Template-Type: ReDIF-Article 1.0 Author-name: Scott W. Hegerty Title: Do International Capital Flows Worsen Macroeconomic Volatility in Transition Economies? Abstract: The 2008 financial crisis helped precipitate a near crisis in the transition economies of Central and Eastern Europe, which ultimately resulted in severe output declines throughout the region. What share of the responsibility did capital movements, particularly “hot money” flows, play in the rapid growth and subsequent recession in the periphery of the European Union? To answer this question, we examine the responses of output, consumption, and investment variability to shocks to both Foreign Direct Investment and non-FDI flows, using quarterly data from the mid-1990s to 2010. Impulse-response and variance decomposition analysis shows that “hot” non-FDI flows contribute more to macroeconomic volatility than do more stable FDI flows, and that certain countries, particularly those with fixed exchange rates, seem to be more vulnerable to shocks than others. Classification-JEL: F41 Keywords: Capital Inflows, Macroeconomic Volatility, Transition Economies, Vector Autoregression Journal: Bulletin of Applied Economics Pages: 1-13 Volume: 1 Issue: 1 Year: 2014 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/1_1_1/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:1:y:2014:i:1:p:1-13 Template-Type: ReDIF-Article 1.0 Author-name: Stefanos Papadamou Author-name: Vaggelis Arvanitis Author-name: Costas Siriopoulos Title: A Bank Lending Channel that is Working via Housing or via Consumer Loans? Evidence from Europe Abstract: This paper, tests the bank lending channel of monetary policy transmission mechanism in a series of European countries since the Euro currency circulation. By disaggregating bank loans to households for consumer, housing and other purposes over the period 2003:Q1 to 2012:Q4, we try to shed light to any hidden dynamics by aggregate data. An unrestricted VAR model and impulse response analysis provide empirical evidence of an active bank lending channel working via housing loans for the majority of countries studied (Germany, France, Belgium, Italy, Spain, Sweden and UK). Additionally, there is evidence of a transmission mechanism proceed through consumer credit in Austria, Belgium and Netherlands. Moreover our results reveal that monetary transmission to housing loans proceeds quickly in Germany, Spain, Sweden and UK compared to the others. However in Belgium, Germany and UK, consumer credits reduction also amplifies the initial shock on GDP and on inflation produced by a tightening monetary policy. Finally, banks’ lending behaviour varies significantly according to the purposes of household loans. In Belgium, Sweden and UK, housing loans reductions coexist with increase of loans for consumption and other reasons, implying that the former is driven by supply forces while the latter by demand forces. Classification-JEL: E40, E52, G21 Keywords: Monetary policy, bank lending, Transmission mechanism VAR models Journal: Bulletin of Applied Economics Pages: 15-34 Volume: 1 Issue: 1 Year: 2014 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/1_1_2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:1:y:2014:i:1:p:15-34 Template-Type: ReDIF-Article 1.0 Author-name: Joan Muysken Author-name: Thomas Ziesemer Title: The Effect of Immigration on Economic Growth in an Ageing Economy Abstract: Immigration can help to alleviate the burden ageing presents for the welfare states of most Western Economies. To show this, a macroeconomic model is developed which deals with the effect of both ageing and immigration on economic growth, through home-biased capital accumulation. The model includes a detailed description of the labor market, analyzing the interaction with low-skilled unemployment. The empirical relevance of some crucial model assumptions is shown to hold for the Netherlands, 1973 – 2009, using a vector-error-correction model. Simulations of the latter model show that permanent shocks in immigration will help to alleviate the ageing problem in the long run, as long as the immigrants will be able to participate in the labor force at least as much as the native population. Moreover, the better educated the immigrants are or become, the higher their contribution to growth will be. Classification-JEL: E24, F22, O15, O52 Keywords: Ageing, Immigration, Unemployment, Skills Journal: Bulletin of Applied Economics Pages: 35-63 Volume: 1 Issue: 1 Year: 2014 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/1_1_3/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:1:y:2014:i:1:p:35-63 Template-Type: ReDIF-Article 1.0 Author-name: Werner Hölzl Author-name: Serguei Kaniovski Author-name: Andreas Reinstaller Title: The exposure of technology and knowledge intense sectors to the business cycle Abstract: This paper studies the business cycle sensitivity of industries using different industry groupings. The results show that technologically intense industries are heavily affected by business cycles. While the overall importance of business cycles for long-run growth seems to be rather limited, we observe for industries with high technology intensity that business cycles may have persistent long-run effects on sectoral performance. Classification-JEL: E32, C32, O11, O40 Keywords: technology shocks, business cycle, long-run restrictions, sectoral response, structural change Journal: Bulletin of Applied Economics Pages: 1-19 Volume: 2 Issue: 1 Year: 2015 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-exposure-of-technology-and-knowledge-intense-sectors-to-the-business-cycle/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:2:y:2015:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 Author-name: Scott W. Hegerty Title: Time-Varying Versus Fixed Weights in Exchange-Market Pressure Indices: Evidence From Tests Using Latin American Data Abstract: Years after the 2008 Global Financial Crisis, currencies worldwide are still susceptible to spillovers not only from foreign currency markets, but also from shocks to stock or commodity prices. Understanding these spillovers is essential for policymakers to respond properly, yet defining ?crisis? periods can often be difficult. This paper proposes two alternative weighting schemes that can be used in the creation of an index of ?exchange market pressure? (EMP), constructing them, as well as a more traditional index, for five Latin American nations and three other emerging markets. Vector Autoregressive (VAR) analysis shows that the two new indices are less likely to find evidence of currency spillovers. We therefore conclude that these differences among measures make the new indices less likely to replace the baseline measure in econometric studies. Classification-JEL: F31, C10 Keywords: Exchange Market Pressure, Weights, Time Series, Latin America Journal: Bulletin of Applied Economics Pages: 21-36 Volume: 2 Issue: 1 Year: 2015 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/time-varying-versus-fixed-weights-in-exchange-market-pressure-indices-evidence-from-tests-using-latin-american-data/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:2:y:2015:i:1:p:21-36 Template-Type: ReDIF-Article 1.0 Author-name: Fabrizio Rossi Author-name: Richard J. Cebula Author-name: Don Capener Title: Exploratory Panel Data Evidence on the Relative Efficacy of Real Federal as Opposed to Real State Cigarette Excise Taxes in Reducing Cigarette Smoking in the United States Abstract: Within the context of the fixed-effects model, this study uses a2002-2007state-levelpanel dataset of the United States to investigate the relative effectiveness of real (constant-dollar) federal cigarette excise taxation versus real (constant-dollar) state cigarette excise taxation in reducing cigarette smoking in the United States. The empirical estimates in this study find that each of two aggregate measures of the extent of cigarette smoking, namely, the number of packs of cigarettes smoked per capita annually and the percentage of the population classified as smokers, is a decreasing function of both the federal cigarette excise tax and the state cigarette excise tax. However, it is also found that a given percentage increase in there all federal excise tax has a much greater negative impact on both the number of packs of cigarettes smoked per capita annually and the magnitude of the percentage of the population classified as smokers than does an equal percentage increase in the real state cigarette excise tax. Classification-JEL: R22, I18, H71, H29 Keywords: cigarette smoking, federal cigarette excise taxation, state cigarette excise taxation Journal: Bulletin of Applied Economics Pages: 37-50 