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Article
Publication date: 18 May 2021

Ansgar Belke and Pascal Goemans

The purpose of this paper is to investigate whether the macroeconomic effects of government spending shocks vary with the degree of macroeconomic uncertainty.

Abstract

Purpose

The purpose of this paper is to investigate whether the macroeconomic effects of government spending shocks vary with the degree of macroeconomic uncertainty.

Design/methodology/approach

The authors use quarterly US data from 1960 to 2017 and employ the Self-Exciting Interacted VAR (SEIVAR) to compute nonlinear generalized impulse response functions (GIRFs) to an orthogonalized government spending shock during tranquil and in uncertain times. The parsimonious design of the SEIVAR enables us to focus on extreme deciles of the uncertainty distribution and to control for the financing side of the government budget, monetary policy, financial frictions and consumer confidence.

Findings

Fiscal spending has positive output effects in tranquil times, but is contractionary during times of heightened macroeconomic uncertainty. The results indicate an important role of the endogenous response of macroeconomic uncertainty. Investigating different government spending purposes, only increases in research and development expenditures reduce uncertainty and boost output during uncertain times.

Originality/value

The authors contribute to the literature in using a method which allows to control for a large set of confounding factors and accounts for the uncertainty response.

Open Access
Article
Publication date: 20 June 2022

Achraf Ghorbel, Sahar Loukil and Walid Bahloul

This paper analyzes the connectedness with network among the major cryptocurrencies, the G7 stock indexes and the gold price over the coronavirus disease 2019 (COVID-19) pandemic…

2303

Abstract

Purpose

This paper analyzes the connectedness with network among the major cryptocurrencies, the G7 stock indexes and the gold price over the coronavirus disease 2019 (COVID-19) pandemic period, in 2020.

Design/methodology/approach

This study used a multivariate approach proposed by Diebold and Yilmaz (2009, 2012 and 2014).

Findings

For a stock index portfolio, the results of static connectedness showed a higher independence between the stock markets during the COVID-19 crisis. It is worth noting that in general, cryptocurrencies are diversifiers for a stock index portfolio, which enable to reduce volatility especially in the crisis period. Dynamic connectedness results do not significantly differ from those of the static connectedness, the authors just mention that the Bitcoin Gold becomes a net receiver. The scope of connectedness was maintained after the shock for most of the cryptocurrencies, except for the Dash and the Bitcoin Gold, which joined a previous level. In fact, the Bitcoin has always been the biggest net transmitter of volatility connectedness or spillovers during the crisis period. Maker is the biggest net-receiver of volatility from the global system. As for gold, the authors notice that it has remained a net receiver with a significant increase in the network reception during the crisis period, which confirms its safe haven.

Originality/value

Overall, the authors conclude that connectedness is shown to be conditional on the extent of economic and financial uncertainties marked by the propagation of the coronavirus while the Bitcoin Gold and Litecoin are the least receivers, leading to the conclusion that they can be diversifiers.

研究目的

本文分析於2020年2019冠狀病毒病肆虐期間、主要的加密貨幣、七國集團 (G7) 股價指數與黃金價格三者之間在網絡上的連通性。

研究設計/方法/理念

分析使用迪博爾德和耶爾馬茲 (Diebold and Yilmaz (2009, 2012, 2014)) 提出的多變量分析法。

研究結果

就一個股票指數投資組合而言,靜態連結的結果顯示、在2019冠狀病毒病肆虐期間,股票市場之間有更高的獨立性。值得我們注意的是:一般來說,加密貨幣在股票指數投資組合起著多元化投資作用,這可減低不穩定性,尤其是在危機時期。動態連結的結果與靜態連結的結果沒有顯著的分別。我們剛提到、比特幣黃金已成為純接收者。除了處於先前水平的達世幣和比特幣黃金外,就大部分的加密貨幣而言,連通的範圍在衝擊後都得以維持。事實上,在這危機時期,比特幣一直是波動性連結或溢出的最大淨傳播者。掛單者 (Maker) 是從全球系統中出現的最大波動淨接收者。至於黃金,我們注意到在危機時期、它仍然是在網絡接收方面擁有顯著增長的淨接收者,這確認其為安全的避難所。

研究的原創性/價值

總的來說,我們的結論是:連通性被確認為取決於標誌著受廣泛傳播的冠狀病毒影響下的經濟和金融欠缺穩定的程度,而比特幣黃金和萊特幣則是最小的接收者,這帶出一個結論、就是:比特幣黃金和萊特幣、可以成為多元化投資項目。

Details

European Journal of Management and Business Economics, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 2444-8451

Keywords

Article
Publication date: 10 June 2020

Ebenezer Bugri Anarfo, Godfred Amewu and Gloria Clarissa Dzeha

This study examines the causal and dynamic link between financial inclusion and migrant remittances in sub-Saharan Africa.

