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Publications (45)
How do geopolitical risk shocks impact monetary policy? Based on a panel of 20 economies, we develop and estimate an augmented panel Taylor rule via constant and time-varying local projection (TV-LP) regression models. First, the panel evidence suggests that the interest rate decreases in the short run and increases in the medium run in the event o...
This study investigates the impact of political polarization on output growth, capital formation, and foreign direct investment (FDI) across 139 economies via a panel Local Projections (LP) model. We examine whether the effects of political polarization vary by income group (advanced [AEs], emerging markets [EMs]) and by political regimes (democrac...
This study investigates the elasticity of healthcare expenditures (HCE) with respect to income growth using a balanced panel of 177 economies from 2001 to 2020. Applying a panel local projections (LP) model, we examine both global and heterogeneous effects across income groups, as defined by the World Bank income classification. The model is furthe...
This paper explores the impact of climate variability on inflation dynamics using a panel of 21 countries from 1999:01 to 2023:12. We estimate a climate-augmented Phillips Curve via non-linear local projections (LP) model where inflation responses are conditioned on the state of the El Niño-Southern Oscillation (ENSO), capturing state-dependent eff...
This study investigates the impact of supply shocks on financial leverage (debt-equity ratio) in the U.S. economy from 1998:Q1 to 2024:Q2. The study employs a linear and non-linear Local Projections (LP) and Bayesian Vector Autoregression (BVAR) models to explore dynamic relationships. While the LP models reveal that a supply chain shock negatively...
This study investigates the effect of income changes on the prevalence of undernourishment as a proxy for food insecurity using a balanced panel of 145 economies. Additionally, it examines whether there are heterogeneous effects on undernourishment based on country income strata. Utilizing a panel local projections (LP) model, this study demonstrat...
This study analyzes the effects of local and global geopolitical risks (GPR) on real equity returns. Using a panel and country-specific local projections (LP) model, we analyze the impact of local and global GPR shocks, where the latter is further decomposed into aggregate risks, threats, and actions. Our findings reveal that both local and global...
The COVID-19 pandemic and its aftermath exposed the vulnerabilities of global supply chains, leading to widespread delays and shortages that highlighted the interconnectedness of economies. This paper examines the global impact of supply chain disruptions on economic conditions, drawing on literature related to economic uncertainty, global economic...
This study examines the impact of global trade disruptions using a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, focusing on two concurrent events: the Red Sea Crisis, encompassing disruptions in the Bab el-Mandeb Strait, Suez Canal, and Cape of Good Hope, and the severe drought affecting the Panama Canal. By analyzing ca...
This study investigates the impact of supply disruptions on financial leverage (debt-equity ratio) in the U.S. economy from 1998:Q1 to 2024:Q1. The study employs a linear and non-linear Local Projections (LP) and Bayesian Vector Autoregression (BVAR) models to explore dynamic relationships. While the LP models reveal that a supply chain shock negat...
This study investigates the impact of the Grain Corridor Agreement (GCA), particularly in the aftermath of the Russia-Ukraine conflict, on the prices of major grains (wheat, maize, and barley), pivotal for global sustenance. By delineating three significant shocks: the initiation of the conflict, the enforcement of the GCA, and Russia's subsequent...
El Niño-Southern Oscillation (ENSO) is a major climate phenomenon that influences temperature and precipitation across the globe. We study the effect of changing ENSO patterns on commodity prices using a Global Factor Local Projections (GFALP) model. Firstly, we demonstrate that unanticipated ENSO movements contribute to commodity price volatility...
Fossil fuel subsidies represent a significant and widespread fiscal tool that governments can employ to maintain stability in domestic price levels. We develop and estimate a Bayesian dynamic stochastic general equilibrium (DSGE) model tailored for Malaysia, a net-exporting energy economy that captures this key channel of fiscal policy intervention...
Supply chain disruptions have emerged as a critical factor influencing global economic conditions. This research examines the implications of global supply chain disruptions via Bayesian Vector Autoregression (BVAR) model as it relates to equity returns. The analysis reveals that supply chain shocks can be destabilizing via lower output, higher inf...
How do geopolitical risk shocks impact monetary policy? Based on a panel of 20 economies, we develop and estimate an augmented panel Taylor rule via linear and nonlinear local projections (LP) regression models. First, the linear model suggests that the interest rate remains relatively unchanged in the event of an uncertainty shock. Second, the res...
A common thread in the literature shows that an oil price shock can have a major impact on global economic conditions. We examine the global dimensions of changes to the global oil price and world economic uncertainty using three model types: ordinary least square (OLS); general additive model (GAM); and non-linear vector autoregression (VAR) model...
Supply chain disruptions have emerged as a critical factor influencing global economic conditions. This research examines the implications of global supply chain disruptions via Global Bayesian Vector Autore-gression (GBVAR) model as it relates to real equity returns. The analysis reveals that supply chain shocks can be destabilizing via lower outp...
This study employs a panel local projections (LP) model to analyze the influence of El Niño (EN), La Niña (LN) Southern Oscillation (ENSO) on real equity returns based on twenty economies, collectively accounting for 80.2% of global output. We demonstrate that an ENSO shock has a delayed and oscillatory effect on equity returns, where the most sign...