Volume: 2 Issue: 1 Year: 2015 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/exploratory-panel-data-evidence-on-the-relative-efficacy-of-real-federal-as-opposed-to-real-state-cigarette-excise-taxes-in-reducing-cigarette-smoking-in-the-united-states/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:2:y:2015:i:1:p:37-50 Template-Type: ReDIF-Article 1.0 Author-name: Yutaka Kurihara Title: Are Japanese Stock Prices Important Deterministic Elements of Exchange Rate Returns? Abstract: This paper examines whether stock prices in Japan show indicator properties for the US-Japan exchange rate using an exchange rate premium model for the short-term. Empirical results show that changes in short-term interest rate flows, stock index differentials (US-Japan), and exchange rate premiums (Japanese yen/US dollar) exhibit consistent indicator properties for Japanese stock prices. The findings provide support for the arguments that financial variables exhibit indicator properties for exchange rate dynamics. In uncovered interest rate parity, there is a premium; however, the premium affects the spot exchange rate significantly. Exchange rates from the 2000s are determined by financial assets and show a strong difference from the 1990s. Classification-JEL: F31, F32 Keywords: Asset prices; Exchange rates; Premium; Stock prices Journal: Bulletin of Applied Economics Pages: 1-9 Volume: 2 Issue: 2 Year: 2015 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/are-japanese-stock-prices-important-deterministic-elements-of-exchange-rate-returns/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:2:y:2015:i:2:p:1-9 Template-Type: ReDIF-Article 1.0 Author-name: Scott W. Hegerty Title: Commodity-Price Volatility, Exchange Market Pressure, and Macroeconomic Linkages: Evidence from Latin America Abstract: As a major source of commodity exports, Latin America has long been susceptible to external shocks, that continue to this day. With prices falling for oil, copper, and other key products, it is important to study the effects of commodity-price volatility on the region’s macroeconomies. Using Principal Components Analysis, this study creates an index of Latin American commodity prices. This index’s volatility is then entered into a VAR that includes exchange market pressure (EMP), U.S. stock prices, and other macroeconomic variables. Granger causality and impulse-response functions show that variables such as growth are more affected by commodity-price volatility than is EMP. One key finding is that commodity-price risk reduces economic growth in Mexico, Chile, and Peru, but appears to increase Brazil’s growth rate. Further exploration might help reveal possible differences in Brazil’s economic structure that might drive this result. Classification-JEL: F31 Keywords: Commodity Prices, Volatility, Exchange Market Pressure, Latin America, Vector Autoregression Journal: Bulletin of Applied Economics Pages: 11-21 Volume: 2 Issue: 2 Year: 2015 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/commodity-price-volatility-exchange-market-pressure-and-macroeconomic-linkages-evidence-from-latin-america/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:2:y:2015:i:2:p:11-21 Template-Type: ReDIF-Article 1.0 Author-name: Yu Hsing Title: Is Real Depreciation Expansionary? The Case of Ireland Abstract: Applying aggregate demand and aggregate supply model and based on a quarterly sample during 2003.Q1 – 2015.Q1, this paper finds that Ireland’s aggregate output is positively associated with real appreciation, German real GDP, the real stock price and labor productivity and negatively influenced by government debt as a percent of GDP, the real lending rate and the expected inflation rate. The insignificant coefficient of the real oil price indicates that Ireland is energy efficient and that a higher real oil price would not impact its aggregate output negatively. Recent euro depreciation would not help Ireland’s aggregate output, and recent decrease in government debt as a percent of GDP would help increase aggregate output. Classification-JEL: F31, E62 Keywords: Exchange rates; Government debt; Oil prices; Stock prices; Productivity Journal: Bulletin of Applied Economics Pages: 1-9 Volume: 3 Issue: 1 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/is-real-depreciation-expansionary-the-case-of-ireland/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:1:p:1-9 Template-Type: ReDIF-Article 1.0 Author-name: Georgios Galyfianakis Author-name: Evagelos Drimbetas Author-name: Nikolaos Sariannidis Title: Modeling Energy Prices with a Markov-Switching dynamic regression model: 2005-2015 Abstract: In this paper we employ a Markov-switching dynamic regression (MS-DR) model for a period before and after the financial crisis of 2008. Using data from 2005 to 2015, we examine the behavior of five energy prices series (Crude oil WTI, Heating oil, Unleaded gasoline, Diesel and Jet kerosine). The results reveal and confirm the existence of 2 distinct regimes. The first corresponds to a tranquil (calm) regime and the other to a crisis (turbulence) regime. Furthermore, we find robust evidence for the existence of several "recessions" in energy market prices. Given the relevance of the energy prices for the real economy, but also for monetary policy and stock markets, our findings are helpful to financial managers and energy analysts. We prove the undeniable need for more energy policy and regulation in order to help investors and market participants. Classification-JEL: G1, C1, Q4 Keywords: Energy Market, Crude Oil, Petroleum products, Markov-Switching Dynamic Regression, Regimes Journal: Bulletin of Applied Economics Pages: 11-28 Volume: 3 Issue: 1 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/modeling-energy-prices-with-a-markov-switching-dynamic-regression-model-2005-2015/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:1:p:11-28 Template-Type: ReDIF-Article 1.0 Author-name: Li Qin Author-name: Moïse Sidiropoulos Title: Robustness of Optimal Interest Rate Rules in an Open Economy Abstract: This paper studies optimal interest-rate rules that are robust with respect to exogenous shocks in open economies. When derived from closed economy optimization models, theoretical interest-rate rules tend to be more aggressive than empirical rules. We show that accounting for openness in an economy results in optimal rules that correspond more closely to the rules used in practice: the robustly optimal rules derived in an open-economy model exhibit less inertia and sensitivity to variations in macroeconomic variables. Classification-JEL: E50, E52, E58 Keywords: robustness, optimal interest-rate rule, degree of openness Journal: Bulletin of Applied Economics Pages: 29-46 Volume: 3 Issue: 1 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/robustness-of-optimal-interest-rate-rules-in-an-open-economy/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:1:p:29-46 Template-Type: ReDIF-Article 1.0 Author-name: Thomas Ziesemer Title: Gini Coefficients of Education for 146 Countries, 1950-2010 Abstract: We provide Gini coefficients of education based on data from Barro and Lee (2010) for 146 countries for the years 1950-2010. We compare them to an earlier data set and run some related loess fit regressions on average years of schooling and GDP per capita, both showing negative slopes, and among the latter two variables. Tertiary education is shown to reduce education inequality. A growth regression shows that tertiary education increases growth, Gini coefficients of education have a u-shaped impact on growth and labour force growth has an inverted u-shape effect on growth. Classification-JEL: E24, I24, I25, O15, Y1 Keywords: Human capital distribution, education inequality, growth, new data Journal: Bulletin of Applied Economics Pages: 1-8 Volume: 3 Issue: 2 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/gini-coefficients-of-education-for-146-countries-1950-2010/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:2:p:1-8 Template-Type: ReDIF-Article 1.0 Author-name: Theophilos Papadimitriou Author-name: Periklis Gogas Author-name: Vasilios Plakandaras Title: Testing Exchange Rate Models in a Small Open Economy: an SVR Approach Abstract: We empirically test the validity of four popular monetary exchange rate models under five alternative inflation expectation approximations using the NOK/USD exchange rate. The selection of Norway seems appropriate as it is a small open economy that does not participate in most economic or political organizations and uses the Government Pension Fund as a tool to dampen external shocks to the domestic economy. The main innovation of the paper is that in addition to a standard