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1 – 10 of over 5000Ahmed Shoukry Rashad and Mahmoud Farghally
The monetary policy is an important driver of the real estate sector’s performance. The recent wave of monetary tightening in 2022 in response to the cost-of-living crisis has…
Abstract
Purpose
The monetary policy is an important driver of the real estate sector’s performance. The recent wave of monetary tightening in 2022 in response to the cost-of-living crisis has been associated with the decline in housing prices across the globe. There are two main channels through which the US monetary policy may affect the real estate market in the dollar-pegged countries: the cost of serving mortgages (financing cost) and the exchange rate channel (for example, the appreciation of the US dollar and consequently the local currency). The exchange rate channel, which involves the appreciation of the US dollar and the subsequent effect on the local currency, is particularly significant in the case of Dubai, given how international the housing market in Dubai and might be viewed as a tradable good. Using recent data, the purpose of this study to evaluate the spillover impact of the US monetary policy on the housing market performance in the dollar-pegged countries using Dubai as a case study.
Design/methodology/approach
For this purpose, this study collected unique longitudinal data on the volume of the monthly transactions of residential properties and performs a panel-data analysis using within-variation models. The changes in the interest rate policy in the USA are determined by the domestic inflation in the USA, thereby, representing an exogenous shock in the UAE.
Findings
The results are robust to different specifications and suggest that a strong negative correlation between the interest rate in the USA and the housing sector demand in Dubai. Fiscal policy measures can be taken to mitigate tighter financial conditions in case of policy misalignment.
Originality/value
Few studies have looked at the spillover impact of the global monetary conditions on the real estate market in the GCC region. This study fills this gap by exploring the impact of the US financial conditions on Dubai’s real estate, using panel data analysis.
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Yahya Alnashri and Hasan Alzubaidi
The main purpose of this paper is to introduce the gradient discretisation method (GDM) to a system of reaction diffusion equations subject to non-homogeneous Dirichlet boundary…
Abstract
Purpose
The main purpose of this paper is to introduce the gradient discretisation method (GDM) to a system of reaction diffusion equations subject to non-homogeneous Dirichlet boundary conditions. Then, the authors show that the GDM provides a comprehensive convergence analysis of several numerical methods for the considered model. The convergence is established without non-physical regularity assumptions on the solutions.
Design/methodology/approach
In this paper, the authors use the GDM to discretise a system of reaction diffusion equations with non-homogeneous Dirichlet boundary conditions.
Findings
The authors provide a generic convergence analysis of a system of reaction diffusion equations. The authors introduce a specific example of numerical scheme that fits in the gradient discretisation method. The authors conduct a numerical test to measure the efficiency of the proposed method.
Originality/value
This work provides a unified convergence analysis of several numerical methods for a system of reaction diffusion equations. The generic convergence is proved under the classical assumptions on the solutions.
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Keywords
- A gradient discretisation method (GDM)
- Gradient schemes
- Convergence analysis
- Existence of weak solutions
- Two-dimensional reaction–diffusion Brusselator system
- Dirichlet boundary conditions
- Non-conforming finite element methods
- Finite volume schemes
- Hybrid mixed mimetic (HMM) method
- 35K57
- 65N12
- 65M08
Honoré Sèwanoundé Houngbédji and Nassibou Bassongui
This paper aims to examine the response of monetary policy to financial instability in the West African Economic and Monetary Union.
Abstract
Purpose
This paper aims to examine the response of monetary policy to financial instability in the West African Economic and Monetary Union.
Design/methodology/approach
Through annual aggregated data from 1970 to 2019, the empirical strategy is based on the Markov regime-switching model with fixed probabilities.
Findings
The results revealed that the monetary policy of the central bank of the West African Economic and Monetary Union is characterized by two regimes (calm and distress) with respect to the trend of financial stability. The authors also found that the occurrence of the calm regime was likely greater than that of the distress regime. In addition, the calm regime is longer than the distress regime. The authors finally revealed that the central bank reacts to financial instability risk by increasing its short-term interest rate when financial instability reaches a threshold.
Research limitations/implications
The limitation of this study is the unavailability of monthly or quarterly data that are more suitable for the methodological approach adopted.
Originality/value
This study is the one to estimate the response of the Central Bank of West African Countries to financial stress using a novel approach based on the Markov-Switching regression.
