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1 – 10 of 32The purpose of this paper is to analyze the ex ante projected future trajectories of real tourism exports and relative tourism export prices of the EU-15, conditional on…
Abstract
Purpose
The purpose of this paper is to analyze the ex ante projected future trajectories of real tourism exports and relative tourism export prices of the EU-15, conditional on expert real gross domestic product growth forecasts for the global economy provided by the Organisation for Economic Co-operation and Development for the years 2013-2017.
Design/methodology/approach
To this end, the global vector autoregression (GVAR) framework is applied to a comprehensive panel data set ranging from 1994Q1 to 2013Q3 for a cross-section of 45 countries. This approach allows for interdependencies between countries that are assumed to be equally affected by common global developments.
Findings
In line with economic theory, growing global tourist income combined with decreasing relative destination price ensures, in general, increasing tourism demand for the politically and macroeconomically distressed EU-15. However, the conditional forecast increases in tourism demand are under-proportional for some EU-15 member countries.
Practical implications
Rather than simply relying on increases in tourist income, the low price competitiveness of the EU-15 member countries should also be addressed by tourism planners and developers in order to counter the rising competition for global market shares and ensure future tourism export earnings.
Originality/value
One major contribution of this research is that it applies the novel GVAR framework to a research question in tourism demand analysis and forecasting. Furthermore, the analysis of the ex ante conditionally projected future trajectories of real tourism exports and relative tourism export prices of the EU-15 is a novel aspect in the tourism literature since conditional forecasting has rarely been performed in this discipline to date, in particular, in combination with ex ante forecasting.
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Alexander Chudik, M. Hashem Pesaran and Kamiar Mohaddes
This chapter contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of…
Abstract
This chapter contributes to the growing global VAR (GVAR) literature by showing how global and national shocks can be identified within a GVAR framework. The usefulness of the proposed approach is illustrated in an application to the analysis of the interactions between public debt and real output growth in a multicountry setting, and the results are compared to those obtained from standard single country VAR analysis. We find that on average (across countries) global shocks explain about one-third of the long-horizon forecast error variance of output growth, and about one-fifth of the long-run variance of the rate of change of debt-to-GDP. Evidence on the degree of cross-sectional dependence in these variables and their innovations are exploited to identify the global shocks, and priors are used to identify the national shocks within a Bayesian framework. It is found that posterior median debt elasticity with respect to output is much larger when the rise in output is due to a fiscal policy shock, as compared to when the rise in output is due to a positive technology shock. The cross-country average of the median debt elasticity is 1.45 when the rise in output is due to a fiscal expansion as compared to 0.76 when the rise in output follows from a favorable output shock.
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Konstantinos N. Konstantakis, Panayotis G. Michaelides, Theofanis Papageorgiou and Theodoros Daglis
This research paper uses a novel methodological approach to investigate the spillover effects among the key sectors of the US economy.
Abstract
Purpose
This research paper uses a novel methodological approach to investigate the spillover effects among the key sectors of the US economy.
Design/methodology/approach
The paper links the US sectors via a node theoretic scheme based on a general equilibrium framework, whereas it estimates the general equilibrium equation as a Global Vector Autoregressive process, taking into consideration the potential existence of dominant units.
Findings
Based on our findings, the dominant sector in the US economy, for the period 1992–2015, is the sector of information technology, finance and communications, a fact that gives credence to the view that the US economy is a service-driven economy. In addition, the US economy seems to benefit by the increased labour mobility across knowledge-intensive sectors, thus avoiding the ‘employment trap’ which in turn enabled the US economy to overcome the financial crisis of 2007.
Originality/value
Firstly, the paper models by means of a network approach which is based on a general equilibrium framework, the linkages between the US sectors while treating the sector of information, technology, communications and finance as dominant, as dictated by its degree of centrality in the network structure. Secondly, the paper offers a robustness analysis regarding both the existence and the identification of dominant sectors (nodes) in the US economy. Thirdly, the paper studies a wide period, namely 1992–2015, fully capturing the recent global recession, while acknowledging the impact of the global crisis through the introduction of the relevant exogenous dummy variables; Lastly and most importantly, it is the first study to apply the GVAR approach in a network general equilibrium framework at the sectoral level.
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Fabio Canova and Matteo Ciccarelli
This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between…
Abstract
This article provides an overview of the panel vector autoregressive models (VAR) used in macroeconomics and finance to study the dynamic relationships between heterogeneous assets, households, firms, sectors, and countries. We discuss what their distinctive features are, what they are used for, and how they can be derived from economic theory. We also describe how they are estimated and how shock identification is performed. We compare panel VAR models to other approaches used in the literature to estimate dynamic models involving heterogeneous units. Finally, we show how structural time variation can be dealt with.
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The purpose of this paper is to investigate the problem of fiscal sustainability for a panel of developing Asian economies.
