Investigating the monetary and fiscal policy regimes dominance for inflation determination in Nigeria: a Bayesian TVP-VAR analysis

Oyeleke, Olusola Joel; Ogundipe, Adeyemi A.; Oyelami, Lukman O.

doi:10.1504/ijcee.2022.10047390

Cited by 2 publications

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“…Based on the Gibbs sampling technique, the MCMC method will be used in this paper to estimate the model for Bayesian inference. For time-varying parameter models in high-dimensional state space, the MCMC-Gibbs sampling technique is appropriate [38][39][40]. Using MCMC-Gibbs method to analyze the international spillover effect of American economy on China's macro-economy can overcome the challenge of high-dimensional state space, realize Bayesian inference of model parameters, and effectively obtain the posterior distribution of parameters through Markov chain sampling and Gibbs sampling technology.…”

Section: Model Estimation Based On Mcmc-gibbs Sampling Methodsmentioning

confidence: 99%

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

2023

PLoS ONE

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China’s export benefits from the significant fiscal stimulus in the United States. This paper analyzes the global spillover effect of the American economy on China’s macro-economy using the Markov Chain Monte Carlo (MCMC)-Gibbs sampling approach, with the goal of improving the ability of China’s financial system to protect against foreign threats. This paper examines the theories of the consequences of uncertainty on macroeconomics first. Then, using medium-sized economic and financial data, the uncertainty index of the American and Chinese economies is built. In order to complete the test and analysis of the dynamic relationship between American economic uncertainty and China’s macro-economy, a Time Varying Parameter-Stochastic Volatility-Vector Autoregression (TVP- VAR) model with random volatility is constructed. The model is estimated using the Gibbs sampling method based on MCMC. For the empirical analysis, samples of China’s and the United States’ economic data from January 2001 to January 2022 were taken from the WIND database and the FRED database, respectively. The data reveal that there are typically fewer than 5 erroneous components in the most estimated parameters of the MCMC model, which suggests that the model’s sampling results are good. China’s pricing level reacted to the consequences of the unpredictability of the American economy by steadily declining, reaching its lowest point during the financial crisis in 2009, and then gradually diminishing. After 2012, the greatest probability density range of 68% is extremely wide and contains 0, indicating that the impact of economic uncertainty in the United States on China’s pricing level is no longer significant. China should therefore focus on creating a community of destiny by working with nations that have economic cooperation to lower systemic financial risks and guarantee the stability of the capital market.

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Section: Model Estimation Based On Mcmc-gibbs Sampling Methodsmentioning

confidence: 99%

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

2023

PLoS ONE

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“…For example, the global financial crisis in recent years and the measures taken by the Central Bank of Europe and the United States to solve it, or the use of quantitative easing policies, showed that the importance of monetary policies and its effectiveness on all types of markets and the realization of economic growth and inflation control is undeniable [27][28][29][30][31][32][33]. Secondly, it is necessary to pay attention to the mechanisms and channels of monetary transmission in order to make policies more effective [34][35][36][37][38]. Obviously, a correct assessment will not be possible without a proper understanding of the mechanisms by which monetary policy will affect economic variables.…”

Section: Introductionmentioning

confidence: 99%

Investigating the monetary policy risk channel based on the dynamic stochastic general equilibrium model: Empirical evidence from Iran

Peykani,

Sargolzaei,

Takaloo

et al. 2023

PLoS ONE

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Investigating the credit channel and monetary policy risk channel in Iran’s economy is the aim of this article. According to empirical studies, expansionary monetary policy increases the risk of banks, and on the other hand, the risk of banks affects economic activities and price levels. In order to investigate the mechanism of the credit channel and the risk channel (as a new channel), the effect of monetary policy on real variables and price levels in Iran’s economy, the Dynamic Stochastic General Equilibrium (DSGE) model has been used by entering the information of the banking system and considering moral hazard and adverse choices. The obtained results show that there is a credit channel and a monetary policy risk channel for Iran’s economy, and the expansionary monetary policy shock causes output, inflation, private sector consumption, investment, net worth in the economy and lending to increase. Also, when a credit shock occurs, with the increase in banks’ lending power, production, private sector consumption, investment, net worth and total lending increase and the inflation level decreases. Also, by applying the risk shock caused by the increase in inflation and the decrease in consumption and investment, the volume of lending increases and the level of production does not change much.

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Investigating the monetary and fiscal policy regimes dominance for inflation determination in Nigeria: a Bayesian TVP-VAR analysis

Cited by 2 publications

References 0 publications

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

The international spill over effect of American economy on China’s macro-economy based on MCMC-Gibbs sampling algorithm

Investigating the monetary policy risk channel based on the dynamic stochastic general equilibrium model: Empirical evidence from Iran

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