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2021 | OriginalPaper | Buchkapitel

Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies

verfasst von : Antonio Pacifico

Erschienen in: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics

Verlag: Springer International Publishing

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Abstract

This paper provides new empirical insights in order to give a relevant contribution to the more recent literature on international transmission of shocks among emerging market economies, with a particular emphasis in the most recent recession and postcrisis consolidation. Interdependence, commonality, and heterogeneity in macroeconomic-financial linkages are also identified in order to give new stimulus to the study of international business cycles and policy-making. An extension of a time-varying Structural Panel Bayesian Vector Autoregressive model is developed to deal with model misspecification and unobserved heterogeneity problems when studying multicountry dynamic panels and jointly investigating monetary and fiscal policy effects. The results argue that monetary policy transmission mechanisms and fiscal authority have worked actively among emerging markets but with different actions due to large differences in their financial structure.

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Vorheriges Kapitel Construction of the Monetary Conditions Index with TVP-VAR Model: Empirical Evidence for Turkish Economy

Nächstes Kapitel The Impacts of Transportation Sector and Unemployment on Economic Growth: Evidence from Asymmetric Causality

A proxy variable is an easily measurable variable that is used in place of a variable that cannot be (directly) measured or is difficult to measure.

See, for instance, Pacifico (2019b).

More precisely, if the elements of \( {A}_t(L),{B}_t(L),{\ddot{B}}_t(L) \), and C_t(L) are stacked over i, it is possible to obtain matrices that are not block diagonal for at least some l.

The vec operator transforms a matrix into a vector by stacking the columns of the matrix, one underneath the other.

See, for instance, Pacifico (2019b).

For instance, the Minnesota priors are based on an approximation that involves replacing Σ_e with an estimate, \( {\hat{\Sigma}}_e \). See, e.g., Doan et al. (1984) and Litterman (1986).

See, e.g., Chib and Grrenberg (1995).

See, for instance, Pacifico (2019b) for further specifications.

The weights_{it, j} component corresponds to the sum of rweights_{it, j} and fweights_{it, j}.

Own computations.

See, for instance, Pacifico (2019b) for further details.

Here, a time frame of 8 quarters (2 years) has been used to compute conditional forecasts.

See, e.g., Dornbusch and Fischer (1993) and Fischer et al. (1996).

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Titel: Monetary Policy Regimes, Fiscal Implications, and Policy Interactions Among Developing Economies
verfasst von: Antonio Pacifico
Verlag: Springer International Publishing
Buch: Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
Print ISBN: 978-3-030-54107-1

Electronic ISBN: 978-3-030-54108-8

Copyright-Jahr: 2021
DOI: https://doi.org/10.1007/978-3-030-54108-8_10

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