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The Bank of Albania has not employed traditional balance sheet policies; however, it has taken a series of policy actions that have increased the proportion of nonborrowed relative to borrowed components of the monetary base and its balance sheet liabilities. We aim to investigate whether these changes in the structure of the central bank balance sheet gave rise to additional monetary shocks with direct effects on inflation. The hypothesis is tested by estimating a small structural VAR model with cointegrated I(1) and I(0) policy and non-policy variables. We identify long-run restrictions based on the embedded structure of the data generating process, as defined by cointegration relationships. Our findings suggest that an increase in the share of non-borrowed components of the monetary base has direct and indirect positive effects on inflation. We argue that the identification of this monetary shock has significant implications for the central bank and its monetary policy. [ABSTRACT FROM AUTHOR]

In this paper, we use monthly data from 1992 to 2022 and a structural VAR model to investigate the effects of oil supply shocks, aggregate demand shocks, and oil-specific demand shocks in the global crude oil market on the Canadian stock market. Our analysis reveals that these shocks affect the S&P/TSX Composite Index and various sector-specific indices in different ways. Specifically, the response of the Canadian market to oil-specific demand shocks diverges notably from the U.S. market, highlighting Canada's unique position as an oil-exporting country. In the long run, oil price shocks account for over 10% of the variation in the composite index and as much as 35% in the Energy sector index. [ABSTRACT FROM AUTHOR]

Using a structural vector autoregression (SVAR) model, we demonstrate that the response of consumer prices in oil-producing Canadian provinces to oil market shocks is similar to that of consumer prices in non-oil-producing provinces, though the magnitudes and durations vary. In particular, the effects of oil supply and oil-specific demand shocks lead to significant consumer price increases while unanticipated expansions in global demand only lead to modest increases in consumer prices across both sets of provinces. Our results suggest that oil market shocks are transmitted from consumer prices in oil-producing provinces to non-oil-producing ones largely through changes in the labor market. Further, we find that roughly 41% of the long-run variation in consumer price inflation in oil-producing provinces is attributable to oil market shocks while it is about 46% in non-oil-producing provinces on average. Finally, we show that historically, oil market shocks have contributed to fluctuations in consumer price inflation in each province with different signs at different points in time. Consequently, our results suggest that policymakers should pay close attention to the effects of oil market shocks on subnational consumer prices in order to curb the impacts of adverse supply shocks and to mediate demand-side forces. [ABSTRACT FROM AUTHOR]

The Russian invasion of Ukraine triggered severe disruptions in the European energy market, causing also significant shifts in global natural gas flows. We investigate how this European shock has affected the dynamics and altered the estimates of the elasticities on the US natural gas market. We use the Bayesian Structural Vector Autoregression framework proposed by Baumeister and Hamilton (Am Econ Rev 109(5):1873–1910, 2019, BH) for the crude oil market and applied by Rubaszek et al. (Energy Econ 103:105526, 2021, RSU) to analyze the dynamics of the US natural gas market. By extending the RSU model for natural gas exports and imports and deriving model’s posterior using most recent data, we approximate the impact of the European energy crisis on the US natural gas market. We show that the estimates of the US natural gas market elasticities change due to our modification, while simply updating the same prior beliefs with most recent data impacts the posterior estimates to a very limited extent. We also find that a shock even as major as the European energy crisis has only marginally affected the US natural gas market, thus confirming the results from the literature that the EU and US natural gas markets evolve independently. [ABSTRACT FROM AUTHOR]

This article develops statistical inference methods for a class of set‐identified models, where the errors are known functions of observations and the parameters satisfy either serial or/and cross‐sectional independence conditions. This class of models includes the independent component analysis (ICA), Structural Vector Autoregressive (SVAR), and multi‐variate mixed causal–non‐causal models. We use the Generalized Covariance (GCov) estimator to compute the residual‐based portmanteau statistic for testing the error independence hypothesis. Next, we build the confidence sets for the identified sets of parameters by inverting the test statistic. We also discuss the choice (design) of these statistics. The approach is illustrated by simulations examining the under‐identification condition in an ICA model and an application to financial return series. [ABSTRACT FROM AUTHOR]

