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Not All International Monetary Shocks are Alike for the Japanese Economy

Ronald A. Ratti
2014 Social Science Research Network  
This paper examines the influence of monetary aggregates shocks in the U.S., China and the Euro area on Japan.  ...  After 24 months, monetary shocks in China forecast 20% of the variation in Japan's real trade balance.  ...  Consequently, policymakers, forecasters and modellers have to consider this issue when considering potential external influences in Japanese economy analyses and by extension economic and policy analysis  ... 
doi:10.2139/ssrn.2390991 fatcat:ky7r5a3htrar7ebkxlokkwophq

Not all international monetary shocks are alike for the Japanese economy

Joaquin L. Vespignani, Ronald A. Ratti
2016 Economic Modelling  
This paper examines the influence of monetary aggregates shocks in the U.S., China and the Euro area on Japan.  ...  After 24 months, monetary shocks in China forecast 20% of the variation in Japan's real trade balance.  ...  Consequently, policymakers, forecasters and modellers have to consider this issue when considering potential external influences in Japanese economy analyses and by extension economic and policy analysis  ... 
doi:10.1016/j.econmod.2015.10.019 fatcat:dyw5mxpoybb43imme6ej2kv6uy

Exchange Rate Movements and Fundamentals: Impact of Oil Prices and China's Growth

Shuo Cao, Hongyi Chen
2017 Social Science Research Network  
A time-varying parameter factor-augmented vector autoregressive (TVP-FAVAR) model is used to analyze the determinants of movements in these exchange rates, revealing that impact of global oil prices and  ...  This paper identifies five factors that can capture 95% of the variance across 39 US dollar exchange rates based on the principal component method.  ...  can directly evaluate the influence of f t on exchange rates.  ... 
doi:10.2139/ssrn.2925043 fatcat:mrkn36p7tzcpzijz6elpfzh5gy

Prediction of Carbon Emissions Trading Price in Fujian Province: Based on BP Neural Network Model

Yi Du, Keren Chen, Simin Chen, Kai Yin
2022 Frontiers in Energy Research  
different influencing factors on carbon price from six dimensions.  ...  Therefore, an accurate forecast of the carbon price in Fujian province not only provides conducive suggestions for the further optimization of the carbon market in Fujian province, but also offers a significant  ...  FUNDING This paper is supported by the National Natural Science Foundation of China (Grant Nos. 71874149, 71934001), National Social Science Fund of China (Grant No. 20ZDA084), and the State Grid Fujian  ... 
doi:10.3389/fenrg.2022.939602 fatcat:wjyt2fmsyjhxlpuayvh7jlswcm

Forecasting China's foreign exchange reserves using dynamic model averaging: The roles of macroeconomic fundamentals, financial stress and economic uncertainty

Rangan Gupta, Shawkat Hammoudeh, Won Joong Kim, Beatrice D. Simo-Kengne
2014 The North American journal of economics and finance  
The relative predictive prowess of the oil and copper prices alternates, depending on the commodity cycles. Policy implications are also provided. JEL Classification codes: C11, C53, F37, F47  ...  The US-China interest rate differential has a superior predictive power among the 13 predictors considered, followed by the nominal effective exchange rate and the interest rate spread for most of the  ...  In terms of the relevance of predictors based on commodity prices, it seems that the copper price predicts China's foreign reserves better than the oil price during the commodity boom of 2005-2008.  ... 
doi:10.1016/j.najef.2014.02.003 fatcat:vruoh7fgk5evrhitp2eqlcrp3a

The Effect of Crude Oil Price on Merchandise Trade: Evidence from East Asia and Pacific

Bhenu Artha, Bahri, Cahya Purnama Asri, Ardhi Khairi, Fikri Alamsyah
2021 Journal of Business Management Review  
The objective of this research is to determine the influence of crude oil price to merchandise trade in East Asia and Pacific. This research uses quantitative methods and linear regression analysis.  ...  The results of the analysis show that there is negative and significance effect of crude oil price on merchandise trade in East Asia and Pacific for the period 1987 – 2019.  ...  Wen et al. (2020) found that there exists upside and downside risk spillover effects that are stronger from exchange rates to crude oil than those from oil to exchange rate markets.  ... 
doi:10.47153/jbmr28.1852021 fatcat:o7koqausxbgolihujb66s2z6ai

Selection of Machine Learning Models for Oil Price Forecasting: Based on the Dual Attributes of Oil

Lei Yan, Yuting Zhu, Haiyan Wang, Daqing Gong
2021 Discrete Dynamics in Nature and Society  
Since the commodity and financial attributes of crude oil will have a long-term or short-term impact on crude oil prices, we propose a de-dimension machine learning model approach to forecast the international  ...  Then, based on the recurrent neural network (RNN) and long-term and short-term memory (LSTM) models, we build eight models for predicting the future and spot prices of international crude oil.  ...  Acknowledgments is paper was supported by the Scientific Research and Innovation Team of "Digital Economy Serving Port Economy Research" of Zhejiang Wanli University (grant no. 202036).  ... 
doi:10.1155/2021/1566093 fatcat:g7tzgluc5jcs5c3i2l2rmrxpqq

Adding China to the Global Projection Model

Patrick Blagrave, Peter Elliott, Roberto Garcia-Saltos, Douglas Hostland, Douglas Laxton, Fan Zhang
2013 IMF Working Papers  
These features (the use of multiple monetary-policy instruments and a managed-floating exchange-rate policy) mean that a separate treatment of China allows for a better consideration of China, as well  ...  as how the rest of emerging Asia behaves.  ...  Third, we assume that the domestic prices for gasoline and consumer food follow a simple structure: in the long run, those prices depend on crude oil costs, international food prices, taxes and other factor  ... 
doi:10.5089/9781484317631.001 fatcat:tnho2uzgcbbnpl2zu2cm2ljsoa

