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1 – 10 of 263Amal Ghedira and Mohamed Sahbi Nakhli
This study aims to examine the dynamic bidirectional causality between oil price (OIL) and stock market indexes in net oil-exporting (Russia) and net oil-importing (China…
Abstract
Purpose
This study aims to examine the dynamic bidirectional causality between oil price (OIL) and stock market indexes in net oil-exporting (Russia) and net oil-importing (China) countries.
Design/methodology/approach
The authors use monthly data for the period starting from October 1995 to October 2021. In this study, the bootstrap rolling-window Granger causality approach introduced by Balcilar et al. (2010) and the probit regression model are performed in order to identify the bidirectional causality.
Findings
The results show that the causal periods mainly occur during economic, financial and health crises. For oil-exporting country, the results suggest that any increase (decrease) in the OIL leads to an appreciation (depreciation) in the stock market index. The effect of the stock market on OIL is more relevant for the oil-importing country than that for the oil-exporting one. The COVID-19 consequences are demonstrated in the impact of oil on the Russian stock market. The probit regression shows that the US financial instabilities increase the probability of causality between OIL and stock market indexes in Russia and China.
Practical implications
The dynamic relationship between the variables must be taken into account in investment decisions. As financial instabilities in the USA drive the relationship between oil and stocks, investors should consider geopolitical, economic and financial elements when constructing their portfolios. Shareholders are required to include other assets in their portfolios since oil–stock relationship is highly risky.
Originality/value
This study provides further evidence of the bidirectional oil–stock causal link. Additionally, it examines the impact of financial instabilities on the probability that the OIL and the stock market index cause each other through the Granger effect.
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Yu Li and Xiaoyang Zhu
The degree of development and the way to identify a fiscal shock matter in evaluating the effects of the fiscal policy. This paper contributes to the debate on the effects of a…
Abstract
Purpose
The degree of development and the way to identify a fiscal shock matter in evaluating the effects of the fiscal policy. This paper contributes to the debate on the effects of a fiscal expansion on private consumption and the real effective exchange rate.
Design/methodology/approach
This paper uses a sign-restriction method to identify a fiscal shock in the panel structural VAR analysis in the context of both developed and developing countries.
Findings
The authors’ find that (1) private consumption increases in response to a positive government spending shock in both groups, yet such consumption effect is greater in developing than industrial countries; (2) the response of real effective exchange rate to the government spending shock varies across groups: it depreciates in developed countries and appreciates in developing countries; (3) trade balance improves in both groups.
Originality/value
This study sheds light on the differential effects of fiscal shock on consumption and real exchange rate in both developed and developing economies.
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Yahuza Abdul Rahman, Anthony Kofi Osei-Fosu and Daniel Sakyi
This paper examines correlations of the underlying structural shocks and the degree of synchronization in the impulse responses of output, inflation and trade to a one standard…
Abstract
Purpose
This paper examines correlations of the underlying structural shocks and the degree of synchronization in the impulse responses of output, inflation and trade to a one standard deviation shock to non-oil commodities price index and exchange rates within the West African Monetary Zone (WAMZ) countries from 1990q1 to 2020q1.
Design/methodology/approach
This paper uses the structural vector autoregressive model to isolate the underlying structural shocks and compares them with the West African Monetary Union (WAEMU) countries.
Findings
Findings from the study suggest that correlations of underlying structural shocks are more profound in the WAEMU than in the WAMZ. Impulse responses of output to price and exchange rate shocks are more symmetric in the WAEMU than in the WAMZ. However, impulse responses of inflation to price and exchange rate shocks are symmetric in the WAMZ than in the WAEMU and responses of trade in both sub-groups are not uniform.
Practical implications
The paper concludes that the WAMZ does not constitute an Optimum Currency Area concerning the correlations of the structural shocks and output. However, it has achieved convergence in inflation and there are adequate adjustment mechanisms to shocks in the WAMZ than in the WAEMU. Therefore, the WAMZ may not suffer from joining the monetary union. Thus, economic Community of West African States may take steps to roll out the monetary union.
