Download or read book Dynamic Macroeconomic Models in Emerging Market Economies written by Daniel Lukui Jia and published by Springer Nature. This book was released on 2020-08-26 with total page 286 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book summarizes the evolution of modern macroeconomics (New Consensus Macroeconomics, NCM) and proposes a new approach to theoretical and empirical analysis, which is based on a recently developed dynamic stochastic general equilibrium (DSGE) model. Dynamic macroeconomic analysis in emerging market economies is challenging, and of growing importance in the global economy, where emerging markets are becoming more and more influential. Clearly, a deeper understanding of the inner workings of emerging economies, particularly with respect to their socioeconomic structure and the urbanization process, is needed. The book’s extends the NCM/DSGE model to better account for significant economic and social features in emerging market economies. In particular, household heterogeneities and social stratification are explicitly incorporated into the framework proposed here, substantially enhancing the comprehensiveness of the model economy, and allowing it to better account for underlying social structure in emerging economies. Furthermore, financial and housing markets have not been considered sufficiently in either the advanced or emerging economy literature, an oversight this book remedies. As such, it makes an original and valuable contribution to the field, and a direction for future research.

Download or read book DSGE Models for Emerging Market Economies written by and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This annual series workshop aimed to foster and discuss new developments in macroeconomic modeling at central banks and other policymaking institutions.

Download or read book DSGE Models and Central Banks written by Camilo E. Tovar and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central banks. It recognises that they offer coherent frameworks for structuring policy discussions. Nonetheless, they are not ready to accomplish all that is being asked of them. First, they still need to incorporate relevant transmission mechanisms or sectors of the economy; second, issues remain on how to empirically validate them; and finally, challenges remain on how to effectively communicate their features and implications to policy makers and to the public. Overall, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their specific use at central banks.

Download or read book A Portfolio Model of Capital Flows to Emerging Markets written by Michael B. Devereux and published by . This book was released on 2009 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the crises of the late 1990's, most emerging market economies have built up substantial positive holdings of US dollar treasury bills, while at the same time experiencing a boom in FDI capital inflows. This paper develops a DSGE model of the interaction between an emerging market economy and an advanced economy which incorporates two-way capital flows between the economies. The novel aspect of the paper is to make use of new methods for analyzing portfolio choice in DSGE models. We compare a range of alternative financial market structures, in each case computing equilibrium portfolios. We find that an asymmetric configuration where the emerging economy holds nominal bonds and issues claims on capital (FDI) can achieve a considerable degree of international risk-sharing. This risk-sharing can be enhanced by a more stable monetary policy in the advanced economy.

Download or read book A Medium Scale DSGE Model for the Integrated Policy Framework written by Mr. Tobias Adrian and published by International Monetary Fund. This book was released on 2022-01-28 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper jointly analyzes the optimal conduct of monetary policy, foreign exchange intervention, fiscal policy, macroprudential policy, and capital flow management. This policy analysis is based on an estimated medium-scale dynamic stochastic general equilibrium (DSGE) model of the world economy, featuring a range of nominal and real rigidities, extensive macrofinancial linkages with endogenous risk, and diverse spillover transmission channels. In the pursuit of inflation and output stabilization objectives, it is optimal to adjust all policies in response to domestic and global financial cycle upturns and downturns when feasible—including foreign exchange intervention and capital flow management under some conditions—to widely varying degrees depending on the structural characteristics of the economy. The framework is applied empirically to four small open advanced and emerging market economies.

Download or read book DSGE Models and Central Banks written by Camilo Ernesto Tovar Mora and published by . This book was released on 2008 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past 15 years there has been remarkable progress in the specification and estimation of dynamic stochastic general equilibrium (DSGE) models. Central banks in developed and emerging market economies have become increasingly interested in their usefulness for policy analysis and forecasting. This paper reviews some issues and challenges surrounding the use of these models at central banks. It recognises that they offer coherent frameworks for structuring policy discussions. Nonetheless, they are not ready to accomplish all that is being asked of them. First, they still need to incorporate relevant transmission mechanisms or sectors of the economy; second, issues remain on how to empirically validate them; and finally, challenges remain on how to effectively communicate their features and implications to policy makers and to the public. Overall, at their current stage DSGE models have important limitations. How much of a problem this is will depend on their specific use at central banks.

