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1 – 10 of 143Oguzhan Ozcelebi, Jose Perez-Montiel and Carles Manera
Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic…
Abstract
Purpose
Might the impact of the financial stress on exchange markets be asymmetric and exposed to regime changes? Departing from the existing literature, highlighting that the domestic and foreign financial stress in terms of money market have substantial effects on exchange market, this paper aims to investigate the impacts of the bond yield spreads of three emerging countries (Mexico, Russia, and South Korea) on their exchange market pressure indices using monthly observations for the period 2010:01–2019:12. Additionally, the paper analyses the impact of bond yield spread of the US on the exchange market pressure indices of the three mentioned emerging countries. The authors hypothesized whether the negative and positive changes in the bond yield spreads have varying effects on exchange market pressure indices.
Design/methodology/approach
To address the research question, we measure the bond yield spread of the selected countries by using the interest rate spread between 10-year and 3-month treasury bills. At the same time, the exchange market pressure index is proxied by the index introduced by Desai et al. (2017). We base the empirical analysis on nonlinear vector autoregression (VAR) models and an asymmetric quantile-based approach.
Findings
The results of the impulse response functions indicate that increases/decreases in the bond yield spreads of Mexico, Russia and South Korea raise/lower their exchange market pressure, and the effects of shocks in the bond yield spreads of the US also lead to depreciation/appreciation pressures in the local currencies of the emerging countries. The quantile connectedness analysis, which allows for the role of regimes, reveals that the weights of the domestic and foreign bond yield spread in explaining variations of exchange market pressure indices are higher when exchange market pressure indices are not in a normal regime, indicating the role of extreme development conditions in the exchange market. The quantile regression model underlines that an increase in the domestic bond yield spread leads to a rise in its exchange market pressure index during all exchange market pressure periods in Mexico, and the relevant effects are valid during periods of high exchange market pressure in Russia. Our results also show that Russia differs from Mexico and South Korea in terms of the factors influencing the demand for domestic currency, and we have demonstrated the role of domestic macroeconomic and financial conditions in surpassing the effects of US financial stress. More specifically, the impacts of the domestic and foreign financial stress vary across regimes and are asymmetric.
Originality/value
This study enriches the literature on factors affecting the exchange market pressure of emerging countries. The results have significant economic implications for policymakers, indicating that the exchange market pressure index may trigger a financial crisis and economic recession.
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The purpose of this study is to reveal the dynamics of house prices and sales in spatial and temporal dimensions across British regions.
Abstract
Purpose
The purpose of this study is to reveal the dynamics of house prices and sales in spatial and temporal dimensions across British regions.
Design/methodology/approach
This paper incorporates two empirical approaches to describe the behaviour of property prices across British regions. The models are applied to two different data sets. The first empirical approach is to apply the price diffusion model proposed by Holly et al. (2011) to the UK house price index data set. The second empirical approach is to apply a bivariate global vector autoregression model without a time trend to house prices and transaction volumes retrieved from the nationwide building society.
Findings
Identifying shocks to London house prices in the GVAR model, based on the generalized impulse response functions framework, I find some heterogeneity in responses to house price changes; for example, South East England responds stronger than the remaining provincial regions. The main pattern detected in responses and characteristic for each region is the fairly rapid fading of the shock. The spatial-temporal diffusion model demonstrates the presence of a ripple effect: a shock emanating from London is dispersed contemporaneously and spatially to other regions, affecting prices in nondominant regions with a delay.
Originality/value
The main contribution of this work is the betterment in understanding how house price changes move across regions and time within a UK context.
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Chin Tiong Cheng and Gabriel Hoh Teck Ling
Increasing overhang of serviced apartments poses a serious concern to the national property market. This study aims to examine the impacts of macroeconomic determinants, namely…
Abstract
Purpose
Increasing overhang of serviced apartments poses a serious concern to the national property market. This study aims to examine the impacts of macroeconomic determinants, namely, gross domestic product (GDP), consumer confidence index (CF), existing stocks (ES), incoming supply (IS) and completed project (CP) on serviced apartment price changes.
