Exchange rate pass-through and inflation targets in Chile

Mujica, Patricio; Saens, Rodrigo

doi:10.18356/f89148d5-en

Cited by 3 publications

(3 citation statements)

References 20 publications

(32 reference statements)

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“…This situation refers to the validity of the PT effect. The analyses’ results are supported by the papers available in the literature such as the papers of Bailliu and Fujii (2004), Junior (2007), Lin and Wu (2012), Mujica and Saens (2015), Tümtürk (2017) and Campos (2019). After all, if GDP growth and economic uncertainty increase, consumer prices move upward.…”

Section: Conclusion and Discussionsupporting

confidence: 59%

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Bilgili

Ünlü

Gençoğlu

et al. 2021

AEA

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Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects of exchange rates on domestic prices. Design/methodology/approach The paper launches several nonlinear models in which the basic determinants of domestic prices in Turkey are determined through Markov regime-switching models (MSMs). Hence, this research follows the variables of the consumer price index (CPI), USD exchange rate, gross domestic product (GDP; demand side of the economy), industrial production index (production side of the economy), economic uncertainty and geopolitical risk index for Turkey. Findings This work explores that the exchange rate and demand side of the economy (GDP) follow a positive nonlinear relationship with CPI at both regimes. The production side of the economy (IP) affects negatively the CPI during regime 0. Economic uncertainty influences the CPI positively at Regime 1, while geopolitical risk has a negative association with CPI at Regime 0. Eventually, the paper provides some policy proposals associated with the impacts of GDP, IP, economic uncertainty and geopolitical risk on CPI in Turkey. Originality/value One may claim that any PT model, which does not observe the possible structural or regime shifts in estimated parameters, might fail to estimate the coefficients unbiasedly and efficiently. Hence, this work differs from available relevant works in the literature since this paper considers linearity or nonlinearity important and reveals that the relevant PT model follows a nonlinear path rather than a linear path, this nonlinear path is converged strongly by MSMs and estimates the significant regime shifts in the constant term and, in parameters of independent variables of PT by MSMs.

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Section: Conclusion and Discussionsupporting

confidence: 59%

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Bilgili

Ünlü

Gençoğlu

et al. 2021

AEA

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“…Thus the correct model to use in this study is the VECM instead of VAR because the variables used are cointegrated and stationary at the first difference level. This is a requirement that must be met in testing the VECM model and this model is in accordance with research conducted by Mujica and Saens (2016).…”

Section: Cointegration Testsupporting

confidence: 54%

The Relationship between the Renewable Energy and CO2 Emissions to the Indonesian Economy

Wahyudi

2024

IJEEP

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The Indonesian government through the National Energy Council (DEN) has a target for new renewable energy to be increased, starting from 2025 with a target of 23 percent to 2060 with a target of 66 percent, but in fact new renewable energy in Indonesia only increases 0.55 percent per year. Indonesia has great potential, but can the potential be maximized by the government in the direction of a better and environmentally friendly energy policy. This study analyzes the movement of renewable energy and C02 emissions to the Indonesian economy from 1990-2021, using the Vector Error Correction Model (VECM) statistical method by considering short-term and long-term results in the model. The results show that in the long and short term economy the role of GDP per unit of energy use for the economy is needed and has a positive effect, the role of carbon emissions in the short and long term C02 has a positive and significant direction, non-renewable energy in the long term and short term is still moving negative and significant, this indicates that renewable energy in Indonesia tends to be low, energy replacement must be carried out slowly and gradually, shock response conditions conclude when GDP energy use and CO2 are affected by a negative shock will disrupt economic development, meanwhile, if there is a negative shock on consumption Renewable energy still tends to be stable and positive for the development of the Indonesian economy.

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“…So we can conclude, the appropriate model to be used in this study is the Vector Error Correction Model (VECM) because the variables used are cointegrated and stationary at the second difference level. This is a requirement that must be met in testing the VECM model according to Mujica and Saens [11].…”

Section: Resultsmentioning

confidence: 99%

Procyclicality Credit in Indonesian Banking Sector

Herlina Sitorus,

Yuliana,

Fajarini

2023

Proceedings of the International Conference of Economics, Business, and Entrepreneur (ICEBE 2022)

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This study aims to analyze procyclicality in credit for the banking sector and how the credit growth and GDP growth respond to banking performance shocks and interest rates. This study used the VAR/VECM method and used time series data with quantitative and descriptive approaches. The results of this show that the long-term relationship for credit growth is significant with BI rate and BOPO and the long-term relationship for GDP growth is significant with BOPO, CAR, LDR, and BI rate. Meanwhile, for the short-term relationship, real credit growth is significant to, LDR, CAR, BI rate and BOPO and for the short-term relationship, GDP growth is significant both to CAR and BOPO.

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Exchange rate pass-through and inflation targets in Chile

Cited by 3 publications

References 20 publications

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach

The Relationship between the Renewable Energy and CO2 Emissions to the Indonesian Economy

Procyclicality Credit in Indonesian Banking Sector

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