Department of Management Studies, Bahria University, Islamabad, Pakistan.
International Institute of Islamic Economics (IIIE), International Islamic University, Islamabad, Pakistan.
PLoS One. 2024 Aug 28;19(8):e0307436. doi: 10.1371/journal.pone.0307436. eCollection 2024.
This study estimates the monetary policy reaction function (MPRF) in a Dynamic Stochastic General Equilibrium (DSGE) framework using Bayesian analysis for the emerging economies. DSGE models are suitable for the policy analysis because of their simplicity and prominent role of forward-looking variables. This is a pioneer study investigating the combined effects of credit spreads, fiscal imbalances, and monetary autonomy on interest rates for BRICS member countries. Using real data for the period 1970-2021, the posterior estimates confirm that both credit spread and fiscal imbalance significantly contribute to fluctuations in output, inflation, and interest rates in all the sample economies. The estimates show that fluctuations in the inflation rate are due to supply shocks. The empirical estimates also reveal that fiscal imbalances shock significantly affect output in Brazil, India, and South Africa, whereas, based on real data inflation and interest rate are significantly affected by fiscal imbalance shocks in China and South Africa. Yet, the findings suggest that the effects of various shocks on output and interest rates vary across countries.
本研究使用贝叶斯分析方法在动态随机一般均衡（DSGE）框架下对新兴经济体的货币政策反应函数（MPRF）进行了估计。DSGE 模型因其简单性和前瞻性变量的突出作用，非常适合政策分析。这是一项开创性的研究，探讨了信用利差、财政失衡和货币自主权对金砖国家成员国利率的综合影响。本研究使用 1970 年至 2021 年期间的实际数据，后验估计证实，在所有样本经济体中，信用利差和财政失衡都对产出、通胀和利率波动有显著贡献。估计结果表明，通胀率波动是由供给冲击引起的。实证估计还表明，财政失衡冲击对巴西、印度和南非的产出有显著影响，而根据实际数据，中国和南非的通胀率和利率受到财政失衡冲击的显著影响。然而，研究结果表明，各种冲击对产出和利率的影响在各国之间存在差异。
