Editor-in-chief:
Prof. Johannes (Joost) Platje
Deputy Editor-in-chief
Prof Kazim Baris Atici
Co-Editor:
Prof Ali Emrouznejad
Dr. Wim Westerman
Vol. 8, No.4, December 2024, 7-36
Received: 31.05.2024, Revised: 03.06.2024, Revised: 18.07.2024, Accepted: 21.08.2024
The response of inflation to budgetary shocks in Russia: an (S)VAR approach in economically uncertain times
Author: Feriel DERMECHI, Ahmed ZAKANE
National Higher School of Statistics and Applied Economics, Algeria.
Aim: The motivation for this research stems from Russia’s notable high levels of government expenditure due to its continual involvement in armed conflicts, which often result in budgetary imbalances and economic policy uncertainty. These factors impact the inflation rate. This study delves into the complex relationship between budgetary shocks, economic uncertainty, and inflation within the context of the Russian economy. The aim of this study is to unravel how budgetary decisions, made amidst a globally uncertain economic environment, influence inflation dynamics. In other words, the objective of this study is to analyse the effects of budgetary shocks on the inflation rate in Russia, taking into account the uncertain context of her economic policy.
Design / Research methods: To achieve the objective, we employ a Structural Vector AutoRegression (S)VAR approach, covering the period from 2003-Q1 to 2022-Q4. This methodological approach allows for a comprehensive analysis of how economic uncertainty influences the identification of budgetary shocks within an (S)VAR model.
Conclusions / findings: The findings underscore that incorporating the economic uncertainty index into the model yields statistically significant estimates, suggesting that variations in economic uncertainty shape the relationship between budgetary shocks and inflation. This sheds light on the intricate mechanisms through which economic uncertainty influences the behaviours of economic agents and policy decisions, thereby affecting the transmission of budgetary shocks to inflation. In contrast, without the economic uncertainty index, the response of the inflation rate to budgetary shocks is insignificant.
Originality / value of the article: This study makes an original contribution by incorporating the Economic Uncertainty Index to better capture budgetary shocks. By showing how uncertainty affects the effectiveness of fiscal policies on inflation, it offers new perspectives on macroeconomic stability. This approach provides a more detailed analysis of the responses of economic actors and their implications for policymakers in volatile economic environments.
Keywords: Russia, economic policy uncertainty, inflation, budgetary shocks, (S)VAR.
JEL: E31; E62; C51
Vol. 8, No.4, December 2024, 37-73
Received: 27.06.2024, Revised: 06.10.2024, Accepted: 19.10.2024
Devaluation, goods price variation and trade flows
Authors: David UMORU, Muhammed Adamu OBOMEGHIE, Beauty IGBINOVIA
Edo State University Uzairue, Iyamho, Nigeria
Aim: The study examined the behavior of exchange rate in ASEAN countries. This was highly necessitated in order to account for the structural break in the data set occasioned by global financial crisis.
Research method: The quantile regression sensitivity analysis was performed on daily series of exchange rate volatility for 8 ASEAN countries having divided our sample into two, before and after the financial crisis eras. Periods of low market volatility (2001–2006 plus 2010–2017) and high market volatility (1990–2000, 2007–2009, plus 2018–2023) correlate to the periods before and after the financial crisis, respectively.
Findings: The empirical finding going forward is that since the global financial crisis took effect, exchange rate volatility has not been effectively curtailed by the governments and monetary authorizes of ASEAN countries especially in Thailand, Malaysia, Indonesia and Vietnam respectively. There is therefore the need for a policy fight in favour of stability of the currency exchange rates.
Originality: The originality of the research resides with the sensitivity analysis which validates the presence of high persistence in the volatility of the Thai Baht exchange rate throughout the quantiles. This was followed on by the high persistence in the exchange rate of the Malaysian ringgit which began at the 70th quantile in the pre-financial crisis period with a persistence value of 1.0097 as against the 30th quantile in the post-financial crisis estimations with a persistence value of 1.0387. The Indonesian Rupiah and Vietnamese dong took turns as regards volatility persistence. We also found significant ARCH effect which instigated further estimations of the GARCH and FIGARCH models as robustness checks.
Contributions: With the GARCH results, the study contributed to establishing persistence of volatility in the exchange rates of all ASEAN countries in our sample, with varying degrees and this could be attributed instabilities in the economies. Explicitly, the significance of the FIGARCH coefficient confirms the persistence of volatility over time with considerable long-term memory effect. This implies that once the exchange rate becomes volatile, such volatility last long, influencing future volatility levels noticeably in all the countries. Exchange rate volatility persistence of the Singapore Dollar was very low.
Keywords: Exchange rate behavior, FIGARCH-DCC, volatility persistence, RER, long-term memory, volatility
JEL: A20, B34, C50
Vol. 8, No.4, December 2024, 75-96
Received: 09.04.2024, Revised: 29.10.2024, Accepted: 01.12.2024
The impact of China’s foreign trade on their Actual-Open Emissions of CO2 in the years 2000–2020 in the context of EU energy policy
Author: Bartosz FORTUŃSKI
Opole University, Poland
Aim: This article aims to analyze the impact of China’s trade with 78 major trading partners on Actual-Open Emission of CO2 (EAO) from 2000 to 2020 in light of the European Union’s (EU) goal to reduce CO2 emissions by 20% by 2020 compared to 1990 levels.
Research Methods: The research is based on the Actual-Open Emission of CO2 model and employs the circular flow model to assess the influence of China’s foreign trade on CO2 emissions during the years 2000–2020.
Findings: The study revealed that China’s foreign trade significantly influenced its CO2 emissions in all years analyzed, with positive contributions to EAO due to a trade surplus (exports exceeding imports). As the world’s largest exporter and the second-largest importer, China’s trade activity resulted in substantial CO2 emissions. Four key indicators were identified as influencing the difference between Official-Close Emission of CO2 (EOC) and EAO: China’s GDP, the percentage of exported GDP, the percentage of imported GDP, and EOC levels. These findings highlight the significant role of trade in China’s CO2 emissions, which is critical in the context of EU initiatives like “Fit for 55.”
Keywords: International trade, China, CO2 emissions, EU energy policy.
JEL: F18, Q54, Q56