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Article
Publication date: 15 August 2008

Ling Hin Li and Cha Lin Ge

This paper sets out to examine the inflation‐hedging ability of housing properties in Shanghai.

Abstract

Purpose

This paper sets out to examine the inflation‐hedging ability of housing properties in Shanghai.

Design/methodology/approach

This paper examines both the short‐term and long‐term hedging characteristics of Shanghai residential properties against three types of inflation: actual, expected, and unexpected in the test period of 1997‐2005 by using the OLS model. Two methods, the Autoregressive Integrated Moving Average (ARIMA) and the Hedrick‐Prescott Filter, are used to estimate the expected inflation.

Findings

The results show that, while the Shanghai housing property market does not provide a hedge against actual expected and unexpected inflation during the period, a positive real rate of return is reported in all cases.

Research limitations/implications

Data limitations are due to lack of complete market transaction records and it is necessary to rely on property indices produced by the private‐sector firms as a proxy for market movements.

Originality/value

The paper shows that government policy in this market is still a dominant factor affecting the rate of return and it has therefore implications for the construction of an efficient investment portfolio by institutional investors.

Details

Property Management, vol. 26 no. 4
Type: Research Article
ISSN: 0263-7472

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Article
Publication date: 21 October 2019

Huong Thi Truc Nguyen

The purpose of this paper is to evaluate the interest rate (IR) sensitivity of output and prices in developing economies with different levels of financial inclusion (FI…

Abstract

Purpose

The purpose of this paper is to evaluate the interest rate (IR) sensitivity of output and prices in developing economies with different levels of financial inclusion (FI) for the period 2007Q1–2017Q4.

Design/methodology/approach

By using the PCA method to construct an FI index for each country, the author divides the sample into two groups (high and low FI levels). Then, with panel vector autoregressions on per group estimated to assess the strength of the impulse response of output and prices to IR shock.

Findings

The findings show that the impact of an IR shock on output and inflation is greater in economies with a higher degree of FI.

Practical implications

The finding indicates the link between FI and the effectiveness of IRs as a monetary policy tool, thereby helping Central banks to have a clearer goal of FI to implement their monetary policy.

Originality/value

This study emphasizes the important role of FI in the economy. From there, an FI solution is integrated into the construction and calculation of its impact on monetary policy, improving the efficiency of monetary policy transmission, contributing to price stability and sustainable growth.

Details

Journal of Economics and Development, vol. 21 no. 2
Type: Research Article
ISSN: 2632-5330

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Book part
Publication date: 21 May 2021

Fisnik Morina and Simon Grima

Purpose: With this study, the authors aim to analyze and highlight the financial performance of pension funds (public and private) and their impact on the economic growth…

Abstract

Purpose: With this study, the authors aim to analyze and highlight the financial performance of pension funds (public and private) and their impact on the economic growth of The Organisation for Economic Co-­operation and Development (OECD) countries, while taking into account the effect of market capitalization, inflation, and public debt.

Methodology: To carry out this analysis, the authors subjected our secondary data (derived from published in the annual reports of the OECD, the World Bank and the IMF) to econometric tests, specifically linear regression, random effect, fixed effect, the Hausman–Taylor Regression, the Generalized Estimating Equations (GEE), the Generalized Method of Moments – Arellano – Bond Estimation (GMM) and carried out an analysis of linear trends through the historical method and comparative method.

Findings: Based on the empirical results of this study, the authors conclude that the assets of public and private pension funds have positively affected the economic growth of OECD countries (2002–2018).

Practical Implications: This study provides an overview of the functioning of pension systems in OECD countries as well as the effects of these pension funds on their economic growth. Moreover, it provides additional new knowledge for governments and policymakers in these countries and a good source of information for all employees (whether public or private), on the quality and standards of living after retirement.

Significance: The importance of this study rests on the fact that OECD countries have a highly developed economy and have high-performance financial markets. Therefore, this highlights the importance of investments by pension funds in their financial markets for economic growth and for the indirect effects caused on their economies.

Details

New Challenges for Future Sustainability and Wellbeing
Type: Book
ISBN: 978-1-80043-969-6

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Article
Publication date: 19 September 2019

Bisharat Hussain Chang, Muhammad Saeed Meo, Qasim Raza Syed and Zahida Abro

The purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign…

Abstract

Purpose

The purpose of this paper is of twofold: first, to empirically examine the short-run and long-run impact of macroeconomic variables such as industrial production, foreign direct investment (FDI), trade balance (TB), exchange rate, interest rate (IR) and consumer price index (CPI) on stock prices (SP) of KSE-100 index; and second, to examine whether this relationship changes as a result of the financial crisis.

