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Subject: search.filters.subject.Inflation (Finance)

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    Essays on financial risk modelling : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Finance, School of Economics and Finance, Massey University, Auckland, New Zealand
    (Massey University, 2024-08-08) Nguyen, Thao Thac Thanh
    In today’s highly interconnected financial landscape, the risk of shock spillover is a critical factor contributing to increased systemic risk and impacting the global financial stability. Research on spillover effects has gained significant attention from both academics and practitioners. This thesis aims to contribute to this strand of the literature by conducting three studies that employ a variety of connectedness methods to investigate several underexplored issues within the field of financial risk management. These essays delve further into the evolution of these spillover effects during times of extreme financial uncertainty and aim to identify the key drivers of these spillovers. Essay One investigates the high-frequency spillover of volatility shocks across major oil-dependent foreign exchange markets, considering the impact of the oil market’s volatility regime. Essay Two examines the return shock spillover between European sectoral credit default swap and the natural gas markets. This investigation is conducted across different quantiles of return distributions, with a special focus on understanding the effects of the ongoing Russian-Ukrainian war on this spillover. Essay Three scrutinizes spillover effects of inflation shocks under normal economic conditions and extreme inflationary conditions between the U.S. and emerging markets. The essay further unveils the determinants of the inflation spillovers among the sample markets.
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    A closer look at the Nairu : a thesis presented in partial fulfilment of the requirements for the degree of Masters in Applied Economics at Massey University
    (Massey University, 1998) Smith, David
    This research will attempt to analyse the usefulness of the concept of the NAIRU (Non-Accelerating Inflation Rate of Unemployment, hereafter NAIRU). The history and development of the NAIRU will be analysed. There will be specific reference to the New Zealand economy and the policy implications of the NAIRU for New Zealand. The policy decisions in New Zealand such as the Reserve Bank Act and the Employment Contracts Act will be studied in an attempt to discern any implicit NAIRU goals. The aim is to find if the NAIRU is effective as a policy tool, and to understand the implications of the concept both if it is valid, and if it is invalid. The research will derive a NAIRU value empirically for the New Zealand economy. Comment will be made on the empirical techniques used by economists in their estimation of the NAIRU. In conclusion an understanding of the NAIRU, its validity, and its use to New Zealand policy makers, recommendations for further study will also be made.
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    Time series analyses of inflation in New Zealand : a thesis presented in partial fulfilment of the requirements for the degree of Master of Applied Statistics at Massey University
    (Massey University, 2005) Van der Logt, Petrus Bernardus
    Modelling of the economy has become increasingly important over the years. It serves two main purposes. It enables forecasts and it can be used for the evaluation of various economic policies. Economic models come with various degrees of size and statistical complexity. Models can be of a qualitative or of a quantitative nature. The soundness of the statistical techniques that are used for quantitative models is critical. In recent years a number of such techniques have been developed. This thesis will evaluate some on existing economic New Zealand time series. Inflation plays a main role in everyday life and it has been of major ongoing concern to the New Zealand governments in recent times. These governments have instructed the Reserve Bank of New Zealand (RBNZ) to set monetary policies to ensure certain targets are met. The RBNZ achieves this to a large degree by setting the Official Cash Rate which is the major determinant of the interest rates that are used by the banks. This thesis will consider some theoretical aspects of time series analysis. In particular the Dickey-Fuller tests and cointegration analysis are considered. Also some theoretical aspects of inflation are considered. Examples are given of aspects of New Zealand life other than the interest rates that may also affect the current inflation rates. The time series that were analysed could be categorised as inflation indices, monetary aggregates, interest rates and gross domestic product. The thesis attempted to evaluate the time series in such a manner that there was little room for an analyst's bias. This was mainly achieved by developing a standardised approach to the analysis of these series. A number of interactions between the time series were evaluated and some were identified as being suitable for further research with the ultimate aim of developing a small model of the New Zealand economy. Another aim was to evaluate some aspects of economic policy where possible given the small number of time series that were used. Granger Causality tests seemed to show the effect of economic policy, where the interest rates affect the inflation rates. However, this was not further supported by cointegration analyses. There are various possible explanations for this. It was surmised that the standardised way of analysis may not have identified this relationship where it existed. The analyses showed that at times the results of the statistical tests were inconsistent. This applied to the Dickey-Fuller tests as well as the cointegration analyses. In some cases unit root models with significant coefficients for the deterministic components were identified. Further analysis would show that the deterministic components were not significant after all. However, the resulting models without these components did not have a unit root. The cointegration analyses invariably showed a number of Vector Error Correction Models with significant cointegration equations. Since their economic implications would be quite different at times there was a reason for concern. In conclusion there are some worrying problems when the methodology is used for existing short New Zealand data series. However, at times some plausible results were shown as well. Suggestions for further research were made.
