Table of Contents

Impacts of Monetary Policies on Inflation Rates in Sudan (1970-2014)

Abdel Mutlab Ibnouf, Alneelain University - Department of Economics
Issam A.W. Mohamed, Al-Neelain University - Department of Economics

Linkages between the US and European Stock Markets: A Fractional Cointegration Approach

Guglielmo Maria Caporale, Brunel University - Centre for Empirical Finance
Luis A. Gil-Alana, University of Navarra - Department of Economics
C. James Orlando, University of Navarra - School of Economics

Transforming Growth Patterns for Sustainable Development

Pingfan Hong, United Nations - Department of Economic and Social Affairs (DESA)

Hello London: The Federal Funds Rate Meets the London Interbank Offered Rate

Joseph Friedman, Temple University - Department of Economics
Yochanan Shachmurove, City University of New York, CUNY City College of New York - Department of Economics, The University of Pennsylvania - Department of Economics

Analysing Monetary Policy's Transmission Mechanisms Through Effective and Expected Interest Rates: An Application of MS-Models, Bayesian VAR and Cointegration Approaches for Brazil

Ricardo Ramalhete Moreira, Espírito Santo Federal University

What are the Macroeconomic Effects of Asset Purchases?

Martin R. Weale, National Institute of Economic and Social Research (NIESR)
Tomasz Wieladek, Bank of England


MACROECONOMICS: MONETARY & FISCAL POLICIES eJOURNAL

"Impacts of Monetary Policies on Inflation Rates in Sudan (1970-2014)" Free Download

ABDEL MUTLAB IBNOUF, Alneelain University - Department of Economics
ISSAM A.W. MOHAMED, Al-Neelain University - Department of Economics
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The current paper investigates the role of fiscal and monetary policies on inflation in Sudan for the period (1970-2014). The study assessed the impact of money supply, exchange rate, gross domestic product (GDP), budget deficit and government expenditure on inflation. It has adopted a descriptive and analytical method to achieve the goal. In particular, it has relied on empirical investigation based on descriptive statistic and econometric modeling.

The results shows that several monetary, fiscal and structural factors, namely, money supply, budget deficit and shrinking of gross domestic product are simultaneously influencing inflation in Sudan. While exchange rate and government expenditure are found to be with no effect on inflation rate, these findings may explain the fact that inflation depends on the way government expenditure is financed rather than the magnitude of the expenditure itself.

The study recommends that the government should depend on real sources in financing budget deficit rather than monetizing deficit by and borrowing from the central Bank and which have significant impact on increasing money supply. It has to ensure effective role in financing budget deficit and controlling inflation. Moreover, it is important to prepare an appropriate environment for investment and best utilization of Sudan’s national resources that stimulate gross domestic product (GDP) and reduce inflation rates.

"Linkages between the US and European Stock Markets: A Fractional Cointegration Approach" Free Download

GUGLIELMO MARIA CAPORALE, Brunel University - Centre for Empirical Finance
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LUIS A. GIL-ALANA, University of Navarra - Department of Economics
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C. JAMES ORLANDO, University of Navarra - School of Economics
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This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. The empirical evidence suggests the presence of unit roots in both the S&P 500 Index and the Euro Stoxx 50 Index, and also that cointegration only holds over the subsample ending in March 2009, i.e. when the global financial crisis was still severe; subsequently, the US and European stock markets diverged and followed different recovery paths, possibly as a result of various factors such as diverging growth and monetary policy.

"Transforming Growth Patterns for Sustainable Development" Free Download

PINGFAN HONG, United Nations - Department of Economic and Social Affairs (DESA)
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Growth matters for poverty reduction and the achievement of other MDGs, but the pattern of growth matters more. This paper, based on the MDG experience, identified and analysed a large number of economic policy measures which can make growth more sustained, inclusive and equitable, so as to be more effective in promoting the achievement of MDGs. The paper also indicated that the pattern of “sustained, inclusive, and equitable growth?, which was found to be effective in the MDG period, would need to be transformed into “sustainable, inclusive, and equitable growth? for promoting the achievement of SDGs in post-2015. The paper discussed some key elements for this transformation.

"Hello London: The Federal Funds Rate Meets the London Interbank Offered Rate" Free Download

JOSEPH FRIEDMAN, Temple University - Department of Economics
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YOCHANAN SHACHMUROVE, City University of New York, CUNY City College of New York - Department of Economics, The University of Pennsylvania - Department of Economics
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In February 1994, the Federal Reserve Bank made its Federal Funds Rate (FFR) transparent. Currently, the literature lacks analysis of the relationship between the FFR and non-domestic interest rates. Employing cointegration and vector error correction models, this paper compares the relationship between the FFR and the London Interbank Offered Rate (LIBOR) for the time periods preceding the change in monetary transparency i.e., from February 1987 until January 1994 and the post period of February 1994 until May 2002. Comparing monetary policies under the two periods allows the investigation of the degree of pass-through between the FFR and the LIBOR.

