Monetary Variables Research Articles

International transmission of monetary and global commodity price shocks to Turkey

This paper explores the international transmission mechanisms on the macroeconomic and monetary variables of Turkey and hence proposes some particular policy implications. The effects of monetary shocks stemming from the U.S. and the European area, and global commodity price shocks are investigated using a structural vector auto-regression (SVAR) approach. For the analysis, we use monthly data from 2002M01 to 2016M06 and we analyze the transmission mechanism in Turkey using two different SVAR model specifications. Our results reveal that shocks coming from the U.S. and the Euro area lead to significantly different responses on industrial production, consumer prices, real effective exchange rates, and the domestic interest rate, with the Euro area monetary expansion having more explicit and positive effects on the real economy. The global commodity price shocks affect the Turkish macroeconomic variables in a similar but much less powerful fashion than that of the U.S. monetary expansion. As our empirical findings point out that the Turkish economy is vulnerable to global monetary and commodity price shocks. This vulnerability necessitates moving to a sustainable growth path consistent with a sustainable current account balance and a sustainable private and government debt coupled with a strengthened macroprudential regime and comprehensive structural reforms.

From a Quantity to an Interest Rate-Based Framework: Multiple Monetary Policy Instruments and Their Effects in China*

In moving from a quantity to an interest rate-based policy framework, the PBoC uses a variety of monetary policy instruments and intermediate targets, which is different from central banks of main industrial countries. Contrary to most studies on overall effects of monetary policy, this research empirically investigates the effects of various types of monetary policy instruments separately by modeling the interactions and relationship among monetary policy instruments and other monetary variables such as monetary policy targets, to draw implications forhighlight the PBoC’s attempt to change the monetary policy framework to an interest rate based framework. Empirical results suggest the effects of the changes in benchmark lending rates and short-term interest rates on loan, M2 and output are larger than those of the changes in reserve requirement ratio, especially in recent years. Non-policy shocks exert substantial effects on intermediate targets, such as loans and M2, under a quantity-based policy framework. These results may imply that monetary policy is more effective under a new interest rate-based policy framework than the old quantity-based policy framework. Empirical results also suggest that the size and effects of short-term interest rate shocks are larger in recent years, which shows the push by the PBoC to move from a quantity-based policy framework to an interest rate-based policy framework has progressed significantly. In addition, short-term interest rates have the strongest effect on property price, among various policy instruments. This could suggest that the PBoC’s interest rate based framework is likely more effective in achieving its financial stability objective. Overall, the empirical results support the idea that the new interest rate-based policy framework is more effective in achieving not only traditional macroeconomic objectives, but also new financial stability objectives.

A Review on Various Features and Techniques of Crop Yield Prediction Using Geo-Spatial Data

Geospatial information, including satellite information, is a vital part of crop yield prediction since it can give normal, predictable, target data. Distinguishing geospatial designs and measure changes that happen require exceptional systems to be used. Different monetary and organic variables impact the yield production and variables prompt losses to farmers. These dangers can be evaluated when proper numerical or measurable strategies are connected with soil, climate and past yield data. This article reviews different models utilized for crop yield forecasting. The focus of this problem is the increasing size of the data. Here, various approaches adopted by researchers are detailed with their field of accuracy for prediction. Some of issues related to the papers are also discussed. The techniques of knowledge extraction and storage were also discussed in this work.

Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson‐Siegel Models

We use monthly data on the US riskless yield curve for a 1982-2015 sample to show that mixing simple regime switching dynamics with Nelson-Siegel factor forecasts from time series models extended to encompass variables that summarize the state of monetary policy, leads to superior predictive accuracy. Such spread in forecasting power turns out to be statistically significant even controlling for parameter uncertainty and sample variation. Exploiting regimes, we obtain evidence that the increase in predictive accuracy is stronger during the Great Financial Crisis in 2007-2009, when monetary policy underwent a significant, sudden shift. Although more caution applies when transaction costs are accounted for, we also report that the increase in predictive power owed to the combination of regimes and of monetary variables that capture the stance of unconventional monetary policies is tradeable. We devise and test butterfly strategies that trade on the basis of the forecasts from the models and obtain evidence of risk-adjusted profits both per se and in comparisons to simpler models.