We show root‐T consistency of the smoothed AIC and smoothed BIC model averaging estimators (sAIC, sBIC) of impulse response coefficients in stationary vector autoregressive models of finite lag order. We also show that there is not one unique way to define the sAIC and sBIC estimators, but that instead there is a whole class of each of these defined by a weight scaling factor that allows the averaging estimator to become more similar to either its model selection counterpart or the equal weights averaging estimator. We also show asymptotic validity of a bootstrap method for estimating the averaging estimators' distributions. Simulations illustrate the benefits of using sAIC instead of AIC estimators. [ABSTRACT FROM AUTHOR]

This study investigates the long-run relationship between the U.S. dollar and the Canadian dollar by analyzing the bilateral exchange rate induced by nominal and real shocks. The methodology centers on a structural vector autoregressive (SVAR) model, including the analysis of impulse response and variance decomposition to account for the impact of nominal and real shocks on exchange rate movements. This study also decomposes real shocks into demand and supply factors from both Canada and the U.S. and compares their impacts on the nominal and real exchange rates. The results are compared to shocks driven by country-specific nominal factors. This study uses quarterly data from December 1972 to December 2023. The findings suggest that real shocks have a permanent impact on both the nominal and real exchange rates, compared to nominal shocks, which have a temporary impact. Country-specific real supply-side factors have a more significant impact than country-specific real demand-side factors. Country-specific nominal factors barely impacted the nominal and real exchange rates between the U.S. and Canada. [ABSTRACT FROM AUTHOR]

This paper aims to assess the effects of oil price shocks on the stock markets of the G7 countries. We develop an oil sentiment indicator that measures the volatility of oil prices. We analyze oil shocks on the stock market of the G7 countries, using a structural VAR and Local Projection approach. Our results suggest that oil shocks explain 8% of the US stock market, 10% in Germany, and 7% in the UK. These results point out the possibility of using this sentiment variable for forecasting the stock market's volatility. [ABSTRACT FROM AUTHOR]

This paper investigates the impact of US uncertainty shocks on China's macroeconomy with a focus on the dynamic response of investment. Using a structural vector autoregression (VAR) model, we find that the wait-and-see mechanism of aggregate investment in the face of heightened US uncertainty disappears in China. Robust evidence confirms that the increase in state-owned enterprises' investment in response to heightened uncertainty explains this puzzle, while private-owned enterprises' investment decreases as expected. We apply regime-dependent local projections to link uncertainty shocks with credit regimes to explore whether the impact of US uncertainty shocks on investment in China has varied over time in connection with the states of bank loans. The empirical results support a positive response of state-owned enterprises' investment to increased US uncertainty during the tightening of medium- and long-term bank loans but a negative reaction when short-term bank loans are tightening. Finally, we show that economic policy uncertainty conveying political signals leads to a decline in state-owned enterprises' investment. Overall, this paper provides richer empirical evidence on the investment-uncertainty nexus. [ABSTRACT FROM AUTHOR]

We implement a novel nonlinear structural model featuring an empirically successful frequency-dependent and asymmetric Phillips curve; unemployment frequency components interact with three components of core personal consumption expenditures (PCE)--core goods, housing, and core services exhousing--and a variable capturing supply shocks. Forecast tests verify accuracy in its unemployment--inflation trade-offs, crucial for monetary policy. Using this model, we assess the plausibility of the December 2022 Summary of Economic Projections (SEP). By 2025Q4, the SEP projects 2.1% inflation; however, conditional on the SEP unemployment path, we project 2.9%. A fairly deep recession delivers the SEP inflation path, but a simple welfare analysis rejects this outcome. [ABSTRACT FROM AUTHOR]