VECM model used in the literature, we employ a two-step procedure for the first time in this setting; first, we train a Support Vector Regression (SVR) model and then we extract the coefficients through a Dynamic Evolving Neural Fuzzy Inference System (DENFIS). The best overall model in terms of fitting the phenomenon is an SVR one with autoregressive inflation expectations that exclude energy prices, exhibiting four times lower forecasting error than the best VECM model. The estimated coefficients of the VECM are not statistically significant, while the ones from the SVR-DENFIS model show that the sign of the coefficient on the interest rate differential corroborates only with the model proposed by Bilson (1978), while we detect a significant inflation rate differential. We conclude that fundamentals possess adequate forecasting ability when used in exchange rate forecasting but none of the tested monetary exchange rate models can explicitly describe the evolution path of the exchange rate. Nevertheless, the proposed machine learning methodology moves one step further than the econometric approach in tackling the exchange rate disconnect puzzle. Classification-JEL: G15, F30, F31 Keywords: Exchange Rate, Forecasting, Foreign Exchange Market, Support Vector Regression, Monetary exchange rate models. Journal: Bulletin of Applied Economics Pages: 9-29 Volume: 3 Issue: 2 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/testing-exchange-rate-models-in-a-small-open-economy-an-svr-approach/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:2:p:9-29 Template-Type: ReDIF-Article 1.0 Author-name: Hiroyuki Taguchi Author-name: Ni Lar Title: The Resource Curse Hypothesis Revisited: Evidence from Asian Economies Abstract: This article examines the applicability of resource curse hypothesis focusing on Asian economies for two different phases for 1980-1995 and for 1995-2014. Its analytical contribution is to trace two kinds of crowding-out logics behind the resource curse: the Dutch Disease logic for resource abundance to crowd out manufacturing activities, and the non-Hartwick-rule logic to crowd out savings and investment, by conducting the statistical tests of Granger causality and impulse responses under vector auto-regression estimation. The empirical outcomes identified the existence of the Dutch Disease in 1980- 1995, but not in 1995-2014, and also represented some approach toward the Hartwickrule in 1995-2014, but not in 1980-1995. Thus, the resource curse hypothesis does not fit with the recent Asian economies. One of the interpretations on the transformation of the resource effects from a curse to a blessing could come from the improvement of institutional quality and the progress in policy efforts in the recent Asian economies. Classification-JEL: F43, O11 Keywords: Resource curse, Asian economies, crowding-out, Dutch Disease, Hartwick rule and institutional quality. Journal: Bulletin of Applied Economics Pages: 31-42 Volume: 3 Issue: 2 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-resource-curse-hypothesis-revisited-evidence-from-asian-economies/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:2:p:31-42 Template-Type: ReDIF-Article 1.0 Author-name: Séverine Menguy Title: Optimal Budgetary Policies in New-Keynesian Models: Can they help when the Zero Lower Bound is binding? Abstract: In case of productivity or taxation rates shocks, monetary policy can perfectly stabilize average variables in all the monetary union when the Zero Lower Bound is not binding. So, the national budgetary policy should only stabilize asymmetric shocks and the differential of these idiosyncratic shocks with their average values in all the monetary union. On the contrary, when the ZLB is binding, monetary policy loses its efficiency to stabilize average shocks in all the monetary union. Budgetary policies should then be expansionary, in order to reduce the recessionary and deflationary tensions due to symmetric positive productivity shocks or to declines in average taxation rates in all member countries. The national budgetary policy should be more active, in order to stabilize not only differentials in the persistence of shocks between the national country and the rest of the monetary union, but also average global shocks. Therefore, budgetary policies could be more useful in a ZLB framework, provided they are not constrained by the fiscal situation and the indebtedness level of the national country. Classification-JEL: E62, E63, F45 Keywords: New-Keynesian models, budgetary policy, monetary policy, Zero Lower Bound, monetary union Journal: Bulletin of Applied Economics Pages: 43-98 Volume: 3 Issue: 2 Year: 2016 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/optimal-budgetary-policies-in-new-keynesian-models-can-they-help-when-the-zero-lower-bound-is-binding/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:3:y:2016:i:2:p:43-98 Template-Type: ReDIF-Article 1.0 Author-name: Mediha Mezhoud Author-name: Asma Sghaier Author-name: Adel Boubaker Title: The Impact of Internal Governance Mechanisms on the Share Price Volatility of Listed Companies in Paris Stock Exchange Abstract: This paper investigates the impact of internal governance structure on firm-level stock return volatility in Paris Stock Exchange based on our study of a sample of 65 firms for the daily period from January 2010 to December 2012.The research has sixth hypotheses. To test each hypothesis; a model was defined based on dependent variables employed to measure the share price volatility. Our findings reveal different results by using different models of multivariate regression. The empirical results show no statistically significant relationship to any components of ownership structure. However, the results also show that the components for the board structure reduce volatility. Indeed, we document a statistically significant negative relationship between the board independence, the CEO Duality, the board size and the share price volatility. Hence, the board structure is not expected to cause severe volatility in the stock prices, which in turn, is consistent with the results of this study. Classification-JEL: G12, G15, G32 Keywords: Share price volatility, Ownership Structure, Board structure, Paris stock exchange Journal: Bulletin of Applied Economics Pages: 1-12 Volume: 4 Issue: 1 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/5194-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:1:p:1-12 Template-Type: ReDIF-Article 1.0 Author-name: Andrey Kudryavtsev Author-name: Shosh Shahrabani Author-name: Yaniv Azoulay Title: Frequency of Adjusting Asset Allocations in the Life-Cycle Pension Model: When Doing More Is Not Necessarily Better Abstract: In the present study, we make an effort to enhance practical advantages of the life-cycle pension model and hypothesize that the pension funds and their members may be made better off if the funds adjust their asset allocations on a less frequent basis, in order to better exploit the return potential of more risky assets. We consider a hypothetical Israeli employee and analyze a number of pension savings glide-paths with different frequency of switches between the major asset classes. We compare the performance of the glidepaths by employing an estimation-based and a simulation-based technique. The results demonstrate that by decreasing the frequency of switches in the framework of the lifecycle model, pension funds can achieve: (i) higher estimated annualized real returns and accumulated savings; (ii) higher expected risk-adjusted performance measures; and (iii) significantly higher simulated mean and median values of real accumulated savings. Moreover, we document that, though decreasing the frequency of switches slightly increases the standard deviation of the employee's terminal wealth, it does not lead to critically low pension savings levels even for relatively unfavorable sequences of financial assets' returns. On the other hand, both empirical techniques prove that keeping the initial asset allocation proportions constant throughout the employees' working career (life-style approach) significantly increases the pension funds' risk levels without significantly increasing their pension portfolio returns. Classification-JEL: E21, E37, G11, G17, G23 Keywords: Capital Market; Investment Profitability and Risk; Life-Cycle Pension Model; Pension Funds' Investment Policy; Retirement Savings. Journal: Bulletin of Applied Economics Pages: 13-33 Volume: 4 Issue: 1 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/frequency-of-adjusting-asset-allocations-in-the-life-cycle-pension-model-when-doing-more-is-not-necessarily-better/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:1:p:13-33 