Originality/value
The paper examines correlations of the underlying structural shocks, impulse responses of output and inflation to shocks to commodities price and exchange rates in the WAMZ and compares them with the WAEMU.
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Mert Akyuz, Muhammed Sehid Gorus and Cihan Gunes
This investigation aims to determine the effect of trade uncertainty on domestic investment (DI) and foreign direct investment (FDI) for the Turkish economy from the first quarter…
Abstract
Purpose
This investigation aims to determine the effect of trade uncertainty on domestic investment (DI) and foreign direct investment (FDI) for the Turkish economy from the first quarter of 2005 to the first quarter of 2020.
Design/methodology/approach
The authors adopt the vector autoregression (VAR) model augmented with Fourier terms. Using this methodology, the authors obtain the empirical results of the impulse-response functions and the variance decomposition analysis.
Findings
The empirical results demonstrate that a shock to trade uncertainty has a slight negative impact on DI for up to approximately 1.5 years, whereas its impact on FDI is negative but long-lasting. Moreover, the contribution of trade uncertainty to FDI is relatively higher than to DI in the error variance decomposition for the investigated period. These empirical results can be beneficial for shaping the Turkish authorities' trade policies in the following periods.
Research limitations/implications
These findings have implications within the macroeconomic setting. Government authorities can provide tax exemptions for specified sectors and debureaucratize investment processes for both domestic and foreign entrepreneurs. Additionally, institutional quality and property rights should be protected strictly and developed gradually.
Originality/value
This study is the first to examine the impact of world trade uncertainty on Türkiye’s DI and FDI. Because trade uncertainty might act as fixed costs, this creates the option value of waiting and seeing the market, and firms hesitate to incur investment.
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Saeedeh Asadi, Ali Sharghi, Zoheir Mottaki and Bahram Salehsedghpour
Earthquake stressful events cause many consequences and need for survivors. Housing reconstruction is one of the most urgent needs; due to traumatic experiences, dialectical…
Abstract
Purpose
Earthquake stressful events cause many consequences and need for survivors. Housing reconstruction is one of the most urgent needs; due to traumatic experiences, dialectical changes in people–place relationships occur.
Design/methodology/approach
The present study uses the Poe method and Q methodology to identify the hidden dimensions of trauma-informed housing reconstruction. A questionnaire with 74 items on the Likert scale was developed based on indicative Poe. It was completed by the purposive sampling method by Bam households. The influential factors in housing reconstruction with a psychological recovery approach were extracted by q-factor analysis in communities with different traumatic experiences.
Findings
According to the findings, first, people who had experienced complete home destruction; severe physical injuries; loss of family members and relatives; and were trapped under the earthquake rubble have different place-based needs in housing reconstruction for coping with fears and environmental concerns, protective behaviors, safety perception and as result safety reassurance. Second, regardless of the traumatic experience and losses, reconstruction acceleration and economic-social dignity have a positive effect on the communities’ psychological recovery.
Originality/value
It is noteworthy that housing reconstruction with a psychological recovery approach has two basic aspects. Although some independent factors of traumatic experiences will be efficient in this approach, it was found that the type of earthquake traumatic experiences will also be effective in the survivors’ place-based needs and biases.
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Emmanuel Joel Aikins Abakah, Aviral Kumar Tiwari, Johnson Ayobami Oliyide and Kingsley Opoku Appiah
This paper investigates the static and dynamic directional return spillovers and dependence among green investments, carbon markets, financial markets and commodity markets from…
Abstract
Purpose
This paper investigates the static and dynamic directional return spillovers and dependence among green investments, carbon markets, financial markets and commodity markets from January 2013 to September 2020.
Design/methodology/approach
This study employed both the quantile vector autoregression (QVAR) and time-varying parameter VAR (TVP-VAR) technique to examine the magnitude of static and dynamic directional spillovers and dependence of markets.
