Conclusions

문서에서 The Sources of Business Cycles in a Low Income Country (페이지 14-0)

In this paper, we analyze the role of domestic and global shocks in explaining business cycles in Ghana and South Africa. For this purpose, we use a medium-scale Bayesian Vector Auto-Regressive (BVAR) model that captures the dynamics macroeconomic indicators in G7-countries and in each of these two countries.

We …nd that global productivity and credit shocks have a greater impact on South Africa than in Ghana. The fact that global credit market shocks do not a¤ect Ghana while produc-tivity shocks do is suggestive that Ghana’s integration with the world is more through trade channels, and less through …nancial channels. Domestic versions of both shocks highlight a key di¤erence between South Africa and Ghana in that monetary policy in Ghana has responded more strongly to in‡ation than drops in output. Finally, we …nd that commodity shocks are an important driver in business cycles in both countries. This result highlights the importance of a primary goods sector in developing a model for business cycle stabi-lization in Ghana. In contrast, shocks traditionally emphasized in advanced economies (i.e.

productivity and credit) play a more muted role.

Appendix: Nowcasting

The detailed exposition on nowcasting can be found in Giannone et al. (2008) and related studies.

A sequence of nowcasts of ytQ at di¤erent vintages v; v + 1; v + 2 is:

Eh

yQt j vi

; Eh

ytQj v+1i

; Eh

ytQj v+2i

; : : :

where E is the expectation operator and the v represent the information set used to make the forecast.

A Dynamic Factor Model (DFM) is employed to compute E [ j:] : DFM can be summa-rizing the dynamic of N series can be written as follows:

Xt = + ft+ t; (2)

where Xt = (x1;t; : : : ; xN;t)0, t = ( 1;t; : : : ; N;t)0 is the vector of idiosyncratic component;

ft= (f1;t f2;t; ; fr;t) are the r common factors, and ; is a N r matrix of series-speci…c factor loadings. The model is estimated with the two-step approach proposed by Doz et al.

(2011). The method relies on Kalman …lter and Kalman smother which helps to estimate missing values. The latter occur because of the mixed frequency nature of the data set.

For instance, a monthly de…nition of a quarterly data is one observation with two missing

observations. Table 5 contains the data used.

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Figure1:SelectedMacroeconomicindicatorsforGhana(YoYpercent) Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-1502468

10

12

14 Common Component of RGDP RGDP Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-150

20

40

60

80100

120

140

160

180 CPI Inflation Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-15-100

10

20

30

40

50

60

70 Base Money growth Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-151015202530354045 Monetary Policy Rate

Figure2:ExchangeRatesandInternationalReserves(YoYpercent) Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-15-100-500

50100

150

200

250 International Reserves Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-15-250-200-150-100-500

50100 Real Effective ER Q1-80Q1-85Q1-90Q1-95Q1-00Q1-05Q1-10Q1-15-100-80-60-40-200

20

40 Nominal Effective Exchange Rate 1980198519901995200020052010201505

10

15

20

25

30

35 Revenue (% GDP) Expenditures (% GDP)

Figure 3: G7 Credit Shocks

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

CPI

-

In‡ation

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Short-term Interest Rates

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Figure 3: G7 Credit Shocks (Continued)

Other Mining for SA

1 2 3 4 5 6 7 8 9 10 11 12

Cocoa for Ghana

REER and Trade in South Africa

1 2 3 4 5 6 7 8 9 10 11 12

REER and Trade in Ghana

1 2 3 4 5 6 7 8 9 10 11 12

Figure 4: G7 Productivity Shocks

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Short-term Interest Rates

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Figure 4: G7 Productivity (Continued)

Other Mining for SA

1 2 3 4 5 6 7 8 9 10 11 12

Cocoa for Ghana

REER and Trade in South Africa

1 2 3 4 5 6 7 8 9 10 11 12

REER and Trade in Ghana

1 2 3 4 5 6 7 8 9 10 11 12

Figure 5: Domestic Credit Shocks

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Short-term Interest Rates

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Figure 5: Domestic Credit Shocks (Continued)

Real E¤ective Exchange Rates

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Figure 6: Domestic Productivity Shocks

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Short-term Interest Rates

1 2 3 4 5 6 7 8 9 10 11 12

-0.5 0.5 1.5

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

-0.5 0.5 1.5

Ghana

Figure 6: Domestic productivity Shocks (Continued)