Design/methodology/approach

This study uses an autoregressive distributed lag model by using the full sample period data from 1997Q3 to 2018Q2 and the post-crisis period data from 2008Q3 to 2018Q2. Moreover, it uses variance decomposition analysis to examine the importance of each variable in explaining SP.

Findings

The findings of the full sample period indicate that in the long run, TB, exchange rate and IR negatively affect SP whereas CPI and industrial production positively affect SP. However, the post-crisis period data indicate that only CPI positively affects the SP in the long run. Finally, variance decomposition analysis indicates 30 percent variance in SP is explained by its own shock.

Practical implications

The study findings suggest that macroeconomic variables have a significant role and can be considered important for taking investment and/or policy decisions. Especially, Governments and other regulators may need to take measures to increase the TB since it can help to increase the performance of the Pakistani stock market. Furthermore, investors may consider that findings change when the financial crisis has been taken into consideration.

Originality/value

This study uses two additional variables, namely FDI and TB by using the robust technique in the context of emerging countries like Pakistan. Furthermore, it takes into account the impact of the financial crisis on the underlying variables.

Details

South Asian Journal of Business Studies, vol. 8 no. 3
Type: Research Article
ISSN: 2398-628X

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Article
Publication date: 23 July 2021

Liya A, Qian Qin, Hafiz Waqas Kamran, Anusara Sawangchai, Worakamol Wisetsri and Mohsin Raza

This study purposes to measure the influencing relations between macroeconomic indicators and the prices of gold. Further study measures several factors with the gold…

Abstract

Purpose

This study purposes to measure the influencing relations between macroeconomic indicators and the prices of gold. Further study measures several factors with the gold price in the context of the United States.

Design/methodology/approach

The secondary data are collected to measure relationship and fluctuation of gold prices the data collected from the website world development indicators (WDI) for the period of 31 years 1990–2019. This paper uses different econometric analysis such as analytical unit root test for stationary of data, descriptive statistical analysis for description of data, correlation coefficient test for measuring the inter correlation, and ordinary least square regression analysis for determine the impact of dependent and independents variables. In this research paper, gross domestic product (GDP), inflation rate (IR), unemployment rate (UR), real interest rate (RIR), gross national product (GNP), standard trade value (STV) are included in macroeconomic indicators and consider as independent. The gold prices are considered as dependent variable.

Findings

This study's overall results show an important and optimistic association between GDP, IR and STV with the gold price. Moreover, the RIR shows negative and does not show significant relation with the gold prices.

Originality/value

Since several economic crises were included during the data selection studied in this research paper, data error may be present, resulting in the instability of the overall data. However, the study still hopes to find the guiding role of these macro gold price factors in the price of gold from the limited data set. The basic scope of research is that research is limited in the United States.

Details

Business Process Management Journal, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1463-7154

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Article
Publication date: 18 September 2017

Reenu Kumari and Anil Kumar Sharma

The purpose of this paper is to identify key determinants of foreign direct investment (FDI) inflows in developing countries by using unbalanced panel data set pertaining…

Abstract

Purpose

The purpose of this paper is to identify key determinants of foreign direct investment (FDI) inflows in developing countries by using unbalanced panel data set pertaining to the years 1990-2012. This study considers 20 developing countries from the whole of South, East and South-East Asia.

Design/methodology/approach

Using seven explanatory variables (market size, trade openness, infrastructure, inflation, interest rate, research and development and human capital), the authors have tried to find the best fit model from the two models considered (fixed effect model and random effect model) with the help of Hausman test.

Findings

Fixed effect estimation indicates that market size, trade openness, interest rate and human capital yield significant coefficients in relation to FDI inflow for the panel of developing countries under study. The findings reveal that market size is the most significant determinant of FDI inflow.

Research limitations/implications

Like any other study, this work also has some limitations. Lack of data on key determinants such as labor cost, exchange rate, corruption, natural resources, effectiveness of rule of law and political risk may be considered one such limitation. Further, controlling for variables such as exchange rate, corruption, labor cost and political risk could make significant improvements to this study.

Practical implications

This study has significant implications for policy makers, mangers and investors. Policy makers would be able to understand the importance of the major determinants of FDI mentioned in the paper, and take steps to formulate policies that encourage FDI. Such measures could include developing market size, making regulations more international trade friendly and investing in the nation’s human capital. Further, steps could be taken to keep interest rates and inflation rates under control as these factors have been found to influence FDI.

Originality/value

The sample of 20 developing nations chosen for this study has not been considered by any study earlier. This is a unique contribution to existing body of research, and highlights the originality value of this paper.

