Open Access. Powered by Scholars. Published by Universities.®

Macroeconomics Commons

Open Access. Powered by Scholars. Published by Universities.®

Articles 1 - 5 of 5

Full-Text Articles in Macroeconomics

The Impact Of The Volatility Of Monetary Policy On A Small Economy: Some Evidence From New Zealand, Reza Moosavi Mohseni Dr., Jiling Cao, Wenjun Zhang Dec 2014

The Impact Of The Volatility Of Monetary Policy On A Small Economy: Some Evidence From New Zealand, Reza Moosavi Mohseni Dr., Jiling Cao, Wenjun Zhang

Reza Moosavi Mohseni

This paper investigates the impact of the international and domestic volatility of monetary policy shocks on a small economy using the GARCH-SVAR model. We enrich the SVAR model by using time-varying International and domestic volatilities as endogenous variables. The results show that although monetary policy shocks have transient effect on real economy (neutrality of money) the impact of the volatility of monetary policy shocks on real part of the economy is permanent and significant. Findings of variance decomposition also show that New Zealand heavily depends on international trade, so international monetary shocks can have a permanent impact on the local ...


The Impact Of Global And Domestic Volatility Of Monetary Policy: A Var-Garch Approach, Reza Moosavi Mohseni Dr., Jiling Cao Prof., Wenjun Zhang Dr. Nov 2014

The Impact Of Global And Domestic Volatility Of Monetary Policy: A Var-Garch Approach, Reza Moosavi Mohseni Dr., Jiling Cao Prof., Wenjun Zhang Dr.

Reza Moosavi Mohseni

In the past six decades a lot of research has been carried out to find the effect of monetary policy on real economy. But in the most of these articles, the effect of the volatility of monetary policy has been ignored. This paper investigates the impact of the international and domestic volatility of monetary policy shocks using the GARCH-VAR model. We enrich the VAR model by adding time-varying volatility as endogenous variables. We consider three different types of shocks: internal (domestic), regional and global. For our empirical evidence we use quarterly data of Australia and New Zealand from 1988:1 ...


A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala Nov 2014

A Closer Look At The Impact Of Quantitative Easing On The Capital Markets: Garch Analysis Of The Exchange Traded Funds Market, Nicholas R. Duafala

Undergraduate Economic Review

This paper analyzes the effects of quantitative easing (QE) on the capital markets by modeling exchange traded funds (ETFs) returns using a generalized autoregressive conditional heteroskedasticity (GARCH) methodology. The results show that the 10-Year Treasury yields are significant in the returns of some sectors of the economy more so than others, and the Federal Funds Futures trading volume is significant in all ETFs return volatility. The implications of these results not only provide information about the reaction of the ETF market and QE, but also provide insight for developing investment strategies.


La Política Monetaria Y Su Impacto Sobre Los Retornos Reales Del Mercado Bursátil Chileno, Jorge Muñoz, Claudio Recabal, Andres Acuña Nov 2007

La Política Monetaria Y Su Impacto Sobre Los Retornos Reales Del Mercado Bursátil Chileno, Jorge Muñoz, Claudio Recabal, Andres Acuña

Andrés A. Acuña

In this article we examined and tested the effects of monetary policy driven by Central Bank of Chile over the Chilean stock market's real returns for monthly data which spans between I.1996 and XII.2006. Based on a theoretical background, we analyzed the monetary policy from the monetarist and Keynesian points of view, their schemes and economics results. Once we analyzed the stock market in detail, from a sectorial perspective, we applied a GARCH (1, 1) model as a framework, in order to measure the impact that monetary policy has over the Chilean stock market's real returns ...


The Relationship Between Inflation And Inflation Uncertainty In Emerging Market Economies, John Thornton Dec 2006

The Relationship Between Inflation And Inflation Uncertainty In Emerging Market Economies, John Thornton

John Thornton

A standard Generalized Autoregressive Conditional Heteroskedastic (q,v) model is employed to construct a measure of monthly intlation uncertainty in 12 emerging market economies, and the relationship between inflation and inflation uncertainty is examined using Granger causality tests. The results suggest that higher inflation rates increased inflation uncertainty in all the economies, providing strong support for the Friedman hypothesis. The evidence on the effect of inflation uncertainty on average monthly inflation is more mixed, with increased inflation uncertainty leading to lower average inflation in Colombia. Israel. Mexico, and Turkey, consistent with the Holland hypothesis, but to higher average intlation in ...