I study the effects of monetary policy shocks in Canada on economic and financial variables. With a narrow window around a policy announcement, I create a new set of intraday level, high-frequency monetary policy surprises using the three-month Canadian Bankers' acceptance rate futures. I use this measure to identify monetary policy shocks as an external instrument in a monthly VAR. Following a 25 basis point contractionary policy shock, I find that the decline in output is more powerful and peaks earlier than previous empirical works show, with a peak decline of 0.5 % points after 18 months. Price level declines are similarly more powerful and earlier, reaching a decline of 0.3 % points after 24 months. In addition, increases in the credit and mortgage spreads indicate the presence of a domestic credit channel of monetary policy transmission for Canada. Finally, I show that the surprise measure is robust to information effects. [ABSTRACT FROM AUTHOR]

Summary: This paper introduces a novel panel approach to structural vector autoregressive analysis. For identification, we impose independence of structural innovations at the pooled level. We demonstrate robustness of the method under cross‐sectional correlation and heterogeneity through simulation experiments. In an empirical application on monetary policy transmission in the Euro area, we find that bond spreads rise significantly after an unexpected monetary tightening. Furthermore, the central bank responds to offset effects of adverse financial shocks. Additionally, we document sizable heterogeneity in country‐specific output responses. [ABSTRACT FROM AUTHOR]

In recent years, the concurrent occurrences of the COVID-19 pandemic and the Russian invasion of Ukraine have led to global disruptions in supply chains and a surge in commodity prices. Major advanced economies have experienced an increase in inflation rates and a decline in economic activity. Against this economic backdrop, this paper aims to address the strained condition of supply chains by employing the Global Supply Chain Pressure Index (GSCPI) alongside commodity price indices. Furthermore, it seeks to examine how fluctuations in these variables affect Japan's macroeconomic landscape through local projection and structural Vector Autoregression (VAR). In the local projection analysis, it has been observed that the strain on supply chains induces sustained increases in consumer and producer prices, further contributing to long-term declines in production. Within the structural VAR model framework, the identification of structural shocks is conducted through sign restrictions, affirming the significance of supply chain shocks and energy and food price shocks as crucial factors contributing to recent price increases. This confirmation is supported by variance decomposition and historical decomposition analyses. [ABSTRACT FROM AUTHOR]

The channels driving the international macroeconomic and financial shock transmission is important for policy makers for the evaluation of the macroeconomic models and the appropriate policy design. The interdependencies between countries have a significant role on the international spillovers of macroeconomic shocks on the emerging market economies. The purpose of this study is to assess how do the domestic and foreign shocks affect the fundamental macroeconomic variables of a small-open economy, and in particular Türkiye. The domestic supply, demand and monetary policy shocks and their global counterparts are estimated by employing a Bayesian Structural VAR model identified with sign and zero restrictions. After a US monetary tightening shock, the results demonstrate an appreciation of the US Dollar against Turkish lira, a rise in the domestic consumer price level, a contractionary monetary policy response accompanied by a fall in the real output level. This reaction is a strong evidence of the existence of a global interest rate contagion present in the international macroeconomics literature.

In this study, we adopt the structural vector auto-regressive (SVAR) model to assess the degree to which global uncertainties affect the relationship between financial integration and consumption smoothing in Egypt and Nigeria using quarterly data from 2010 to 2020. The study hypothesises that global uncertainty shocks will have adverse effects on consumption smoothing in both Nigeria and Egypt. Our main results from the study show that the economic policy uncertainty shock has a more declining effect on consumption smoothing in Egypt than other global uncertainty proxies. On the other hand, global economic condition shocks have a more declining effect on consumption smoothing in Nigeria than other global uncertainty proxies. In addition, financial integration accounted for more variability in consumption smoothing in Egypt than in Nigeria; this may be due to the fact that Egypt is more financially integrated than Nigeria. We therefore make the following recommendations: Nigeria may diversify the economy by promoting growth in other sectors, such as manufacturing, to reduce the impact of external shocks on the economy and provide greater stability for households. Policymakers in Egypt can diversify export markets and reduce reliance on the US market to mitigate the impact of US policy fluctuations on Egypt’s economy.