Template-Type: ReDIF-Article 1.0 Author-name: Minh Quang Dao Title: Determinants of the size of government in high-income countries Abstract: This paper empirically assesses the determinants of the share of government consumption in the GDP in high-income countries at two points in time, namely the year 2000 and 2014 while taking into consideration the major issue of potential simultaneity bias by introducing interaction variables. Based on data from the World Bank and using a sample of twenty-six high-income economies in 2000, we find that the share of government consumption in the GDP growth is dependent upon the log of population, its square, the log of the labor force, and interaction terms between the square of the log of the labor force and the log of population, between the log of the labor force and its square, and between the log of population and the log of the labor force. For the year 2014 and using a sample of forty-five high-income countries we find that the size of government as measured by the ratio of government consumption in the GDP is dependent upon the log of per capita gross national income, the log of the labor force, the log of population, the log of urbanization (measured as the share of the urban population in the total population), and the interaction terms between the log of per capita gross income and that of urbanization, the log of urbanization and that of the labor force, and between the log of urbanization and that of population. Statistical results of such empirical examination will contribute towards a better understanding of the determinants of the size of government in high-income economies. Data for all variables are from the 2016 World Development Indicators. We specify and estimate a semi log and quadratic model and observe that some coefficient estimates do not have the expected sign due to possible collinearity among some independent variables. Classification-JEL: O10, O12 Keywords: Government Consumption Expenditure, Per Capita Gross National Income, Urbanization, Labor Force, High-Income Countries. Journal: Bulletin of Applied Economics Pages: 35-45 Volume: 4 Issue: 1 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/determinants-of-the-size-of-government-in-high-income-countries/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:1:p:35-45 Template-Type: ReDIF-Article 1.0 Author-name: Séverine Menguy Title: On the efficiency of various expansionary fiscal policies and cuts in taxation rates in order to sustain economic activity Abstract: We use a simple DSGE model in order to evaluate the efficiency of various fiscal policies intended to sustain economic activity and growth. A decrease in the consumption taxation rate appears as the most efficient fiscal policy. Indeed, as goods are then less expansive, it would imply an increase in the same proportion of all components of economic activity: private consumption and investment, as well as public expenditure. Besides, it would also strongly favor public investment in the composition of public expenditure, in order to increase the productivity of private factors and to satisfy the higher global demand. In comparison, a decrease in the capital taxation rate would reduce the capital cost, and it would favor private and public investment. However, the effect would be minor on private consumption and even negative on public consumption expenditure; the increase in global economic activity would then be more moderate. Finally, a decrease in the labor taxation rate would not be able to increase private economic activity, in the framework of our model, and it would favor public consumption to the detriment of the most productive public investment expenditure. Classification-JEL: E61, E62, H21 Keywords: DSGE model, budgetary policy, consumption taxation rate, capital taxation rate, labor taxation rate. Journal: Bulletin of Applied Economics Pages: 1-36 Volume: 4 Issue: 2 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/on-the-efficiency-of-various-expansionary-fiscal-policies-and-cuts-in-taxation-rates-in-order-to-sustain-economic-activity/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:2:p:1-36 Template-Type: ReDIF-Article 1.0 Author-name: Minh Quang Dao Title: The impact of public policies and institutions on economic growth in developing countries: New empirical evidence Abstract: This paper examines the impact of public policies and institutions on economic growth in developing countries. Based on data from the World Bank for the 2000-2015 period and a sample of thirty-nine low-income and lower middle-income economies we find that the growth rate of GDP is dependent on a country’s economic management of its debt policy, its structural policies regarding the financial sector and the business regulatory environment, and its policies for social inclusion and equity dealing with gender equality, with building human resources, and with social protection and labor, along with the growth rates of inputs such as land, physical capital, general government consumption, and net exports. We observe that the coefficient estimates of two explanatory variables, namely, the structural policies regarding the financial sector and the policies for social inclusion and equity dealing with gender equality, do not have their expected sign, possibly to the collinearity between the structural policies regarding the financial sector and the debt policy variable, the business regulatory environment variable, the building human resources variable, and the social protection and labor variable and that between the gender equality variable and the business regulatory environment variable, the building human resources variable, and the social protection and labor variable. We also note that the business regulatory variable is not significant using the t-test, but its exclusion from the model results in a decrease in its explanatory power as measured by the adjusted coefficient of determination. We suspect that this is also due to the collinearity between this variable and three policies for social inclusion and equity variables. Statistical results of such empirical examination will assist governments in developing countries focus on appropriate policies dealing with the economic management of debt policy, those of a structural nature regarding the financial sector and the business regulatory environment, and those for social inclusion and equity such as improving gender equality, building human resources and providing social protection and labor in order to foster economic growth. Public sector management and institutions, on the other hand, do not seem to influence a developing country’s rate of economic growth. Classification-JEL: O12, O15, O40 Keywords: Public Policies and Institutions, GDP Growth, Developing Countries. Journal: Bulletin of Applied Economics Pages: 37-49 Volume: 4 Issue: 2 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-impact-of-public-policies-and-institutions-on-economic-growth-in-developing-countries-new-empirical-evidence/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:2:p:37-49 Template-Type: ReDIF-Article 1.0 Author-name: Vasilios Sogiakas Title: Basel III impact on the Italian banking sector Abstract: This paper examines the incentives and the effectiveness of tighter regulation of the Italian banks in terms of their profitability. Using balance and off-balance sheet data I focus on the capital requirements and the liquidity characteristics of the banking sector by the convenient Tier 1 ratio and the Basel III long-term Net Stable Funding Ratio (NSFR), respectively. The empirical findings of the paper underline the important role that the NSFR has as a preventive tool for potential bank failures while addresses the incentives behind the enforcement of higher Tier 1 ratios as a way for more risk averting profiles mainly during turbulent periods. Classification-JEL: G21; E58 Keywords: Basel III; NSFR; banking efficiency; financial crisis Journal: Bulletin of Applied Economics Pages: 51-55 Volume: 4 Issue: 2 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/basel-iii-impact-on-the-italian-banking-sector/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:2:p:51-55 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Foreign Aid and Dutch Disease in Thailand Abstract: This paper examines the economic impact of foreign aid, specifically whether it leads to Dutch disease, in Thailand between 1972 and 2014, using a VAR model, together with the Granger causality test and the impulse response test. Few previous studies have been made of Southeast Asian countries even though Thailand has experienced rapid economic growth using foreign aid to