The consequences of unconventional monetary policy in euro area in times of monetary easing

Research background: In this research paper, an attempt is made to evaluate the impacts of ECB?s unconventional monetary policy which has been applied after Global Financial Crisis. Because of the new economic and monetary conditions, the effectiveness of conventional monetary tools has been questioned.
 Purpose of the article: Designed models examine the consequences of unconventional monetary policy for macroeconomic variables, monetary variables and interest rates in the euro area. Particular attention is paid to the response of the price level, represented by HICP, to various monetary policy innovations. Except a shock in credit multiplier and asset purchase programme (APP), also the effectiveness of a conventional monetary tool, such as main refinancing operation (MRO) interest rate, is inspected.
 Methods: Use has been made of impulse responses from structural VAR models to analyze a large sample that covers the time horizon of 1999 to 2016. Several econometric tests are performed to provide a profound analysis. The conclusions from baseline models are verified in multiple robustness check models, which are specified under alternative conditions.
 Findings & Value added: It has been found that, in the aftermath of the Global Financial Crisis, conventional monetary instruments are effective in the short-run. In the long-run, unconventional monetary policy has a greater potential to stabilize the economy than the traditional interest rate transmission channel. The conclusions from the baseline models are verified in multiple robustness check models, which are specified under alternative conditions.

An Analysis of Exchange Rate, J Curve and Debt Burden in Pakistan: An Analysis of Bound Testing

Rate of exchange is a significant monetary variable that control balance of trade. J curve theory explains that depreciation in domestic currency wills sure that foreign goods costly for the domestic persons and domestic goods are inexpensive for the other country. In this result, imports will reduce and exports will rises. Therefore, trade balance would be improved. This theory proved that J curve have no exist in Pakistan because imports of Pakistan contains a large numbers of necessities and this imports present no movement in exchange rate. Therefore, rate of exchange and balance of trade both have negative relationship. Debt and GDP have positive related with each other because Government of Pakistan takes the debt to promote the economic growth. This study opens new perspectives for the decision makers.

Monetary and absorption approach to explain the Croatian current account

The paper brings the determinants of Croatian current account dynamics under monetary and absorption approach. The main hypothesis of the paper assumes that Croatian current account can be explained within the framework based on the monetary and absorption approach to balance of payments. The research employed newly developed Non-linear Auto-Regression Distributed Lag (NARDL) approach that takes into account nonlinear and asymmetric nature of the relationship between Croatian current account and its determinants. Estimated results on a quarterly data sample from the first quarter of 2000 to the second quarter of 2017 supports the main research hypothesis and reveals that that Croatian current account can be explained using the analytical framework based on the monetary and absorption approach. Domestic demand, real exchange rate index, loans to private sector and monetary aggregates M4 are tested as the determinants of Croatian current account. Monetary aggregates M4 are found to hold the highest explanatory power among tested monetary variables. The main findings of the paper suggest the need for fiscal policy measures and relaxing the liquidity constraints for the Croatian exporters as necessary to obtain external equilibrium.

Does Monetary Policy Affect Economic Growth in Jordan? Evidence from Ordinary Least Square Models

The main objective of this paper is to analyze equilibrium and dynamic causality relationships between monetary policy tools and economic growth in Jordan for the period (1990-2017). For this purpose, it considers the autoregressive distributed lag (ARDL) and vector error correction (VEC) models estimations. The results of ARDL approach show that monetary policy variables (i.e., real interest rate and money supply) have positive impact on economic growth in long-run and short-run except inflation rate. In addition, the results of VECM indicate bidirectional causal relationships between economic growth and monetary policy variables in long-run and short-run.

