进行了重新考察。研究发现:国际原油价格通过影响采购经理人指数进而影响中国主要宏观经济变量,采购经理人指数的引入,完善了国际原油价格波动对中国宏观经济影响的时序传导机制,从而提高了实证结果的显著性。实证结果显示:国际原油价格上涨对中国消费者价格指数有正向影响,但这一结果并不显著;同时国际原油价格上涨并未改变中国经济增长的总体态势。VEC实证模型的估计结果表明:国际原油价格与中国宏观经济变量之间存在显著的协整关系,而且国际原油价格波动对中国宏观经济的影响存在滞后效应。     

非完全竞争市场假设在CGE模型中的引入及应用

通过对部门生产函数及相关参数、系数的改造,将非完全竞争市场条件引入CGE模型,并模拟在完全竞争与不完全竞争两个不同市场结构下国际油价上升对我国经济的影响.结果表明,当油品市场设定为不完全竞争时,面对国际油价上升的冲击,GDP下降的程度大于完全竞争的情况.因此随着油品市场逐渐开放,油品市场的产出增加,可以增强我国石油产业和总体经济应对国际油价上升冲击的能力,应继续推动我国石油产业市场自由化的进程.     

交易冲击下买卖报价的非对称调整模式研究

由于买卖报价共同分享股票有效价格,故两者是协整的时间序列,交易冲击后买卖报价在买卖价差的误差修正作用下逐渐回归到均衡水平。本文构建一个限制性VEC模型并利用中国股票市场数据进行实证研究。结果表明,交易冲击下买卖价差的修正作用显著,并通过买价的大幅增加和卖价的小幅降低来实现的。同时,交易冲击下的买卖报价是非对称调整的,主动性买使得买卖报价同时增加但买价增加得更多,而主动性卖导致买卖报价同时下调且买价调整幅度更大。另外,还发现买入往往比卖出包含更多的信息。     

Business cycles synchronization in East Asia: A Markov-switching approach

This paper attempts to analyze the relationships between the ASEAN-5's business cycles. We examine the nature of business cycle synchronization trying to disentangle between intraregional and interregional synchronization by considering the important role of China, Japan and the US in synchronizing the activity within the ASEAN-5. We employ a time-varying transition probability Markov switching framework in order to allow the degree of synchronization to fluctuate across the phases of the business cycles. We provide evidence that the signals contained in some regional and global leading business cycles can impact the ASEAN-5's business cycles.     

Distributional Consequences of Commodity Price Shocks: Australia Over A Century

This paper studies the distributional impact of commodity price shocks over the short and the very long run. Using a GARCH model, we find that Australia experienced more volatility than many commodity exporting developing countries over the periods 1865–1940 and 1960–2008. We conduct cointegration tests to assess the commodity price shock inequality nexus. A single equation error correction model suggests that commodity price shocks increase the income share of the top 1, 0.05, and 0.01 percent in the short run. The very top end of the income distribution benefits from commodity booms disproportionately more than the rest of the society. The short run effect is mainly driven by wool and mining and not agricultural commodities. A sustained increase in the price of renewables (wool) reduces inequality whereas the same for non‐renewable resources (minerals) increases inequality. We expect that the initial distribution of land and mineral resources explains the asymmetric result.     

Estimating the Markov-switching almost ideal demand systems: a Bayesian approach

Allias and Nichèle (Eur Rev Agric Econ, 34(4):517–538, 2007) proposed a Markov-switching almost ideal demand system (MS-AIDS) model by extending the idea of Hamilton (Econometrica, 57(2):357–384, 1989). In this paper, we propose a Bayesian estimation for MS-AIDS model and illustrate applicability of our proposed method. We then run two sets of simulation studies to confirm the validity of the proposed method. In the empirical study on the Japanese meat market, our Bayesian estimation improves the MSEs for all meat products over the ML estimation, while successfully capturing the regime shifts of meat demand coinciding with the timing of bovine spongiform encephalopathy cases in Japan and US.     

Empirics of hills,plateaus, mountains and plains: A Markov-switching approach to growth

Most economic growth research has been aimed at explaining cross-country differences in average growth rates. However, it is well known that growth experiences differ over time within a country almost as much as they differ among countries. This paper builds on Pritchett's (2000) [Pritchett, Lant, Understanding patterns of economic growth: searching for hills among plateaus, mountains, and plains, World Bank Economic Review, May 2000, 14 (2), 221–250.] observation that the growth process can be thought of as transitions between different growth regimes and proposes a framework for systematic analysis of such regimes and the dynamics of the transitions. I estimate a Markov-switching regression to characterize four distinct growth regimes and transitions between them. The results show that countries switch among regimes of stable growth, “miracle” catch-up, stagnation and crisis with the transition probabilities determined by the quality of institutions. Better institutions appear to improve long-run growth by making episodes of fast growth more persistent. Low average growth rates in countries with weak institutions are a result of these countries spending more time in stagnation regimes rather then being incapable of fast growth at all. Weak institutions do not rule out growth takeoffs but limit their sustainability. The approach directs attention to shifts in growth performance and highlights the fact that identical average growth rates can mask very distinct growth paths.     