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Hai Le and Phuong Nguyen
This study examines the importance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand. To this end, the authors construct a small open…
Abstract
Purpose
This study examines the importance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand. To this end, the authors construct a small open economy New Keynesian dynamic stochastic general equilibrium (DSGE) model. The model encompasses several essential characteristics, including incomplete financial markets, incomplete exchange rate pass-through, deviations from the law of one price and a banking sector. The authors consider generalized Taylor rules, in which policymakers adjust policy rates in response to output, inflation, credit growth and exchange rate fluctuations. The marginal likelihoods are then employed to investigate whether the central bank responds to fluctuations in the exchange rate and credit growth.
Design/methodology/approach
This study constructs a small open economy DSGE model and then estimates the model using Bayesian methods.
Findings
The authors demonstrate that the monetary authority does target exchange rates, whereas there is no evidence in favor of incorporating credit growth into the policy rules. These findings survive various robustness checks. Furthermore, the authors demonstrate that domestic shocks contribute significantly to domestic business cycles. Although the terms of trade shock plays a minor role in business cycles, it explains the most significant proportion of exchange rate fluctuations, followed by the country risk premium shock.
Originality/value
This study is the first attempt at exploring the relevance of exchange rate and credit growth fluctuations when designing monetary policy in Thailand.
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Chiraz Ayadi and Houda Ben Said
This paper aims to explore the impact of the coronavirus on the volatility spillovers of 10 selected developed markets hit by this pandemic (e.g. the USA, Canada, Korea, Japan…
Abstract
Purpose
This paper aims to explore the impact of the coronavirus on the volatility spillovers of 10 selected developed markets hit by this pandemic (e.g. the USA, Canada, Korea, Japan, the UK, Germany, Italy, Spain, France and China).
Design/methodology/approach
The database consists of daily data from January 1, 2020, to December 31, 2022. The data used are the precise daily closing prices of various indices of selected markets gathered from the DataStream and Investing.com databases. The authors use the VAR model to study the transmission of volatility between stock markets and analyze the dynamic links between them. Then, the Granger causality test is used to study the volatility movements and determine which of these markets is likely to influence the others. Then, impulse response functions are used to understand the reactions of the studied markets following shocks in the two most important markets, namely, the American and Chinese markets. Finally, forecast errors variance decomposition is used to measure the dynamic interactions that characterize the relationships between the studied markets.
Findings
Empirical results reveal instability in the returns of various indexes and the existence of causal relationships between standardized volatility of markets. The reactions of some markets following a shock in American and Chinese markets differ among markets. The empirical results also show that forecast errors variance of some markets begin coming from their own innovations during first periods. These shares decrease then in favor of other markets interventions.
Practical implications
The findings have significant practical implications for governments around the world as well as for financial investors. The successful practice of China’s pandemic prevention and control efforts may inspire governments to determine how to overcome panic and strengthen confidence in victory. Policymakers can use the insights from our study to design more effective economic policies and regulations to mitigate the negative impact of future pandemics on the financial system. Regulators can use these results to identify areas of weakness in the financial system and take proactive measures to address them. Financial investors may use the outcomes of our result to better understand the impact of global pandemics on financial markets. They may know which markets are the most active, which ones are causing considerable effects on the others and which ones show resilience and an anti-risk capacity. This may help them to make appropriate decisions about their investments.
Originality/value
It has become imperative to estimate the impact of this pandemic on the behavior of financial markets to prevent the deterioration and dysfunction of the global financial system. The findings have important implications for financial investors and governments who should know which markets are the most shaken, which cause remarkable effects on others and which show resilience and anti-risk capacity. Countries could follow China in some measures taken to moderate the negative effects of this epidemic on national economies.