Real E¤ective Exchange Rates

1 2 3 4 5 6 7 8 9 10 11 12 -2

-1 0 1 2 3 4 5

South Africa

1 2 3 4 5 6 7 8 9 10 11 12 -2

-1 0 1 2 3 4 5

Ghana

Exports

1 2 3 4 5 6 7 8 9 10 11 12

-5 -3 -1 1

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

-12 -10 -8 -6 -4 -2 0

Ghana

Imports

1 2 3 4 5 6 7 8 9 10 11 12

-5 0 5 10

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

-5 0 5 10 15 20 25

Ghana

Figure 7: Commodity Price Shocks

Full Sample Before IT During IT

Output Growth

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Figure 7: Commodity Price Shocks (Continiued)

Full Sample Before IT During IT

Real Credit

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Short-term Interest Rates

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

South Africa

1 2 3 4 5 6 7 8 9 10 11 12

Table1:Data PartA OutputRealCreditShort-runinterestratesCPI trans.yeartoyearyeartoyearlevelyeartoyear CanadaOECD,Grossdomesticproduct,IFS,CLAIMSONPRIVATESECTORIFS,TREASURYBILLRATE volume,marketprices FranceOECD,Grossdomesticproduct,IFS,CREDITTOPRIVATESECTORIFS,TREASURYBILLS:3MONTHSIFS,CPI:108CITIES volume,marketprices GermanyOECD,Grossdomesticproduct,IFS,CLAIMSONOTHRESSIDSECTORIFS,TREASURYBILLRATEGDS,Consumerpriceindex volume,marketprices ItalyOECD,Grossdomesticproduct,IFS,CLAIMSONOTHERRESIDENTSECTORSIFS,TREASURYBILLRATEIFS,CPI:ALLITALY volume,marketprices JapanOECD,Grossdomesticproduct,IFS,CLAIMSONPRIVATESECTORIFS,FINANCINGBILLRATEIFS,CPI:ALLJAPAN-485ITEMS volume,marketprices UKOECD,Grossdomesticproduct,IFS,CLAIMSONPRIVATESECTORIFS,TREASURYBILLRATEIFS,CPI:ALLITEMS volume,marketprices USAOECD,Grossdomesticproduct,IFS,CLAIMSONPRIVATESECTORIFS,TREASURYBILLRATEIFS,CPIAllITEMSCITYAVERAGE volume,marketprices G7FirstprincipalcomponentFirstprincipalcomponentFirstprincipalcomponentFirstprincipalcomponent SouthAfricaSARB,GrossDomesticSARB,Creditextension:DomesticPrivateTreasuryBillTenderRate,91-DaysCPI:AllItems Product(SAAR,Mil.2005.Rand)SectClaims(SA,EOP,Mil.Rand) GhanaGSS,GrossDomesticIFS,ClaimsonPrivateSectorTreasuryBillsDiscountedIFS,CPINational Product(SA,Mil.2006.Cedis) Backcastdatafrom1990-2005 PartB creditspreadsdefaultRealE¤ectiveCommodityExportofgoodsImportofgoods exchangerateprices levelyeartoyearyeartoyearyeartoyearyeartoyearyeartoyear USAMacrobond,baa-aaaonGilchristetal.(2009),distance UScorporatebondyieldstodefaulttransformedto inversedistance SouthAfricaSARB,SpreadsbetweenSouthAfricaStatistics,IFS,RealE¤ectiveIFS,goldOECDMEI,ExportsofOECDMEI,Import EskombondyieldandInsolvencies(Number)ExchangeRateothermining:aluminium,GoodsAndServices,GoodsandServices US-baabondyieldoftheRandcoal,platinum,SA,IndexVolumeIndices GhanaSAcreditspreadsSAdefaultratesIFS,RealE¤ectiveIFS,cocoa,IMFDOTSExportsofIMFDOTSImportsof ExchangeRategoldGoodsAndServicesGoodsandServices BasedonRelativeCPI

Table2:Indenti…cationRestrictions NIndicatorsG7-aggregateDomestic(SAorGHA) CreditProductivityCreditProductivity 1G7-RealGDP00 2G7-In‡ation+00 3G7-RealCredit00 4G7-Tbil00 5US-CreditSpread++00 6US-Default+00 7(SAorGHA)-RealGDP 8(SAorGHA)-In‡ation+ 9(SAorGHA)-RealCredit 10(SAorGHA)-Tbil 11SA-CreditSpread++ 12SA-Default+ 13(SAorGHA)-CommodityPrice00 14REERoftherandortheGHS 15(SAorGHA)-Export 16(SAorGHA)-Import Notes:Thesignrestrictionswereimposedontherstquarters.

