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This study focuses on the linkages between foreign direct investment and the research and development (R&D) and innovation activity of domestic enterprises in Vietnam.

The Heckman selection model approach is applied to a panel dataset of nearly 7,000 Vietnamese firms for the 2011–2015 study period to investigate the impact of foreign presence on the R&D of local firms through horizontal and vertical linkages. Probit model estimation is employed to examine how foreign investment influences the innovation activity of local companies.

While there are a small number of firms carrying out R&D activities in Vietnam, foreign or joint domestic–foreign venture firms are less inclined than domestic firms to undertake R&D. Domestic factors that include capital, labor quality, location and export status of firm have a significant effect on the decision of domestic firms to participate in R&D activity. Only forward linkages and the gross firm output are found to have an impact on the R&D intensity of domestic enterprises, while other factors appear to have no significant influence on how much firms spend on R&D activities.

In order to promote the R&D activity of domestic firms, policy should focus on (1) the backward linkages between local firms in downstream sectors with their foreign suppliers in upstream sectors, and (2) the internal factors such as labor, capital or location that affect the decisions made by domestic firms.

Given that foreign investment may affect R&D and innovation activity of local firms in host countries, the impact is relatively unexplored for many emerging economies and not so in the case of Vietnam. The availability of a unique survey on Vietnamese firm technology and competitiveness provides the opportunity to address this gap in the literature.

The purpose of this paper is to assess the informational efficiency of Arabica (other milds) and Robusta coffee futures markets in terms of predicting future coffee spot prices.

Futures market efficiency is associated with the existence of a long-run equilibrium relationship between spot and future prices such that coffee futures prices are unbiased predictors of future spot prices. This study applies unit root testing to daily data for futures-spot price differentials. A range of maturities for futures contracts are considered, and the study also uses a recursive approach to consider time variation in futures market efficiency.

The other milds and Robusta futures prices tend to be unbiased predictors for their own respective spot prices. The paper further finds that other milds and Robusta futures prices are unbiased predictors of the respective Robusta and other milds spot prices. Recursive estimation suggests that the futures market efficiency associated with these cross cases has increased, though with no clear link to the implementation of the 2007 International Coffee Agreement.

The paper draws new insights into futures market efficiency by examining the two key types of coffee and analyses the potential interactions between them. Hitherto, no attention has been paid to futures contracts of the Robusta variety. The employment of unit root testing of spot futures coffee price differentials can be viewed as more stringent than an approach based on non-cointegration testing.

The purpose of this paper is to examine the relationship between export performance and firm size.

Analysing a large sample of firms in the Vietnamese manufacturing sector, the authors employ a quantile regression approach to asses whether or not the relationship between exporting and firm size is dependent upon the extent of exporting that firms already undertake.

The authors find that increased firm size leads to higher export volumes. However, in sharp contrast to literature that largely focuses on considering a linear relationship between these two variables, the authors further find that the positive relationship becomes weaker as the extent of exporting activity increases.

In contrast to the earlier literature, a key novelty of the approach is that the authors obtain new insights in terms of establishing a nonlinear relationship between firm size and export performance in the case of Vietnamese manufacturing.

The purpose of this paper is to consider whether or not the introduction of inflation targeting (IT) impacts on the mean-reversion properties of inflation and output growth.

Focusing on eight Asian countries of which four are inflation-targeters, the authors employ a two-state Markov-switching model which characterizes the behavior of inflation and output growth as regime-dependent based on periods of stationarity or non-stationarity.

In contrast to a literature that offers mixed findings, the authors find the presence of stationary inflation and output growth in one regime for all IT countries, except for South Korea which is characterized by stationary output growth in both regimes. In the cases of South Korea and Thailand, IT reduces the probability of inflation remaining in a non-stationary regime. IT increases the probability of South Korea remaining in a regime of low persistence output growth. While IT is important in understanding behavior, so are other considerations such as exchange rate volatility, as well as the Asian and global financial crises.

In contrast to other unit root tests of inflation and output growth, a novelty of the approach is that the authors obtain new insights in terms of two concepts of stationarity that allow for inflation and output growth to switch between stationary and non-stationary regimes (partial stationarity), or between stationary regimes of differing degrees of persistence (varied stationarity).

Tests for long‐run macroeconomic convergence among European Union (EU) countries according to the various exchange rate regimes that have prevailed over the last 40 years. Applying a recently developed test to the monthly index of industrial production data, output convergence is confirmed or rejected depending on whether or not the first largest principal component based on benchmark deviations with respect to Germany is stationary or not. It is argued that this methodology has key advantages over existing cointegrating and common trends procedures. For most EU countries, there is evidence of increased macroeconomic convergence during the 1990s, where evidence is particularly strong for Belgium, France and The Netherlands. The evidence also indicates that the Snake era of the 1970s was more conducive towards convergence than the initial exchange rate mechanism period of 1979‐1992. Firm evidence of convergence is lacking for Austria, Finland and Sweden, who joined the EU in 1995, and for a sample of non‐EU countries.

