Search results
1 – 10 of 35The 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…
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.
Details
Keywords
Idris A. Adediran, Abdulfatai Salawudeen and Syed Nasir Ashraf Sabzwari
This paper aims to make the first attempt to study the transmission of COVID-19 pandemic-induced shocks to the global Islamic stock markets in the midst of the overall…
Abstract
Purpose
This paper aims to make the first attempt to study the transmission of COVID-19 pandemic-induced shocks to the global Islamic stock markets in the midst of the overall macroeconomic environment and cross-country trade linkages. This is made possible by constructing a global vector autoregressive (GVAR) model and with it the authors arrive at noteworthy conclusions.
Design/methodology/approach
The paper estimates both fixed and time-varying weights GVAR models for 15 Islamic stock markets with 5,000 bootstrap replications and reports impulse response functions. It simulates four shocks associated with the pandemic: first, a standard error negative shock to oil price; second, a standard error negative shock to the global Islamic stock markets; third, a standard error positive shock to equity-based uncertainty index; and fourth, a standard error negative shock to economic activity (inflation).
Findings
The paper shows that the pandemic engenders immediate negative impacts on the Islamic stock markets with the biggest impacts borne by the USA and China and the least by markets in the Middle East. The study documents the magnitudes of the responses to the shocks and shows that the impacts of the pandemic will take about 20 months to wither completely.
Originality/value
The findings throw up diversification benefits for investors toward the UAE, Oman, Bahrain and other Middle East markets especially during crisis. It further reveals the need for counter-cyclical measures in all countries to curtail the negative impacts of the pandemic which could linger for up to 20 months.
Details
Keywords
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.
Details
Keywords
Claire Economidou, Dimitris Karamanis, Alexandra Kechrinioti, Konstantinos N. Konstantakis and Panayotis G. Michaelides
In this work, the authors analyze the dynamic interdependencies between military expenditures and the real economy for the period 1970–2018, and the authors' approach allows for…
Abstract
Purpose
In this work, the authors analyze the dynamic interdependencies between military expenditures and the real economy for the period 1970–2018, and the authors' approach allows for the existence of dominant economies in the system.
Design/methodology/approach
In this study, the authors employ a Network General Equilibrium GVAR (global vector autoregressive) model.
Findings
By accounting for the interconnection among the top twelve military spenders, the authors' findings show that China acts as a leader in the global military scene based on the respective centrality measures. Meanwhile, statistically significant deviations from equilibrium are observed in most of the economies' military expenses, when subjected to an unanticipated unit shock of other countries. Nonetheless, in the medium run, the shocks tend to die out and economies converge to an equilibrium position.
Originality/value
With the authors' methodology the authors are able to capture not only the effect of nearness on a country's military spending, as the past literature has documented, but also a country's defense and economic dependencies with other countries and how a unit's military expenses could shape the spending of the rest. Using state-to-the-art quantitative and econometric techniques, the authors provide robust and comprehensive analysis.
Details
Keywords
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.
Details
Keywords
Opeoluwa Adeniyi Adeosun, Olumide Steven Ayodele and Olajide Clement Jongbo
This study examines and compares different specifications of the fiscal policy rule in the fiscal sustainability analysis of Nigeria.
Abstract
Purpose
This study examines and compares different specifications of the fiscal policy rule in the fiscal sustainability analysis of Nigeria.
Design/methodology/approach
This is methodologically achieved by estimating the baseline constant-parameter and Markov regime switching fiscal models. The asymmetric autoregressive distributed lag fiscal model is also employed to substantiate the differential responses of fiscal authorities to public debt.
Findings
The baseline constant-parameter fiscal model provides mixed results of sustainable and unsustainable fiscal policy. The inconclusiveness is adduced to instability in primary fiscal balance–public debt dynamics. This makes it necessary to capture regime switches in the fiscal policy rule. The Markov switching estimations show a protracted fiscal unsustainable regime that is inconsistent with the intertemporal budget constraint (IBC). The no-Ponzi game and debt stabilizing results of the Markov switching fiscal model further revealed that the transversality and debt stability conditions were not satisfied. Additional findings from the asymmetric autoregressive model estimation show that fiscal consolidation responses vary with contraction and expansion in output and spending, coupled with downturns and upturns in public debt dynamics in both the long and short run. These findings thus confirm the presence of asymmetries in the fiscal policy authorities' reactions to public debt. Further, additional evidences show the violation of the IBC which is exacerbated by the deleterious effect of the pro-cyclical fiscal policy response in boom on the improvement of the primary fiscal balance.