This research examines the global implications of agricultural production and price fluctuations via Global Bayesian Vector Autoregression (GBVAR) model. We develop a novel Paasche agriculture price index, based on the relative time-varying contribution of four dominant food commodities shifting contributions of major food commodities (rice, maize,...
Fossil fuel petroleum subsidies represent a significant and widespread fiscal tool that governments can employ to maintain stability in domestic price levels. We develop and estimate a Bayesian dynamic stochastic general equilibrium (DSGE) model tailored for Malaysia, a net-exporting fossil fuel energy economy that captures this key channel of fisc...
This research examines the global implications of agricultural production and price fluctuations via Global Bayesian Vector Autoregression (GBVAR) model. We develop a novel Paasche agriculture price index, based on the relative time-varying contribution of four dominant food commodities shifting contributions of major food commodities (rice, maize,...
This study investigates the effect of an uncertainty shock on monetary policy based on a panel of thirteen economies, collectively accounting for 77.4% of global output. We estimate an augmented panel Taylor rule via linear and non-linear local projections (LP) panel regression model. The linear model suggests the interest rate remains relatively u...
This study investigates the impact of the Grain Corridor Agreement (GCA), which came to the fore after the Russia–Ukraine conflict, on major grain prices (wheat, maize and barley). Based on three identified shocks, relating to the onset of the conflict; the implementation of the GCA; and Russia’s withdrawal from the GCA, we use an Integrated GARCH...
This study investigates the effect of changes to income on the prevalence of undernourishment as a proxy for food insecurity based on a balanced panel of 145 economies. Additionally, we investigate whether there are heterogeneous effects on undernourishment based on country income strata. Utilizing a panel local projections (LP) model, we demonstra...
This study investigates the elasticity of healthcare expenditures (HCE) with respect to income growth using a balanced panel of 177 economies from 2001 to 2020. Applying a panel local projections (LP) model, we examine both global and heterogeneous effects across income groups, as defined by the World Bank income classification. The model is furthe...
This study employs a panel local projections (LP) model to analyze the influence of economic policy uncertainty on real equity returns based on thirteen economies, collectively accounting for 77.4% of global output. Utilizing both linear and non-linear LP models, we demonstrate that economic policy uncertainty exerts a negative impact on real equit...
This study employs a panel local projections (LP) model to analyze the influence of El Niño, La Niña Southern Oscillation (ENSO) on real equity returns based on twenty economies, collectively accounting for 80.2% of global output. We demonstrate that an ENSO shock during an EN (a LN) triggers a delayed and positive (negative) impact on real equity...
We investigate the role of ENSO climate patterns on global economic conditions. The estimated model is based on a rich and novel monthly dataset for 20 economies, capturing 80.2% of global output (based on IMF data) over the period 1999:01 to 2022:03. The empirical evidence from an estimated global vector autoregression with local projections (GFAV...
We analyze the cyclical patterns of energy, non-energy, agriculture, metals & minerals ("MetMin") and oil prices and how they influence global output and aggregate prices. Since 1960, we find presence of three supercycles with a potential for a fourth emanating from the Ukraine crisis and ensuing effects of the global COVID-19 pandemic. Furthermore...
We develop and estimate a global augmented vector error correction model (GVECM) to examine the interconnected relationships between various economic factors, including global output, consumer price index (CPI), interest rates, oil price, equity price, and global economic policy uncertainty (GEPU). Unlike previous research, which predominantly focu...
We explore whether a General Additive Model (GAM) can be used to estimate the business cycle for U.S. real GDP. We find that the GAM offers some advantages to existing methods. It is non-parametric (as opposed to e.g. Hodrick and Prescott (HP) filter; Christiano-Fitzgerald (CF) filter; and a Hamilton regression (HF) and Random Component (HF Random)...
We investigate the role of ENSO climate patterns on global economic conditions. The estimated model is based on a rich and novel monthly dataset for 20 economies, capturing 80.2% of global output (based on IMF data) over the period 1999:01 to 2022:03. The empirical evidence from an estimated global vector autoregres-sion with local projections (GFA...
We examine the transmission mechanisms of shocks by estimating a global augmented vector error correction model (GVECM). While there is a burgeoning literature on how economic policy uncertainty (EPU) influences domestic economic conditions, our model is cast in a global setting to estimate the transmission of shocks that propagate global EPU (GEPU...
Food price volatility is a major threat for welfare, economic prosperity and political stability. The monetary authority is generally viewed in the literature as the only institution responsible for price stability, however this approach overlooks the importance of food price stabilization policies using fiscal instruments. We develop and estimate...
Global climate is changing, and the occurrence of climate disasters has been rising. There is growing concern that climate change is expected to increase the frequency and intensity of weather events. Yet, the consequential effects of disasters and the ensuing implications of policymakers’ responses remain unclear. While the majority of research on...
We examine whether food price shocks are a major source of macroeconomic fluctuations. We estimate a small open economy DSGE model using an alternative Taylor rule applied to Chilean data. The empirical evidence suggests that food inflation played a non-trivial role in shaping Chile's de facto monetary policy actions. Consistent with its commitment...
Food price subsidies are a prevalent means by which fiscal authorities may counteract food price volatility in middle-income countries (MIC). We develop a DSGE model for a MIC that captures this key channel of a policy induced price smoothing mechanism that is different to, yet in parallel with, the classic Calvo price stickiness approach, which ca...