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1 – 10 of 52Ahlem Lamine, Ahmed Jeribi and Tarek Fakhfakh
This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021…
Abstract
Purpose
This study analyzes the static and dynamic risk spillover between US/Chinese stock markets, cryptocurrencies and gold using daily data from August 24, 2018, to January 29, 2021. This study provides practical policy implications for investors and portfolio managers.
Design/methodology/approach
The authors use the Diebold and Yilmaz (2012) spillover indices based on the forecast error variance decomposition from vector autoregression framework. This approach allows the authors to examine both return and volatility spillover before and after the COVID-19 pandemic crisis. First, the authors used a static analysis to calculate the return and volatility spillover indices. Second, the authors make a dynamic analysis based on the 30-day moving window spillover index estimation.
Findings
Generally, results show evidence of significant spillovers between markets, particularly during the COVID-19 pandemic. In addition, cryptocurrencies and gold markets are net receivers of risk. This study provides also practical policy implications for investors and portfolio managers. The reached findings suggest that the mix of Bitcoin (or Ethereum), gold and equities could offer diversification opportunities for US and Chinese investors. Gold, Bitcoin and Ethereum can be considered as safe havens or as hedging instruments during the COVID-19 crisis. In contrast, Stablecoins (Tether and TrueUSD) do not offer hedging opportunities for US and Chinese investors.
Originality/value
The paper's empirical contribution lies in examining both return and volatility spillover between the US and Chinese stock market indices, gold and cryptocurrencies before and after the COVID-19 pandemic crisis. This contribution goes a long way in helping investors to identify optimal diversification and hedging strategies during a crisis.
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The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks.
Abstract
Purpose
The purpose of this paper is to explore and analyse the dynamic relationship between remittances inflows of Egyptians working abroad and asymmetric oil price shocks.
Design/methodology/approach
This study uses a vector autoregressive (VAR) model to explain the impulse response functions (IRFs) and the forecast error variance decomposition (FEVD). The rationale behind using these tools is its ability to examine the dynamic effects of our variables of interest.
Findings
The impulse response functions confirmed that remittance inflows have various responses to asymmetric oil price shocks. For instance, inflowing remittances increase in response to positive oil price shocks, while it decreases in response to negative oil price shocks. Also, the results indicate that the responses are significant in the short and medium-run and insignificant in the long run. The magnitude of these responses reaches its peak or trough in the third year. Further, the variance decomposition reveals that oil price decreases are more influential than oil price increases.
Originality/value
This means that remittances inflows in Egypt are pro-cyclical with oil price shocks. That explained by the fact that more than one-half of those remittances sent from GCC countries where real economic growth is very pro-cyclical with the oil prices. This empirical assessment will help policymakers to determine the behaviour of remittances and highlights the impact of different kinds of oil prices shocks on remittances. Unlike the little existing literature, this study is the first study applied the VAR model using a novel dataset spanning 1960-2016.
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Warisa Thangjai and Sa-Aat Niwitpong
Confidence intervals play a crucial role in economics and finance, providing a credible range of values for an unknown parameter along with a corresponding level of certainty…
Abstract
Purpose
Confidence intervals play a crucial role in economics and finance, providing a credible range of values for an unknown parameter along with a corresponding level of certainty. Their applications encompass economic forecasting, market research, financial forecasting, econometric analysis, policy analysis, financial reporting, investment decision-making, credit risk assessment and consumer confidence surveys. Signal-to-noise ratio (SNR) finds applications in economics and finance across various domains such as economic forecasting, financial modeling, market analysis and risk assessment. A high SNR indicates a robust and dependable signal, simplifying the process of making well-informed decisions. On the other hand, a low SNR indicates a weak signal that could be obscured by noise, so decision-making procedures need to take this into serious consideration. This research focuses on the development of confidence intervals for functions derived from the SNR and explores their application in the fields of economics and finance.
Design/methodology/approach
The construction of the confidence intervals involved the application of various methodologies. For the SNR, confidence intervals were formed using the generalized confidence interval (GCI), large sample and Bayesian approaches. The difference between SNRs was estimated through the GCI, large sample, method of variance estimates recovery (MOVER), parametric bootstrap and Bayesian approaches. Additionally, confidence intervals for the common SNR were constructed using the GCI, adjusted MOVER, computational and Bayesian approaches. The performance of these confidence intervals was assessed using coverage probability and average length, evaluated through Monte Carlo simulation.
Findings
The GCI approach demonstrated superior performance over other approaches in terms of both coverage probability and average length for the SNR and the difference between SNRs. Hence, employing the GCI approach is advised for constructing confidence intervals for these parameters. As for the common SNR, the Bayesian approach exhibited the shortest average length. Consequently, the Bayesian approach is recommended for constructing confidence intervals for the common SNR.
Originality/value
This research presents confidence intervals for functions of the SNR to assess SNR estimation in the fields of economics and finance.