Originality/value
This study deviates from the extant literature by accommodating time variation, periodic switches and fiscal policy asymmetries in the fiscal sustainability analysis of Nigeria.
Details
Keywords
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.
Details
Keywords
Onyinye Imelda Anthony-Orji, Ikenna Paulinus Nwodo, Anthony Orji and Jonathan E. Ogbuabor
This paper aims to examine Nigeria’s dynamic output and output volatility connectedness with USA, China and India using quarterly data from 1981Q1 to 2019Q4.
Abstract
Purpose
This paper aims to examine Nigeria’s dynamic output and output volatility connectedness with USA, China and India using quarterly data from 1981Q1 to 2019Q4.
Design/methodology/approach
The study adopted the network approach of Diebold and Yilmaz (2014) and used the normalized generalized forecast error variance decomposition from an underlying vector error correction model to build connectedness measures.
Findings
The findings show that the global financial crisis (GFC) increased the connectedness index far more than the 2016 Nigeria economic recession. The moderate effect of the 2016 Nigeria economic recession on the connectedness index underscores the fact that Nigeria is a small, open economy with minimal capacity to spread output shock. For both real output and its volatility, the total connectedness index rose smoothly and systematically through time, thereby leaving the economies more connected in the long run.
Originality/value
To the best of the authors’ knowledge, this paper is among the first to examine Nigeria’s dynamic output and output volatility connectedness with the USA, China and India using new empirical insights from the GFC versus 2016 Nigerian recession. The study, therefore, concludes that the Nigerian economy should be diversified immediately as a hedge against future real output shocks, while the USA, China and India should maintain and sustain their current policy frameworks to remain less vulnerable to real output shocks.
Details
Keywords
Biplab Kumar Guru and Inder Sekhar Yadav
This work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.
Abstract
Purpose
This work investigates the volatility spillovers across stock markets and the nature of such spillovers through different periods of crises and tranquility.
Design/methodology/approach
Using daily stock return volatility data from June 2003 to June 2021, the generalized forecast error variance decomposition method (based on Diebold and Yilmaz, 2012 approach) is employed to measure the degree of volatility spillovers/connectedness among stock markets of 24 Asia–Pacific and 12 European Union (EU) economies.
Findings
The empirical results from static analysis suggested that about 28.1% (63.7%) of forecast error variance in return volatility for Asia–Pacific (EU) markets is due to spillovers. The evidence from dynamic analysis suggested that during mid of the global financial crisis, European debt crisis (EDC) and Covid-19, the gross volatility spillovers for Asia–Pacific (EU) was around 67% (80%), 65% (80%) and 73% (67%), respectively. The degree of net volatility transmission from Singapore (Denmark) to other Asia–Pacific (EU) markets was found to be highest.
Practical implications
The findings have crucial implications for the investors and portfolio managers in assessment of risk and optimum allocation of assets and investment decisions.
Originality/value
This study adds to the literature on risk management by systematically examining the impact of global financial crises, EDC and Covid-19 on the market interactions by capturing the magnitude, duration and pattern of the shock-specific market volatilities for a large sample of Asian and European markets using recent and large data set.
Details
Keywords
Dimitrios Vortelinos, Konstantinos Gkillas (Gillas), Costas Syriopoulos and Argyro Svingou
The purpose of this paper is to examine the inter-relations among the US stock indices.
Abstract
Purpose
The purpose of this paper is to examine the inter-relations among the US stock indices.
Design/methodology/approach
Data of nine US stock indices spanning a period of sixteen years (2000-2015) are employed for this purpose. Asymmetries are examined via an error correction model. Non-linear inter-relations are researched via Breitung’s nonlinear cointegration, a M-G nonlinear causality model, shocks to the forecast error variance, a shock spillover index and an asymmetric VAR-GARCH (VAR-ABEKK) approach.
Findings
The inter-relations are significant. The results are robust across all types of inter-relations. They are highest in the Lehman Brothers sub-period. Higher stability after the EU debt crisis, enhances independence and growth for the US stock indices.
Originality/value
To the best of the knowledge, this is the first study to examine the inter-relations of US stock indices. Most studies on inter-relations concentrate on the portfolio analysis to reveal diversification benefits among various asset markets internationally. Hence this study contributes to this literature on the inter-relations of a specific asset market (stock), and in a specific nation (USA). The evident inter-relations support the notion of diversification benefits in the US stock markets.
Details