ONE APPROACH TO RESOLVE THE EXCHANGE RATE PUZZLE: RESULTS USING DATA FROM THE UNITED KINGDOM AND THE UNITED STATES

We approach a significant research topic in international economics by restating the test procedures in a novel manner consistent with monetary theorems with controls using monetary variables and applying an appropriate econometric methodology to re-examine three aspects of exchange rate behavior. (i) Does the inflation (price) factor affect Nominal Exchange Rate (NER)? (ii) Do relative interest rates between countries affect a country’s exchange rate? (iii) Do the price and interest rate effects hold if controls for non-parity factors are embedded in tests? The data series for this study are taken over 55 years covering pre-and-post-Bretton Woods era: a second test was done over the post-Bretton Woods period only using 30 years of data. Also, the traditional factors of parity conditions are extended in this research to take into account recently theorized and tested non-parity factors related to cash flows. The resulting evidence affirms clearly that both the parity factors (prices and interest rates) and the non-parity factors affect exchange rates significantly over the long run, also over the 30-year period. In our view, these findings extend our knowledge of how currency behavior is consistent with parity and non-parity theorems.

Control óptimo de las expectativas de inversión

En la teoría tradicional de la política económica los gestores tenían un conocimiento perfecto de la realidad y podían alcanzar una “sintonía fina” en su gestión. Pero, suponiendo expectativas racionales, el control óptimo resulta imposible para unos gestores que toman decisiones discrecionales. Así, la teoría del control óptimo perdió lugar ante la teoría de los juegos que formaliza agentes de comportamientos estratégicos.
 En este trabajo se ensaya una síntesis entre la técnica de control óptimo y las expectativas de los agentes privados; para ello, el control óptimo no se ejerce sobre variables monetarias o fiscales sino sobre las propias expectativas, cuya credibilidad se basa en transformaciones institucionales.
 El modelo del ciclo de las existencias evidencia una oscilación de la propensión marginal a invertir. Se formaliza entonces una inversión endógena cuya propensión a invertir es función de las expectativas, y se aplica la técnica del control óptimo sobre las expectativas de inversión. El resultado es la estabilización del ciclo de las existencias. Esta formalización es coherente con las apreciaciones de KEYNES (1936) sobre la conveniencia de estabilizar el ciclo no mediante el freno de la inversión en el auge sino mediante el estímulo al consumo para que el auge sea sostenible.

The evolution of the monetary transmission channels in Turkey: evidence from a TVP-VAR model

ABSTRACTThis article investigates the evolution of the monetary transmission mechanisms in Turkey for the period from January 1986 to December 2016. To this aim, the impacts of monetary variables on the prices and economic activity are investigated with a time-varying vector autoregressive model based on. The evidences from the time-varying responses indicate that the adoption of inflation targeting policy has markedly affected the functioning of transmission channels. The results also suggest that local and global financial crises may magnify the impact of monetary policy shocks on the overall economy.

Unified Stochastic Dynamic and Damage Cost Model for the Structural Analysis of Tall Buildings in Thunderstorm-Like Winds

AbstractStochastic calculus has been used traditionally in the field of finance since it can model variability in the stock market and fluctuations of monetary variables (assets, savings, etc.) in ...

Impact of bank withdrawals taxation on cash holdings, interest rates, inflation and bank deposits: Empirical evidence from Pakistan

To avoid debt burdens and to meet budgetary expenditure within internal resources leads to introduction of bank withdrawal taxation in Pakistan. The research has been carried out to empirically investigate the impact of bank withdrawal taxation on cash holdings, bank deposits, inflation, borrowing and lending rates. The withdrawal taxation was imposed in 2006 therefore the study analysis period has been from 2006 to 2014. The complex relationship among variables leads to analyze the data through VAR. The empirical findings through Vector auto regression (VAR) and impulse response suggests the presence of disintermediation in Pakistani economy. The disintermediation in the economy is captured through the study findings that there is increase in the cash holdings during the study period and reduction in bank deposits. The monetary variables such as inflation, borrowing and lending rates are reduced due to imposition of bank withdrawal taxation.

