The Effect of Central Bank's Monetary Policy on Unemployment and Inflation in Provinces of Iran: A GVAR Approach

Ebrahimi, Nasrin; Pedram, Mehdi; Mousavi, Mir Hossein

doi:10.29252/jme.15.1.55

Cited by 2 publications

(2 citation statements)

References 18 publications

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“…The global vector autoregressive (GVAR) model is employed in this paper. The GVAR model has been widely applied in macroeconomics, including (see Chudik and Pesaran [ 13 ] for comprehensive surveys) studying the factors and shocks affecting global inflation [ 24 ], global imbalance [ 25 , 26 , 27 , 28 ], effects of fiscal and monetary policy [ 29 , 30 , 31 , 32 , 33 , 34 , 35 ], credit supply shock [ 36 , 37 , 38 ], spill-overs in the labor market [ 39 ], financial market [ 40 ], energy market [ 41 ], trade [ 42 ], and different sectors [ 43 , 44 , 45 ], etc. So far, the GVAR model has been applied to agricultural markets in a few empirical studies, including analyzing linkages among food commodity prices, energy prices, and financial sectors in the major wheat export countries by Gutierrez et al [ 46 ], studying short-run food price shock propagation in Sub-Saharan Africa (SSA) by Pierre and Kaminski [ 47 ], and analyzing spatial price transmission of the global butter export market under different market shocks such as exchange rate fluctuation, shocks to fertilizer prices, palm oil price, and crude oil price by Xue et al [ 48 ].…”

Section: Methods and Datamentioning

confidence: 99%

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Xue

Wang

2022

Foods

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The dairy sector in the European Union (EU) has experienced policy changes and market shocks recently. Using the global vector autoregressive (GVAR) model, this paper explores regional market integration, the feedback between market shocks and price dynamics, and the link between EU’s cheese export markets and energy market. This paper assesses and compares which influencing factors are typically associated with intra-EU and extra-EU cheese export price movement with regards to shocks to crude oil price, farm-gate raw milk price, and consumer price index (CPI) for food and cheese production of six representative EU member states, respectively. Using generalized impulse response functions, this paper finds that EU’s internal cheese export market is not well integrated, while EU’s external market is well integrated, with France as an exception. It also finds that the external cheese export market is vulnerable to shocks from the energy market compared to the internal market. Raw milk prices from the upstream supply chain have strong spill-over effects on EU’s internal cheese export market, yet their impact on extra-EU cheese export prices is relatively less significant. The movement patterns of extra-EU cheese export prices of Ireland and the UK show similar patterns in the long run. It is concluded that the dynamics of cheese export prices in the internal and external markets of the EU are different under market shocks.

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Section: Methods and Datamentioning

confidence: 99%

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Xue

Wang

2022

Foods

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“…The GVAR model has been applied extensively in macroeconomics, including but not limited to (see Chudik and Pesaran [13] for comprehensive surveys) studying the factors and shocks affecting global inflation [28], global imbalance [29][30][31][32], effects of fiscal and monetary policy [33][34][35][36][37][38][39], credit supply shock [40][41][42], spill overs in the labour market [43], financial market [44], energy market [45], trade [46], and different sectors [47][48][49], etc. So far, the GVAR model has been applied to agricultural markets twice.…”

Section: Gvar Model Specificationmentioning

confidence: 99%

Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks

Xue

Wang

et al. 2021

Sustainability

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Recently, the world has experienced striking economic and policy changes, and subsequent uncertainties have impacts on dairy trade price fluctuations. The Global Vector Autoregressive (GVAR) methodology was established in this paper to better understand international butter export prices transmission, the feedback between the economic context changes and price fluctuations, and the link between the global butter market, energy market, and other commodity markets. We assessed which key factors are typically associated with butter export price movements with regards to shocks to crude oil price, palm oil price, farm-gate raw milk price, exchange rates, and consumer price index (CPI) for food of the EU, New Zealand, the U.S., and the rest of world (RoW), respectively. Using generalized impulse response functions, this study found that decreases in farm-gate raw milk price could be swiftly transmitted to butter export prices of not only a home country but other foreign countries. However, palm oil price and crude oil price merely affects global butter export prices. We also found that U.S. dollar depreciations against the Euro will cause a decline in U.S. butter export price. It is concluded that butter export markets are not well-integrated, yet butter export prices of New Zealand and the U.S. are highly linked.

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The Effect of Central Bank's Monetary Policy on Unemployment and Inflation in Provinces of Iran: A GVAR Approach

Cited by 2 publications

References 18 publications

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Market Integration and Price Dynamics under Market Shocks in European Union Internal and External Cheese Export Markets

Spatial Price Transmission and Price Dynamics of Global Butter Export Market under Economic Shocks

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