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Brigitte Wecker and Matthias Brauer
Misconduct allegations have been found to not only affect the alleged firm but also other, unalleged firms in form of reputational and financial spillover effects. It has remained…
Abstract
Misconduct allegations have been found to not only affect the alleged firm but also other, unalleged firms in form of reputational and financial spillover effects. It has remained unexplored, however, how the number of prior allegations against other firms matters for an individual firm currently facing an allegation. Building on behavioral decision theory, we argue that the relationship between allegation prevalence among other firms and investor reaction to a focal allegation is inverted U-shaped. The inverted U-shaped effect is theorized to emerge from the combination of two effects: In the absence of prior allegations against other firms, investors fail to anticipate the focal allegation, and hence react particularly negatively (“anticipation effect”). In the case of many prior allegations against other firms, investors also react particularly negatively because investors perceive the focal allegation as more warranted (“evaluation effect”). The multi-industry, empirical analysis of 8,802 misconduct allegations against US firms between 2007 and 2017 provides support for our predicted, inverted U-shaped effect. Our study complements recent misconduct research on spillover effects by highlighting that not only a current allegation against an individual firm can “contaminate” other, unalleged firms but that also prior allegations against other firms can “contaminate” investor reaction to a focal allegation against an individual firm.
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This paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the…
Abstract
Purpose
This paper examines the reaction of the Egyptian stock market to two substantial devaluations of the Egyptian pound (EGP) in 2022 and tests the informational efficiency of the Egyptian market.
Design/methodology/approach
The paper uses the event study framework to analyze the significance and direction of abnormal returns of the leading index of the Egyptian stock market (EGX30) on and around the devaluation days. It employs both the constant mean model and the market model to estimate the normal returns of the EGX30. Additionally, the paper uses data on two equity indices, one global and one for emerging markets, as benchmarks for normal returns.
Findings
The paper finds that the Egyptian stock market experienced significant positive abnormal returns on the devaluation days of the EGP in March and October of 2022, indicating a positive market reaction to the devaluation. Furthermore, evidence suggests that the Egyptian market may not be informationally efficient as significant positive abnormal returns were observed two weeks before and two weeks after the devaluation day, suggesting news leaks and delayed reactions, respectively.
Originality/value
This study is the first to examine the impact of the recent two devaluations of the EGP in 2022 on the Egyptian stock market. It complements existing literature by analyzing the immediate market reaction to two consecutive devaluations in an African country. Furthermore, the paper evaluates the efficiency of the Egyptian market in processing information related to exchange rates.
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The purpose of this study is to provide a unique competitive advantage to businesses in providing a wide range of products to prospective customers. To the best of the author’s…
Abstract
Purpose
The purpose of this study is to provide a unique competitive advantage to businesses in providing a wide range of products to prospective customers. To the best of the author’s knowledge, there is no study to discuss the impact of customer-centric retailing on total supply chain profit under price competition between organized and unorganized retailers.
Design/methodology/approach
This paper considers a supply chain comprising of organized and unorganized retailers and a single manufacturer. This paper proposes three mathematical models considering a customer-centric approach in a competitive environment. Stackelberg game is used to examine how members of the chain interact, and Nash equilibrium was used to find optimal strategies for players under different customer-centric approaches.
Findings
The results show that the total supply chain profit is higher when both organized and unorganized retailers use a customer-centric approach independently instead of collaborating process. The result, in addition, establishes that when the dissatisfying cost exceeds a certain threshold (1.5), the total profit is higher for the organized customer-centric effort model compared to the other two models.
Originality/value
The main contribution of the study is to examine the effect of customer-centric retailing, considering dissatisfying costs on supply chains profit and individual decision-making under price competition between organized retailers and unorganized retailers. The authors developed different mathematical models in the different customer-centric approach.
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Xiaogang Cao, Jing Yuan, Hui Wen and Cuiwei Zhang
Different information sharing mechanisms and online platform information sharing to different charging models are compared and analyzed.
Abstract
Purpose
Different information sharing mechanisms and online platform information sharing to different charging models are compared and analyzed.
Design/methodology/approach
This paper uses the Stackelberg game model to study the demand information sharing and pricing decisions.
Findings
The results show that: (1) the retailer's pricing strategy is the highest when both of them obtain information, while the manufacturer's pricing strategy is affected by the related attributes of different products, such as the sensitivity of consumers to product prices; (2) in the online platform sales model, the demand information data sharing owned by the online platform can bring more expected profits to the whole supply chain and the members of the supply chain, and the higher the accuracy of the information, the higher the expected profit; (3) when the cost of obtaining demand information is zero, that is, the online platform shares the information data about market demand free of charge, the retailer and manufacturer tend to obtain information; (4) for the online platform, charging a certain fee can achieve higher expected profits than free sharing.
