Search results
1 – 10 of 657Ali Raza, Laiba Asif, Turgut Türsoy, Mehdi Seraj and Gül Erkol Bayram
This study aims to determine how changes in macroeconomic indicators and the housing prices index (HPI) are related. These factors can cause short-term and long-term changes in…
Abstract
Purpose
This study aims to determine how changes in macroeconomic indicators and the housing prices index (HPI) are related. These factors can cause short-term and long-term changes in the housing market in Spain.
Design/methodology/approach
The study used cointegrating regression, fully modified ordinary least squares and dynamic ordinary least squares methodologies. The models are trained using quarterly time series data for these parameters from 2010 to 2022. A comprehensive examination is conducted to explore the relationship between macroeconomic issues and fluctuations in the HPI.
Findings
The results indicate statistically significant short-run effects (p < 0.05) of economic growth, inflation, Spanish stock indices, foreign trade and the interest rate on HPI. The inflation variables, Spain’s stock indices, interest rate and monetary rate, have statistically significant long-run effects (p < 0.05) on HPI. The exchange rate, unemployment and money supply have no substantial impact on HPI in Spain.
Originality/value
The study’s findings significantly contribute to increased information concerning the level of investing activity in the Spanish housing sector. After conducting an in-depth study of both the long-run and short-run connections with HPI, the study proved to be highly effective in formulating appropriate policies.
Details
Keywords
Khushboo Aggarwal and V. Raveendra Saradhi
The aim of this study is to examine the nature and determinants of stock market integration between India and other Asia–Pacific countries (Malaysia, Hong Kong, Singapore, South…
Abstract
Purpose
The aim of this study is to examine the nature and determinants of stock market integration between India and other Asia–Pacific countries (Malaysia, Hong Kong, Singapore, South Korea, Japan, China, Indonesia, the Philippines, Thailand and Taiwan) over the period 1991–2021.
Design/methodology/approach
Unit root tests, the dynamic conditional correlation-Glosten Jagannathan and Runkle-generalized autoregressive conditional heteroscedasticity (DCC-GJR-GARCH), pooled ordinary least squares (OLS) regression and random effects models are employed for the analysis.
Findings
The empirical results show that the DCC between each pair of sample countries is less than 0.5, indicating weak ties between the pairs of sample countries. Also, the DCC between India and other Asia–Pacific stock markets is positive and low, implying low level of integration. The correlation between India and China stock markets is found to be the highest, implying significant level of integration. The main reason for it would be strong economic linkages and bilateral trade relationship between India and China. Moreover, gross domestic product (GDP), interest rate (IR), consumer price index (CPI)-inflation and money supply (MS) differentials are the major driver of stock market integration between India and other Asia–Pacific countries.
Practical implications
The findings of the study have important implications for investors, portfolio managers and policymakers. It is found that the DCC between India and other Asia–Pacific countries (considered in the study) except China is low, which indicates weak ties between the pairs of sample countries. This implies that the Indian stock market provides good investment opportunities for foreign investors. Also, investors and portfolio managers can attain more diversified benefits and can minimize country risk by investing across Asia–Pacific countries. Further, knowledge about the factors that integrate the Indian stock market with the other Asia–Pacific stock markets will help policymakers frame suitable economic and financial stabilization policies.
Originality/value
This study contributes to the extant literature: first, by examining the linkages of Indian stock market with other Asia–Pacific countries; second, although previous studies confirmed the existence of linkages among the various stock markets, few researchers pay attention to the factors driving the process of stock market integration. This study provides additional evidence by examining the significant macroeconomic factors driving the process of such integration in the Asia–Pacific region considered under the study.
Details
Keywords
M. Kabir Hassan, Hasan Kazak, Melike Buse Akcan and Hasan Azazi
The purpose of this study is to determine whether the Ottoman Empire’s net interest payments and foreign debt were sustainable or not in terms of their burden on budget revenues…
Abstract
Purpose
The purpose of this study is to determine whether the Ottoman Empire’s net interest payments and foreign debt were sustainable or not in terms of their burden on budget revenues, using the method of historical econometric analysis.
