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This paper examines the impact of macroeconomic volatility on stock volatility, both under normal conditions and during the COVID-19 pandemic in Vietnam.

We extend the existing Exponential Generalized Autoregressive Conditional Heteroskedasticity model by adding a new component: the thresholds – the levels of macroeconomic volatility at which the market may respond differently. These thresholds are estimated for both positive and negative volatility.

The impact of macroeconomic volatility on stock volatility is asymmetric: there are thresholds of macroeconomic volatility at which its pattern changes. These thresholds are higher in the case of positive volatility compared with negative volatility. The thresholds were also higher during the COVID-19 pandemic. Macroeconomic variables influence stock volatility differently depending on market conditions. While GDP is more significant in normal periods, interest rates affect it in both normal and unstable phases.

Our models consider only two variables representing macroeconomic variables: interest rate and GDP. Furthermore, only one lag period of the variables is included in the analysis. In the future, more macrovariables and longer lags could be included when computational techniques advance.

Policymakers should consider the impact of macroeconomic volatility on the stock market when designing policies, especially at thresholds. Similarly, investors should pay more attention to macroeconomic volatility when constructing and managing their portfolios, particularly when such volatility is close to thresholds.

The inclusion of thresholds as parameters to be estimated into the model provides more insights into the impact of macroeconomic variables on stock volatility.

This study evaluated the effect of macroeconomic factors on residential real estate (RE) investment returns in the cities of Abuja and Lagos, Nigeria, with a view to guiding RE investors and researchers.

A survey research design was employed using a questionnaire to collect RE transaction data from 2008 to 2022 from estate surveying and valuation firms in the study areas. Rental and capital value data collected were used to construct rental and capital value indices and total returns on investment. The macroeconomic data used were retrieved from the archives of the Central Bank of Nigeria (CBN). Granger causality (GC) and multiple regression models were adopted to evaluate the effect of selected macroeconomic variables on residential RE investment returns in the study areas.

The study found a progressive upward movement in rental and capital values of residential RE investment in the study areas within the study period. Total and risk-adjusted returns on investment were equally positive within the study period. Only the inflation rate, unemployment rate and real gross domestic product (GDP) per capita were found to be the major determinants of residential RE investment returns in the study areas within the study period.

The secrecy associated with property transaction information/data by RE practitioners in the study areas posed a challenge. Property transaction data were not adequately kept in a way for easier access and retrieval in many of the estate firms and agent offices. Consequently, there was a lack of data that spanned the study period in some of the sampled estate firms or agent offices. This data collection challenge was, however, overcome by the excess time spent retrieving the required data for this study to ensure that the findings appropriately answer the research questions.

Inflation and GDP per capita have been found to be significant factors that influence residential RE investment performance in the study areas. Therefore, investors should pay attention to these identified macroeconomic factors for residential RE investment in the study areas whilst making investment decisions in order to mitigate a possible loss of income or return. The government should formulate and implement economic policies that would address the current high unemployment and inflation rates in Nigeria at large.

This study has extended and further enriched the existing body of knowledge in the field of RE investment analysis in Nigeria. To the best of the authors' knowledge, this study is the first to adopt the Cornish Fisher value-at-risk and modified Sharpe ratio models to analyse risk and risk-adjusted returns on residential RE investment, respectively, in Nigeria. It has therefore redirected the focus of RE researchers and practitioners to a more objective approach to RE investment performance analysis in Nigeria.

The main purpose of this research is to examine the influence of macroeconomic stability on economic growth of SAARC (South Asian Association for Regional Cooperation) countries.

Using panel data of 1991–2020, fixed effect regression analysis, pooled ordinary least squares and generalized method of moments techniques have been conducted to demonstrate whether macroeconomic stability contributes to economic growth. Moreover, cross-sectional dependency test, unit root test, correlation analysis and granger causality tests have been run.

Robust findings indicate that inflation has negative impacts on economic growth which indicates that lower level of macroeconomic instability promotes countries’ economic growth. This study also observed that foreign direct investment, domestic credit delivered to private sector, currency exchange and institutional difference across countries are affirmatively connected while labor force is negatively associated with economic growth.

Empirical findings of this study signify that macroeconomic stability have significant effects on economic growth. Findings of this study have superior contributions for the policy makers to achieve sustainable economic growth.

