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Article
Publication date: 1 November 2022

Zhe Liu, Chong Huang and Benshuo Yang

This paper investigates the impact of investor attention on the COVID-19 concept stocks in China's stock market from the perspectives of the macroeconomy, the stock market and the…

Abstract

Purpose

This paper investigates the impact of investor attention on the COVID-19 concept stocks in China's stock market from the perspectives of the macroeconomy, the stock market and the COVID-19 pandemic.

Design/methodology/approach

On the basis of controlling the time effects and individual fixed effects, this paper studies the impact of investor attention on the COVID-19 concept stocks in China's stock market through a set of fixed effect panel data models. Among them, investor attention focuses on macroeconomy, stock market and the COVID-19 pandemic, respectively, while stock indicators cover return, volatility and turnover. In addition, this paper also examines the heterogeneity influence of investor attention on the COVID-19 concept stocks from the perspective of time and stock classification.

Findings

Findings indicate that the attention to macroeconomy does not have a statistically significant effect on the return, unlike the attention to stock market and COVID-19 incident. Three types of investor attention have significant positive effects on the volatility and turnover rate. During the outbreak of the domestic epidemic, the impact of investor attention was significantly higher than that during the outbreak of the epidemic overseas. A finer-grained analysis shows that the attention to stock market has significantly increased the return of preventive type and treatment type stocks, while diagnostic-related stocks have been most affected by the attention to COVID-19 incident.

Research limitations/implications

The major limitation of this work is the construction of investor attention. Although Baidu index is widely used, investor attention can be assessed more accurately based on more unstructured data. In addition, the effect of the COVID-19 can also be investigated in a longer time domain. Further research can be combined with the dynamics of the COVID-19 pandemic to more comprehensively evaluate its impact on the stock market.

Originality/value

The research proves that investor attention plays an important role in stock pricing and provides empirical evidence on the behavioral foundations of the conceptual sector of the stock market under uncertainty. It also has practical implications for regulators and investors interested in conducting accurate asset allocation and risk assessment.

Details

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

Keywords

Article
Publication date: 2 July 2020

Yumei Zhang, Xinshen Diao, Kevin Z. Chen, Sherman Robinson and Shenggen Fan

The purpose of this study is to assess the potential economic cost of the COVID-19 pandemic on China's macroeconomy and agri-food system and provide policy recommendations to…

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Abstract

Purpose

The purpose of this study is to assess the potential economic cost of the COVID-19 pandemic on China's macroeconomy and agri-food system and provide policy recommendations to stimulate economic growth and agri-food system development.

Design/methodology/approach

An economy-wide multisector multiplier model built on China's most recent social accounting matrix (SAM) for 2017 with 149 economic sectors is used to assess the impact of COVID-19 on China's macroeconomy and agri-food system. SAM multiplier analysis focuses on supply chain linkages and captures the complexity of an interconnected economy.

Findings

The paper finds that both the macroeconomy and agri-food systems are hit significantly by COVID-19. There are three main findings. First, affected by COVID-19, GDP decreased by 6.8% in the first quarter of 2020 compared with that in 2019, while the economic loss of the agri-food system is equivalent to 7% of its value added (about RMB 0.26 trillion). More than 46m agri-food system workers (about 27% of total employment) lost their jobs to COVID-19 in the lockdown phase. The COVID-19 affects the employment of unskilled labor more than that of skilled labor. Second, when the economy starts to recover during the second and third quarters, the growth rate in the value added of the agri-food system turns positive but still modest. Many jobs resume during the period, but the level of agri-food system employment continues to be lower than the base. The agri-food system employment recovery is slower than that of other sectors largely due to the sluggish recovery of restaurants. Agri-food system employment drops by 8.6m, which accounts for about 33% of the total jobs lost. Third, although the domestic economy is expected to be normal in the fourth quarter, external demand still faces uncertainties due to the global pandemic. The agri-food system is projected to grow by 1.1% annually in 2020 with resuming export demand, while only by 0.4% without resuming export demand. These rates are much lower than an annual growth rate of 4.3% for the agri-food system in 2019. The results also show that, without resuming export demand, China's total economy will grow less than 1% in 2020, while, with export demand resumed, the growth rate rises to 1.7%. These rates are much lower than an annual GDP growth rate of 6.1% in 2019.

Practical implications

The results show that continuously reducing economic dependency on exports and stimulating domestic demand are key areas that require policy support. The agri-food system can play an important role in supporting broad economic growth and job creation as SMEs are major part of the AFS. Job creation requires policies to promote innovation by entrepreneurs who run numerous SMEs in China.

Originality/value

This paper represents the first systematic study assessing the impact of COVID-19 on China's agri-food system in terms of value added and employment. The assessment considers three phases of lockdown, recovery and normal phases in order to capture the full potential cost of COVID-19.