Design/methodology/approach
In this study, the period between 1847 and 1882 of the Ottoman Empire is analyzed for sustainability analysis. Within the framework of the study, unit root tests and econometric analysis methods frequently used in the literature were used to analyze the sustainability of public debt. In the econometric analysis, in addition to various unit root tests, current econometric analysis methods, in particular Fourier expansion, were also used.
Findings
The results of econometric analyses showed that the burden of interest payments and foreign debt on the budget of the Ottoman state was unsustainable. This situation clearly shows the reason for the official bankruptcy of the Ottoman Empire, which was declared in 1875.
Practical implications
Although this study reveals the bankruptcy process of an important structure such as the Ottoman Empire in the historical process through econometric analyses, it also gives a very important message to today’s states. Accordingly, today’s state policies and decision-making mechanisms should take these results into account and strive to make the burden of public interest payments sustainable. It is believed that the study will shed light on the public finance policies of today’s states by drawing lessons from the collapse process of the Ottoman state.
Originality/value
Unlike the historical assessments in the literature on the decline of the Ottoman Empire, this study presents a cliometric approach by applying current econometric analysis techniques to past historical data. The study explains the unsustainability of the Ottoman Empire’s interest payments and external debt burden in the period under consideration in a way that, to the best of the authors’ knowledge, has not been done before.
Details
Keywords
Sami Ur Rahman, Faisal Faisal, Fariha Sami and Friedrich Schneider
The shadow economy (SE) has been a serious issue with varied dimensions in all countries that significantly affect economic growth. Therefore, all countries have made an effort to…
Abstract
Purpose
The shadow economy (SE) has been a serious issue with varied dimensions in all countries that significantly affect economic growth. Therefore, all countries have made an effort to tackle the SE by pursuing several measures. This study aims to investigate the impact of financial markets (stock and bond) in reducing the SE while considering the role of country risk (political, economic and financial) in N-11 countries.
Design/methodology/approach
The study employed first-generation methodological techniques, including a unit root test to identify stationarity in the series, a panel cointegration test and panel autoregressive distributive lag (ARDL) to estimate long-run and short-run relationships. Finally, the Granger causality is applied to determine the direction of the causal relationship.
Findings
The study explored that country risk factors are crucial in reducing the size of the SE. Moreover, the significant moderating role of country risk factors in the financial market development and SE nexus suggests that by controlling the country's risk, financial market development can negatively affect the SE.
Research limitations/implications
Due to the availability of data, the study used data, ranging from 1995 to 2015, because the tax burden data is available from 1995 while the maximum data for the SE is available till 2015, using Medina and Schneider's (2019) data estimates for the SE.
Originality/value
The previous studies have focused explicitly on the role of financial institutions' development in the SE. To the best of the author's knowledge, no previous study is attempted to investigate the role of financial markets (bonds and stock) in the size of the SE. Furthermore, previous studies have ignored the important role of country risk factors in the size of the SE. This study investigates the impact of country risk on the SE and the moderating role of country risk in the development of financial markets and the SE nexus.
Details
Keywords
Ghada H. Ashour, Mohamed Noureldin Sayed and Nesrin A. Abbas
This research aims to examine the macro determinants that significantly affect financial development in the Middle East and North Africa (MENA) region, which could be used…
Abstract
Purpose
This research aims to examine the macro determinants that significantly affect financial development in the Middle East and North Africa (MENA) region, which could be used furtherly to play a major role in economic sustainability since one of the major driving forces for economic development is the financial development.
Design/methodology/approach
The significant determinants of financial development should be efficiently used by the MENA region countries for creating huge financial sector development and innovation, stimulating economic development in turn and leading to the completion of the cycle of development and sustainability. To achieve this study's objective, the researcher employed a quantitative method to develop an econometric model.