Download or read book An Estimated DSGE Model for Integrated Policy Analysis written by Kaili Chen and published by International Monetary Fund. This book was released on 2023-06-30 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a New Keynesian small open economy model which allows for foreign exchange (FX) market frictions and a potential role for FX interventions for a large set of emerging market economies (EMEs) and some inflation targeting (IT) advanced economy (AE) countries serving as a control group. Next, we use the estimated model to examine the empirical support for the view that interest rate policy may not be sufficient to stabilize output and inflation following capital outflow shocks, and the extent to which FX interventions (FXI) can improve policy tradeoffs. Our results reveal significant structural differences between AEs and EMEs—in particular FX market depth—leading to different transmission of capital outflow shocks which justifies occasional use of FXI in some EMEs in certain situations. Our analysis also highlights the critical importance of accounting for the endogeneity of FXI behavior when assessing FX market depth and policy tradeoffs associated with volatile capital flows in past episodes.

Download or read book An Estimated DSGE Model for Monetary Policy Analysis in Low Income Countries written by Shanaka J. Peiris and published by International Monetary Fund. This book was released on 2007 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates monetary policy-tradeoffs in low-income countries using a dynamic stochastic general equilibrium (DSGE) model estimated on data for Mozambique taking into account the sources of major exogenous shocks, and level of financial development. To our knowledge this is a first attempt at estimating a DSGE model for Sub-Saharan Africa excluding South Africa. Our simulations suggests that a exchange rate peg is significantly less successful than inflation targeting at stabilizing the real economy due to higher interest rate volatility, as in the literature for industrial countries and emerging markets.

Download or read book A Bayesian Estimation of a DSGE Model with Financial Frictions written by Rossana Merola and published by . This book was released on 2014 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: Episodes of crises that have recently plagued many emerging market economies have lead to a wide-spread questioning of the two traditional generations of models of currency crises. Distressed banking system and adverse credit-markets conditions have been pointed as sources of serious macroeconomics contractions, so introducing these imperfections into standard economic models can help to explain the more recent crises. This paper introduces financial frictions à la Bernanke Gertler and Gilchrist in a two-sector small open economy, suited to analyze an emerging country. The model is estimated on simulated data applying both Bayesian techniques and maximum likelihood method and comparing the results under the two di¤erent estimation procedures. First, I analyze the inĵuence of the prior on the estimation outcomes. Results seems to conijrm that one of the main advantages of Bayesian approach is the ability of providing a framework for evaluating fundamentally mis-specified models. Second, I test the sensitivity of estimation outcomes to the sample size, showing how, for large samples, results under Bayesian estimation converges asymptotically to those obtained applying maximum likelihood. A further extension would be to perform the estimation on historical data for an emerging economy that have recently experienced a financial crisis.

Download or read book Global Financial Crisis Financial Contagion and Emerging Markets written by Mr.F. Gulcin Ozkan and published by International Monetary Fund. This book was released on 2012-12-13 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: The recent global financial crisis was the first in recent history that was triggered by problems in the financial system of the mature economies. Existing work on financial crisis in emerging market countries, however, almost exclusively focus on the role of financial frictions in the domestic economy. In contrast, we propose a two-country DSGE model to investigate the transmission of a global financial crisis that originates from financial frictions in the rest of the world. We find that the scale of financial spillovers from the global to the domestic economy and trade openness are key determinants of the severity of the financial crisis for the domestic economy. Our results also suggest that the welfare ranking of alternative monetary policy regimes is determined by the degree of financial contagion, the degree of trade openness as well as the scale of foreign currency denominated debt in the domestic economy.

Download or read book Dynamic Models and their Applications in Emerging Markets written by S. Motamen-Samadian and published by Springer. This book was released on 2005-06-03 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of six studies on behaviour of financial and economic variables in emerging and Euro markets. It includes the latest empirical studies on 32 emerging economies. The studies cover examination of the behaviour of interest rates, banks' credit and default risks, sovereign bond markets, effectiveness of inflation targeting, and dynamics of external debt and growth. There is currently no single book that addresses all these issues. This is a valuable book for all those who are working on emerging markets.