The study examines the effect of macroeconomic risk, inflation uncertainty and instability associated with key macroeconomic indicators on the efficiency of financial institutions among economies in sub-Saharan Africa (SSA).

Data for the empirical inquiry were compiled from 35 SSA economies from 1996 to 2019. The empirical estimates were carried out using pooled ordinary least squares (POLS) with Driscoll and Kraay’s (1998) standard errors.

Reported empirical estimates show that macroeconomic risk and exchange rate volatility constrain the efficiency of financial institutions. Further results suggest that inflation uncertainty has a significant influence on the efficiency of financial institutions among economies in the subregion. Additionally, reviewed empirical estimates show that institutional quality positively moderates the nexus between inflation uncertainty and financial institution efficiency. At the same time, political instability is found to worsen the adverse effect of macroeconomic risk on the efficiency of financial institutions.

For policymakers and governments, improved institutional structures are recommended to ensure the operational efficiency of financial institutions, especially during an inflationary period. For decision-makers among financial institutions, the study recommends policies that have the potential to make their institutions less vulnerable to macroeconomic risk and exchange rate fluctuations.

The approach adopted in this study differs significantly from related studies in that the study examines and reviews interactions and relationships not readily found in the reviewed literature.

The purpose of this paper is to empirically examine the impact of financial integration on macroeconomic volatility for developing and emerging economies of Asia.

The effects of financial integration and dynamics of macroeconomic volatility over time and across different groups of Asian economies vis-à-vis advanced economies are investigated using four different variables such as consumption, output, income and the ratio of consumption to income. Further, an empirical link between the degree of international financial integration and macroeconomic volatility for Asian economies is econometrically investigated using generalized method of moments (GMM) system one-step estimator.

Macroeconomic volatilities of per capita output and consumption growth tend to be lower for advanced economies compared to Asian economies. The computed cross-sectional median of the volatility of consumption, output, income and the ratio of consumption volatility to income suggested that the volatility of advanced economies is lower compared to all the regions of Asia. GMM results suggested that the financial openness, trade openness and broad money are negatively and significantly associated with macroeconomic volatility whereas inflation is positively and significantly associated with macroeconomic volatility but the magnitude of trade openness is found to be negligible.

The present study has not included the effects of other country-specific variables (such as fiscal policy volatility) and other external factors to understand macroeconomic volatility.

High integration of economies promote economic growth, reduce macroeconomic volatility and reduce vulnerability to external shocks. This implies that policy makers should thrive to reform and create institutional infrastructure to deepen the integration.

The paper is an important empirical contribution toward examining the effects of financial integration on dynamics of macroeconomic volatility for a large number of Asian developing and emerging economics over time and across different groups using recent data and latest analytical framework and techniques.

This study aims to explore potential paradigm shift in how “global economies” react to adverse macroeconomic conditions from key dominant economies such as the US and the Chinese economies. This is done by examining how economic activities within key economies around the world react to, or are impacted by, modeled adverse macroeconomic condition emanating from the Chinese and the US economies.

To verify potential paradigm shift in how external macroeconomic uncertainty impacts “global” industrial productivity and overall gross domestic product (GDP) growth within selected economies, this study opts for seemingly unrelated regression (SUR) model. Adoption of this method has been influenced by the potential for correlated error terms between modeled adverse macroeconomic condition, industrial productivity and GDP growth variables being tested in a two-equation system.

Empirical results based on SUR analysis find no evidence of this potential paradigm shift within the time frame examined in the study. Estimated results suggest that notwithstanding the recent growth surge of the Chinese economy, macroeconomic happenings within the US economy still exert significantly more influence on key economies around the world. For instance, this study finds that macroeconomic uncertainty associated with the US economy significantly constrains both industrial productivity and overall GDP growth within most of the economies tested, whereas the same condition emanating from the Chinese economy seems to rather have a weak positive impact on the same macroeconomic variables.

Research results are strictly limited to the focus time frame for this study; it is likely that expanded data involving more years beyond what was analyzed in this study could yield different results.

This study is an original research based on data from a reputable US federal institution.

The purpose of this paper is to examine the long-run relationship and short-term linkage between the Asian REIT markets and their respective macroeconomic variables.