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Mert Akyuz, Muhammed Sehid Gorus and Cihan Gunes
This investigation aims to determine the effect of trade uncertainty on domestic investment (DI) and foreign direct investment (FDI) for the Turkish economy from the first quarter…
Abstract
Purpose
This investigation aims to determine the effect of trade uncertainty on domestic investment (DI) and foreign direct investment (FDI) for the Turkish economy from the first quarter of 2005 to the first quarter of 2020.
Design/methodology/approach
The authors adopt the vector autoregression (VAR) model augmented with Fourier terms. Using this methodology, the authors obtain the empirical results of the impulse-response functions and the variance decomposition analysis.
Findings
The empirical results demonstrate that a shock to trade uncertainty has a slight negative impact on DI for up to approximately 1.5 years, whereas its impact on FDI is negative but long-lasting. Moreover, the contribution of trade uncertainty to FDI is relatively higher than to DI in the error variance decomposition for the investigated period. These empirical results can be beneficial for shaping the Turkish authorities' trade policies in the following periods.
Research limitations/implications
These findings have implications within the macroeconomic setting. Government authorities can provide tax exemptions for specified sectors and debureaucratize investment processes for both domestic and foreign entrepreneurs. Additionally, institutional quality and property rights should be protected strictly and developed gradually.
Originality/value
This study is the first to examine the impact of world trade uncertainty on Türkiye’s DI and FDI. Because trade uncertainty might act as fixed costs, this creates the option value of waiting and seeing the market, and firms hesitate to incur investment.
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Anis Jarboui, Emna Mnif, Nahed Zghidi and Zied Akrout
In an era marked by heightened geopolitical uncertainties, such as international conflicts and economic instability, the dynamics of energy markets assume paramount importance…
Abstract
Purpose
In an era marked by heightened geopolitical uncertainties, such as international conflicts and economic instability, the dynamics of energy markets assume paramount importance. Our study delves into this complex backdrop, focusing on the intricate interplay the between traditional and emerging energy sectors.
Design/methodology/approach
This study analyzes the interconnections among green financial assets, renewable energy markets, the geopolitical risk index and cryptocurrency carbon emissions from December 19, 2017 to February 15, 2023. We investigate these relationships using a novel time-frequency connectedness approach and machine learning methodology.
Findings
Our findings reveal that green energy stocks, except the PBW, exhibit the highest net transmission of volatility, followed by COAL. In contrast, CARBON emerges as the primary net recipient of volatility, followed by fuel energy assets. The frequency decomposition results also indicate that the long-term components serve as the primary source of directional volatility spillover, suggesting that volatility transmission among green stocks and energy assets tends to occur over a more extended period. The SHapley additive exPlanations (SHAP) results show that the green and fuel energy markets are negatively connected with geopolitical risks (GPRs). The results obtained through the SHAP analysis confirm the novel time-varying parameter vector autoregressive (TVP-VAR) frequency connectedness findings. The CARBON and PBW markets consistently experience spillover shocks from other markets in short and long-term horizons. The role of crude oil as a receiver or transmitter of shocks varies over time.
Originality/value
Green financial assets and clean energy play significant roles in the financial markets and reduce geopolitical risk. Our study employs a time-frequency connectedness approach to assess the interconnections among four markets' families: fuel, renewable energy, green stocks and carbon markets. We utilize the novel TVP-VAR approach, which allows for flexibility and enables us to measure net pairwise connectedness in both short and long-term horizons.
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Malihe Ashena, Hamid Laal Khezri and Ghazal Shahpari
This paper aims to deepen the understanding of the relationship between global economic uncertainty and price volatility, specifically focusing on commodity, industrial materials…
Abstract
Purpose
This paper aims to deepen the understanding of the relationship between global economic uncertainty and price volatility, specifically focusing on commodity, industrial materials and energy price indices as proxies for global inflation, analyzing data from 1997 to 2020.
Design/methodology/approach
The dynamic conditional correlation generalized autoregressive conditional heteroscedasticity model is used to study the dynamic relationship between variables over a while.
Findings
The results demonstrated a positive relationship between commodity prices and the global economic policy uncertainty (GEPU). Except for 1999–2000 and 2006–2008, the results of the energy price index model were very similar to those of the commodity price index. A predominant positive relationship is observed focusing on the connection between GEPU and the industrial material price index. The results of the pairwise Granger causality reveal a unidirectional relationship between the GEPU – the Global Commodity Price Index – and the GEPU – the Global Industrial Material Price Index. However, there is bidirectional causality between the GEPU – the Global Energy Price Index. In sum, changes in price indices can be driven by GEPU as a political factor indicating unfavorable economic conditions.
Originality/value
This paper provides a deeper understanding of the role of global uncertainty in the global inflation process. It fills the gap in the literature by empirically investigating the dynamic movements of global uncertainty and the three most important groups of prices.