Details

International Journal of Emerging Markets, vol. 12 no. 4
Type: Research Article
ISSN: 1746-8809

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Article
Publication date: 8 May 2017

Sulaiman Abdullah Saif Al-Nasser Mohammed and Datin Joriah Muhammed

The purpose of this paper is to investigate the performance of Islamic banks in developing countries from 2007 to 2010 which includes the period of the financial crisis by…

Abstract

Purpose

The purpose of this paper is to investigate the performance of Islamic banks in developing countries from 2007 to 2010 which includes the period of the financial crisis by empirically examining the way in which the macroeconomy affected Islamic banking performance (IBP) in developing countries. The empirical examination involves two approaches of measuring performance: Sharia-based and conventional-based performance measurement.

Design/methodology/approach

For this paper, the authors have utilized a Data Stream/Bank Scope database and data from the Bank Negara Malaysia (Malaysian Central Bank) to collect a panel set of annual financial information for Islamic banking from the year 2007-2010. The initial sample covers 34 Islamic banks from developing countries that are listed on the International Islamic Service Board. Furthermore, the authors adopted only those listed Islamic banks to tackle the data availability issue. The authors’ final sample comprised 136 observations with complete data as the numbers of Islamic banks in developing countries are low in comparison to their conventional peers. The financial crisis dummy follows America’s commonly used National Bureau of Economic Research timeline for the financial crisis. The authors also used the method of a generalized least square (GLS) method of pooled panel data analysis regression model. The rationale for employing the GLS technique was made on the basis of the ability of GLS to give less weight to the error term that is closely clustered around the mean, to improve the goodness of fit and to remove autocorrelation compared with normal, random, and fixed effect models.

Findings

The authors of this paper found that the macroeconomic factors reflected in gross domestic product, gross domestic product growth, and inflation rate have a significant positive relationship with the return on assets. In addition, a significant negative relationship was found between the financial dummy and IBP in developing countries. On the other hand, it failed to find evidence of a relationship between the macroeconomic factors and performance including the legal system and the financial crisis dummy, when the performance is reflected by the Zakat ratio. The result embedded that the financial crisis had an impact on the performance of Islamic banks in developing countries when viewed from the conventional banking perspective. The financial crisis played a role in reducing the profitability of Islamic banks which is consistent with a previous study by Hasan and Dridi (2011). However, in the view of Sharia, the financial crisis did not have any effect on IBP; even the macro factors did not have any effect on the level of performance.

Research limitations/implications

There are possible explanations for these contradictory coefficient signs. First, the contradictory signs of the coefficient for the same independent variable that was regressed with different dependent variables show that researchers would need to take caution in using the right indicators when measuring IBP. Conventional indicators bring different results in comparison to Islamic indicators (Badreldin, 2009; Mudiarasan. Kuppusamy, 2010; Zahra and Pearce, 1989). Second, Richard et al. (2009), having reviewed performance measurement-related publications in five of the leading management journals (722 articles between 2005 and 2007), suggested that the past studies reveal a multidimensional conceptualization of organizational performance with limited effectiveness of commonly accepted measurement practices. Accordingly, these studies call for more theoretically grounded research and debate for establishing which measures are appropriate in a given research context. Today, there is a general consensus that the old financial measures are still valid and relevant (Yip et al., 2009). However, these need to be balanced with more contemporary, intangible, and externally oriented measures. It has been argued that various researchers working in their own disciplines using functional performance measures (such as market share in marketing, schedule adherence in operations and so on) ought to link their discipline to focused performance measures of overall organizational performance.

Practical implications

Islamic banking has unique characteristics in comparison to conventional banking and this paper examines the differences between the two and also investigates the resilience of Islamic banks during a period of economic turbulence. Furthermore, due to these unique characteristics, a comparison cannot be made by using the conventional performance measures alone. In addition, amid the in-depth studies examining the resilience of Islamic banks during periods of economic crises, there are instances of theoretical disagreement in the extant empirical literature examining finance and economics. In that regard, the majority of the existing literature is either based on advanced markets or countries where the majority of the population practices the faith of Islam, and little is known about the performance of Islamic banking from the pooled emerging markets; particularly in developing countries.

Originality/value

Introducing Zakat as a performance measurement in Islamic banking context relating it to macroeconomic factors enhances the thinking of new research in Islamic theory about bank performance.

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Article
Publication date: 17 June 2019

Muhammad Umar Draz, Fayyaz Ahmad, Bhumika Gupta and Waqas Amin

This study aims to examine the impact of macroeconomic fundamentals on exchange rates of selected South Asian economies during 1981-2013.

Abstract

Purpose

This study aims to examine the impact of macroeconomic fundamentals on exchange rates of selected South Asian economies during 1981-2013.