Changing trip behavior in a higher education institution: The role of parking fees

Higher education institutions are major trip-generating locations and the transportation to and from them has negative environmental influences. To discourage car owners from solo driving and encourage them to use more environmentally friendly travel modes, it is important to understand what factors influence their travel mode choice. Using a discrete choice model, we examined the motivations to leave the car at home, with and without parking fee. Besides parking fees, we examined the effects of other variables known to predict commuting choice, such as time and social discomfort, pro-environmental attitudes, reduced vehicle maintenance expenses and awareness of alternative commuting options. Results show that adding a parking fee not only increased the tendency to leave the car at home, it also influenced the relative weight given to the considerations that determine to leave the car at home. Specifically, after the introduction of a parking fee, the previously significant impacts of pro-environmental attitudes and social discomfort on leaving the car at home became non-significant, and the impacts of other, more instrumental factors (e.g., time discomfort, costs related to car ownership and maintenance, time wasted searching for a parking space and in traffic jams) which were insignificant beforehand, became the significant predictors. Parking fees were found to be effective and can change to accommodate different policies (revenue collection, pollution reduction, and students’ discomfort). The implications of such a study are the trade-off between monetary (parking fee) and non-monetary variables to accommodate more sustainable traffic management.

Determinants of Commercial Banks Credit to the Domestic Economy in Nigeria: Examinations of Dynamics Principles

This study examined determinants of commercial banks credit to the domestic economy in Nigeria. The objective was to examine the extent to which banks variables, macroeconomic and monetary policy variables affects credit allocation of Nigerian Commercial Banks. Time series data was sourced from Central Bank of Nigeria Statistical bulletin and financial statement of commercial banks. Percentage of total commercial banks loans to gross domestic product was proxy for dependent variable while the banks specific variables are peroxide by operational efficiency, liquidity, number of commercial banks branches, Commercial Banks Deposit Liabilities and deposit rate. The independent variables in macroeconomic model comprises of real gross domestic product, public expenditure, openness of the economy, inflation rate and exchange rate while monetary policy variables comprises of treasury bills rate, real interest rate, monetary policy rate, growth of money supply and financial sector development. The study employed ordinary least square properties of augmented Dickey Fuller test, co-integration test, and granger causality test and vector error correction model. Findings from the study revealed that; banks specific variables shows that deposit liabilities and liquidity ratio have positive impact on total loans and advances while deposit rate, number of commercial banks branches and openness of the economy have negative impact. Model II found that; exchange rate, inflation rate and Real Gross Domestic Product have positive impact while public expenditure and openness of the economy have negative impact on total commercial bank loans and advances. Model III found that; financial sector development and monetary policy rate have negative impact while growth of money supply, real interest rate and Treasury bills rate have positive impact on total loans and advances of commercial banks. We conclude that monetary policy, bank specific variables or internal variables and macroeconomic variables are strong determinants of Nigerian commercial banks loans and advances. We therefore, recommend for the interplay and the strengthening of macroeconomic variables, monetary policy variables and banks specific variables (internal policies) in order to enhance commercial banks credit in Nigeria.

Wealth distribution in Cuba (2006–2014): a first assessment using microdata1

Recently, a trend towards increasing inequality has been detected in both developed and developing countries. Most of these studies have been focusing on formal monetary variables, since capitalism is a socioeconomic system where monetary relations play a paramount role. However, the distribution of non-monetary assets is also very important, especially so in less developed countries. This paper applies a PCA methodology to analyse the distribution of non-monetary wealth in Cuba, a socialist country where the role of monetary relations is relatively minor. Utilizing the MICS-UNICEF ‘microdata’, the paper provides for the first time an estimation of wealth distribution for three years (2006, 2011, 2014), by area and region. The main results show a non-monotonic wealth inequality reduction. The initial worsening (2006–11) is more than counterbalanced by a recent improvement (2011–14).

Inflationary effects of fiscal and monetary policies in Indonesia

This paper analyzes the effects of fiscal and monetary policies on inflation rate in Indonesia. This research uses the error correction model for estimating the empirical model of inflation rate for annual data 1970-2017. The results present the significant effects of fiscal and monetary variables on the inflation rate. These findings reveal the inflationary effects of fiscal and monetary policies in the country. This research also finds the impact of output and exchange rate on inflation rate. Therefore, this paper supports the theory of demand-pull inflation as well as the proposition of imported inflation. The other uniqueness of this research is the inclusion of shock variables in the empirical model. This study asserts the significant role of inflation shock and unanticipated exchange rate on the domestic price level. It implies that domestic inflation is closely related to the international financial sector.