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Awa Traoré and Simplice Asongu
A promising solution to meet the challenge of sustainability and ensure the protection of the environment consists in acting considerably on the adoption and use of new…
Abstract
Purpose
A promising solution to meet the challenge of sustainability and ensure the protection of the environment consists in acting considerably on the adoption and use of new information and communication technologies. The latter can act on the protection of the environment; completely change manufacturing processes into energy-efficient, eco-friendly techniques or influence institutions and governance. The article attempts to cover shortcomings in the literature by providing a couple of theoretical frameworks and grounded empirical proofs for the dissemination of green technologies and the interaction of the latter with institutional quality.
Design/methodology/approach
The sample is made up of 43 African countries covering the period 2000–2020 and a panel VAR modeling approach is employed.
Findings
Our results show that an attenuation of CO2 emissions amplifies the diffusion of digital technologies (mobile telephones and Internet). Efficiency in the institutional quality of African countries is mandatory for environmental preservation. Moreover, the provision of a favorable institutional framework in favor of renewable energy helps to stimulate environmental performance in African states.
Originality/value
This study complements the extant literature by assessing nexuses between green technology and CO2 emissions in environmental sustainability.
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Christos Kollias and Panayiotis Tzeremes
Using composite indices, the paper examines the nexus between militarization, globalization and liberal democracy. The democratic peace theory, the conflict inhibiting effects of…
Abstract
Purpose
Using composite indices, the paper examines the nexus between militarization, globalization and liberal democracy. The democratic peace theory, the conflict inhibiting effects of international trade – a key and dominant facet of globalization – and the democracy promoting globalization hypothesis form the theoretical underpinnings of the empirical investigation.
Design/methodology/approach
To probe into the issue at hand, the paper adopts a dynamic panel VAR estimation procedure. Given the usual data constraints, the sample consists of 113 countries, and the estimations span the period 1995–2019.
Findings
The findings from the dynamic panel VAR estimations suggest the presence of a negative and statistically significant nexus between the level of globalization and the level of militarization. No statistically traceable nexus between globalization and liberal democracy was found.
Research limitations/implications
The findings offer empirical support to the hypothesis that the strong links of interdependence shaped by globalization reduce the need for military preparedness. The results lead to a tentative inference in favor of the doux commerce thesis. Nonetheless, given that the estimations span a historically specific period – the entire post-bipolar era – the inferences that stem from the findings should be treated with caution.
Originality/value
To the best of the authors’ knowledge, the composite indices Bonn International Centre for Conflict Studies (BICC) militarization index, the globalization index of the Swiss Economic Institute (Konjunkturforschungsstelle) (KOF), LibDem, polyarchy have not hitherto been jointly used in previous studies to examine the nexus between militarization, globalization and liberal democracy.
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Adrian Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero
The purpose of this study is to examine the propagation of consumer and business confidence in the euro area with a particular focus on the global financial crisis (GFC), the…
Abstract
Purpose
The purpose of this study is to examine the propagation of consumer and business confidence in the euro area with a particular focus on the global financial crisis (GFC), the European sovereign debt crisis (ESDC) and the COVID-19-induced Great Lockdown.
Design/methodology/approach
The authors apply Diebold and Yilmaz’s connectedness framework and the improved method based on the time-varying parameter vector autoregressive model.
Findings
The authors find that although the evolution of business confidence marked the GFC and the ESDC the role of consumer confidence (mainly in those countries with stricter containment and closure measures) increased in the COVID-19-induced crisis.
Originality/value
The findings are related to the different origins of the examined crisis periods, and the analysis of their interrelationship is a very relevant topic for future research.
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Ginevra Gravili, Alexandru Avram and Marco Benvenuto
The present article aims to examine the development of the theoretical framework surrounding collaborative consumption (CC) standards in recent years regarding European short-stay…
Abstract
Purpose
The present article aims to examine the development of the theoretical framework surrounding collaborative consumption (CC) standards in recent years regarding European short-stay accommodation booking platforms. The sharing economy has significantly impacted the tourist accommodation market in recent years. Starting with the use of experimental data on CCs published on Eurostat in 2019, this article analyzes the correlation between choices of CCs for short-stay accommodation, employment and the economic crisis.
Design/methodology/approach
A vector autoregressive panel approach was applied to investigate the correlation between CC short-stay accommodation choices using panel organization data from 561 EU regions between 2018 and 2021.
Findings
Analyzing the connection between the main data panel variables, a positive correlation was found, followed by an increasing trend in CC use. A self-multiplying effect is generated; that is, the more people use CC, the more electronic captures occur. Consequently, the improvement of CC use and knowledge-intensive activities in short-stay accommodation is strongly linked with employment and GDP.
Originality/value
The originality of the investigation is to examine with a cross-sectional panel data overview the reasons that can push stakeholders to adopt CC and to clearly define a new perimeter of research in terms of the endpoint of CC in short-stay accommodation. Furthermore, the study seeks to assess the end-point congruence to utilize CC as a new gamble to accelerate digital knowledge in the hospitality sector.
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