Design/methodology/approach

The authors have used two econometric approaches to the data. For the pooled sample, estimated generalized least square (EGLS) and the two-stage least square method are applied. For the panel data, the authors have used the panel generalized method of moments and ordinary least squares (OLS) methods.

Findings

The results suggest that macroeconomic factors have a significant impact on exchange rates. The robust findings highlight that improvements in domestic economic and political systems are crucial for a successful exchange rate policy.

Originality/value

The existing literature on exchange rate fundamentals have either focused on exchange rates and international trade or investigated the relationship for the developed economies. Covering a period of more than three decades, and using both pooled and panel estimations, our study is unique in terms of its focus on the South Asian economies.

Details

Journal of Chinese Economic and Foreign Trade Studies, vol. 12 no. 2
Type: Research Article
ISSN: 1754-4408

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Article
Publication date: 7 September 2020

Fatemeh Abdolshah, Saeed Moshiri and Andrew Worthington

The Iranian banking industry has been greatly affected by dramatic changes in macroeconomic conditions over the past several decades owing to volatile oil revenues…

Abstract

Purpose

The Iranian banking industry has been greatly affected by dramatic changes in macroeconomic conditions over the past several decades owing to volatile oil revenues, changing fiscal and monetary policies, and the imposition of US sanctions. The main objective of this paper is to estimate potential credit losses in the Iranian banking sector due to macroeconomic shocks and assess the minimum economic capital requirements under the baseline and distressed scenarios. The paper also contrasts the applications of linear and nonlinear models in estimating the impacts of macroeconomic shocks on financial institutions.

Design/methodology/approach

The paper uses a multistage approach to derive the portfolio loss distribution for banks. In the first step, the dynamic relationship between the selected macroeconomic variables are estimated using a VAR model to generate the stress scenarios. In the second step, the default probabilities are estimated using a quantile regression model and the results are compared with those of the conventional linear models. Finally, the default probabilities are simulated for a one-year time horizon using Monte-Carlo method and the portfolio loss distribution is calculated for hypothetical portfolios. The expected loss includes the loss given default for loans drawn randomly and uniformly distributed and exposed at default values when loans are assigned a fixed value.

Findings

The results indicate that the loss distributions under all scenarios are skewed to the right, with the linear model results being very similar to those of quantile at the 50% quantile, but very unlike those at the 10% and 90% quantiles. Specifically, the quantile model for the 90% (10%) quantile generates estimates of minimum economic capital requirement that are considerably higher (lower) than those using the linear model.

Research limitations/implications

The study has focused on credit risk because of lack of data on other types of risk at individual bank level. The future studies can estimate the aggregate economic capital using a risk aggregation approach and a panel data (not presently available), which could further improve the accuracy of the estimates.

Practical implications

The fiscal and monetary authorities in developing countries, specially oil-exporting countries, can follow the risk assessment approach to assess the health of their banking system and adapt policies to mitigate the impacts of large macroeconomic shocks on their financial markets.

Originality/value

This is the first paper estimating the portfolio loss distribution for the Iranian banks under turbulent macroeconomic conditions using linear and nonlinear models. The case study can be applied to other developing and emerging countries, particularly those highly dependent on natural resources, prone to extreme macroeconomic shocks.

Details

Journal of Economic Studies, vol. 48 no. 2
Type: Research Article
ISSN: 0144-3585

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Article
Publication date: 6 July 2012

Alberto De Marco, Giulio Mangano and Xin‐Yu Zou

The purpose of this paper is to determine the fundamental factors influencing the equity share in build‐operate‐transfer (BOT) investments in relation to the project risk profile.

Abstract

Purpose

The purpose of this paper is to determine the fundamental factors influencing the equity share in build‐operate‐transfer (BOT) investments in relation to the project risk profile.

Design/methodology/approach

The relationships between risk factors and equity participation into the capital structure of a BOT contract are examined using regression analysis of a dataset of toll road projects.

Findings

Results suggest that the inflation rate, the size of the investment, the construction period, the solidity of the vehicle company, and the organizational structure of the project are significant variables of the equity portion of financing.

Practical implications

The analysis may support project promoters by providing better understanding of the factors that might facilitate high debt leverages and by providing lending institutions with valuable information to integrate the method of determining the appropriate debt resources to be injected into a BOT project.

Originality/value

The paper contributes towards growing the body of knowledge regarding the way public‐private partnership initiatives are carried over and helps refine the capital structures of BOT projects.

Details

Built Environment Project and Asset Management, vol. 2 no. 1
Type: Research Article
ISSN: 2044-124X

Keywords

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