Design/methodology/approach
To achieve more accurate, quality price changes, a serviced apartment price index (SAPI) was constructed through a self-developed hedonic price index model. This study has collected 1,567 transaction data in Kuala Lumpur, covering 2009Q1–2018Q4 for price index construction and data were analysed using the vector autoregressive model, the vector error correction model and the fully modified ordinary least squares (OLS) (FMOLS).
Findings
Results of the regression model show that only GDP, ES and IS were significantly associated with SAPI, with an R2 of 0.7, where both ES and IS have inverse relationships with SAPI. More precisely, it is predicted that the price of serviced apartments will be reduced by 0.56% and 0.21% for every 1% increase in ES and IS, respectively.
Practical implications
Therefore, government monitoring of serviced apartments’ future supply is crucial by enforcing land use-planning regulations via stricter development approval of serviced apartments to safeguard and achieve more stable property prices.
Originality/value
By adopting an innovative approach to estimating the response of price change to supply and demand in a situation where there is no price indicator for serviced apartments, the study addresses the knowledge gap, especially in terms of understanding what are the key determinants of, and to what extent they influence, the SAPI.
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Adrian Fernandez-Perez, Marta Gómez-Puig and Simon Sosvilla-Rivero
The purpose of this study is to examine the propagation of consumer and business confidence in the euro area with a particular focus on the global financial crisis (GFC), the…
Abstract
Purpose
The purpose of this study is to examine the propagation of consumer and business confidence in the euro area with a particular focus on the global financial crisis (GFC), the European sovereign debt crisis (ESDC) and the COVID-19-induced Great Lockdown.
Design/methodology/approach
The authors apply Diebold and Yilmaz’s connectedness framework and the improved method based on the time-varying parameter vector autoregressive model.
Findings
The authors find that although the evolution of business confidence marked the GFC and the ESDC the role of consumer confidence (mainly in those countries with stricter containment and closure measures) increased in the COVID-19-induced crisis.
Originality/value
The findings are related to the different origins of the examined crisis periods, and the analysis of their interrelationship is a very relevant topic for future research.
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Mumtaz Ali, Ahmed Samour, Foday Joof and Turgut Tursoy
This study aims to assess how real income, oil prices and gold prices affect housing prices in China from 2010 to 2021.
Abstract
Purpose
This study aims to assess how real income, oil prices and gold prices affect housing prices in China from 2010 to 2021.
Design/methodology/approach
This study uses a novel bootstrap autoregressive distributed lag (ARDL) testing to empirically analyze the short and long links among the tested variables.
Findings
The ARDL estimations demonstrate a positive impact of oil price shocks and real income on housing market prices in both the phrases of the short and long run. Furthermore, the results reveal that gold price shocks negatively affect housing prices both in the short and long run. The result can be attributed to China’s housing market and advanced infrastructure, resulting in a drop in housing prices as gold prices increase. Additionally, the prediction of housing market prices will provide a base and direction for housing market investors to forecast housing prices and avoid losses.
Originality/value
To the best of the authors’ knowledge, this is the first attempt to analyze the effect of gold price shocks on housing market prices in China.
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Iveta Palečková, Lenka Přečková and Roman Hlawiczka
This chapter explores the influence of the banking and insurance sectors on the economic growth of Czechia, a nation with unique financial dynamics ideal for this study. Our aim…
Abstract
This chapter explores the influence of the banking and insurance sectors on the economic growth of Czechia, a nation with unique financial dynamics ideal for this study. Our aim is to ascertain the contribution of these financial institutions to economic growth, addressing the divergence in empirical findings that have marked this research area for decades. We scrutinise the impact of various factors, including sectoral development and the efficiency and stability of these institutions, all within the Czech context. Utilising the Granger causality test, we assess the role of several indicators related to the development of the banking and insurance sectors. Our findings reveal that in Czechia, the evolution and operational efficiency of these financial institutions significantly drive economic growth. This study provides an in-depth understanding of the role these sectors play in the Czech economic landscape, affirming their crucial contribution to the nation's economic prosperity.
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Mohammad Rifat Rahman, Md. Mufidur Rahman, Athkia Subat and Tanzika Imam Tarin
This study empirically aims to examine the relationship between Bangladesh’s pharmaceutical industry growth and macroeconomic indicators such as the inflation rate, gross domestic…
Abstract
Purpose
This study empirically aims to examine the relationship between Bangladesh’s pharmaceutical industry growth and macroeconomic indicators such as the inflation rate, gross domestic product (GDP) growth, foreign direct investment (FDI) inflows, exchange rate and export growth through the long- and short-run relationship.
