Behavior Of Macroeconomic Variables Research Articles

An Empirical Study on the Dynamics of NIFTY 50 Due to the Behavior of Macro Economic Variables

In this paper we studied the correlation between Nifty 50, the National Stock Exchange of India's (NSE) benchmark stock index and macroeconomic variables of Indian economy which may influence it. Our analysis uses monthly data from 1.1.2017 to 1.4.2023, published by various financial statistical platforms. We applied descriptive analysis to summarize or describe the attributes of our data set. To estimate the effect of our explanatory variables (inflation rate and interest rate) on the dependent variable (Nifty 50), we applied regression techniques. The results of this study discover that neither “Inflation rate” nor “Interest Rate” is found as a good regressor. Stock markets are essential in fostering capital formation, advancing economic progress and thus to the expansion and development of the economy, so is crucial to search for variables that influence the volatility of stock market and its development. Majority of past research go on to say that there is no universal agreement on the variables influencing the progression and fluctuations of stock market. Therefore, it is crucial to search for variables that have a big impact on its volatility.

An Empirical Study on the Dynamics of NIFTY 50 Due to the Behavior of Macro Economic Variables

An Empirical Study on the Dynamics of NIFTY 50 Due to the Behavior of Macro Economic Variables

Macroeconomics Needs Fresh Methodology of Theorization

In this paper, we try to analyze the macroeconomic reasoning in different methodological issues. Subsequently, we try to touch some current macroeconomic debates on aggregations, relations, monetary and real sectors analyses. We assess that what we know about the behavior of macroeconomic variables is just our understanding from empiricism, and we have rarely found the laws of linkages among macroeconomic variables. We also conclude that successive theories have an intuitional foundation. It seems that to improve macroeconomic theories and policies, we need to be redirected to basic philosophical thinking about the macroeconomic theoretical foundation and try to rebuild a new concrete base for macroeconomics.

Macroeconomic Antecedents of Stock Returns and Exchange Rate

This study attempted to empirically test the trend and behaviour of macroeconomic variables, that is, money supply, interest rate, inflation rate, GDP, stock returns, and exchange rates during different policy periods classified as liberalization, globalization, world recovery, and global financial crisis in India over the period from April 1991 to March 2015 by using dummy variable : structural growth equation both for intercept and slope. These macroeconomic antecedents surround the relationship between stock returns and exchange rates ; although, these macroeconomic antecedents may not be the direct determinants of foreign exchange rates and stock returns. It was observed that all the four global policy periods had a statistically significant impact sometimes on the levels and sometimes on the growth rate of the macroeconomic antecedents under study.

BELIEF-TWISTING SHOCKS AND THE MACROECONOMY

I study the role of shocks to beliefs combined with Bayesian learning in a standard equilibrium business cycle framework. In particular, I examine how a prior belief arising from the Great Depression may have influenced the macroeconomy during the last 75 years. In the model, households hold twisted beliefs concerning the likelihood and persistence of recession and boom states that are affected by the Great Depression. These initial beliefs are substantially different from the true data generating process and are only gradually unwound during subsequent years. Even though the driving stochastic process for technology is unchanged over the entire period, the nature of macroeconomic performance is altered considerably for many decades before eventually converging to the rational expectations equilibrium. This provides some evidence of the lingering effects of beliefs-twisting events on the behavior of macroeconomic variables.

Bayesian estimation of a new Keynesian policy model for a small open economy

The estimation of dynamic stochastic general equilibrium (DSGE) models has gained momentum during the last decade. In this paper, we estimate a small scale new Keynesian model for an emerging economy, Tunisia. We study the transmission channels of monetary policy on the fluctuations of domestic output and inflation over the short and long run in open and closed economy settings. We find that domestic shocks have higher impact on monetary policy calibration and the dynamic of the internal demand. The inclusion of the working capital channel for a country like Tunisia exhibiting high level of indebtedness of local firms helps better describe the behaviour of macroeconomic variables in response to shocks emanating from the policy side. We show that the policy reaction parameters of the Central Bank confirm our hypothesis that the latter has been following closely the Taylor rule. This finding explains the recent inflation trend in the country.

Belief Shocks and the Macroeconomy

I study the role of shocks to beliefs combined with Bayesian learning in a standard equilibrium business cycle framework. By adapting ideas from Cogley and Sargent (2008b) to the general equilibrium setting, I am able to study how a prior belief arising from the Great Depression may have influenced the macroeconomy during the last 75 years. In the model, households hold twisted beliefs concerning the likelihood and persistence of recession and boom states, beliefs which are only gradually unwound during subsequent years. Even though the driving stochastic process for technology is unchanged over the entire period, the nature of macroeconomic performance is altered considerably for many decades before eventually converging to the rational expectations equilibrium. This provides some evidence of the lingering effects of beliefs-twisting events on the behavior of macroeconomic variables.