construct infrastructure, and by introducing foreign direct investment into manufacturing industries. The causality and impulse response tests indicate that Dutch disease has not occurred; the impact of foreign aid proved positive, as there was little room to increase consumption and the aid contributed directly to capital accumulation. Classification-JEL: F35, O53 Keywords: Foreign Aid, Dutch Disease, Thailand Journal: Bulletin of Applied Economics Pages: 57-64 Volume: 4 Issue: 2 Year: 2017 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/foreign-aid-and-dutch-disease-in-thailand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:4:y:2017:i:2:p:57-64 Template-Type: ReDIF-Article 1.0 Author-name: Thomas Ziesemer Title: Testing the Growth Links of Emerging Economies: Croatia in a Growing World Economy Abstract: We estimate a dynamic simultaneous equation model for 16 variables of the Croatian economy in order to test the links of growth with education, R&D, trade, savings and FDI. In order to motivate the choice of variables we review the related theories of growth and look at the relevant data. Permanent shocks increasing the intercepts of the equations for education, R&D, trade, savings and FDI show that most of growth links work well in Croatia, but they also enhance foreign imbalances. Policies to balance the two aspects are briefly discussed. All results should be interpreted with caution due to the small data sample we have up until now. Classification-JEL: F43, O11, O19, O41, O47 Keywords: Growth, open economy, education, R&D, Croatia Journal: Bulletin of Applied Economics Pages: 1-27 Volume: 5 Issue: 1 Year: 2018 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/testing-the-growth-links-of-emerging-economies-croatia-in-a-growing-world-economy/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:5:y:2018:i:1:p:1-27 Template-Type: ReDIF-Article 1.0 Author-name: Atrayee Ghosh Roy Title: Infrastructure Investment and the Indian Economy Abstract: The purpose of this paper is to investigate the growth effect of physical infrastructure investment in India. Using time-series data for the 1980-2014 period, this paper attempts to empirically test whether India’s inefficient executions of infrastructure investment projects can impede its impressive economic growth potential. A simultaneous equation model is developed to address the problem of a bi-directional relationship between physical infrastructure investment and economic growth. The results find that the contribution of physical infrastructure investment to national economic growth is negative and statistically significant. Furthermore, the results also indicate that physical infrastructure investment in India is not keeping pace with its rapid economic growth. Classification-JEL: H50, H54, O40 Keywords: Infrastructure investment, economic growth, simultaneity, stationary Journal: Bulletin of Applied Economics Pages: 29-38 Volume: 5 Issue: 1 Year: 2018 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/infrastructure-investment-and-the-indian-economy/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:5:y:2018:i:1:p:29-38 Template-Type: ReDIF-Article 1.0 Author-name: Eskander Alvi Author-name: Debasri Mukherjee Author-name: James Squires Title: Agricultural Aid, Agricultural Productivity and its Volatility: A Note Abstract: We examine the effectiveness of multilateral foreign-aid that can potentially enhance agricultural production from various angles. Our analysis reveals that although such aid does not always enhance agricultural productivity, volatility of such aid seems to have strong association with the volatility of production. Also volatility adjusted agricultural aid can enhance volatility adjusted mean agricultural output. Classification-JEL: C23, F35, O1, Q1 Keywords: Foreign Aid, Agricultural output, Agricultural risk-volatility, Panel Data Journal: Bulletin of Applied Economics Pages: 1-11 Volume: 5 Issue: 2 Year: 2018 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/5410-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:5:y:2018:i:2:p:1-11 Template-Type: ReDIF-Article 1.0 Author-name: Thomas Poufinas Author-name: Maria Polychronou Title: Alternative investments as a financing tool for small and medium enterprises Abstract: Alternative investments more than ever have come to the spotlight as they have attracted over the last few years the interest of asset owners and asset managers. The former are nothing but individual or institutional investors, such as pension schemes. The latter are the individuals or organizations that direct or allocate the available assets to the appropriate securities. Over the last decade there has been a shift from traditional, listed equity and fixed income to venture capital - private equity, private debt, exchange traded funds, and other investment means, also known as alternative investments. In this paper we investigate the parameters that affect small and medium enterprise financing through exchange traded funds and venture capital. We employ econometric models to find the link between the exchange traded funds and venture capital that invest in small and medium enterprises in a country and the economy of the relevant country. We find that the overall condition of the economy of a country as represented by the macroeconomic figures and certain indices is important for the choice of the country for the domiciliation, size or availability of exchange traded funds and venture capital. Classification-JEL: G20, G30, G32, O40, O50 Keywords: alternative investments, exchange traded funds, venture capital, small and medium enterprises, financing. Journal: Bulletin of Applied Economics Pages: 13-44 Volume: 5 Issue: 2 Year: 2018 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/alternative-investments-as-a-financing-tool-for-small-and-medium-enterprises/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:5:y:2018:i:2:p:13-44 Template-Type: ReDIF-Article 1.0 Author-name: Apostolos G. Christopoulos Author-name: Ioannis G. Dokas Author-name: Iraklis Kollias Author-name: John Leventides Title: An implementation of Soft Set Theory in the Variables Selection Process for Corporate Failure Prediction Models. Evidence from NASDAQ Listed Firms Abstract: The foremost aim of this paper is to propose a reliable methodology regarding the selection process of financial ratios as input variables in the construction of corporate failure prediction models. In this paper soft set theory is introduced. In the first stage, emphasis is given on the state of liquidity as a measure for the classification of a group of NASDAQ listed firms in two a priori groups (failed and non-failed) using four liquidity criteria as follows: current ratio 1, current liabilities to total liabilities 70%, Equity to Liabilities 0 and Total Debt to Total Assets 70%. In the second stage, a parameter reduction algorithm is applied in order to determine, from a group of ratios, those which provide significant predictive power and optimize the classification accuracy of the model. A tabular representation of a soft set is constructed in order to select the input variables in the model based on the importance degree of each financial ratio. The findings show that the primary assumptions relevant to the definition of failure based on the soft set theory approach are confirmed, though the majority of the significant ratios in the applied sample of listed firms are related to the analysis of profitability. Classification-JEL: C2, C4, G33 Keywords: Failure prediction, definition of failure, liquidity and profitability, financial ratios, soft set theory, Logistic regression. Journal: Bulletin of Applied Economics Pages: 1-20 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/an-implementation-of-soft-set-theory-in-the-variables-selection-process-for-corporate-failure-prediction-models-evidence-from-nasdaq-listed-firms/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:1-20 Template-Type: ReDIF-Article 1.0 Author-name: Hiroyuki Taguchi Author-name: Namjil Enkhbaatar Title: Stock Market and Macroeconomic Policies in Mongolia Abstract: Mongolian stock market is underdeveloped compared with its banking credit market, due to a lot of impediment factors to prevent its development. This means Mongolian economy still has much room where its stock market development promotes the long-term financing and investment into non-mining sectors for sustainable economic growth. This paper aims to provide the evidence on the relationship between stock market and macroeconomic policies in Mongolia under the hypothesis that the recent biases of fiscal and monetary policies would distort her stock-price formation. The empirical