The data collected comprised total return REIT Index from Japan, Hong Kong, Singapore, Malaysia, Thailand, Taiwan and South Korea and their macroeconomic variables from the date of availability of the data until December 2014. The macroeconomic variables are either available in monthly or quarterly basis, they will be separately tested with REIT Index respectively to their frequency. All the variables are tested for its stationarity prior to the investigation of their long-run relationship and short-term linkage using Johansen cointegration test and Granger causality test.

The results showed that certain of the emerging REIT markets show a higher degree of integration with macroeconomic variables in the long run. This implies that the emerging REIT markets are more sensitive towards the change in macroeconomic environment in relative to the developed REIT markets.

The paper implied that the distinction of each market structure and their unique way of policy implementation. The findings can assists policy makers to understand about the significance of policy implementation on the Asian REIT markets prior to decision making and also for the portfolio management my asset managers.

The paper is one of the few attempts at assessing the long-term relationship and short term linkage between the Asian REIT markets and the macroeconomic variables.

This study seeks to examine the extent to which strands of inflationary related conditions (inflation expectations, inflation uncertainty and realized inflation); macroeconomic uncertainty and the likelihood of recessionary conditions influence performance indicators in the US banking sector over a specified time period.

The study adopts seemingly unrelated regression model (SUR) advanced by Zellner (1962) in its examination of how specific strands of inflationary conditions, and other adverse macroeconomic conditions influence performance dynamics in the US banking sector.

Empirical evidence suggest that among various adverse macroeconomic conditions examined, inflation expectations and macroeconomic uncertainty tend to have significant constraining impact on key performance indicators in the US banking sector than other conditions examined. Comparatively, this study finds that inflation expectations and macroeconomic uncertainty tend to have much more constraining impact on return on equity, than on return on assets in the US banking sector. Results further suggest that among the three bank performance indicators examined, net interest margin is the least vulnerable bank performance indicator to various adverse macroeconomic conditions examined in the study.

Apart from the various empirical results noted above, this study's findings are projected to help inform strategic planning decisions among institutions in the banking sector. The various findings could, for instance, inform policies and operational strategies geared toward reducing vulnerability associated with specific performance indicators such as return on equity. This reduction could be achieved by critically examining how the various performance indicators react to individual adverse macroeconomic conditions examined in this study. The process could ultimately help in developing tailored measures/procedures aimed at reducing how susceptible key performance indicators are to the various adverse macroeconomic conditions. This study's findings could also provide the platform for more adaptive policies aimed at minimizing the effects of noted macroeconomic conditions on operational efficiency in the banking sector.

The uniqueness of this study, compared to related ones found in the literature, stems from its treatment of three variant of related strands of macroeconomic condition (different variant of inflationary conditions) in the same framework in its empirical analysis.

本研究旨在探討與通貨膨脹有關的狀況的組成部分(通脹預期 、通脹不確定性及體現了的通脹), 宏觀經濟不確定性及經濟衰退狀況的可能性、在一段特定時間內對美國銀行業的表現指數有何種程度的影響。

研究採用塞爾納 (Zellner) (1962) 提出的看似無關迴歸模型 (SUR)，去探討通脹狀況的特定組成部分及其它不利的宏觀經濟狀況如何影響美國銀行業內的績效動態。

實證證據暗示在被研究的各個不利宏觀經濟狀況中，通脹預期及宏觀經濟不確定性，對美國銀行業內的主要業績指標的約束影響, 與其它被探討的狀況相比，往往會較重大。相對地、本研究結果顯示通脹預期及宏觀經濟不確定性，對美國銀行業資本回報率的約束影響、往往遠多於資產收益率。研究結果進一步顯示，在被探討的三個銀行業績指標中，就本研究所探討的各個不利的宏觀經濟狀況而言，淨息差是脆弱性最小的銀行業績指標。

除了上述各實證結果外，本研究結果預期會給銀行業內機構間作戰略規劃的決定時提供資料，譬如，各項研究結果或可在制定旨在減少與特定業績指標如資本回報率相聯繫的脆弱性的政策和經營策略時提供資料。這脆弱性的減少，是透過嚴謹地研究各個業績指標，如何對在本研究中被探討的個別不利宏觀經濟狀況作出反應而達致的。這程序或許最終會幫助建立一個以減少各個不利宏觀經濟狀況對主要業績指標的影響為目的的量身定制措施／程序。本研究的結果，或許亦可為更多旨在減弱眾所周知的宏觀經濟狀況對銀行業運營效率的影響的適應性政策提供平台。