Details

China Agricultural Economic Review, vol. 12 no. 3
Type: Research Article
ISSN: 1756-137X

Keywords

Article
Publication date: 4 April 2022

Puneet Vatsa and Frank G. Mixon

This paper aims to investigate the cyclical associations among energy prices and key macroeconomic variables for the USA.

Abstract

Purpose

This paper aims to investigate the cyclical associations among energy prices and key macroeconomic variables for the USA.

Design/methodology/approach

To this end, the recently developed Hamilton filter (HF) and the oft-used Hodrick–Prescott filter (HPF) are used. The two methods produce starkly different results regarding the relationships between energy prices on the one hand and output and employment on the other.

Findings

While the HF suggests that energy prices are acyclical, the HPF suggests they are procyclical. However, the associations between energy prices and inflation are robust across the two methods, indicating that energy prices are strongly correlated with – and lead – the consumer price index (CPI). Furthermore, unlike the results produced by the HPF, those produced by the HF are robust across seasonally adjusted and unadjusted data.

Research limitations/implications

Given the inherent seasonality in energy prices and the differences in the underlying processes that generate macroeconomic and energy prices, the results obtained from the HPF filter should be interpreted with caution.

Originality/value

To the best of the authors’ knowledge, this is the first study that uses the recently developed HF to examine the associations between the cyclical behaviors of three key macroeconomic variables in the USA – the industrial production index, the CPI, and total nonfarm employment – and the prices of natural gas, crude oil, gasoline, diesel, and heating oil. Second, this study presents a comparison of the results produced by the two filtering techniques. Third, recognizing that energy prices are characterized by seasonality, this study tests the robustness of the results produced by the two filters across seasonally adjusted and unadjusted data.

Details

Journal of Financial Economic Policy, vol. 14 no. 5
Type: Research Article
ISSN: 1757-6385

Keywords

Open Access
Article
Publication date: 17 March 2023

Hail Park, Jong Chil Son and Wenbo Wang

This study empirically aims to analyze the transmission of monetary policy in consideration of asymmetry based on the Bank of the Lao PDR (BOL)'s monetary policy tools and real…

Abstract

Purpose

This study empirically aims to analyze the transmission of monetary policy in consideration of asymmetry based on the Bank of the Lao PDR (BOL)'s monetary policy tools and real and financial variables in the domestic market.

Design/methodology/approach

This study adopts two approaches, conventional vector autoregression (VAR) and asymmetric VAR, to investigate the impact of monetary policy on macroeconomic variables including inflation and real GDP growth in the Lao PDR.

Findings

Under a highly dollarized monetary regime, the policy rate change plays a weaker role compared with M0, which exerts significantly positive effects on real GDP growth and inflation. The results of the asymmetric VAR model further substantiate that the real economy responds to a positive M0 shock (easing monetary policy) rather than a negative shock (tightening monetary policy).

Practical implications

Overall estimation results suggest that the effectiveness of monetary policy is limited in Laos, which would take priority over efforts to strengthen the development of the short-term financial market and de-dollarization.

Originality/value

This study can fill the gap in the literature in which the discussions on the transmission mechanism of monetary policy in the BOL's monetary policy are still little known.

Details

International Trade, Politics and Development, vol. 7 no. 2
Type: Research Article
ISSN: 2586-3932

Keywords

Article
Publication date: 22 July 2021

Alexander Lubis, Constantinos Alexiou and Joseph G. Nellis

This paper examines the impact of using the reserve requirements, combined with foreign exchange (FX) intervention, as key instruments in an inflation-targeting framework.

Abstract

Purpose

This paper examines the impact of using the reserve requirements, combined with foreign exchange (FX) intervention, as key instruments in an inflation-targeting framework.

Design/methodology/approach

In the context of a dynamic stochastic general equilibrium (DSGE) framework and using Bayesian techniques, the authors estimate a model for the Indonesian economy using quarterly data spanning the period 2005Q2–2019Q4.

Findings

The reserve requirement is found to assume a complementary role to that of the interest rate policy and FX intervention when used to stabilise the macroeconomy.

Originality/value

This paper provides a benchmark for other emerging countries that consider adopting the inflation targeting framework and impose an FX intervention as part of their monetary policy.

Details

Journal of Economic Studies, vol. 49 no. 6
Type: Research Article
ISSN: 0144-3585

Keywords

Article
Publication date: 1 January 1985

PETER J. LAMBERT

In this paper we describe and explore a simple macroeconomy with a progressive income tax and with both ad valorem and unit taxes on commodities. Despite the prevalence of such…

Abstract

In this paper we describe and explore a simple macroeconomy with a progressive income tax and with both ad valorem and unit taxes on commodities. Despite the prevalence of such taxes in real‐world economies, in most theoretical macroeconomic models, both static and dynamic, direct taxes are linear on the various sources of income. The indirect taxes, if any, are all proportional. It seems important in an inflationary world to make explicit the effects of both elastic and ‘sticky’ revenue sources on the government's financing problem and in particular to investigate the sort of steady states that may be achieved in such economies.