Findings
Results show that the magnitude of connectedness is extremely higher at quantile levels (q = 0.05 and q = 0.95) compared to those in the mean of the conditional distribution. This connotes that connectedness between green bonds and other assets increases with shock size for both negative and positive shocks. This further indicates that return shocks spread at a higher magnitude during extreme market conditions relative to normal periods. Additional analyses show the behavior of return transmission between green bond and other assets is asymmetric.
Practical implications
The findings of this study offer significant implications for portfolio investors, policymakers, regulatory authorities and investment community in terms of carefully assessing the unique characteristics offered by each markets in terms of return spillovers and dependence and diversifying the portfolios.
Originality/value
The study, first, uses a relatively new statistical technique, the QVAR advanced by Ando et al. (2018), to capture upper and lower tails’ quantile price connectedness and directional spillover. Therefore, the results possess adequate power against departure from mean-based conditional connectedness. Second, using a portfolio of green investments, carbon markets, financial markets and commodity markets, the uniqueness of this study lies in the examination of the static and dynamic dependence of the markets examined.
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Roger Hosein, Rebecca Gookool, George Saridakis and Sandra Sookram
The phenomenon of growth spillover occurs because of domestic shocks, global shocks and shocks to a foreign country or region, and these are transmitted through specific channels…
Abstract
Purpose
The phenomenon of growth spillover occurs because of domestic shocks, global shocks and shocks to a foreign country or region, and these are transmitted through specific channels. This study investigates the strength of the economic linkages between Caribbean Community (CARICOM) economies and its main traditional partners, including the European Union (EU-27), and emerging trading partners, such as China, with a view to determining the presence and extent of spillover growth which results from the interdependence among these economies. The paper hypothesizes that the presence of these spillovers can be leveraged to chart the future for the region's integration in the global sphere.
Design/methodology/approach
Based on the existing theoretical and empirical literature, a structural vector autoregressive (SVAR) model was developed and employed to examine the strength of the economic linkages between CARICOM economies and its main trading partners, such as the United States (US), the United Kingdom (UK) and the EU-27, alongside some of the non-traditional partners such as China. This method has been widely used by institutions, such as the International Monetary Fund (IMF) and World Bank, to profile economic linkages between economies. To this end, the methodology was formulated based on the IMF Spillover Reports which were produced from 2011 to 2015.
Findings
The model suggests that positive spillovers are likely to occur from continued deepened integration with the US, EU-27 and the UK, as traditional trade partners, but that opportunities also exist from a deliberate deepening of relations with non-traditional trade partners, for example, China. This becomes even more apparent when CARICOM is separated into categories consisting of more developed countries (MDCs) and less developed countries (LDCs). In addition, from the perspective of any trading partner, such as those in the EU-27, this research is relevant and timely as it contributes to the landscape of literature, which can be utilized for the purpose of negotiating parameters of trade and integration arrangements.
Research limitations/implications
This study adds to the literature on evaluating the direction for deepened integration of CARICOM economies, both with selected traditional and non-traditional trade partners as the region pilots recovery in a post-pandemic global space.
Practical implications
Policymakers can use the results of this study to leverage economic spillovers as a basis for determining which trade partners offer the most significant growth benefits as the region recovers from the COVID-19 pandemic and it will also assist in steering regional integration. This result also implies that over time, the comparative advantage structure of CARICOM member countries' export profile should change to reflect the import profile of its trade partners. To this end, this study can be used to inform and better position the respective trade and industrial development policies of countries in the Caribbean region as they attempt to deepen integration regionally and internationally. From the perspective of the partner, traditional trading relationships such as those which exist with European countries, such as the CARIFORUM-EU Economic Partnership Agreement, can be more deliberately utilized given the geographic benefits on offer with deepened relationships with economies in the Caribbean. Further, this research can also be a point of departure for future research.
Originality/value
This study is among the few empirical works that examine spillover effects as a strategy for rebuilding economic growth in the post-COVID 19 era. This study adds to the literature on evaluating the direction for deepened integration of CARICOM economies, both with selected traditional and non-traditional trade partners as the region navigates recovery in a post-pandemic global space.