analysis in this study found that the cumulative public debt and too high policy rate have stagnated the stock prices, through identifying the negative impulse responses of stock prices to the shocks of policy rate and government securities under a vector-autoregressive model estimation. The strategic policy implication for normalizing the stock prices could be the significance in ensuring budget consolidation and in addressing a fear of floating in monetary policy management in Mongolia. Classification-JEL: E44, G32, O53 Keywords: Stock Market; Fiscal policy; Government Securities; Monetary Policy; Policy Rate. Journal: Bulletin of Applied Economics Pages: 21-39 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/stock-market-and-macroeconomic-policies-in-mongolia/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:21-39 Template-Type: ReDIF-Article 1.0 Author-name: Petros Golitsis Author-name: Athanasios P. Fassas Author-name: Anna Lyutakova Title: Credit Risk Determinants: Evidence from the Bulgarian Banking System Abstract: The present study examines a wide set of credit risk determinants for the Bulgarian banking system. Using both monthly and quarterly data and employing two methodologies, Vector Autoregressive and Autoregressive Distributed Lag models, we test ninety-one possible determinants of the banks’ credit risk, as measured by non-performing loans, loan loss provisions and problematic loans. Our empirical findings show that both bank-specific and institutional, in addition to macroeconomic, factors have a significant impact on the credit risk of the banking system in the country. Classification-JEL: C10, C32, C51, G01, G20, O52 Keywords: credit risk; non-performing loans; loan loss provisions; Bulgarian banking system. Journal: Bulletin of Applied Economics Pages: 41-64 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/credit-risk-determinants-evidence-from-the-bulgarian-banking-system/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:41-64 Template-Type: ReDIF-Article 1.0 Author-name: Konstantinos Vergos Author-name: Benjamin Wanger Title: Evaluating interdependencies in African markets A VECM approach Abstract: This study evaluates the linkages between stock markets and macroeconomic data in the sub-Sahara Africa during the 2008 –2018 period by using VECM. Our findings confirm unidirectional and bidirectional causalities, and a long-run equilibrium between the indexes, the stock exchanges and their national economies. The contemporaneous sectoral infectivity surpasses the long-run responses. While the banking sector was found to lead markets and macroeconomic indices, Nigerian, Moroccan and Swaziland markets were found to be most weakly integrated. Our findings provide a unique evidence of interdependence between African peripheral markets that could be used in cross-hedging and speculative strategies in fund management. Classification-JEL: G12 Keywords: Asset pricing, Africa, interdependence, VECM Journal: Bulletin of Applied Economics Pages: 65-85 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/evaluating-interdependencies-in-african-markets-a-vecm-approach/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:65-85 Template-Type: ReDIF-Article 1.0 Author-name: Zura Kakushadze Author-name: Willie Yu Title: Altcoin-Bitcoin Arbitrage Abstract: We give an algorithm and source code for a cryptoasset statistical arbitrage alpha based on a mean-reversion effect driven by the leading momentum factor in cryptoasset returns discussed in https://ssrn.com/abstract=3245641. Using empirical data, we identify the cross-section of cryptoassets for which this altcoin-Bitcoin arbitrage alpha is significant and discuss it in the context of liquidity considerations as well as its implications for cryptoasset trading. Classification-JEL: G00, G10, G11, G12, G23 Keywords: cryptoasset, cryptocurrency, altcoin, Bitcoin, mean-reversion, momentum, statistical arbitrage Journal: Bulletin of Applied Economics Pages: 87-110 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/altcoin-bitcoin-arbitrage/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:87-110 Template-Type: ReDIF-Article 1.0 Author-name: Tsoukalas Asterios Author-name: Drimpetas Evaggelos Author-name: Geronikolaou George Title: Identifying Black Swans in the Athens Stock Exchange Abstract: The purpose of this study is to identify Black Swans in the Athens Stock Exchange during a thirty years period from 1985 to 2015. Using a large dataset of daily returns, we point out that extraordinary returns are not rare and that Black Swans in the Greek Stock Market are more frequent than expected. We also to show that these outliers have an extreme impact on an investor’s long term return and finally that the normality assumption is not suitable in predicting the Black Swans phenomenon. Classification-JEL: G10; G15; G19 Keywords: Black Swans; Greek Stock Market; Normal Distribution Journal: Bulletin of Applied Economics Pages: 111-122 Volume: 6 Issue: 1 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/identifying-black-swans-in-the-athens-stock-exchange/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:1:p:111-122 Template-Type: ReDIF-Article 1.0 Author-name: Séverine MENGUY Title: Does public indebtedness constrain or can it favor economic growth? A simple analytical modeling Abstract: This paper aims at shedding an analytical light on the consequences of the public indebtedness level on economic growth. We show that increasing the current public debt can sustain short run economic activity, and mainly net exports and public investment expenditure. On the labor market, in the short run, the public debt can also increase the capital stock, the real wage, and more moderately labor demand and supply. However, our modelling also underlines that there are many obstacles to the positive effect of a higher public debt level on long term economic growth. Indeed, if the elasticity of the nominal interest rate to the increase of the public debt becomes high (worry of the financial markets), increasing the public indebtedness level can damage current economic activity. Besides, a previous increasing trend of the public debt can be damaging, and the trajectory of the public debt should also be taken into account. Classification-JEL: E62, F43, H63 Keywords: public debt, economic activity, public investment and consumption expenditure, private investment, private consumption, labor demand and supply. Journal: Bulletin of Applied Economics Pages: 1-29 Volume: 6 Issue: 2 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/does-public-indebtedness-constrain-or-can-it-favor-economic-growth-a-simple-analytical-modeling/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:2:p:1-29 Template-Type: ReDIF-Article 1.0 Author-name: Charis Vlados Author-name: Dimos Chatzinikolaou Author-name: Fotios Katimertzopoulos Author-name: Theodore Koutroukis Title: Regional underdevelopment and less developed business ecosystems: The case of Eastern Macedonia and Thrace Abstract: This article aims to highlight the different facets of the relative socio-economic underdevelopment of the Greek region of Eastern Macedonia and Thrace. It explores initially regional analysis data, leading to the conclusion that the region does indeed face comparative weaknesses as it exhibits multiplier results and specialization in areas with the lowest value-added and employment. It then presents the main conclusions about small and micro firms of this less developed business ecosystem. It concludes that the region has structural competitiveness problems that are primarily due to the competitiveness of the firms that can host and nurture. The strengthening of competitiveness of this regional business ecosystem requires the improvement of the innovative potential that, in a triple helix condition, is the result of the evolutionary interconnection between local-regional firms, government, and academia. To this end, the proposal to establish a Local Development and Innovation Institute constitutes a new regional policy that can be applied to the region and strengthen the innovative potential of the entire regional business ecosystem. Classification-JEL: R12, R58 Keywords: Underdeveloped regional business ecosystem, Eastern Macedonia and Thrace (REMTh), Stra.Tech.Man Lab research team, Regional triple helix, Local Development and Innovation Institutes Journal: Bulletin of Applied Economics Pages: 31-44 Volume: 6 Issue: 2 Year: 2019 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/regional-underdevelopment-and-less-developed-business-ecosystems-the-case-of-eastern-macedonia-and-thrace/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:6:y:2019:i:2:p:31-44 