Table 3: Variance Decomposition for Credit and Productivity Shocks

G7-Credit G7-Productivity Dom.-Credit Dom.-Productivity

Horizons Output Growth

1 3.08 2.25 0.68 8.35

4 6.65 6.46 1.32 5.73

South Africa 8 9.38 10.40 1.47 3.97

12 10.10 11.24 1.26 3.07

1 2.86 2.78 1.24 4.41

Ghana 4 5.43 6.16 1.13 3.51

8 6.84 7.32 1.50 3.10

12 7.81 8.04 1.41 2.98

CPI-In‡ation

1 3.02 3.20 11.50 18.37

4 4.06 4.02 9.36 14.46

South Africa 8 6.24 6.08 5.96 8.76

12 8.62 8.08 3.86 5.58

1 3.13 3.28 7.21 19.70

Ghana 4 4.07 4.56 6.95 16.41

8 6.92 6.83 4.83 9.50

12 8.48 8.00 3.72 7.58

Short-term Interest Rates

1 3.82 4.03 1.21 1.46

4 5.54 5.74 1.54 2.03

South Africa 8 8.59 8.80 1.41 1.81

12 9.79 10.28 1.15 1.38

1 4.05 4.81 1.46 0.84

Ghana 4 6.45 8.61 2.51 2.24

8 8.30 8.85 3.40 2.76

12 8.99 9.55 3.18 2.25

Real Credit

1 2.39 2.27 16.38 6.71

4 5.09 5.65 12.72 5.53

South Africa 8 7.41 8.09 9.32 4.44

12 8.74 9.41 7.66 3.96

1 3.34 2.28 12.25 1.74

Ghana 4 5.78 4.53 9.01 2.57

8 8.29 7.79 6.41 2.47

12 9.27 8.78 5.37 2.12

Real E¤ective Exchange Rates

1 5.11 5.97 2.25 2.25

4 6.38 6.32 2.34 2.32

South Africa 8 8.03 7.57 2.07 2.09

12 9.39 8.58 1.79 1.80

1 3.10 3.25 1.91 2.49

Ghana 4 4.77 4.59 1.84 2.39

8 7.02 6.36 2.06 2.77

12 8.27 7.77 1.99 2.56

Table 4: Variance Decomposition for Commodity Price Shocks

Full Period Before IT During IT

Horizons Output Growth

1 3.68 2.18 2.58

4 4.11 6.13 8.43

South Africa 8 10.62 12.61 13.18

12 13.88 14.66 16.32

1 2.07 11.01 6.15

Ghana 4 4.62 13.19 19.44

8 5.99 15.25 25.08

12 6.37 15.86 25.96

CPI-In‡ation

1 1.41 11.36 2.35

4 1.70 7.26 6.36

South Africa 8 3.66 8.23 12.74

12 6.22 9.37 16.04

1 0.59 1.22 4.42

Ghana 4 1.45 3.14 12.45

8 3.22 7.57 19.02

12 4.80 9.84 20.83

Short-term Interest Rates

1 5.91 4.01 3.12

4 9.36 9.15 6.60

South Africa 8 13.54 13.04 12.70

12 15.14 14.46 16.32

1 2.27 2.83 4.19

Ghana 4 5.74 6.00 9.86

8 9.71 8.84 16.11

12 12.25 11.05 18.08

Real Credit

1 0.57 9.58 5.84

4 1.97 7.68 9.14

South Africa 8 4.21 10.28 12.72

12 8.31 12.35 15.35

1 1.56 1.32 11.13

Ghana 4 5.01 4.90 19.59

8 7.97 9.85 24.39

12 8.66 11.08 26.13

Real E¤ective Exchange Rates

1 3.66 9.06 2.60

4 5.26 10.37 7.31

South Africa 8 10.60 14.04 12.92

12 11.76 15.27 14.63

1 8.38 11.14 17.43

Ghana 4 7.30 13.99 23.81

8 9.23 16.29 30.10

12 10.22 17.34 31.23

Table 5: Data used in the Nowcasting

Series Frequency Sources

Goods Exports (NSA, Mil.Rand) Monthly IMF, DOTS

Goods Imports (NSA, Mil.Rand) Monthly IMF, DOTS

Commodity exports Monthly Bank of Ghana

Commodity imports Monthly Bank of Ghana

Sales Monthly Bank of Ghana

Port Harbour Operations Monthly Bank of Ghana

Domestic VAT Monthly Bank of Ghana

Gross Domestic Product (SA, Mil.2006.Cedis) Quarterly Ghana Stat. Service

Real GDP growth Yearly IMF, WEO

문서에서 The Sources of Business Cycles in a Low Income Country (페이지 14-0)