Details

Studies in Economics and Finance, vol. 9 no. 1
Type: Research Article
ISSN: 1086-7376

Open Access
Article
Publication date: 19 June 2020

Mohammed M. Elgammal, Fatma Ehab Ahmed and David G. McMillan

The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained…

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Abstract

Purpose

The purpose of this paper is to consider the economic information content within several popular stock market factors and to the extent to which their movements are both explained by economic variables and can explain future output growth.

Design/methodology/approach

Using US stock portfolios from 1964 to 2019, the authors undertake three related exercises: whether a set of common factors contain independent predictive ability for stock returns, what economic and market variables explain movements in the factors and whether stock market factors have predictive power for future output growth.

Findings

The results show that several of the considered factors do not contain independent information for stock returns. Further, most of these factors are neither explained by economic conditions nor they provide any predictive power for future output growth. Thus, they appear to contain very little economic content. However, the results suggest that the impact of these factors is more prominent with higher macroeconomic risk (contractionary regime).

Research limitations/implications

The stock market factors are more likely to reflect existing market conditions and exhibit a weaker relation with economic conditions and do not act as a window on future behavior.

Practical implications

Fama and French three-factor model still have better explanations for stock returns and economic information more than any other models.

Originality/value

This paper contributes to the literature by examining whether a selection of factors provides unique information when modelling stock returns data. It also investigates what variables can predict movements in the stock market factors. Third, it examines whether the factors exhibit a link with subsequent economic output. This should establish whether the stock market factors contain useful information for stock returns and the macroeconomy or whether the significance of the factor is a result of chance. The results in this paper should advance our understanding of asset price movement and the links between the macroeconomy and financial markets and, thus, be of interest to academics, investors and policy-makers.

Details

Studies in Economics and Finance, vol. 37 no. 2
Type: Research Article
ISSN: 1086-7376

Keywords

Abstract

Details

The Peace Dividend
Type: Book
ISBN: 978-0-44482-482-0

Article
Publication date: 15 January 2018

Peterson K. Ozili

The purpose of this paper is to investigate the non-discretionary determinants of bank loan loss provisions in Africa after controlling for macroeconomic fluctuation, financial…

Abstract

Purpose

The purpose of this paper is to investigate the non-discretionary determinants of bank loan loss provisions in Africa after controlling for macroeconomic fluctuation, financial development and investor protection.

Design/methodology/approach

The author uses static and dynamic regression estimation to test for the determinants of bank loan loss provisions.

Findings

The author finds that non-performing loans (NPL), loan-to-asset ratio and loan growth are significant non-discretionary drivers of bank provisions in the African region. The author observes that bank provision is a positive function of NPL up to a threshold beyond which bank provisions will no longer increase as NPL increases. Also, bank loan-to-asset ratio is a significant driver of bank provisions when African banks have higher loan-to-asset ratios. The author finds that larger banks in financially developed African countries have fewer loan loss provisions while increase in bank lending leads to fewer bank provisions in countries with strong investor protection. Finally, higher bank lending is associated with higher bank provisions during economic boom.

Originality/value

This study is the first to assess the determinants of non-discretionary bank provisions in Africa as part of micro-prudential surveillance of banks in the African region.

Details

International Journal of Emerging Markets, vol. 13 no. 1
Type: Research Article
ISSN: 1746-8809

Keywords

Article
Publication date: 7 March 2024

Karan Raj and Devashish Sharma

The purpose of this study is to construct a new index to assess the impact of an energy price shock on macroeconomic indicators of India. This paper also shows a comparative…

Abstract

Purpose

The purpose of this study is to construct a new index to assess the impact of an energy price shock on macroeconomic indicators of India. This paper also shows a comparative analysis of the constructed index along with pre-existing World Bank and International Monetary Fund indices on energy.

Design/methodology/approach

This paper uses three vector autoregressions and compute the long-term impact of the indices on the considered macroeconomic variables through impulse response functions.

Findings

This paper finds that an energy price shock has a detrimental impact on the macroeconomic indicators of India in the long run. This study also finds that the constructed index acts as a relatively more sensitive index in comparison to the International Monetary Fund and World Bank indices, which is bespoke to a developing economy case. This sensitivity is ascribed to dynamic weighting for a different basket of energy components, which are more pertinent to an Indian context.

Originality/value

The novelty of this research lies in the construction of a new index and its comparison to the existing ones. This study justifies why a developing economy would require a different measure of energy as opposed to the existing indices.

Details

International Journal of Energy Sector Management, vol. ahead-of-print no. ahead-of-print
Type: Research Article
ISSN: 1750-6220

Keywords

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