This paper examines whether there exists a structural change in the relationship between oil shocks and US industrial production with the rapid development in oil industry due to the shale revolution. Using a structural VAR model, I identify supply and demand shocks in global crude oil markets and estimate changes in their effects on the US industrial production. The key finding is that the US industry output has become more responsive to oil price shocks since the shale oil boom. Oil supply shocks have been more important and heterogeneous effects on the industrial production depending on the US or non‐US oil supply component. There has also emerged the positive effect of oil demand shocks, stimulating aggregate economic activity. In particular, I find that there have been strong positive spillover effects from an oil price increase to other industries not only through direct purchases of inputs for oil production and investment, but also through indirect knowledge and technology transfers created during the shale revolution. These findings have profound policy implications for the fiscal and monetary authority who copes with exogenous oil shocks. [ABSTRACT FROM AUTHOR]

Using a time-varying parameter SVAR model over the period 1994 to 2021, this paper provides estimates of exchange rate pass-through (ERPT) to both producer and consumer prices for nine emerging Asian economies. We also examine the role of four global shocks as propagation channels to both producer and consumer price ERPT, specifically via oil prices, global output, US monetary policy, and the VIX. Our main findings are: (i) ERPT is incomplete and mostly higher for ERPT to producer than consumer prices; (ii) longer-term ERPT to producer and consumer prices is mostly greater in magnitude than shorter-term ERPT; (iii) ERPT has been declining for most Asian EMEs since around 2010; (iv) oil price and global output shocks mostly affect longer-term producer price ERPT in emerging Asia; and (v) US monetary policy and VIX shocks mostly affect longer-term consumer price ERPT in emerging Asia. [ABSTRACT FROM AUTHOR]

This paper analyses and investigates the impact of the oil sector crisis on the Libyan economy from 2012 Q4 to 2022 Q3, using the Bai-Perron model and a structural vector autoregressive model (SVAR). The findings demonstrate that the multiple structural breaks test statistics approved that nearly all of the study's variables had a structural break at years around political division and political agreement. In contrast to inflation, the results of the impulse response functions (IRFs) indicate that the shock to oil revenue had a considerable negative impact on the money supply and exchange rate. Furthermore, the study reveals that, with the exception of claims on the government with the central bank, shocks to oil revenue are the major contributors to variance decomposition for all variables. The results reveal that oil revenue, in particular, accounts for roughly 16%, 13%, and 16% of the variance decomposition of the money supply, exchange rate, and inflation rate, respectively. As a result, the oil sector crisis is a controlling factor in the explanation of variations in these variables. The study concluded that oil sector revenues have a sensitive impact on the Libyan economy and that the latter has a strong tide with a secure environment and political stability. [ABSTRACT FROM AUTHOR]

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Can monetary policy stimulate consumption through inflation expectations? We study how US consumers revise inflation expectations and readiness to spend in response to monetary policy shocks using a structural vector-autoregressive model, where we identify exogenous policy shocks with interest rate surprises around FOMC announcements. Based on survey data, we construct measures of changes in consumers' readiness to spend conditional on how consumers update their inflation expectations. Expansionary policy shocks tend to increase readiness to spend conditional on higher expected inflation outside the zero lower bound (ZLB), but the effect is small. At the ZLB, consumers increasingly reduce their readiness to spend if they expect higher inflation. Overall, we find only limited evidence suggesting that policy-induced variations in inflation expectations are associated with adjustments that are in line with the predictions of standard macroeconomic models. [ABSTRACT FROM AUTHOR]

The assumption of no correlation of the structural shocks as Blanchard and Quah's identification (BQ) assumes is not suitable when central banks, through discretionary policies or inflation targeting regimes, affect the output growth among other goals. In this study, we analyze the present value model of the current account (PVM) using a three‐SVAR specification and a modified BQ to identify three structural shocks: country‐specific permanent, country‐specific temporary, and global, but allowing the correlation of the domestic ones. Using Australia, Canada, Norway, and the UK, we find that those shocks are correlated and are less volatile than BQ would assume they are. The PVM predictions that hold are: (i) a positive (no) response in the current account to a country‐specific temporary (global) shock; and (ii) with the exception of Australia, there is no response in the current account to a country‐specific permanent shock. In addition, for all countries, the country‐specific temporary shock dominates current account changes but does not dominate net output growth fluctuations, which was a puzzle identified by a prior study. The role of the shock is enhanced by the modified BQ, but even with this enhancement, it still does not hold the most significant role in output variations, as indicated by PVM. [ABSTRACT FROM AUTHOR]