Design/methodology/approach
Using the time series data from 1986 to 2020, this study was developed based on the autoregressive distributed lag (ARDL) framework for co-integration. In contrast, the Toda–Yamamoto Granger Causality approach was also used for finding the direction of causality.
Findings
This study used the ARDL bounds test, which found strong co-integration among the variables, indicating a long-term relationship between them. In the long run, inflation, exchange rate and export growth significantly positively influence the pharmaceutical industry’s growth. Surprisingly, an FDI inflow has a negative impact. In the short term, the exchange rate and GDP growth were found to influence the growth of the pharmaceutical industry positively. Bidirectional causality between the growth of the pharmaceutical industry and the exchange rate was also identified using the Granger causality approach.
Research limitations/implications
This paper emphasizes developing the policy as well as making concrete decisions regarding the development of the pharmaceutical industry and economic development in Bangladesh. The results also highlight the necessity for strategic macroeconomic management to support this sector’s long-term development and global competitiveness.
Originality/value
To the best of the authors’ knowledge, this paper is conducted to identify the short- and long-run relationship of pharmaceutical industry development with the economic indicators and progress, where no study has been found on this dimension.
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Jiangnan Qiu, Wenjing Gu, Zhongming Ma, Yue You, Chengjie Cai and Meihui Zhang
In the extant research on online knowledge communities (OKCs), little attention has been paid to the influence of membership fluidity on the coevolution of the social and…
Abstract
Purpose
In the extant research on online knowledge communities (OKCs), little attention has been paid to the influence of membership fluidity on the coevolution of the social and knowledge systems. This article aims to fill this gap.
Design/methodology/approach
Based on the attraction-selection-attrition (ASA) framework, this paper constructs a simulation model to study the coevolution of these two systems under different levels of membership fluidity.
Findings
By analyzing the evolution of these systems with the vector autoregression (VAR) method, we find that social and knowledge systems become more orderly as the coevolution progresses. Furthermore, in communities with low membership fluidity, the microlevel of the social system (i.e. users) drives the coevolution, whereas in communities with high membership fluidity, the microlevel of the knowledge system (i.e. users' views) drives the coevolution.
Originality/value
This paper extends the application of the ASA framework and enriches the literature on membership fluidity of online communities and the literature on driving factors for coevolution of the social and knowledge systems in OKCs. On a practical level, our work suggests that community administrators should adopt different strategies for different membership fluidity to efficiently promote the coevolution of the social and knowledge systems in OKCs.
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Yutaro Inoue and Shinsaku Nakajima
This study aims to investigate the relationship between consumer awareness of Zespri International Limited (Zespri™) and its sales promotion in Japan and the recent expansion of…
Abstract
Purpose
This study aims to investigate the relationship between consumer awareness of Zespri International Limited (Zespri™) and its sales promotion in Japan and the recent expansion of New Zealand (NZ) kiwifruit imported into Japan.
Design/methodology/approach
Tweets mentioning Zespri™ were utilised as a proxy of such awareness. They were first summarised using two text-mining techniques: tf-idf scoring and a co-occurrence network graph. Afterwards, the authors estimated a tri-variate vector autoregression (VAR) model consisting of the net imports of NZ kiwifruit in Japan, unit import price and number of tweets. Additionally, the occurrence frequency of tweets with “Kiwi Brothers”, promotional characters for Zespri™’s sales, was added to the model, and a tetra-variate VAR model was estimated. Finally, Granger-causality tests, an estimation of the impulse response function and forecast error variance decomposition was conducted.
Findings
All these variables were found to Granger-cause each other. Furthermore, a shock in the document frequency of “Kiwi Brothers” significantly affected Japan’s kiwifruit imports from NZ, explaining approximately 20% of future imports. Zespri™’s distinctive sales promotion was, thus, found to contribute in part to the recent increase in NZ’s kiwifruit export to Japan.
Originality/value
This paper is the first to apply text-regression methodology to food consumption research; it contributes to food consumption research by proposing a practical way to combine tweets with outcome variables using a time-series analysis.
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