Template-Type: ReDIF-Article 1.0 Author-name: Zura Kakushadze Author-name: Willie Yu Title: Machine Learning Treasury Yields Abstract: We give explicit algorithms and source code for extracting factors underlying Treasury yields using (unsupervised) machine learning (ML) techniques, such as nonnegative matrix factorization (NMF) and (statistically deterministic) clustering. NMF is a popular ML algorithm (used in computer vision, bioinformatics/computational biology, document classification, etc.), but is often misconstrued and misused. We discuss how to properly apply NMF to Treasury yields. We analyze the factors based on NMF and clustering and their interpretation. We discuss their implications for forecasting Treasury yields in the context of out-of-sample ML stability issues. Classification-JEL: G00, G10, G11, G12, G23 Keywords: non-negative matrix factorization, NMF, clustering, k-means, Treasury, yield, machine learning, maturity, time series, out-of-sample, in-sample, weight, factor, exposure, source code, principal component, correlation, forecasting, interest rate, stability, level, slope, steepness, curvature, fixed income, term structure, yield curve. Journal: Bulletin of Applied Economics Pages: 1-65 Volume: 7 Issue: 1 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/machine-learning-treasury-yields/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:1-65 Template-Type: ReDIF-Article 1.0 Author-name: Erotokritos Varelas Title: Expectations about Unreported Output, Bank Lending and Double-Cycle Stability Policy Abstract: This article argues that the possibility there can be output unreported to the authorities, prompts expectations about the size of this output which can destabilize increasingly an economy experiencing otherwise a uniform oscillation. It follows logically that the “stability” of uniform fluctuations will be preserved if the policy maker aims at such fluctuations in unreported output too, but of exactly opposite direction (“double cycle” hypothesis), lessening in effect the fluctuation of overall output as well. The economy is one modeled in terms of the interplay between its banking sector and the government budget. Our conclusions hold independently of the source of unreported output allowing thus one to identify for analytical convenience this output with everything the term connotes except tax evasion. Assuming that borrower-lender asymmetric information leads to a fraction only of bank lending to be financing capital change, instability becomes a matter of the expectations about this fraction too, about credit rationing; much more so when the capital change involves both sectors of the economy. The link between the two types of expectations is that they are both shaped by the stage of the business cycle, making the “double cycle” target attainable by means of the manipulation of “lending” or the same, credit-rationing expectations. The introduction of money or bank industry structure into the analysis does not appear to alter these conclusions; nor does the examination of the subject in terms of labor in the place of capital ? examination enabled analytically through the use of a CES production function. Classification-JEL: E26, E32, E51, P16 Keywords: Unreported output, expectations, banking, government budget, double cycle, stability Journal: Bulletin of Applied Economics Pages: 67-81 Volume: 7 Issue: 1 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/expectations-about-unreported-output-bank-lending-and-double-cycle-stability-policy/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:67-81 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Foreign Aid Loans and Economic Growth in Vietnam Abstract: This paper examines the productivity of foreign aid in Vietnam, in two ways. First, the effect of foreign aid upon economic growth in Vietnam as a whole is studied using time series data from 1994 to 2017. Second, the effect of the yen loan, or governmental aid loan from Japan, in 34 provinces out of 63 is studied using panel data from 2001 to 2016. The effect of foreign aid is still uncertain, and the aim is to clarify it. Two points are found. First, no effect of foreign aid to Vietnam has been found using the time series data for the entire country. Second, the increase in productivity due to the yen loan has not been estimated, either. Although the impact from the foreign aid to the economic growth is not estimated, it may include Vietnamese special reasons. Since the main portion of foreign aid to Vietnam came after 1994, most infrastructure facilities are contributing relatively in a short term. This finding is likely to change in future, since infrastructure established recently with the loan will continue to contribute to economic growth in Vietnam. Classification-JEL: F35, O53 Keywords: Foreign Aid, Productivity, Vietnam Journal: Bulletin of Applied Economics Pages: 83-94 Volume: 7 Issue: 1 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/foreign-aid-loans-and-economic-growth-in-vietnam/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:83-94 Template-Type: ReDIF-Article 1.0 Author-name: Panayiotis Tzeremes Title: Productivity, efficiency and firm’s market value: Microeconomic evidence from multinational corporations Abstract: The paper proposes a conditional range directional distance estimator by modifying the range directional distance model utilizing the probabilistic characterization of directional distance functions (DDF). Moreover, as an illustrative example the paper applies the proposed estimator on a sample of 89 multinational corporations for the period 2006-2012. The paper examines the effect of firms’ market value on their estimated operational performance levels. Inefficiency measures are estimated over the examined period. The results reveal a nonlinear (U-shape) relationship between firms’ market value and their operating efficiency levels. Finally, the analysis from applying the local linear estimator reveals that lower market values are associated with higher operating inefficiencies, whereas, higher market values are associated with higher operating efficiencies. Classification-JEL: C14, D24, M21 Keywords: Productivity, Firm’ production, Efficiency, Market value, Microeconomic analysis Journal: Bulletin of Applied Economics Pages: 95-105 Volume: 7 Issue: 1 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/productivity-efficiency-and-firms-market-value-microeconomic-evidence-from-multinational-corporations/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:95-105 Template-Type: ReDIF-Article 1.0 Author-name: Nikolaos Papanikolaou Title: The Econophysics of Labor Income Abstract: This paper examines the Census Bureau’s Current Population Survey (CPS) of full-time wage and salary workers to determine the underlying functional form of the size distribution of income from 1996 to 2008. There has been a lot of attention on income inequality Pre and Post Great Recession of 2008-2009. This paper applies the tools developed in a new field of economics called Econophysics. The analysis uses parametric and nonparametric methods to determine the size distribution of wage and salary income. The findings suggest that the underlying functional form of labor income is approximately distributed as an exponential distribution, while non-labor income is underscored by a Pareto distribution. Classification-JEL: C19, D31, D33, D39, J01 Keywords: Size Distribution of Labor Income, Income Inequality, Boltzmann-Gibbs Distribution, Optimal Bandwidth, Kernel Density Estimator, Census Bureau, Exponential Distribution, Pareto Distribution. Journal: Bulletin of Applied Economics Pages: 107-122 Volume: 7 Issue: 1 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-econophysics-of-labor-income/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:1:p:107-122 Template-Type: ReDIF-Article 1.0 Author-name: Jean-Charles Marin Author-name: Bryan B-Trudel Author-name: Kazimierz Zaras Author-name: Mamadou Sylla Title: Targeting Poverty and Developing Sustainable Development Objectives for the United Nation’s Countries using a Systematic Approach Combining DRSA and Multiple Linear Regressions Abstract: The objectives of this article is to target poverty using Dominance-based Rough Set Approach (DRSA) to help the United Nation’s Countries develop objectives for sustainable development. There are 12 variables divided into 2 perspectives. The first is an economical and technological perspective composed of 6 variables. The second is a sociological and political perspective composed of 6 variables. The methodology proposed classifies all the United Nation’s countries according to three different categories: [A] Developed