95 Pacific Economic Bulletin volume 24 number 2 july 2009 © the australian national University This article examines the volatility in Fiji’s foreign reserves—in particular, whether shocks have an asymmetrical effect on volatility and whether shocks have a persistent impact on volatility. In the pre-coup period (1975–86), shocks had a temporary effect on volatility; in the coup period (1987–200...

In this paper, the authors examine the impacts of large price changes (or shocks) on the abnormal returns (ARs) of a set of 39 national stock indices. Their initial results support returns continuations for both positive and negative shocks in line with prior results. After controlling for market size, their findings provide support for over-reaction, return continuations and market efficiency,...

[1] Interplanetary (IP) shocks are mainly responsible for the sudden compression of the magnetosphere, causing storm sudden commencement (SC) and sudden impulses (SIs) which are detected by ground-based magnetometers. On the basis of the list of 222 IP shocks compiled by Gopalswamy et al. (2010), we have investigated the dependence of SC/SIs amplitudes on the speed of the coronal mass ejections...

A central problem ill empirical macroeconomics is to determine when and how much the exchange rate is misaligned. This paper clarifies and calculates the concept of’ the equilibrium real exchange rate, using a structural vector auto regression (VAR) model. By imposing long—run restrictions on a VAR model for Iran, lour structural shocks are identified: nominal demand, real demand, supply and oi...

This paper proposes a fully micro-founded framework that incorporates optimizing banks into a DSGE model, and evaluates the role of banks and financial shocks in the Iranian business cycles. We consider banks that offer different banking services and interact in an interbank market. Loans are produced using interbank borrowing and deposits. Banks have monopoly power, but cannot set nominal depo...

I n this paper, the evaluation of the real exchange rate transfer and the asymmetric transmission of real exchange rate fluctuations to the export prices of food products for the country during the period (2001-2015) was studied using two approaches of PMG and GMM systems. The TGARCH method was used to calculate the real exchange rate fluctuation index and the Markov Switching method was u...

The paper considers the macroeconomic impact of shocks to agricultural output and of negative and positive price shocks. It is shown that negative price shocks have particularly large externalities: it is estimated that the overall impact of these negative shocks on GDP may well be double their direct impact. In terms of policy, the presence of externalities justifies subsidising the provision ...