與文獻中可見的相關研究比較，本研究的獨特性源於其實證分析，是涉及在同一個構架內處理宏觀經濟狀況相互有關的組成部分的三個變體 (通脹狀況的不同變體) 。

The purpose of this paper is twofold. First, based on the value optimization problem of the firm, the authors proposed a theoretical model for firms’ investment decisions, which incorporates the effects of both idiosyncratic (firm specific) and macroeconomic uncertainty/risk. Second, the authors empirically estimate the proposed model for Pakistan.

The authors utilize an unbalanced firm-level panel data covering the period 1988-2013. To generate time-variant firm-specific uncertainty, the authors estimate the autoregressive model on firm sales for each firm included in the sample over the examined period. Firm-specific risk is also measured based on the square of the residuals of firms’ sales. Two measures of macroeconomic uncertainty are computed using the conditional variance obtained by estimating the ARCH model for consumer price index and industrial production index. Several alternative measures of both types of uncertainties are used to ensure the robustness of uncertainty effects. To mitigate the problem of endogeneity, the robust two-step system-generalized method of moments estimator is used to estimate the empirical model.

The results indicate that firms are likely to cut down their level of investment spending when either type of uncertainty increases. The results also reveal that the sensitivity of firms’ investment decisions to macroeconomic (aggregate) uncertainty is higher as compared to the firm-specific uncertainty. The authors show that these findings are robust to different uncertainty measures used in the analysis. The results related to firm characteristics suggest that the firm-specific variables namely the debt to assets ratio, the costs of debt to assets ratio, and the sales to assets ratio are also equally important in the determination of investment decisions of corporate manufacturing firms.

The empirical findings of the paper are useful for firm managers, investors, and government authority. Specifically, the results help firm managers and investors to understand how firm-specific and macroeconomic uncertainty affects firms’ investment decisions. The finding that firms cut their investment spending in times of macroeconomic instability implies that declines in firms’ investment spending during the periods of macroeconomic turmoil may delay the process of recovery. Therefore, the policy makers should design such policies that encourage firms to invest more in economic crisis periods, which, in turn, would enhance the growth of the economy and help to overcome the problem of downturn/recession.

The authors first propose a theoretical model for firms’ investment decisions based on the value optimization problem of the firm by incorporating the role of both firm-specific and macroeconomic uncertainty. Next, unlike most of previous studies, they estimate the proposed model for non-financial firms operating in Pakistan. The authors predict that a higher exposure to both idiosyncratic and macroeconomic uncertainties leads to lower investment in Pakistani manufacturing firms. Further, the authors hypothesize that both types of uncertainties have differential effects on firms’ investment decisions.

This study explores whether exposure to macroeconomic information provides bellwether firms with information advantages at the macroeconomic level and facilitates managers to utilize such informational advantage for investment decision-making. The author tests whether firms' macroeconomic exposure is associated with sensitivity of their segment-level investments to growth opportunities and how internal and external frictions affect this association cross-sectionally.

This study follows prior research to identify high-macroinformation firms and measures the level of macroexposure based on how closely the firms' underlying business varies with macroeconomic conditions. The main specification is a segment-level regression of investment on growth opportunities and an interaction between growth opportunities and the level of macroeconomic exposure.

The results indicate a significantly positive association between firms' macroeconomic exposure and sensitivity of segment-level investments to growth opportunities, suggesting that bellwether firms can leverage their greater exposure to macroeconomic and external information to improve the quality of their investment decisions. Further evidence shows that this positive association is decreasing in firms' corporate diversification level and is also decreasing in their foreign operation level, implying that internal and external frictions could limit the information benefits ultimately gained by firms from their macroeconomic exposure.

Accounting researchers have recently documented evidence that bellwether firms' management earnings forecasts convey timely information about macroeconomic states, suggesting that managers of certain types of firms are likely to have private macroeconomic information. The main research question in this paper is motivated by incorporating insights derived from recent accounting research findings to shed further light on the impact of firms' macroexposure on their investment decision process.