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    Optimising central bank behaviour in a stochastic environment with uncertain credibility : a thesis presented in partial fulfilment of the requirements for the degree of Master of Applied Economics at Massey University
    (Massey University, 1998) Croke, Hilary
    Central bank credibility is defined for the purposes of this thesis as the belief held by agents that the central bank will not renege on its commitment to the specified monetary policy objective. Agents' perceptions on both the integrity and ability of the central bank to achieve and maintain price stability affect the determination of actual inflation via expected inflation. In the past, theoretical models have attempted to capture credibility effects through the application of game theory to assimilate the strategic interaction that occurs between the central bank, the government and agents. For the most part, these models are simple in structure and combined with the limitations commonly attributed to game theory have been heavily criticised. The results derived from empirical analyses of credibility have also been subject to debate due to the directly unobservable nature of credibility. In the past, such analyses have used a variety of measures to proxy credibility effects. While it is generally accepted that expected inflation would perhaps be the most accurate indicator, expectations are equally as subjective as credibility. The results presented in this thesis are derived from simulations of the Reserve Bank's macroeconomic model used for forecasting and policy analysis (FPS). Given that the central bank faces uncertainty regarding its true level of credibility, it is necessary for policymakers to assume the level of credibility when formulating monetary policy. Depending on the specific disturbance that hits the economy, the combined effect of the bank's assumed and actual level of credibility can ultimately determine the success of the implemented policy. The main motivation of this thesis is to determine the extent to which the central bank benefits when it is aware of the fact it truly has credibility or whether the optimal policy response should always be based on the premise of no credibility. In order to provide a more realistic analysis, stochastic simulations of FPS are used. In this case, the central bank observes a combination of five impulses simultaneously hit the economy in the current period and taking into account the effects of the impulses from previous periods, formulates monetary policy depending on its assumed level of credibility. Despite the added dimension of uncertainty the central bank faces surrounding the occurrence of future shocks, the results indicate that the increase in output loss normally associated with a harsh policy response is minimal. By assuming a lack of credibility and thereby adopting a prudent approach to monetary policy, inflation variability is substantially reduced without any significant increase in output variability.
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    An empirical assessment of Pakistan's discretionary monetary policy strategy using novel discretion and inflation bias indicators : a thesis presented in partial fulfilment of the requirements for the degree of Doctor of Philosophy in Economics at Massey University, Manawatu, New Zealand
    (Massey University, 2014) Hayat, Zafar
    Although price and output stability have been the major goals of monetary policy, contention remained over their mutual compatibility and substitution for one another. It is challenging for monetary policy makers to maintain a balance between the price and growth objectives. The pursuit of a balance historically has led monetary policy to evolve under many guises. Discretion and commitment are the two popular monetary policy guises advocated for achievement of the twin objectives of inflation and growth. Under commitment, the long-term growth stability is assumed to be achieved via price stability, and therefore the overriding focus is the inflation objective. Under discretion, the achievement of the dual objectives requires sufficient flexibility with the central banker to adjust monetary policy as and when necessary, and as frequently as desired, to maximize monetary policy benefits. This thesis seeks to empirically investigate to what extent Pakistan‘s typical discretionary monetary policy strategy has benefited the economy both in terms of achievement of inflation and growth objectives as well as maintaining a balance between them for a 50-year timeframe. Using a novel discretion assessment approach, new inflation bias indicators and its determinants as well as a new discretion indicator, the thesis demonstrates that Pakistan‘s discretionary monetary policy strategy failed to deliver on its core mandate. Instead, the policy proved to be self-defeating as it produced results contrary to its very purpose. On one side, the State Bank of Pakistan (SBP) exercising its discretion, induced long-term excessive inflationary pressures in the economy and on the other side hindered the real growth than potentially would have been. This failure of the discretionary monetary policy on both the counts of inflation and growth objectives cast nontrivial doubts on its efficacy to fully reap the benefits of price and growth stability. The major findings of the study call for a reorientation of the focus of the SBP towards the inflation objective as against the growth objective. For this transformation to occur, monetary policy must change from the existing discretionary set-up to a commitment-based policy framework. Under such a framework, the SBP will have to commit to a certain low level of inflation and should not renege upon it to help build its credibility and capability to effectively anchor inflation expectations to ensure price stability, and hence growth-stability.