Download or read book Empirical Evaluation of Dynamic Stochastic General Equilibrium Models for Emerging Countries written by Javier Garcia-Cicco and published by . This book was released on 2009 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Structural Macroeconometrics written by Alberto Ortiz Bolaños and published by . This book was released on 2009 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation explores the relationship between monetary policy and economic fluctuations within the context of dynamic stochastic general equilibrium (DSGE) models. I use Bayesian maximum likelihood methods to estimate the structural parameters of such models for the United States (U.S.) and 23 emerging market economies. Using these structural parameter estimates I conduct counterfactual experiments to explore the economic implications of alternative monetary policy regimes. The first chapter estimates an open economy monetary DSGE model of South Africa to characterize the South African Reserve Bank's (SARB) monetary policy rule. I find that the SARB has a stable monetary policy rule very much in line with those estimated for Australia, Canada, New Zealand, and UK. The distinguishing characteristics of the SARB's rule relative to these other four countries are a somewhat larger weight on output and a very low weight on the exchange rate. Relative to other 20 emerging market economies, the policy reaction function of the SARB appears to be much more stable. The second chapter analyzes the fiscal and monetary policy responses and their effects on output in a set of 22 external financial crisis episodes occurred since 1990. I find evidence that those countries that tightened monetary and fiscal policy during these crises experienced larger output contractions than countries that followed a looser policy stance. The third chapter uses a monetary DSGE model with credit market imperfections to estimate the role of credit market shocks and monetary policy in U.S. business cycles. The estimated model captures much of the historical narrative regarding the conduct of monetary policy and developments in financial markets that led to episodes of financial excess and distress over the last two decades. The estimation suggests that credit market shocks are an important factor behind economic fluctuations accounting for 15% of the variance in real output since 1985. Monetary policy is also an important force behind real output fluctuations explaining 12.5% of its variance.

Download or read book An Estimated Small Open Economy Model of the Financial Accelerator written by Selim Elekdag and published by International Monetary Fund. This book was released on 2005-03 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a small open economy model where entrepreneurs partially finance investment using foreign currency denominated debt subject to a risk premium above and beyond international interest rates. We use Bayesian estimation techniques to evaluate the importance of balance sheet vulnerabilities combined with the presence of the financial accelerator for emerging market countries. Using Korean data, we obtain an estimate for the external risk premium, indicating the importance of the financial accelerator and potential balance sheet vulnerabilities for macroeconomic fluctuations. Furthermore, our estimates of the Taylor rule imply a strong preference to smooth both exchange rate and interest rate fluctuations.

Download or read book Economic Fluctuations in Emerging Market Economies written by Marc Yvon Robert and published by . This book was released on 2003 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis focuses on economic fluctuations in emerging economies, with a particular emphasis put on the recent sudden stop crises. In a first step, we study the triggering of the crisis and focus on the 1997-1998 Korean crisis. We use a calibrated general equilibrium model to discriminate between the domestic and external causes of the crisis. Then, we analyze the role played by credit rationning in explaining the amplification of sudden stops in emerging economies. Using a general equilibrium model of a small open economy, we show that including a credit constraint into the model is a crucial assumption in order to be able the reproduce the sudden stops main characteristics. The last step is an empirical study of the link between capital flows and emerging economies business cycles. We prove that movements in capital flows do not Granger cause changes in emerging countries GDP growth rates even during sudden stop episodes, whereas the reverse causal relationship turns out to be true.

Download or read book Dynamic Models and Their Applications in Emerging Markets written by Sima Motamen-Samadian and published by . This book was released on 2005 with total page 139 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides new insights into the application of dynamic models to emerging markets. Each chapter focuses on a a different topic and examines the behaviour of financial and economic variables in a large number of emerging economies in Eastern Europe, Latin America, and Asia. The studies reveal the most appropriate model specifications that should be used in analyzing the behaviour of variables such as interest rates in both emerging and non-emerging markets, banks' credit and default risk, sovereign bond risk, inflation, external debt and growth in emerging markets. The results have important implications for pricing of securities in financial markets and strategy of banks and other financial institutions and policy makers. This book is valuable for all those working on financial markets and emerging economies, in partcular those who are working on dynamic models at universities, financial institutions, central banks, and other national and international agencies.

Download or read book Business Cycles in Emerging Markets written by Stefan Notz and published by . This book was released on 2014 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding differences in business cycle phenomena between Emerging Market Economies (EMEs) and industrialized countries has been at the center of recent research on macroeconomic fluctuations. The purpose of this paper is to investigate the importance of certain credit market imperfections in different EMEs. To this end, we develop a small open economy Dynamic Stochastic General Equilibrium (DSGE) framework featuring both permanent and transitory productivity shocks, differentiated home and foreign goods, and endogenous exchange rate movements. Furthermore, our model incorporates liability dollarization as a particular form of financial frictions in EMEs. In this vein, we account for the fact that emerging markets traditionally have had difficulties in borrowing in domestic currency on international capital markets and thus allow for valuation effects in our analysis. We estimate our model using Bayesian techniques for a number of EMEs and thereby control for potential heterogeneity across countries. Contrary to previous studies in this strand of the literature, we include a (vector-)autoregressive measurement error component to capture off-model dynamics. Regarding business cycles in emerging markets, our main findings are that (i) even though we incorporate financial frictions in the framework, trend shocks are the main determinant of macroeconomic fluctuations, (ii) accounting for liability dollarization ameliorates the model fit, and (iii) valuation effects on average stabilize changes in the net foreign asset position.