Investigates the hypothesis of increased financial integration within the European Union (EU) based on an examination of covered and nominal interest rate differentials between March 1979 and August 1992 using cointegration and time‐varying parameter econometric techniques. Discovers evidence of increased financial integration from about 1983, although this is not universal for all countries within the EU. In particular the UK seems to have more financial independence, perhaps reflecting its non‐membership of the exchange rate mechanism, while Belgium is the country most closely tied to German monetary policy.

The purpose of this study is to investigate nonlinearities in the behavior of investment expenditure. Conventional wisdom suggests that Tobin’s Q criterion is an important explanation of investment behaviour that bridges the financial and real sides of the economy. However, the empirical evidence in support of Q as a means of explaining aggregate business investment is rather weak. We answer a number of questions about the relationship between investment expenditure and Q. In particular, is the relationship governed by non-linearities? If so, what is the nature of the non-linearities present?

The rationale for paying closer attention to non-linearities is based on the presence of information asymmetries and possible dependence of adjustments on non-linearities with respect to factors such as fixed costs, threshold effects and irreversibility, which are entertained in the investment literature. Using the non-linear vector error-correction model procedure advocated by Hansen and Seo, we show that in the context of the US economy, investment has a long-run relationship with Q that is based on threshold error correction.

There are asymmetries present with respect to error correction or the speed of adjustment towards long-run equilibrium. We find that investment expenditure only responds significantly to long-run disequilibrium from Q during a particular regime. Such a regime is characterised by long-run disequilibrium based on high or rising investment expenditure compared with a relatively weak stock market.

The authors provide new insights into the relationship between Tobin’s Q and real investment. In contrast to previous work, they find that error correction based on the adjustment of real investment is regime-specific and function of the size of departures from long-run equilibrium. The tests also allow for the identification of periods when error correction has occurred. Not only are these insights significant for future research on financial crises, market volatility and the impact of debt, but for policymaking purposes as well.

The purpose of this paper is to analyze volatility transmission between the Japanese stock and foreign exchange markets.

In contrast to the existing literature, industry‐level stock data are applied to a trivariate Baba, Engle, Kraft and Kroner‐generalised autoregressive conditional heteroscedasticity (BEKK‐GARCH) model that also includes comparable US industrial stocks returns as a control variable.

Using daily data over the study period 1994‐2007, it was found that news shocks in the Japanese currency market account for volatility transmission in eight of the ten industrial sectors considered. Evidence was also found of significant asymmetric effects in five of these industries.

While the BEKK‐GARCH model enables analysis of volatility transmission between the stock and foreign markets against a background of conditional correlation and asymmetries, the model requires the estimation of a large number of parameters, which can be problematic for a limited dataset.

The paper's findings have important implications for understanding international volatility transmission involving the stock and foreign exchange markets. This in turn can provide insight into investor behaviour.

The purpose of this paper is to address the unresolved outcome of the research on the impact of dollarization on inflation by examining the partially dollarized economy of Eritrea.

Inflation under partial dollarization is modelled based on money demand and supply framework. Using quarterly data for the study period 1996Q1-2008Q4, estimation is based on a vector error correction model together with dynamic ordinary least square.

The results indicate that inflation increases as a result of an increase in dollarization. This applies to both the short-run and long-run estimations regardless of whether official or black market exchange rate data are used in the analysis. In terms of the short-run dynamics involved in the long-run relationship between dollarization and inflation, the speed of adjustment toward long-run equilibrium ranges from negative 7.2-7.6 percent per quarter.

The main policy implication of the finding is that the extent of dollarization should not be overlooked in controlling inflation in the short run and the long run.

Despite a number of studies that examine the consequences of dollarization, the impact of partial dollarization on inflation in the Eritrean economy has never been addressed. This study, therefore, is original in its kind and resolves the controversial outcomes on the studies of inflation and dollarization by modelling inflation under partial dollarization, providing new evidence and revealing potential economic reasons for the discrepancies in the findings of the literature on partial dollarization.

This paper investigates whether mean reversion holds for a panel of 16 OECD stock price indices for the period 1970 to 2011.

We employ seemingly unrelated regression (SUR)-based linear and non-linear unit root tests which are not only able to exploit the power of panel data analysis but also account for cross sectional dependencies as well as identify which panel members are stationary.

In contrast to a literature that offers mixed findings on stationarity, it was found that most of our sample is characterized as mean- or trend-reverting with approximated half-lives in the region of three to five years.

In contrast to other panel unit root tests of stock prices, the authors identify which individual panel members are stationary and non-stationary using a SURADF test. A further novelty of our approach is that we also develop a SUR-based panel KSS test that allows us to explore the possibility that stock prices exhibit non-linear stationarity.