On the Exposure of the BRIC Countries to Global Economic Shocks

Ansgar Hubertus Belke
2016 Social Science Research Network  
This view is supported by Bayesian VARs specifi ed for the BRIC (Brazil, Russia, India, and China) countries. The results reveal a strong impact of international variables on GDP growth.  ...  In contrast to the other countries, China plays a crucial role in determining global trade and oil prices.  ...  According to Figure 4 the one-time unexpected shock in China's output could explain up to 22.3 percent of oil price forecast error variations after two years.  ... 
doi:10.2139/ssrn.2812016 fatcat:d5xb3mwuyfdyhl57ps2gxerot4

On the exposure of the BRIC countries to global economic shocks

Ansgar Belke, Christian Dreger, Irina Dubova
2018 The World Economy  
This view is supported by Bayesian VARs specified for the BRIC (Brazil, Russia, India, and China) countries. The results reveal a strong impact of international variables on GDP growth.  ...  In contrast to the other countries, China plays a crucial role in determining global trade and oil prices.  ...  According to Figure 4 the one-time unexpected shock in China's output could explain up to 22.3 percent of oil price forecast error variations after two years.  ... 
doi:10.1111/twec.12674 fatcat:xfrzngv7kvadxceegvzoirwg4u

A Lead-Lag Relationship and Forecast Research between China's Crude Oil Futures and Spot Markets

Chi Zhang, Dandan Pan, Mingyan Yang, Zhengning Pu
2022 Complexity  
First, based on one-minute high-frequency prices, this paper applies the thermal optimal path (TOP) method to examine the lead-lag relationship between Chinese crude oil futures and spot from March 2018  ...  Second, we apply the Mixed Frequency Data Sampling Regression (MIDAS) model and indicators such as deviation degree to test the degree of prediction of high-frequency prices in the futures market to the  ...  Acknowledgments is work was supported by the National Social Science Foundation, China (no. 20&ZD110), Social Science Fund, Nanjing University of Posts and Telecommunications (no. NYY219004).  ... 
doi:10.1155/2022/6162671 doaj:ae5f34dd164544029e0072e7af67dd60 fatcat:3jfwcctavnbv3dwmgft3cfqe3m

IS THERE A "REVERSE CAUSALITY" FROM NOMINAL FINANCIAL VARIABLES TO ENERGY PRICES?

Roberto J. Santillán-Salgado, Alí Aali-Bujari, Francisco Venegas-Martínez
2019 International Journal of Energy Economics and Policy  
effect on the exchange rate, and: (3) That interest rate markets follow their own dynamics independently of the rest of the model variables.  ...  In order to study the interaction between energy prices and relevant nominal variables (stock market returns, interest rates, and exchange rates), a panel vector autoregression analysis is carried out.  ...  Studies on the Influence of Stock Markets on Energy Prices The influence of nominal financial variables (exchange rates, interest rates, stock exchange returns) on energy (oil, natural gas) prices has  ... 
doi:10.32479/ijeep.7526 fatcat:rp4hq2fqjfewlfv3oj6x54pxkm

Oil price shocks, economic policy uncertainty and industrial economic growth in China

Jingyu Chen, Faqi Jin, Guangda Ouyang, Jian Ouyang, Fenghua Wen, Stefan Cristian Gherghina
2019 PLoS ONE  
Further analyses investigate the asymmetry effect of oil prices and find that the negative component shows a more significant impact on China's industrial economic growth.  ...  Based on monthly data from 2000 to 2017, we reveal that GEPU and world oil prices jointly Granger cause China's industrial economic growth; world oil prices have a positive effect on China's industrial  ...  Asymmetric analysis The above analysis is based on the assumption of a linear effect of the world oil price on China's economic growth.  ... 
doi:10.1371/journal.pone.0215397 pmid:31075134 pmcid:PMC6510409 fatcat:spzplkgbg5ck5hhnsjl3wxhgpe

Declining exchange rate pass-through to U.S. import prices: The potential role of global factors

Mario Marazzi, Nathan Sheets
2007 Journal of International Money and Finance  
This paper documents a robust and sustained decline in exchange rate pass-through to U.S. import prices, from well above 0.5 during the 1970s and 1980s to around 0.2 over the last decade.  ...  We also find evidence that foreign exporters are increasingly setting their prices with an eye on U.S. prices.  ...  The exchange rate sensitivity of oil prices is an important question; however, given the unique features of global oil markets and the volatility of oil prices, it is one that is best modeled explicitly  ... 
doi:10.1016/j.jimonfin.2006.12.003 fatcat:krwdmjf2erg2zeqh5om7jyrkau

The Renminbi and Poor-country Growth

Christopher Garroway, Burcu Hacibedel, Helmut Reisen, Edouard Turkisch
2011 The World Economy  
RENMINBI APPRECIATION AND CHINA'S GROWTH It is hard to forecast the effects of real renminbi appreciation on China's future growth rate.  ...  The real effective exchange rate of the renminbi exerted a significant pressure on the export prices of middle-income countries after 1997, but there were no significant impacts in that regard for low-income  ... 
doi:10.1111/j.1467-9701.2011.01408.x fatcat:mpafrk47abcmbe6tz5rwbquvfq
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