In this seminar Taya Dumrongrittikul will provide an overview of her recent paper, The Effects of Productivity Gains in Asian Emerging Economies: A Global Vector Autoregressive Framework. Taya investigates international responses of key macroeconomic variables, particularly real exchange rates, to simultaneous shocks to productivity in the traded sector in eight Asian emerging and developing economies including China, India, Indonesia, Thailand, Philippines, Malaysia, Pakistan, and Sri Lanka. She uses panel estimation techniques to construct component submodels in a global vector autoregressive (GVAR) model. The GVAR approach can account for interaction among thirty countries and capture many potential international transmission channels. She identifies the shocks by using sign restricted impulse responses. Taya finds that traded-sector productivity growth in Asian developing countries leads to a real appreciation of the domestic currencies, in line with the Balassa-Samuelson hypothesis. Inflation also increases in many Asian developing countries. After the shocks, nontraded sector productivity in the US and other developed countries increases, suggesting that there is a compositional shift in their production, away from the traded goods toward the nontraded goods. This allows productivity in the nontraded sector to increase. Further, the traded sector productivity shocks in Asia stimulate international trade in most countries.

Taya Dumrongrittikul is currently an associate lecturer at the Research School of Economics at The Australian National University (ANU). Her research is in the area of time-series econometrics, empirical macroeconomics, and macroeconomic forecasting. Prior to completing her PhD in Econometrics at Monash University in 2013, Taya completed the Master of Applied Economics with Merit from ANU.

The Centre for Applied Macroeconomic Analysis (CAMA) Macroeconomics Brown Bag Seminars offer CAMA speakers, in particular PhD students, an opportunity to present their work in progress in front of their peers, and reputable visitors an opportunity to showcase their work.