Smooth and Sticky Adjustment: A Comparative Analysis of the US and UK

This paper adopts the methodology of the microeconometric labor literature to analyze a common assertion from trade economists that reallocation within sectors is less costly than between sectors. Findings are compared across two countries (the UK and US) which have experienced very different recent aggregate unemployment experiences. Workers previously employed in "declining" sectors are more mobile than those employed in 'expanding' sectors in both countries, and individuals are more likely to switch sector the longer they are unemployed. A plausible explanation for this is that individuals initially attempt to find jobs that complement their general and specific skills in order to accrue the associated rewards, and move sector only as this prospect diminishes. This would seem to accord with the 'smooth adjustment hypothesis' which proposes that intraindustry adjustments are less costly than interindustry ones.     

Revisiting the interest rate–exchange rate nexus: a Markov-switching approach

In this paper the interest rate–exchange rate nexus and the effectiveness of an interest rate defense are investigated empirically. I present a reduced form evidence which characterizes the empirical relationship between interest rates and exchange rates. I use a Markov-switching specification of the nominal exchange rate with time-varying transition probabilities. Empirical evidence from six developing countries: Indonesia, South Korea, the Philippines, Thailand, Mexico, and Turkey indicates that raising nominal interest rates leads to a higher probability of switching to a crisis regime. Thus, the empirical results presented here may support the view that a high interest rate policy is unable to defend the exchange rate. Unlike other studies which consider linear models only, my findings are robust and consistent over different countries and crisis episodes (Asian 1997 crises, Mexico 1994 crisis, and Turkey 1994, 2001 crises). In order to explain the empirical findings, I construct a simple theoretical model by incorporating an interest rate rule in the model proposed by Jeanne and Rose (2002) [Jeanne, O., Rose, A.K., 2002. Noise trading and exchange rate regimes, Quarterly Journal of Economics. 117 (2) 537–569]. The model has multiple equilibria, and under plausible conditions, higher exchange rate volatility is associated with higher interest rates.     

Price Caps and Output Floors: A Comparison of Simple Regulatory Rules

We study in this paper a simple alternative to price cap regulation. The mechanism, which we label 'output floor' regulation, requires the regulated firm to supply a given level of output. This rule is as simple as price cap regulation, and performs identically when the regulated firm is a natural monopoly; however, we show that, in the presence of a competitive fringe, output floor regulation yields lower prices and stronger incentives for cost reduction. Its introduction, however, is likely to be resisted by the industry, since it lowers managerial utility and shareholders' profits.     

Time-varying effects of fiscal policy in Spain: a Markov-switching approach

How have the effects of Spanish fiscal policy varied over time? Given this starting point, in this article we analyse the regime dependence of fiscal policy in Spain by estimating a vector autoregressive model within a Markov-switching framework. Our results indicate that Spain’s membership of the Economic and Monetary Union (EMU) is the most likely source of time variation in the fiscal outcomes. Accordingly, increases in the primary deficit-to-GDP ratio do not succeed in stimulating economic activity in the first regime; rather, unexpected upsurges in the primary deficit harm economic activity (non-Keynesian effect) in the second regime, which prevails since the ratification of the Maastricht Treaty.     

Nonlinear effects of oil shocks on stock returns: a Markov-switching approach

Using Markov-switching models, we investigate whether oil price shocks have nonlinear effects on stock returns. Empirical evidence from a set of international stock indexes suggests that an increase in oil prices has a negative and significant impact on stock prices in one state of the economy, whereas this effect is significantly dampened in another state of the economy. Furthermore, it is shown that changes in oil prices or in oil price volatility do not lead to a higher probability of switching between regimes.     

国际原油价格波动对我国工业品出厂价格的影响——基于行业层面的实证分析

随着我国石油消费量和进口量的不断增长,国际原油价格的波动对我国经济的影响越来越大。基于38个行业的月度数据,本文详细分析了2003年1月-2009年2月国际原油价格波动对我国PPI指数的影响,研究发现:尽管为了降低国际油价对国内经济的冲击,政府仍对成品油定价体制实行部分调控,但国际原油价格的波动对我国PPI指数仍具有重要影响,尤其是生产资料价格以及石化行业等高耗能行业,而这主要与各行业的能源消费总量和能源利用效率有关。为此,我国应加快国内成品油定价体制改革,实施有效的产业政策,以促使各行业提高其能源利用效率,并最终有效地降低国际油价波动给我国经济带来的价格效应。