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1 – 10 of over 5000The Denkov administration that took office in June has set adopting the euro as a top priority, and blames the previous interim government for Bulgaria’s unpreparedness to join…
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DOI: 10.1108/OXAN-DB283145
ISSN: 2633-304X
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Most eastern EU societies continue to support Ukraine in its fight for independence, back Western sanctions, the EU and NATO, and view Russia as a security threat, according to a…
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DOI: 10.1108/OXAN-DB281746
ISSN: 2633-304X
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Davoud Mahmoudinia and Seyed Mohammad Mostolizadeh
The purpose of this study was to investigate the dynamic interactive link between housing prices, stock market price and effective exchange rate in the Iranian economy for a…
Abstract
Purpose
The purpose of this study was to investigate the dynamic interactive link between housing prices, stock market price and effective exchange rate in the Iranian economy for a monthly period from April, 2004, to March, 2019. In addition, for a more accurate analysis, three control and determinates variables including real interest rate, real GDP and FDI have been added to the base model.
Design/methodology/approach
For this purpose, we will consider this issue by developing the study of Lean & Smyth (2014), Ali & Zaman (2017) and Coskun et al (2017) in the framework of ADRL and NARDL models. Also, this study analyzed the asymmetric/non-linear impact of stock market indexes and effective exchange rate on Iran’s housing inflation. Asymmetries imply to both positive and negative changes in the variables.
Findings
The results obtained from the ADRL and NARDL models suggest that the existence of cointegration relationship between housing market price and its determinants. From linear model, we found that the exchange rate and stock market price have a positive effect on the real estate inflation in the short run; this relationship is also confirmed in the long run. Other empirical results indicate that the GDP stimulates housing price in both long and short run cases, while FDI and real interest rate have an opposite effect. In addition, the results provided by the asymmetric model lead to the rejection of the null hypothesis of no co-integration between the variables. In addition, we found that the effect of stock price in the short and long term are asymmetric and there also is an asymmetric long-run effect of real exchange rate on the real estate price.
Originality/value
Finally, to analyze the sensitivity, we entered two explanatory variables of inflation and money supply to the baseline equation. The finding represented that in both linear and nonlinear framework, a positive correlation between these two variables with housing prices have been proved.
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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.
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Luccas Assis Attílio, Joao Ricardo Faria and Mauricio Prado
The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7).
Abstract
Purpose
The authors investigate the impact of the US stock market on the economies of the BRICS and major industrialized economies (G7).
Design/methodology/approach
The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. Global vector autoregressive (GVAR) empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.
Findings
The authors summarize the results in four points: (1) financial integration variables increase the effect of the US stock market on the BRICS and G7, (2) the US shock produces similar responses in these groups regarding industrial production, stock markets and confidence but different responses regarding domestic currencies: in the BRICS, the authors detect appreciation of the currencies, while in the G7, the authors find depreciation, (3) G7 stock markets and policy rates are more sensitive to the US shock than the BRICS and (4) the estimates point out to heterogeneities such as the importance of industrial production to the transmission shock in Japan and China, the exchange rate to India, Japan and the UK, the interest rates to the Eurozone and the UK and confidence to Brazil, South Africa and Canada.
Research limitations/implications
The results reinforce the importance of taking into account different levels of economic development.
Originality/value
The authors construct the world economy and the vulnerability between economies using three economic integration variables: bilateral trade, bilateral direct investment and bilateral equity positions. GVAR empirical studies usually adopt trade integration to estimate models. The authors complement these studies by using bilateral financial flows.
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Mohini Gupta and Sakshi Varshney
The aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate…
Abstract
Purpose
The aim the study is to explore the impact of real exchange rate volatility and other macroeconomic variable such as price of import, industrial production and real exchange rate on 45 import commodities, considering global financial crisis period on India's import from the US. The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effect and causality among variables.
Design/methodology/approach
The study uses E-GARCH model to gage the real exchange rate volatility, an autoregressive distributive lag (ARDL) bound test technique to discover the adequate short- and long-run relationships and Toda-Yamamoto causality method to analyze the causality among variables. The study uses the time period from 2002:M09 to 2019:M06.
Findings
The empirical analysis at disaggregate level of import indicates the existence of both short-run and long-run effect in one-third importing commodities. The results show both positive and negative effects and causality among variables.
Practical implications
The finding of the study suggests that macroeconomic variables have significant role and could be important to undertake the small and medium scale industries in policymaking. Government may need to make decision for micro, small and medium enterprises (MSMEs) as their performance can bring change in the trade to compete globally by increasing and controlling the price of the import and defending the domestic competitiveness.
Originality/value
The study uses additional variable namely price of import and includes the global financial crisis period to measure dampening effect on each commodity by using robust econometric technique in context of emerging nation like India.