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Haobo Zou, Mansoora Ahmed, Syed Ali Raza and Rija Anwar
Monetary policy has major impacts on macroeconomic indicators of the country. Accordingly, uncertainty regarding monetary policy shifts can cause challenges and risks for…
Abstract
Purpose
Monetary policy has major impacts on macroeconomic indicators of the country. Accordingly, uncertainty regarding monetary policy shifts can cause challenges and risks for businesses, financial markets and investors. Thus, the purpose of this study is to investigate how real estate market volatility responds to monetary policy uncertainty.
Design/methodology/approach
The GARCH-MIDAS model is applied in this study to investigate the nexus between monetary policy uncertainty and real estate market volatility. This model was fundamentally instituted to accommodate low-frequency variables.
Findings
The results of this study reveal that increased monetary policy uncertainty highly affects the volatility in real estate market during the peak period of COVID-19 as compared to full sample period and COVID-19 recovery period; hence, a significant decline is evident in real estate market volatility during crisis.
Originality/value
This study is particularly focused on peak and recovery period of COVID-19 considering the geographical region of Greece, Japan and the USA. This study provides a complete perspective on the nexus between monetary policy uncertainty and real estate markets volatility in three distinct economic views.
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Xiaojie Xu and Yun Zhang
This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021.
Abstract
Purpose
This study aims to investigate dynamic relations among office property price indices of 10 major cities in China for the years 2005–2021.
Design/methodology/approach
Using monthly data, the authors adopt vector error correction modeling and the directed acyclic graph for the characterization of contemporaneous causality among the 10 indices.
Findings
The PC algorithm identifies the causal pattern, and the linear non-Gaussian acyclic model algorithm further determines the causal path from which we perform innovation accounting analysis. Sophisticated price dynamics are found in price adjustment processes following price shocks, which are generally dominated by the top tier of cities.
Originality/value
This suggests that policies on office property prices, in the long run, might need to be planned with particular attention paid to the top tier of cities.
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The crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy…
Abstract
Purpose
The crude oil market plays a key role in addressing the issue of energy economics. This paper aims to detect the causality relationship between the crude oil market and economy based on the financial system.
Design/methodology/approach
This paper used the static and dynamic Hatemi-J Bootstrap Toda–Yamamoto and Diebold–Yilmaz connectedness index. The Hatemi-J Bootstrap Toda-Yamamoto approach allows researchers to use nonstationary data and that method is robust to nonnormal distribution and heteroscedasticity. The Diebold–Yilmaz connectedness index model provides researchers to detect the power of connectedness besides linkage direction. The analyzed period is the span from January 3, 2005 to October 3, 2022.
Findings
The results show bidirectional causality in the full sample but unidirectional causality before and after the 2008 financial crisis. During the 2008 financial crisis period and the COVID-19 period, there was a bidirectional and unidirectional causality, respectively. The connectedness approach indicates that the crude oil market affects financial stress through investors’ risk preferences.
Research limitations/implications
The Diebold–Yilmaz spillover index model is based on vector autoregression methods with a stationarity precondition. However, some of the five dimensions that constitute the financial stress index (FSI) are nonstationary in level. Therefore, the authors takes the first difference of the nonstationary data.
Practical implications
The linkage between the crude oil market and the FSI provides useful information for investors and policymakers. For instance, this paper indicates that an investor wanted to forecast future value of the crude oil (financial stress) should consider the current and past values of financial stress (crude oil). Moreover, policymaker should consider the crude oil market (FSI) to make a policy proposal for financial system (crude oil market).
Originality/value
Recently, indicators of economic activity levels (economic policy uncertainty, implied volatility index) have begun to be considered to analyze the relationship between energy and the economy but very little is known in the literature about the leading and lagging roles of data in subsample periods and the linkage channel. The other originality of this research is using the new econometric approaches.
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