External Shocks and Business Cycle Fluctuations in Mongolia: Evidence from a Large Bayesian VAR

This paper examines macroeconomic effects of external shocks and their transmission mechanisms in one of the most commodity-abundant countries-Mongolia using a large Bayesian vector autoregression (BVAR) based on the approach proposed by Bańbura, Giannone, and Reichlin [(2010). Large Bayesian Vector Auto Regressions. Journal of Applied Econometrics, 25, 71–92]. Nine structural shocks (five external and four domestic shocks) are identified using a recursive ordering. Results show that external shocks are important sources of macroeconomic volatility in Mongolia. Commodity price shocks affect the economy through exchange rate and budget expenditure channels, while China’s growth and FDI shocks are primarily transmitted through the real sector and bank lending channels.     

Interest Rate Pass‐Through in Mongolia

This study empirically examines the interest rate pass‐through of the money market interest rate to bank lending and bank deposit interest rates in Mongolia using both linear and nonlinear autoregressive distributed lag (ARDL) models. The results from the empirical analysis using data from December 2002 to September 2015 suggest that interest rate pass‐through is generally weaker, slower, and asymmetric in Mongolia. The new findings provide evidence that: (i) interest rate pass‐through has improved over time; (ii) the bank deposit rate has a higher long‐run interest rate pass‐through and slower adjustment than the bank lending rate; and (iii) there is a negative long‐run asymmetric pass‐through with respect to the bank lending rate and a positive long‐run asymmetric pass‐through with respect to the bank deposit rate.     

Income and price elasticities of electricity demand in Australia: Evidence of state‐specific heterogeneity

This paper estimates country‐wide and state‐level income and price elasticities of electricity demand in Australia for the period 1999Q1–2013Q2 using the National Electricity Market data and the autoregressive‐distributed lag model. The results suggest that the long‐run income and price elasticities are inelastic and are statistically significant with theoretically consistent signs. The country‐wide income and price elasticities are estimated to be 0.41 and ?0.38, respectively. It is also found that there exists state‐specific heterogeneity in both speed and magnitude of the electricity consumption adjustment in response to changes in income and electricity price. These results have important policy implications, including the need to use state‐specific elasticities in the scenario analysis of the energy pricing policy.