Originality/value
Based on the single platform online sales model, this paper uses the Stackelberg game model to study the demand information sharing and pricing decision of a manufacturer and a retailer selling products through the same online platform.
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In this paper, the authors take the central environmental protection inspection (CEPI) as an exogenous shock to study the reaction of the stock market in China. Using the event…
Abstract
Purpose
In this paper, the authors take the central environmental protection inspection (CEPI) as an exogenous shock to study the reaction of the stock market in China. Using the event study method, the authors check how the first round of the first batch of CEPI supervision affects the cumulative abnormal return (CAR) of the listed firms on the Shenzhen or Shanghai stock exchange. This paper aims to discuss the aforementioned objective.
Design/methodology/approach
In this paper, the authors take the first round of the first batch of CEPI supervision as a clean exogenous shock to study its effects on the capital market. The authors collect daily trading data from the China stock market and accounting research (CSMAR) database, with the sample containing 1,950 Chinese firms listed on either the Shenzhen or Shanghai stock exchanges. And detailed information on CEPI supervision is obtained from the official website of the Ministry of Ecology and Environment of the People's Republic of China. The event study method is adopted to analyze the reaction of the stock market under CEPI supervision. Specifically, the authors constructed the cumulative abnormal return of each firm around the event day of CEPI. To capture the deterrent effects of CEPI supervision, the authors examine the situation of polluting and non-polluting firms in the supervised provinces, adjacent provinces and provinces that are not supervised or close to the supervised provinces, respectively.
Findings
This paper throws light on the following: (1) the polluting firms in the supervised provinces were negatively impacted by CEPI within 20 trading days of the event day, and its effects spread to the polluting firms in the neighboring provinces; (2) CEPI had a favorable impact on the non-polluting businesses in the provinces that are neither supervised nor close to the supervised provinces. The authors contend that it is because the investment is being forced out of the polluting sector and into the non-polluting sector, which is more pronounced in the provinces not directly or indirectly targeted by CEPI; (3) by comparison, the “looking back monitoring of the first round” has had no discernible detrimental impact on the firms' CAR, indicating an important role of psychology anticipation of investors in the stock market performance; (4) although not physically located in the supervised provinces, the downstream enterprises of the polluting firms suffer significantly from CEPI shock; (5) the effectiveness of CEPI supervision in the supervised provinces depends on the level of local environmental regulation and the ownership structure of the company. Private firms in the provinces with stronger environmental regulations suffer more from the CEPI shock; (6) the multivariate analysis shows that while enterprises with high ROE and financial leverage may be at risk of CAR loss, older, larger firms are less likely to experience CEPI shock; (7) the study of persistent effect reveals that the strike of CEPI supervision can last for at least 10 months after the event day and deterrent effect can be spread within the whole polluting industry.
Research limitations/implications
In this paper, the authors only concentrate on the market reaction within 20 trading days after the event day. An analysis of long-term effects should be valuable to get a deeper knowledge of the capital market reaction to the CEPI policy. In addition, the paper only focuses on the first round of the first batch of CEPI. Since CEPI has been built as a constant regulation of local environmental performance, further study may need to track both the reaction of listed firms and investment behavior in the capital market.
Practical implications
Policy implications of the paper are as follows: First, for the policymakers, it is important to construct a constant environmental regulation system instead of a campaign movement. Second, for investors, as environmental issues are receiving increasing attention from both the government and the public, investment decisions should take into account firms' environmental performance, which can help reduce the risk from environmental regulations. Third, the firms in the polluting industry should take more action to reduce pollutant releases and adopt green technology, which is essential for sustainable development under environmental protection.
Originality/value
This paper contributes to the existing literature in the following aspects. First, the authors provide new evidence on the effects of environmental regulations as a shock to the stock market, which has been wildly concentrated in the literature about environmental policies evaluation and capital market reaction. Second, the authors supplement the literature on green finance and sustainability transformation, which has got increasing attention in recent years. Theoretically, by guiding investment and affecting the stock market performance, environmental regulations are considered to be an efficient way to stimulate polluting firms to transform into green development. The results of the paper support this intuition by showing that the CAR of the non-polluting firms in non-supervised provinces in fact benefit from the CEPI supervision.
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