Abstract

Purpose

This study examines the causal and dynamic link between financial inclusion and migrant remittances in sub-Saharan Africa.

Design/methodology/approach

The study employed a panel vector autoregressive (VAR) framework to examine the dynamic relationship between financial inclusion and migrant remittances in sub-Saharan Africa.

Findings

The findings indicate that there is a reverse causality between financial inclusion and migrant remittances in sub-Saharan Africa.

Practical implications

The practical implications of these findings are that central governments and economic policymakers in sub-Saharan African countries should formulate and implement policies aimed at fostering financial inclusion if they are to attract more migrant remittances to promote economic growth and financial sector development. This suggests that these two variables are complementary and not contradictory. The results also suggest that central banks and other financial institutions can leverage the positive effect of financial inclusion of financial sector development to enhance the development of the financial sector instead of pursuing financial sector development as a policy objective. This means policies aimed at promoting financial inclusion will not impede or sacrifice migrant remittances, economic growth and financial sector development.

Originality/value

This paper is the first to construct a financial inclusion index to examine the link between financial inclusion and migrant remittances from the sub-Saharan Africa perspective

Peer review

The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-10-2019-0612/

Details

International Journal of Social Economics, vol. 47 no. 7
Type: Research Article
ISSN: 0306-8293

Keywords

Book part
Publication date: 15 April 2020

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 the…

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.

Book part
Publication date: 21 August 2019

Peter Huaiyu Chen, Kasing Man, Junbo Wang and Chunchi Wu

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the…

Abstract

We examine the informational roles of trades and time between trades in the domestic and overseas US Treasury markets. A vector autoregressive model is employed to assess the information content of trades and time duration between trades. We find significant impacts of trades and time duration between trades on price changes. Larger trade size induces greater price revision and return volatility, and higher trading intensity is associated with a greater price impact of trades, a faster price adjustment to new information and higher volatility. Higher informed trading and lower liquidity contribute to larger bid–ask spreads off the regular daytime trading period.

Details

Advances in Pacific Basin Business, Economics and Finance
Type: Book
ISBN: 978-1-78973-285-6

Keywords

Article
Publication date: 1 December 2002

Mohammad S. Hasan

Using the notions of unit root, cointegration theory and Granger‐Akaike’s synthesis of modelling strategy, this paper examines the nature of stationarities, cointegration…

1375

Abstract

Using the notions of unit root, cointegration theory and Granger‐Akaike’s synthesis of modelling strategy, this paper examines the nature of stationarities, cointegration properties and Granger causal relationship between domestic savings and aid based on a sample of 27 developing countries. The KPSS unit root test results indicate that variables of interest in a trivariate vector autoregressive system such as aid inflows, domestic savings and income exhibit a dissimilar trend in the majority of countries, with the exceptions of Bolivia and Korea. The cointegration test results based on the Johansen and Juselius testing procedure found evidence of cointegration among the variables, domestic savings, aid and income in Bolivia and Korea. However, the presence and direction of causality between aid inflows and domestic savings are mixed across countries. Whilst the findings are indicative of a causal independence in a majority of the cases, little support is attached to either Griffin’s dependency hypothesis or Papaneck’s reverse causality hypothesis.

Details

Journal of Economic Studies, vol. 29 no. 6
Type: Research Article
ISSN: 0144-3585

Keywords

Abstract

Details

Fundamentals of Transportation and Traffic Operations
Type: Book
ISBN: 978-0-08-042785-0

Book part
Publication date: 1 January 2004

Jane M. Binner, Thomas Elger, Birger Nilsson and Jonathan A. Tepper

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural…

Abstract

The purpose of this study is to contrast the forecasting performance of two non-linear models, a regime-switching vector autoregressive model (RS-VAR) and a recurrent neural network (RNN), to that of a linear benchmark VAR model. Our specific forecasting experiment is U.K. inflation and we utilize monthly data from 1969 to 2003. The RS-VAR and the RNN perform approximately on par over both monthly and annual forecast horizons. Both non-linear models perform significantly better than the VAR model.