Abstract
Purpose
The purpose of this paper is to investigate the problem of fiscal sustainability for a panel of developing Asian economies.
Design/methodology/approach
In this study, cross-section dependence and heterogeneity are controlled while estimating the fiscal reaction function, which shows how governments react to the accumulation of public debt. The study employs the common correlated effects mean group estimator in Pesaran (2006) for a panel of 22 developing Asian economies for the period 1999‒2017.
Findings
It is found that the fiscal sustainability issue in the region is not so benign as in previous studies. Overall, fiscal policy is unsustainable, even for the nonlinear fiscal rule. Country-specific long-run coefficients are also examined in the study.
Research limitations/implications
The findings show that many developing economies in the region could not satisfy the intertemporal budget constraint, which raises concerns about debt sustainability in the area, especially for the post-crisis period.
Originality/value
This study investigates whether governments can maintain the sustainability of public finances in the long-run, if the ratios of public debt over GDP and primary deficit over GDP continue their recent problematic trends. Another novelty is controlling for heterogeneous effects among the countries in the region to give a more precise picture of debt sustainability. The empirical evidence also supports that insolvency risk can occur at low levels of public debt.
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Asli Leblebicioglu and Victor J. Valcarcel
In seminal work, Den Haan et al. (2007, 2010, 2011) show business loans respond in the opposite direction of what may be intended by monetary policy action in the United…
Abstract
In seminal work, Den Haan et al. (2007, 2010, 2011) show business loans respond in the opposite direction of what may be intended by monetary policy action in the United States and Canada. Based on various approaches, identification schemes, and samples, we document evidence this loan puzzle is not exclusive to developed economies but is also pervasive in emerging markets. We find business loans generally decline following expansionary monetary policy shocks. A preponderance of statistical and structural evidence indicates important transmissions of this puzzle from the United States to emerging markets.
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Minoas Koukouritakis, Athanasios P. Papadopoulos and Andreas Yannopoulos
In the present paper we assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece…
Abstract
Purpose
In the present paper we assess the impact of the Eurozone’s economic policies on specific South-Eastern European countries, namely Bulgaria, Croatia, Cyprus, Greece, Romania, Slovenia, and Turkey.
Design/methodology/approach
Since the countries under investigation are connected to the European Union (EU) or the Eurozone and the economic interdependence among them is evolving, we carried out our analysis using the VECMX* framework.
Findings
Our results indicate that the transition economies in our sample react in a similar manner to changes in international macroeconomic policies. Cyprus and Greece react also in a similar way, but these responses are very small in magnitude. Finally, Turkey behaves in a different way, probably due to the inflationary pressures in its economy. In general, there is evidence of linkages and interdependence among the EU or Eurozone members of the region.
Research limitations/implications
We did not construct a full structural model proposed by economic theory, but instead we estimated a reduced-form model. Data limitation is one reason. The other reason is that our sample countries are extremely heterogeneous. Also, for most of the sample countries there is an acute problem of structural uncertainty of their economies yet.
Practical implications
The way that the economies under investigation react to changes in international macroeconomic policies, may influence the Eurozone policy makers regarding the implemented monetary policy.
Originality/value
To our knowledge, the above methodology is implemented for the first time in the sample countries and provides a detailed investigation regarding their economic policies and the effects of the Eurozone policies.
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Umberto Filotto, Claudio Giannotti, Gianluca Mattarocci and Xenia Scimone
The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan.
Abstract
Purpose
The purpose of this paper is to evaluate the impact of macroeconomic condition and real estate price trend on the amount of residential loan.
Design/methodology/approach
The paper using a sample of 16 European Countries for the time period 2007–2015 evaluates the impact of change in the gross domestic product (GDP) growth and the inflation rate on the amount of residential loans. The analysis is performed by using a vector autoregressive (VAR) and generalized VAR approach for the full sample and for each country considered.
Findings
For a short-term horizon, shocks to mortgages, the house price index (HPI) and the GDP have a positive effect on the GDP, a shock to the amount of mortgages has a positive effect on the mortgage supply and a shock to the GDP has a negative effect on HPI. The main results for the long-term horizon are that a GDP shock has a positive and persistent effect on the amount of mortgages, a shock to HPI has a negative and persistent effect on mortgages and a shock to the amount of mortgages seems to have no persistent effect on the GDP or the HPI. Moreover, the analysis shows that a spillover risk among countries exists and a GDP shock in a European area has an effect on the GDP, real estate prices and residential mortgages in almost all European countries.
Practical implications
Results obtained show that both macroeconomic and housing prices shocks matter for the real estate lending and the effect are different in the short- and in the medium–long-term horizon. Results are also different country by country and they are affected by the level of financial development of the country.
Originality/value
The paper studies a lending crisis period and evaluates for the European market the impact of shock on macro-variables for mortgages focusing the attention for the first time only on residential mortgages.
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