Cluster-Based Smartphone Predictive Analytics for Application Usage and Next Location Prediction

Prediction of app usage and location of smartphone users is an interesting problem and active area of research. Several smartphone sensors such as GPS, accelerometer, gyroscope, microphone, camera and Bluetooth make it easier to capture user behavior data and use it for appropriate analysis. However, differences in user behavior and increasing number of apps have made such prediction a challenging problem. In this article, a prediction approach that takes smartphone user behavior into consideration is proposed. The proposed approach is illustrated using data from over 30000 users from a leading IT company in China by first converting data in to recency, frequency, and monetary variables and then performing cluster analysis to capture user behavior. Prediction models are then developed for each cluster using a training dataset and their performance is assessed using a test dataset. The study involves ten different categories of apps and four different regions in Beijing. The proposed app usage prediction and next location prediction approach has provided interesting results.

A cost-effectiveness analysis of anchorage reinforcement with miniscrews and molar blocks in adolescents: a randomized controlled trial.

To analyse cost-effectiveness of anchorage reinforcement with buccal miniscrews and with molar blocks. We hypothesized that anchorage with miniscrews is more cost-effective than anchorage with molar blocks. A single-centre, two-arm parallel-group randomized controlled trial. Adolescents (age 11-19 years) in need of treatment with fixed appliance, premolar extractions, and en masse retraction were recruited from one Public Dental Health specialist centre. The intervention arm received anchorage reinforcement with buccal miniscrews during space closure. The active comparator received anchorage reinforcement with molar blocks during levelling/alignment and space closure. The primary outcome measure was societal costs defined as the sum of direct and indirect costs. Randomization was conducted as simple randomization stratified on gender. The patients, caregivers, and outcome assessors were not blinded. Eighty patients were randomized into two groups. The trial is completed. All patients were included in the intention-to-treat analysis. The median societal costs for the miniscrew group were €4681 and for the molar block group were €3609. The median of the difference was €825 (95% confidence interval (CI) 431-1267). This difference was mainly caused by significantly higher direct costs consisting of material and chair time costs. Differences in chair time costs were related to longer treatment duration. No serious harms were detected, one screw fractured during insertion and three screws were lost during treatment. The monetary variables are calculated based on a number of local factors and assumptions and cannot necessarily be transferred to other countries. Variables such as chair time, number of appointments, and treatment duration are generalizable. Owing to the study protocol, the benefit of miniscrews as a stable anchorage has not been fully utilized. When only moderate anchorage reinforcement is needed, miniscrews are less cost-effective than molar blocks. The initial hypothesis was rejected. Miniscrews provide better anchorage reinforcement at a higher price. They should be used in cases where anchorage loss cannot be accepted. NCT02644811.

Asymmetric Effects of Fiscal Balance on Monetary Variables: Evidence from Emerging Economies

Purpose: This paper aims to investigate the nonlinear impacts of the fiscal balance on interest rates, exchange rates and in inflation in emerging economies, based on the model of sovereign risk premium. Methodology: The paper applies asymmetric cointegration modeling in a nonlinear autoregression distributed lag (ARDL) framework (Shin et al., 2014) to discriminate the effects of negative and positive changes in the fiscal balance on monetary variables in Brazil, Russia, India, and China (BRICs), using quarterly observations from around 2000 to 2016. Findings: The divergence in empirical evidence of asymmetric effects among BRICs is a distinct feature of this paper. Our results underline that monetary variables react di erently to negative and positive changes in the fiscal balance over the long run for Brazil and India, but not for China and Russia. Practical implications: Since monetary variables are more sensitive to worsening fiscal position in periods when budget de ficits tend to rise, fiscal consolidation is an essential criterion for the effectiveness of monetary policy in emerging economies characterized with large fiscal imbalance and debt stocks, such as Brazil and India. The implementation of expansionary fiscal policy should be reconsidered carefully even in economies with a better fi scal performance like China and Russia, as the persistently rising budget de ficits eventually counter the effectiveness of monetary policy by keeping market interest rates and inflation at high levels. Originality/Value: This paper provides evidence in favour of the dominant role of fi scal policy to stabilise interest rates, exchange rates, and inflation in emerging economies with high default risks stemming from chronically high fi scal de cits. We also highlight the importance of long-term fiscal sustainability to improve the effectiveness of monetary policy.