The impacts on food prices of temperature, the oil price, the exchange rate and wages in the agricultural industry were examined via a structural vector autoregression model and panel Granger causality test, using monthly data between January 2003 and December 2020 for Latin American countries. The paper concerns how much the determinants affect food prices. Empirical findings show that the oil price and temperature can be significant factors for reducing food inflation. According to the result of variance decomposition, in general, a considerable part of food inflation was explained by the exchange rate, but its effect did not show any significant change in the long term. The impacts of the oil price and temperature were limited in the early months, but they created larger changes over time. Impulse response function and the Granger causality test also indicated that exchange rate was a crucial dynamic in explaining food inflation in all countries except Ecuador. This country successfully mitigated the negative effect of the exchange rate, but the oil price and temperature had an impact on food inflation. All results indicate that both monetary and fiscal policies are essential to control food prices. These countries can accomplish this by conventional policies or by radical institutional changes. Nevertheless, the oil price and temperature are external dynamics, and crucial in creating alternative policies to control food inflation. [ABSTRACT FROM AUTHOR]

In recent years, the concurrent occurrences of the COVID-19 pandemic and the Russian invasion of Ukraine have led to global disruptions in supply chains and a surge in commodity prices. Major advanced economies have experienced an increase in inflation rates and a decline in economic activity. Against this economic backdrop, this paper aims to address the strained condition of supply chains by employing the Global Supply Chain Pressure Index (GSCPI) alongside commodity price indices. Furthermore, it seeks to examine how fluctuations in these variables affect Japan’s macroeconomic landscape through local projection and structural Vector Autoregression (VAR). In the local projection analysis, it has been observed that the strain on supply chains induces sustained increases in consumer and producer prices, further contributing to long-term declines in production. Within the structural VAR model framework, the identification of structural shocks is conducted through sign restrictions, affirming the significance of supply chain shocks and energy and food price shocks as crucial factors contributing to recent price increases. This confirmation is supported by variance decomposition and historical decomposition analyses.

The Bank of Albania has not employed traditional balance sheet policies; however, it has taken a series of policy actions that have increased the proportion of nonborrowed relative to borrowed components of the monetary base and its balance sheet liabilities. We aim to investigate whether these changes in the structure of the central bank balance sheet gave rise to additional monetary shocks with direct effects on inflation. The hypothesis is tested by estimating a small structural VAR model with cointegrated I(1) and I(0) policy and non-policy variables. We identify long-run restrictions based on the embedded structure of the data generating process, as defined by cointegration relationships. Our findings suggest that an increase in the share of non-borrowed components of the monetary base has direct and indirect positive effects on inflation. We argue that the identification of this monetary shock has significant implications for the central bank and its monetary policy.

This paper investigates the dynamic effects of changes in three different government spending components - public sector wages and purchase of goods and services, energy and other subsidies, and transfers to households - on inflation and private consumption in Indonesia from 2001:Q1 to 2022:Q4, using a non-recursive structural VAR model. The model consists of eight endogenous variables: exchange rate, output gap, tax ratio, government spending, inflation, debt ratio, interest rate, and private consumption. Structural decompositions reveal that inflation responses differ across the three government spending components. Shocks to government subsidies are more likely to lead to higher inflation than shocks to other components. But even spending on subsidies does not always have a statistically significant effect on inflation. Surprisingly, government spending shocks - aggregate or by components - do not seem to have a statistically significant impact on private consumption. The main effect of fiscal expansions may thus be a deterioration in public finances.