Findings
This model consisted of two Panel EGLS Cross-Section Random Effects Models (REMs) in which Domestic credit to the private sector as a percentage of GDP (?PCGDP?_it) and stock market capitalization ratio (?SMC?_it) were taken as the dependent variables. In addition, the independent variables included the corruption perception index, financial freedom (FF), political stability (PS) and trade openness (TO). The researcher extracted the data for the analysis from different databases including the World Bank, the Organization for Economic Cooperation and Development and the International Monetary Fund. Throughout the first – Panel EGLS Cross-Section Random Effects Model, it turned out that, while FF, TO and corruption index had a positive relationship with ?PCGDP?_it, PS had an adverse effect on ?PCGDP?_it. The second – Panel EGLS Cross-Section Random Effects Model showed that, while PS and TO had a positive effect on stock market performance, the corruption index and FF had an adverse effect on stock market performance.
Originality/value
Throughout the first – Panel EGLS Cross-Section Random Effects Model, it turned out that, while FF, TO and corruption index had a positive relationship with ?PCGDP?_it, PS had an adverse effect on ?PCGDP?_it. The second – Panel EGLS Cross-Section Random Effects Model showed that, while PS and TO had a positive effect on stock market performance, the corruption index and FF had an adverse effect on stock market performance.
Details
Keywords
The purpose of this study is to explore the role of gold as a hedge against inflation in the case of the United Arab Emirates.
Abstract
Purpose
The purpose of this study is to explore the role of gold as a hedge against inflation in the case of the United Arab Emirates.
Design/methodology/approach
The study utilizes monthly data on the local sharia-compliant spot gold contract traded on the Dubai Gold and Commodity Exchange (DGCX) and the corresponding consumer price index series over the period December 2015 to January 2021. The econometric approach employed by the study involves a unit root testing procedure that allows the timing of significant breaks to be estimated. A cointegration analysis is then conducted using a nonlinear autoregressive distributed lag (NARDL) model, taking into consideration the presence of structural breaks in addition to short- and long-run asymmetries.
Findings
The results reveal that consumer and gold prices are cointegrated, which implies that investing in gold can hedge against inflation in the long run. No sufficient evidence, nonetheless, is found in support of the ability of gold to serve as a hedge against inflation in the short run.
Originality/value
The findings have several important policy implications for policymakers and investors that are further discussed in the study.
Details
Keywords
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.
Details
Keywords
Ibrahim Cutcu, Guven Atay and Selcuk Gokhan Gerlikhan
This study aims to analyze the relationship between the consequences of the pandemic and the housing sector with econometric tests that allow for structural breaks.
Abstract
Purpose
This study aims to analyze the relationship between the consequences of the pandemic and the housing sector with econometric tests that allow for structural breaks.
Design/methodology/approach
Study data were collected weekly between March 9, 2020, and February 4, 2022, and analyzed for Turkey. In the model of the study, housing loans were used as a housing market indicator, and the number of new deaths and new cases were used as data related to the pandemic. The exchange rate, which affects the use of housing loans, was added to the model as a control variable. This study was analyzed to examine the relationship between the pandemic and the housing sector, time series analysis techniques that allow structural breaks were used.
Findings
Based on the result of the analyses, it was concluded that there is a long-run relationship between the pandemic stages and housing markets along with structural breaks. As a result of the time-varying causality test developed to determine the causality relationship between the variables and its direction, a bidirectional causality relationship was identified between all variables at certain dates.
Research limitations/implications
Study data were collected weekly between March 9, 2020, and February 4, 2022, and analyzed in the case of Turkey.
Practical implications
Based on results of the study, it is recommended that policy makers and market actors take into account extraordinary situations such as pandemics and create a budget allocation that is always ready to use for this purpose.
Originality/value
The empirical examination of the relationship between the pandemic and the housing sector in Turkey provides originality to this study in terms of its topic, sample, methodology, contribution to the literature and potential policy recommendations.
Details
Keywords
Thu-Ha Thi An, Shin-Hui Chen and Kuo-Chun Yeh
This study examines the role of financial development (FD) in enhancing the growth effect of foreign direct investment (FDI) in emerging and developing Asia from 1996 to 2019.