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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Rizwan Firdos, Mohammad Subhan, Babu Bakhsh Mansuri and Majed Alharthi
This paper aims to unravel the impact of post-pandemic COVID-19 on foreign direct investment (FDI) and its determinants in the South Asian Association for Regional Cooperation…
Abstract
Purpose
This paper aims to unravel the impact of post-pandemic COVID-19 on foreign direct investment (FDI) and its determinants in the South Asian Association for Regional Cooperation (SAARC) Countries.
Design/methodology/approach
The study utilized four macroeconomic variables includes growth domestic product growth rate (GDPG), inflation rate (IR), exchange rate (ER), and unemployment rate (UR) to assess their impact on post-pandemic FDI, along with two variables control of corruption (CC) and political stability (PS) to measure the influence of good governance. Random effects, fixed effects, cluster random effects, cluster fixed effects and generalized method of moments (GMM) models were applied to a balanced panel dataset comprising eight SAARC countries over the period 2010–2021. To identify the random trend component in each variable, three renowned unit root tests (Levin, Lin and Chu LLC, Im-Pesaran-Shin IPS and Augmented Dickey-Fuller ADF) were used, and co-integration associations between variables were verified through the Pedroni and Kao approaches. Data analysis was performed using STATA 17 software.
Findings
The major findings revealed that the variables have an order of integration at the first difference I (1). Nonetheless, this situation suggests the possibility of a long-term link between the series. And the main results of the findings show that the coefficients of GDPG, CC and PS are positive and significant in the long run, showing that these variables boosted FDI inflows in the SAARC region as they are significantly positively linked to FDI inflows. Similarly, the coefficients of UR, IR, ER and COVID-19 are negative and significant.
Practical implications
By identifying the specific impacts of the post-pandemic FDI and its determinants, governments and policymakers can formulate targeted policies and measures to mitigate the adverse effects and enhance investment attractiveness. Additionally, investors can gain a deeper understanding of the risk factors and adapt their strategies accordingly, ensuring resilience and sustainable growth. Finally, this paper adds value to the literature on the post-pandemic impact on FDI inflows in the SAARC region.
Originality/value
This paper is the first attempt to trace the impact of COVID-19 on Foreign Direct Investment and its determinants in the SAARC Countries. Most of the previous studies were analytical in nature and, if empirical, excluded some countries due to the unviability of the data set. This study includes all the SAARC member countries, and all variables' data are completely available. There is still a lack of empirical studies related to the SAARC region; this study attempts to fill the gap.
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Omer Cayirli, Koray Kayalidere and Huseyin Aktas
The purpose of this paper is to investigate the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics.
Abstract
Purpose
The purpose of this paper is to investigate the impact of changes in credit stock on real and financial indicators in Turkey with a focus on conditional and time-varying dynamics.
Design/methodology/approach
In addition to lag-augmented vector autoregression (LA-VAR) based time-varying Granger causality tests, threshold models and a research setting that identifies high/low states of credit growth based on 24-month moving averages are used to explore regime-dependent behavior. For investigating the asymmetric dynamics, the authors use a methodology that identifies good/bad news in credit growth based on 24-month moving averages and standard deviations.
Findings
Results strongly suggest that the impact of changes in credit stock induces conditional responses. Moreover, we find evidence for asymmetric responses. In the case of Turkey, efforts to spur growth through credit produce a strong negative byproduct, a depreciation in the exchange rate. The authors also find that changes in credit stock have become more relevant for uncertainties in inflation and exchange rate expectations, particularly in the era after mid-2018 in which credit growth volatility has increased noticeably.
Originality/value
This study provides a comprehensive analysis of time-varying and conditional responses to a change in credit stock in a major emerging economy. Using a moving threshold based only on the available information in the analysis of state-dependency represents a new approach.
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Naser Yenus Nuru and Hayelom Yrgaw Gereziher
The main purpose of this study is to investigate the symmetric and asymmetric effects of exchange rate uncertainty on employment in South Africa’s manufacturing sector over the…
Abstract
Purpose
The main purpose of this study is to investigate the symmetric and asymmetric effects of exchange rate uncertainty on employment in South Africa’s manufacturing sector over the period 1985Q1–2019Q2.
Design/methodology/approach
Jorda’s (2005) local projection method is employed and following Koop et al. (1996); generalized impulse response functions are generated to see the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector.
Findings
The results show that exchange rate uncertainty affects negatively and significantly employment in South Africa’s manufacturing sector. Employment also responds negatively and significantly to export shock. Inflation and output shocks, however, positively and significantly affect employment on impact. Asymmetric responses of employment to exchange rate uncertainty are also found in this study. While high exchange rate uncertainty leads to a reduction in employment, low exchange rate uncertainty brings an increase in employment in South Africa’s manufacturing sector.
Originality/value
This research adds to the scarce empirical literature on the effect of exchange rate uncertainty on employment in South Africa’s manufacturing sector by incorporating mainly non-linearities into the model.
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