Summary: A quantile vector autoregressive (VAR) model, unlike standard VAR, traces the interaction among the endogenous random variables at any quantile. Quantile forecasts are obtained by factorizing the joint distribution in a recursive structure but cannot be obtained from reduced form estimation. Identification strategies and structural quantile impulse response functions are derived as generalization of the VAR model. The model is estimated using real and financial variables for the euro area. The dynamic properties of the system change across quantiles. This is relevant for stress testing exercises, whose goal is to forecast the tail behavior of the economy when hit by large financial and real shocks. [ABSTRACT FROM AUTHOR]

Purpose: The authors empirically aim to study the implications of uncertainty generated by oil price volatility on some key macroeconomic variables, including production, exchange rates and interest rates, of both oil-exporting and oil-importing countries. Using a block exogeneity structural Vector Auto Regression (VAR) model that mutes the effects of domestic variables on global factors and that is suitable for small open economies because of significant differences in the responses of domestic production in oil-importing countries will most likely decrease through reducing planning horizons, postponing investment projects and relocating resources more inefficiently. Design/methodology/approach: The authors integrated into the structural vector autoregressive (SVAR) model the block exogeneity feature since all the countries in this study are small open economies that cannot influence the global economic variables. The block exogeneity feature imposes the restriction that the domestic variables have neither a contemporaneous nor a lagged impact on the global variables. This model has eight variables: oil price volatility, world demand and federal funds rate as the global variables; and domestic production, monetary aggregate, inflation rate, exchange rate and interest rate as domestic variables. The authors assemble the data for 12 developing countries for which the necessary data for the analysis are available: six oil exporting countries (Russia, Saudi Arabia, Iran, Kazakhstan, Mexico and Colombia) and six oil importing countries (Turkey, India, Philippines, Poland, South Africa and Indonesia). Findings: The results point out significant differences in the responses of macroeconomic variables to oil price volatility shocks between oil-exporting and oil-importing countries. Furthermore, the local currencies of these countries depreciate due to concerns about possible current account worsening. In response to the shock, domestic interest rates are reduced so as to alleviate the negative exposure of the shock on domestic economic activity. While domestic production in some oil-exporting countries (i.e. Russia, Saudi Arabia and Iran) increases during oil price uncertainty; in some other countries (i.e. Mexico, Kazakhstan and Colombia), domestic production decreases. Originality/value: Several components of the study contribute to its novelty. One of them is the period under consideration. The time frame that encompasses the most significant geopolitical and financial events, such as the Middle East Spring and the global financial crisis of 2007–2008. The research was conducted using the block-exogeneity SVAR model, which includes 12 oil exporting and importing developing countries. With this model, the global dynamics, particularly the energy market, that these nations may influence and are influenced by, i.e. global and nonglobal factors can be constrained. This makes it easy to determine the various effects prices have on macroeconomic variables. Highlights: Oil prices and volatility still matter to the global economy Monetary and fiscal policy interventions in response to oil price volatility create uncertainty and impede investment activity The response of macroeconomic variables to volatility shocks in oil prices varies across oil importers and exporters Interest rates help stabilize production in oil-importing economies that have well-functioning financial markets [ABSTRACT FROM AUTHOR]

This paper investigates the dynamic effects of changes in three different government spending components - public sector wages and purchase of goods and services, energy and other subsidies, and transfers to households - on inflation and private consumption in Indonesia from 2001: Q1 to 2022: Q4, using a non-recursive structural VAR model. The model consists of eight endogenous variables: exchange rate, output gap, tax ratio, government spending, inflation, debt ratio, interest rate, and private consumption. Structural decompositions reveal that inflation responses differ across the three government spending components. Shocks to government subsidies are more likely to lead to higher inflation than shocks to other components. But even spending on subsidies does not always have a statistically significant effect on inflation. Surprisingly, government spending shocks - aggregate or by components - do not seem to have a statistically significant impact on private consumption. The main effect of fiscal expansions may thus be a deterioration in public finances. [ABSTRACT FROM AUTHOR]