Abstract
Purpose
This study examines the role of financial development (FD) in enhancing the growth effect of foreign direct investment (FDI) in emerging and developing Asia from 1996 to 2019.
Design/methodology/approach
The study exploits the new broad-based Financial Development Index of the International Monetary Fund (IMF) and adopts panel smooth transition regression (PSTR) to perform alternative empirical models for a multidimensional analysis of the FD threshold effect in the growth–FDI nexus.
Findings
The results show two thresholds of FD mediating the nonlinear effect of FDI on growth. FD beyond a certain level will enhance the growth effect of FDI, but very high levels of FD will not induce foreign investment to benefit economic growth in emerging and developing Asian economies. The impact of financial institutions on the FDI–growth link is stronger than that of financial markets. Besides, FDI’s effect on growth has an inverted-U shape conditional on financial depth, whereas it is positively associated with the accessibility and efficiency of the financial system.
Practical implications
These results suggest policy implications for emerging and developing Asian countries, emphasizing the other side of “too much finance” and the potential for improvement in the access to and efficiency of the financial system to boost the effects of FDI and FD in the growth of these economies.
Originality/value
The study is the first multifaceted investigation into the influence of FD on the growth effect of FDI. Beyond the previous empirical evidence showing only the impact of credit from banking sector, this study shows different mediating effects of different financial sectors and three dimensions of financing (depth, access and efficiency). The study suggests essential implications for the region in adjusting long-run policies to enhance the FDI–FD–growth link.
Details
Keywords
Shahid Bashir and Tabina Ayoub
This paper is an attempt to re-examine the validity of the Twin Deficit Hypothesis in the Indian economy, which is characterised by mounting inequality and liquidity constraints…
Abstract
Purpose
This paper is an attempt to re-examine the validity of the Twin Deficit Hypothesis in the Indian economy, which is characterised by mounting inequality and liquidity constraints. The authors augment the econometric analysis with two important mediating variables, exchange rate and trade openness, to analyse their impact on current account deficit.
Design/methodology/approach
The authors have used a ground-breaking asymmetric cointegration technique proposed by Shin et al. (2014) to investigate the short-run and long-run asymmetric nexus between gross fiscal deficit and current account deficit. In addition, the study has used asymmetric dynamic multipliers to see the dynamics of nonlinear adjustment from disequilibrium in the short run to equilibrium in the long run. The study has also used generalised impulse response functions to check the robustness of our cointegration results.
Findings
Using annual time series data from 1970 to 2018, the empirical exercise validates the presence of asymmetries in the Twin Deficit Hypothesis for the Indian economy. This study's robust findings demonstrate that the two deficits are asymmetrically related in the long run. The authors also found that exchange rate asymmetrically affects current account deficit thus validating the asymmetric J-curve phenomenon. From the causality analysis, the authors infer that there is a weak unidirectional causality running from fiscal deficit to current account deficit.
Research limitations/implications
Fiscal deficit may cause current account deficit via changes in other macroeconomic variables that were not taken care of in this study. Therefore, the estimation techniques used in the present study might suffer from the issue of omitted-variable bias. Further research should include other macroeconomic variables where the twin deficit nexus is also influenced by other relevant variables. This will help in disentangling the indirect transmissions by which fiscal deficit translates into current account deficit.
Practical implications
The results from our econometric exercise strongly suggest that the twin deficits are asymmetrically related. From a policy perspective, the asymmetric twin deficit nexus offers strong policy implications for the development of policies that are flexible enough to respond to shifts in internal and external sector dynamics. While framing the mechanism of fiscal prudence, policymakers in emerging countries like India must take into account the regime-changing behaviour of twin deficits.
Originality/value
The present paper is a significant contribution to the existing body of literature by being the first study in India which has analysed the Twin Deficits phenomenon in a nonlinear framework with the incorporation of asymmetric exchange rate dynamics in the model.
Details