Details

Applications of Artificial Intelligence in Finance and Economics
Type: Book
ISBN: 978-1-84950-303-7

Article
Publication date: 1 April 2014

Kim Hin/David Ho and Kwame Addae-Dapaah

The purpose of this paper is to help us understand the real estate cycle and offers an analysis using a vector auto regression (VAR) model. The authors study the key international…

1061

Abstract

Purpose

The purpose of this paper is to help us understand the real estate cycle and offers an analysis using a vector auto regression (VAR) model. The authors study the key international cities of Hong Kong, Kuala Lumpur and Singapore. The authors find four key outcomes. One, the real estate cycle is generally different from the underlying business cycle in local markets for the cities studies. Two, the real estate cycle is more exaggerated in the construction and development areas than in rents and vacancies. Three, the vacancy cycle tends to lead the rental cycle. And four, new construction completions tend to peak when vacancy is also peaking. The authors believe that future research should try to help understand the linkages that drive these outcomes. For example, are rigidities in the local permit and construction markets responsible for the link between construction peaks and vacancy peaks?

Design/methodology/approach

Real estate market cyclical dynamics and its estimation via VAR model offers an insightful set of practical and empirical models. It affirms a comprehensive theoretical underpinning for analysing the prime office and residential sectors of the capitol cities of Kuala Lumpur, Singapore and Hong Kong in the fast developing Asia region. Its unrestricted form also provides an effective and insightful way of modelling real estate market cyclical dynamics utilising only real estate market indicators, furnished by real estate market data providers.

Findings

The office rental VAR model for Singapore (SOR), KL (KOR) and HK (HOR) show good fits. In the HOR model, rents and vacancies are negatively signed and significant for certain lagged relationships with other variables and with rents themselves. The office CV VAR model for Singapore (SOCV), KL (KOCV) and HK (HOCV) show good fits. In the HOCV model, capital values (CVs) and initial yields are negatively signed and significant for certain lagged relationships with other variables and with CVs themselves. Impulse response functions specified for seven years to mirror a medium-term real estate market cycle “die out” to zero for the stationary VAR models that are estimated for the endogenous variables. The accumulated responses asymptote to some non-zero constant.

Practical implications

The VAR model offers a complete and meaningful dynamic system of solely real estate variables for international real estate investors and policy makers in decision making. Its unrestricted form offers an effective and insightful way of modelling real estate market cyclical dynamics utilising only real estate market indicators, which can be reliably provided by a dedicated real estate information and consultancy provider of international standing.

Originality/value

The theoretical model offers a complete dynamic model system of the real estate space market, comprising a unique system of six linked equations that denote the relationship among supply, demand, construction, vacancy and rent over time, inclusive of price response slopes and lags. The VAR model enables the investigation of the effect of the lagged values of all the variables concerned. It also enables the explicit and rigorous quantitative forecasts of say rents and CVs when the rest of the variable can be forecasted beforehand.

Details

International Journal of Managerial Finance, vol. 10 no. 2
Type: Research Article
ISSN: 1743-9132

Keywords

Article
Publication date: 6 April 2012

Thomas D. Willett

The purpose of this paper is to stress the role that several defective theories or views of the world played in generating the subprime financial crisis.

1367

Abstract

Purpose

The purpose of this paper is to stress the role that several defective theories or views of the world played in generating the subprime financial crisis.

Design/methodology/approach

This is done by describing these views, showing that they were widely held by relevant decision makers, and by analyzing the flaws in these views. A considerable amount of literature is surveyed in the process.

Findings

It was found that these defective views did play a major role in generating the crisis.

Research limitations/implications

Implications of the analysis for future research are discussed.

Practical implications

Implications of the analysis for reform of private and public sector financial policies are discussed.

Originality/value

While most of the arguments in the paper are not new, no paper of which the author is aware pulls them together with the same emphasis on how faulty mental models interacted with dangerous incentive structures to play a prime role in generating the crisis. The paper also references a much wider range of literature on the crisis than any study of which the author is aware. The paper should be of value to any one interested in the causes of the crisis and ways to make future crises less likely.

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