"Analysing Monetary Policy's Transmission Mechanisms Through Effective and Expected Interest Rates: An Application of MS-Models, Bayesian VAR and Cointegration Approaches for Brazil" 
Int. J. Monetary Economics and Finance, Vol. 7, No. 1, 2014

RICARDO RAMALHETE MOREIRA, Espírito Santo Federal University
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This work applies Markov-switching models, a Bayesian vector autoregressive (BVAR) and Cointegration approach to verify the empirical relationships between expected and effective short-term interest rates in Brazil. The main results corroborate the theoretical notion that the Central Bank can smooth adjustments in effective short-term interest rates, as the latter affect expected short-term rates, thereby influencing long-term interest rates, which are fundamental for controlling output activity and price changes. Moreover, the MS-models show that these empirical relationships are more significant under a ‘higher response regime’. In turn, the BVAR test yields impulseresponse functions showing that shocks in expected rates have more persistent impacts on effective rates than the latter have on the former. Finally, the Cointegration and Vector Error Correction approaches are used as a robustness test and confirm the idea of a co-movement between expected and effective interest rates in Brazil. These results support the notion that Brazilian monetary policy is transparent, predictable and efficient.

"What are the Macroeconomic Effects of Asset Purchases?" Fee Download
CEPR Discussion Paper No. DP10495

MARTIN R. WEALE, National Institute of Economic and Social Research (NIESR)
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TOMASZ WIELADEK, Bank of England
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We examine the impact of large scale asset purchase announcements of government bonds on real GDP and the CPI in the United Kingdom and the United States with a Bayesian VAR, estimated on monthly data from 2009M3 to 2014M5. We identify an asset purchase announcement shock with four different identification schemes, always leaving the reactions of real GDP and CPI unrestricted, to test whether these variables react to asset purchases. We then explore the transmission channels of this policy. The results suggest that an asset purchase announcement of 1% of GDP leads to a statistically significant rise of .58% (.25%) and .62% (.32%) rise in real GDP and CPI for the US (UK). In the US, this policy is transmitted through the portfolio balance channel and a reduction in household uncertainty. In the UK, the policy seems to be mainly transmitted through the impact on investors' risk appetite and household uncertainty.

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This eJournal distributes working and accepted paper abstracts of empirical and theoretical papers on different aspects of monetary and fiscal policies. The topics in this eJournal include E1 and E6 from Section E of the classification system of the JEL.

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MACROECONOMICS EJOURNALS

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Advisory Board

Macroeconomics: Monetary & Fiscal Policies eJournal

OLIVIER J. BLANCHARD
International Monetary Fund (IMF), National Bureau of Economic Research (NBER)

JOHN Y. CAMPBELL
Morton L. and Carole S. Olshan Professor of Economics, Harvard University - Department of Economics, National Bureau of Economic Research (NBER)

STEPHEN G. CECCHETTI
Professor of International Economics, Brandeis International Business School, National Bureau of Economic Research (NBER), Centre for Economic Policy Research (CEPR)

BENJAMIN M. FRIEDMAN
William Joseph Maier Professor of Economics, Harvard University - Department of Economics, National Bureau of Economic Research (NBER)

ROBERT E. HALL
Stanford University - The Hoover Institution on War, Revolution and Peace, National Bureau of Economic Research (NBER)

ROBERT E. LUCAS
John Dewey Distinguished Service Professor, University of Chicago - Department of Economics, National Bureau of Economic Research (NBER)

BENNETT T. MCCALLUM
Professor, Carnegie Mellon University - David A. Tepper School of Business, National Bureau of Economic Research (NBER)

ALLAN H. MELTZER
University Professor of Political Economics, Carnegie Mellon University - David A. Tepper School of Business

FREDERIC S. MISHKIN
Alfred Lerner Professor of Banking and Financial Institutions, Columbia Business School - Finance and Economics, National Bureau of Economic Research (NBER)

PAUL M. ROMER
National Bureau of Economic Research (NBER)

JULIO J. ROTEMBERG
Harvard University - Business, Government and the International Economy Unit, National Bureau of Economic Research (NBER)

MATTHEW D. SHAPIRO
Professor, University of Michigan at Ann Arbor - Department of Economics, Professor, National Bureau of Economic Research (NBER)

ROBERT J. SHILLER
Yale University - Cowles Foundation, National Bureau of Economic Research (NBER), Yale University - International Center for Finance

CHRISTOPHER A. SIMS
Princeton University - Department of Economics, National Bureau of Economic Research (NBER)

JOHN B. TAYLOR
Stanford University