Stock Market Wealth Effects in an Estimated DSGE Model for Hong Kong

Funke, Michael; Paetz, Michael; Pytlarczyk, Ernest

doi:10.2139/ssrn.1485994

Cited by 4 publications

(2 citation statements)

References 54 publications

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“…A similar combination can be found in Funke et al (2011), who find substantial stock price wealth effects for Hong Kong. In order to capture the influence of stock prices on consumption, the conventional open economy DSGE framework is reformulated so that the Euler equation for consumption accounts for stock price dynamics.…”

Section: The Dsge Frameworksupporting

confidence: 75%

Stock price dynamics and the business cycle in an estimated DSGE model for South Africa

Paetz

Gupta

2016

Journal of International Financial Markets, Institutions and Mo

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This paper develops and estimates an open economy dynamic stochastic general equilibrium model of South Africa. We devote special attention to the impact of stock price wealth effects on output and the interest rate. For this reason we adopt a perpetual youth approach, which allows for a limited decision horizon. We estimate the model using Bayesian techniques and find that (i) about 9 percent of the volatility in production can be explained by financial shocks, and (ii) the SARB does not and should not react on stock price disturbances. Moreover, stock prices seem to be unaffected by shocks from the real economy.

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Section: The Dsge Frameworksupporting

confidence: 75%

Stock price dynamics and the business cycle in an estimated DSGE model for South Africa

Paetz

Gupta

2016

Journal of International Financial Markets, Institutions and Mo

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“…Specifically, we focused on stock and bond market, the choice of these two markets as proxy for financial sector because of their Wealth Effects on the real economy (see Malikane and Semmler, 2008;Funke et al, 2011;Airaudo, 2015). Nevertheless, the context in which we are analysing the interaction of macroeconomic policies is the financial stability.…”

Section: Introductionmentioning

confidence: 99%

Institutional Design, Macroeconomic Policy Coordination and Implications for the Financial Sector in the UK

Nasir

Yagob

Solimanc

et al. 2017

Journal of Central Banking Theory and Practice

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This study has analysed the implications of institutional design of macroeconomic policy making institutions for the macroeconomic policy interaction and financial sector in the United Kingdom. Employing a Vector Error Correction (VEC) model and using monthly data from January 1985 to August 2008 we found that the changes in institutional arrangement and design of policy making authorities appeared to be a major contributing factor in dynamics of association between policy coordination/combination and financial sector. It was also found that the independence of the Bank of England (BoE) and withdrawal from the Exchange Rate Mechanism led to the increase in macroeconomic policy maker's ability to coordinate and restore financial stability. The results imply that although institutional autonomy in the form of instrument independence (monetary policy decisions) could bring financial stability, there is a strong necessity for coordination, even in Post-MPC (Monetary Policy Committee) and the BoE independence.

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The Regime-Dependent Evolution of Credibility: A Fresh Look at Hong Kong's Linked Exchange Rate System

Blagov

Funke

2013

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractAn estimated Markov-switching DSGE modelling framework that allows for parameter shifts across regimes is employed to test the hypothesis of regime-dependent credibility of Hong Kong's linked exchange rate system. The model distinguishes two regimes with respect to the time-series properties of the risk premium. Regime-dependent impulse responses to macroeconomic shocks reveal substantial differences in spreads. These findings contribute to efforts at modelling exchange rate regime credibility as a non-linear process with two distinct regimes.

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Stock Market Wealth Effects in an Estimated DSGE Model for Hong Kong

Cited by 4 publications

References 54 publications

Stock price dynamics and the business cycle in an estimated DSGE model for South Africa

Stock price dynamics and the business cycle in an estimated DSGE model for South Africa

Institutional Design, Macroeconomic Policy Coordination and Implications for the Financial Sector in the UK

The Regime-Dependent Evolution of Credibility: A Fresh Look at Hong Kong's Linked Exchange Rate System

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