This paper explores the viability of the fiscal policy in the reconstruction of the Syrian economy. We use the Structural VAR estimation technique to assess the response of real GDP to shocks in government expenditures and exchange rates in the parallel market. We also control for other variables including money supply and oil prices. We find that government spending is an effective tool for economic recovery in particular under a quasi-fixed exchange rate regime. We also employ the nonlinear ARDL (NARDL) model to detect the existence of asymmetrical effects of government spending on real GDP. The NARDL results show that negative changes in government expenditure have more impact on economic growth compared to positive changes. Additionally, the NARDL model reveals that the post-conflict period was characterized by large government spending' inefficiencies. Finally, we study three alternative government spending' rebuilding scenarios. We document that reaching the pre-conflict GDP level is possible under two of the scenarios we investigate. Hence, our results provide strong policy implications according to which fiscal policy can, under specific exchange rate regimes, reverse the adverse effects of civil wars. [ABSTRACT FROM AUTHOR]

This paper uses vector autoregression model analysis to identify monetary policy shocks on UK data using surprise changes in the policy rate as external instruments and imposing block exogeneity restrictions on domestic variables to estimate parameters from the viewpoint of the domestic economy. The results show large and persistent effects of monetary policy shocks on the domestic economy and point to the critical role of exchange rates and term premia. The analysis resolves important empirical puzzles of traditional recursive identification methods. [ABSTRACT FROM AUTHOR]

Does exporting increase firm productivity, or are increased export sales caused by the firm's ability to increase its productivity? This paper provides new empirical evidence on the causal relation between trade and productivity, adopting a structural vector autoregressive analysis combined with identification algorithms from the machine learning literature. We focus on a well-studied country (Chile) and on already-exporting firms (intensive margin). We identify the contemporaneous and lagged causal structure between firm productivity and export growth using two different machine learning algorithms based on independent components analysis (ICA), which exploit the non-Gaussian distribution of the data to recover the independent structural shocks that drive the observed variables. Our findings show that, for Chilean firms, productivity growth causes export growth in the same year, but that the reverse does not apply. Export growth also has no causal effect on TFP growth in subsequent years. To increase sales in the foreign market, firms should first also increase productivity. The increased presence in the foreign market does not contribute to such productivity growth. • We estimate a panel SVAR with data from 1312 Chilean plants for the years 2001–2006. • We identify causal structures using two algorithms: VAR-LiNGAM and VAR-LiNG. • We focus on the relationship between productivity and export growth. • We find that productivity growth contemporaneously causes export growth. • We do not find a similar influence from export growth to productivity growth. [ABSTRACT FROM AUTHOR]

We use structural vector autoregressions to analyse the dynamic effects of shocks to natural gas and nitrogenous fertiliser prices on three major cereal crops: maize, rice and wheat. We find that the response of cereal prices to natural gas and fertiliser price shocks has been relatively small, instantaneous and transitory. These findings suggest that crop prices may change rapidly in response to energy and fertiliser prices, even when there are no shifts in the underlying fundamentals in crop markets. Furthermore, because the effects of the shocks dissipate rather quickly, short‐term measures to address swings in food prices may suffice. [ABSTRACT FROM AUTHOR]

This paper investigates the impact of pandemic-induced uncertainty on the changes in the level and volatility of tourism demand. We estimate a structural VAR model using U.S. monthly data from January 2000 to December 2021 and find that pandemic-induced uncertainty shock has a negative and significant impact on inbound tourism. Our results reveal that, in the long run, a one-standard-deviation shock in the index of uncertainty induced by global pandemic shock explains about 50 per cent of the variations in the demand for tourism. Our findings on the predictive power of pandemic-induced uncertainty on tourism demand has important policy implications for tourism and hospitality management. [ABSTRACT FROM AUTHOR]

This paper investigates the impact of psychological factors of Canadian and Mexican tourists on the US tourism sector. Using the data of 1996–2019, the study uses vector autoregression models and the spillover analysis to perform the investigation. The paper discovers that high insecurity of tourists significantly reduces tourist arrivals, passenger fare receipts, and expenditure of tourists in the US. Also, tourist inflows are highly influenced by insecurity during terrorist attacks, natural disasters, and the financial crisis of the US. It is found that high sentiment of Canadian and Mexican tourists increases their outbound travel to the US, but the impact of sentiment is relatively stronger for the Canadian tourists. Results show that the tourist inflows from Canada and Mexico are influenced by low sentiment during recessionary periods of Canada and Mexico, respectively. The paper finds no robust evidence of mood and nationalism-based retaliation of tourists for traveling to the US. [ABSTRACT FROM AUTHOR]