Demand-Side Shocks and Macroeconomic Policy

The paper focuses on short run macroeconomic dynamics triggered by dem and side shocks. In particular, the paper analyzes, in a general equilibrium framework, the impact of transitory demand side shocks on the behavior of macroeconomic variables and examines the relevance of policy instruments during downturns in economics activity. The paper establishes that transitory shocks can have persistent effects. It shows that stabilization is desirable even if shocks are transitory in nature. In particular, the article reveals that debt financed government spending is a diable stabilization tool and can improve welfare at all horizons even though it inhibits physical capital formation.

Stochastic Demands, Fixed Costs and Time Varying Solow Residual

The paper analyzes, in a general equilibrium framework under the assumption of fixed costs and microlevel uncertainty, the impact of transitory aggregate shocks on the behavior of macroeconomic variables. We establish that transitory shocks can have persistent effects and can cause significant welfare losses. In addition, the Solow Residual is shown to fluctuate even though the technological frontier is time invariant and factors are fully employed. Finally, the paper resolves apparently contradictory observations and shows that recessions are simultaneously times of cleansing and sullying.

Adaptive learning in practice

We analyze practical aspects of implementing adaptive learning in the context of forward looking linear models. We focus on how to set initial conditions for three popular algorithms, namely recursive least squares, stochastic gradient and constant gain learning. We propose three ways of initializing, one that uses randomly generated data, one that is ad hoc and one that uses an appropriate distribution. We illustrate via standard examples, that the behavior of macroeconomic variables not only depends on the learning algorithm, but on the initial conditions as well. Furthermore, we provide a computing toolbox for analyzing the quantitative properties of dynamic stochastic macroeconomic models under adaptive learning.

Demand Side Shocks and Macroeconomic Policy

The paper focuses on short run macroeconomic dynamics triggered by demand side shocks. In particular, the paper analyzes, in a general equilibrium framework, the impact of transitory demand side shocks on the behavior of macroeconomic variables and examines the relevance of policy instruments during downturns in economics activity. The paper establishes that transitory shocks can have persistent effects. It shows that stabilization is desirable even if shocks are transitory in nature. In particular, the article reveals that debt financed government spending is a viable stabilization tool and can improve welfare at all horizons even though it inhibits physical capital formation. Finally, the paper resolves apparently contradictory observations and shows that recessions are simultaneously times of cleansing and sullying.

Modeling Multiple Regimes in the Business Cycle

The interest in business-cycle asymmetry has been steadily increasing over the past 15 years. Most research has focused on the different behavior of macroeconomic variables during expansions and contractions, which by now is well documented. Recent evidence suggests that such a two-phase characterization of the business cycle might be too restrictive. In particular, it might be worthwhile to decompose the recovery phase in a high-growth phase (immediately following the trough of a cycle) and a subsequent moderate-growth phase. The issue of multiple regimes in the business cycle is addressed using smooth-transition autoregressive (STAR) models. A possible limitation of STAR models as they currently are used is that essentially they deal with only two regimes. We propose a generalization of the STAR model such that more than two regimes can be accommodated. It is demonstrated that the class of multiple-regime STAR (MRSTAR) models can be obtained from the two-regime model in a simple way. The main properties of the MRSTAR model and several issues that are relevant for empirical specification are discussed in detail. In particular, a Lagrange multiplier-type test is derived that can be used to determine the appropriate number of regimes. A limited simulation study indicates its practical usefulness. Application of the new model class to U.S. real GNP provides evidence in favor of the existence of multiple business-cycle phases.

Comment on The Effects of Real and Monetary Shocks in a Business Cycle Model with Some Sticky Prices

It is one thing to observe that some prices are sticky, and it is another to know what, if anything, this observation implies for the behavior of macroeconomic variables. To motivate their paper, Ohanian, Stockman, and Kilian show evidence of price stickiness. That is, impulse responses of various price indexes to changes in the federal funds rate indicate that some prices respond more slowly. Granting that monetary shocks can be identified from innovations to the federal funds rate, this evidence points to a source of nonneutrality of money. The important question, though, is whether the nonneutralities resulting from price stickiness can account for observed patterns of dynamic correlations among macroeconomic variables. What makes the paper interesting is that it provides a framework in which to exam-