The effectiveness of tourism as an instrument in combating poverty has emerged as an important subject of research. Tourism’s impact on poverty has traditionally been analyzed from the perspective of income or household consumption per capita. In contrast to these approaches, we analyzed the effect of the arrival of international visitors on poverty in Mexico by way of its impact on a modified misery index. To carry out this study, we used a bivariate structural vector autoregressive model, which indicates a negative unidirectional relationship from the international visitors to the misery index. Additionally, the historical decomposition shows that during the first COVID-19 wave, the changes in the international visitors highly explained the variations in the misery index.

We show that demand shocks have a greater effect on real freight rates compared to supply (fleet) shocks both historically and on impact. By contrast, supply shocks have a larger impact on net contracting activity when compared to demand shocks. This paper disentangles for the first time demand and supply shocks driving shipping freight markets and assesses their impact on net contracting activity, a key measure of shipping investments. In the process, we construct novel indices of demand for shipping transportation. Policy-related issues are quantified through drawing forecast scenarios for the response of real freight rates to unexpected demand and supply changes. (R41), (E32). [ABSTRACT FROM AUTHOR]

This paper examines how structural oil price shocks affect the US unemployment at the aggregate level and across the duration of unemployment spells. I find that adverse oil supply shocks produce a recessionary effect by significantly increasing the aggregate unemployment measures and the number of persons unemployed for 5 weeks or more. Aggregate demand shocks increase unemployment with a lag of a year and show a short-run fall in the number of unemployed between 5 and 26 weeks. While precautionary demand shocks have a muted effect on the unemployment rate, they temporarily raise short-term spells of unemployment but drop the number of unemployed between 5 and 26 weeks. Additionally, aggregate demand shocks are essential in explaining the duration of unemployment during the oil price surge of 2003–2008, the Great Recession, and the 2010–2014 period of stable oil prices. The findings also reflect that supply-driven shocks played a more important role in long-term unemployment during the 1970s–1980s period, whereas demand-driven shocks dominated the labor market during later periods of the 2000s. [ABSTRACT FROM AUTHOR]

This study empirically addresses claims about the effects of strikes on output growth, inflation, and non-agricultural employment in South Africa using a structural analysis of Bayesian VAR models with a Normal inverted Wishart prior for the period 1982–2018. We find empirical support for a strikes shock's transitory negative impact on the country's output growth. In any case, this was not contested. Our findings, however, contradict the claims that strikes ensue inflation and unemployment in South Africa. Precisely, the findings show that a strikes shock has a positive transient impact on non-agriculture employment but has no effect on inflation. The inflation finding suggests that strikes do not cause a wage-price spiral because the workers' bargaining power is weak to influence a significant wage increase settlement that can trigger prices. The employment finding implies a negative net change in the number of strikers after a settlement rather than an absolute increase in non-agriculture employment. These findings reveal that strikers resume work with unfulfilled wage increase demands. Hence, the burden borne by companies as a result of strikes is mainly due to lost production rather than a substantial increase in the wage bill. [ABSTRACT FROM AUTHOR]

We construct an agricultural policy uncertainty (APU) index from leading national and local newspapers in major agricultural states in the United States from January 1999 to September 2021. Our analysis shows that economic policy uncertainty Granger causes APU linearly in the short run, but the relationship is nonlinear and bidirectional in the long run. When economic policy uncertainty is considered, APU significantly reduces hedgers' net short positions and speculators' net long positions (except for corn hedgers) in the corn and soybean markets. APU also has a significant positive impact on the log returns of corn and soybean futures prices, consistent with the theory of storage where commodity returns and volatility are positively correlated. [ABSTRACT FROM AUTHOR]