countries; [B] Emerging economies that need support to acquire category A status; [C] Under Developed countries ranked the lowest and needing special support with regard to the criterion or criteria considered. Using this classification, DRSA provides decision rules to explain the classification and indicating precisely what are the conditions to be part of a higher category. Also, the results indicate what are the conditions to be part of the Under Developed countries category and therefore helps targeting poverty and proposing, at the same time, objectives to improve this classification. Finally, we used Multiple Linear Regressions with selected decision rules to test selected decision rules as the Gross National Income per capita as the dependent variable. Classification-JEL: C88, I32, O11, O57 Keywords: International development, United Nations States, International aid, Economic growth, Strategic objectives, Sustainable Development. Journal: Bulletin of Applied Economics Pages: 1-24 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/targeting-poverty-and-developing-sustainable-development-objectives-for-the-united-nations-countries-using-a-systematic-approach-combining-drsa-and-multiple-linear-regressions/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:1-24 Template-Type: ReDIF-Article 1.0 Author-name: Zura Kakushadze Title: Option Pricing: Channels, Target Zones and Sideways Markets Abstract: After a market downturn, especially in an uncertain economic environment such as the current state, there can be a relatively long period with a sideways market, where indexes, stocks, etc., move in channels with support and resistance levels. We discuss option pricing in such scenarios, in both cases of unattainable as well as attainable boundaries, and obtain closed-form option pricing formulas. Our results also apply to FX rates in target zones without interest rate pegging (USD/HKD, digital currencies, etc.). Classification-JEL: G00, G10, G11, G12, G13, G20, G23, G24, G30, G32, C22, C25 Keywords: Option pricing, channel, reflecting boundaries, Brownian motion, volatility, drift, barriers, mean-reversion, mean-repelling, FX, digital currencies, target zone, sideways market, interest rate, attainable boundaries, unattainable boundaries, arbitrage, stock, put, call, binary, knockout, rebate. Journal: Bulletin of Applied Economics Pages: 25-33 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/option-pricing-channels-target-zones-and-sideways-markets/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:25-33 Template-Type: ReDIF-Article 1.0 Author-name: Hiroyuki Taguchi Author-name: Kenichi Tamegawa Author-name: Mesa Wanasilp Title: Taylor Principle under Inflation Targeting in Emerging ASEAN Economies: GMM and DSGE Approaches Abstract: This paper aims to reassess the performances of inflation targeting adopted by emerging ASEAN countries, Indonesia, the Philippines and Thailand, by examining their monetary policy rules, both through generalized-method-of-moments (GMM) estimations of policy reaction functions and through Bayesian estimations of the New Keynesian dynamic-stochastic-general-equilibrium (DSGE) model. The main findings are summarized as follows. First, the GMM estimations identified inflation-responsive rules fulfilling the Taylor principle, with a forward-looking manner in Indonesia and Thailand and with a contemporaneous way in the Philippines. Second, the Bayesian estimations of the New Keynesian DSGE could reassure the GMM estimation results, as the former estimations produced consistent outcomes with the latter ones on the policy rate reactions to inflation with the Taylor principle. Classification-JEL: E52, E58, O53 Keywords: Taylor principle; Inflation targeting; Emerging ASEAN; Generalized method of moments (GMM); New Keynesian dynamic stochastic general equilibrium (DSGE) model Journal: Bulletin of Applied Economics Pages: 35-47 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/taylor-principle-under-inflation-targeting-in-emerging-asean-economies-gmm-and-dsge-approaches/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:35-47 Template-Type: ReDIF-Article 1.0 Author-name: Miguel D. Ramirez Title: Public and Foreign Investment Spending in the Argentine Case. A Cointegration Analysis with Structural Breaks, 1960-2015 Abstract: This paper examines whether public investment spending and inward foreign direct investment (FDI) enhance labor productivity growth in Argentina. Using annual data, it estimates a dynamic labor productivity function for the 1960-2015 period that incorporates the impact of public and private investment spending, education expenditures, the labor force, and export growth. It tests for both single and two-break unit root tests, as well as performing cointegration tests with an endogenously determined regime shift over the 1960-2015 period. Cointegration analysis suggests that a long-term relationship exists among the relevant variables. The error correction (EC) models suggest that (lagged) increases in public investment spending and education have a positive and significant effect on the rate of labor productivity growth Also, the model is estimated for a shorter period (1970-2015) to capture the impact of inward FDI flows. The estimates suggest that (lagged) FDI flows have a positive and significant impact on labor productivity growth, while increases in the labor force have a negative effect. From a policy standpoint, the findings call into question the politically expedient policy in many Latin American countries, including Argentina during the 1990s and 2000s, of disproportionately reducing public capital expenditures on education and infrastructure to meet reductions in the fiscal deficit as a proportion of GDP. The results give further support to pro-investment and pro-growth policies designed to promote public investment spending and attract inward FDI flows. Classification-JEL: C22, O10, O54 Keywords: Complementarity Hypothesis, Education expenditures, Endogenous growth, Foreign Direct Investment (FDI), Gregory-Hansen cointegration single-break test, Lee-Strazicich two-break unit root test, Johansen Cointegration Test, Public Investment, Vector Error Correction model (VECM). Journal: Bulletin of Applied Economics Pages: 49-76 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/public-and-foreign-investment-spending-in-the-argentine-case-a-cointegration-analysis-with-structural-breaks-1960-2015/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:49-76 Template-Type: ReDIF-Article 1.0 Author-name: Apostolos Kiohos Title: Risk Affection and Transmission of News of Conditional Volatility from the Non-Life to Life Insurance Sector Abstract: Non- Life and Life Insurance companies are the main expedients of risk transfer and risk management procedure in the economy and the society. This paper examines, in eight worldwide advanced insurance markets, whether there are transmissions of news of conditional volatility from the non-life to life insurance sector. The reason is that, regularly, non-life insurance risks have higher volatility and they are less predictable than life insurance risks. A GJR - GARCH model is used to test these relationships for the period January 1st 1990 to June 28th 2019 using daily trading observations for each listed insurance index. The results suggest that the French and the Australian non-life insurance sectors influence their life insurance sectors to a greater extent than the other countries insurance indices under study. There is also evidence that the leverage effect indicates that bad news concerning the non-life insurance index shows a more intense impact on the volatility of the life insurance index than the good news in the majority of the countries under study. However, bad and good news are symmetrical in French and Australian insurance markets. Classification-JEL: G22, G32, D53, C5 Keywords: Insurance risks, Volatility, Non- Life Insurance, Life Insurance, GJR GARCH Journal: Bulletin of Applied Economics Pages: 77-86 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/risk-affection-and-transmission-of-news-of-conditional-volatility-from-the-non-life-to-life-insurance-sector/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:77-86 Template-Type: ReDIF-Article 1.0 Author-name: Yaya KEHO Title: An Empirical Study of Some Driving Factors of CO2 Emissions: Evidence from Quantile Regression Abstract: A growing body of research has examined the determinants of CO2 emissions. This literature has used mean-based regression methods in which only the mean effects of covariates are estimated. In this paper, we use the quantile regression methodology for a panel of 45 countries to investigate whether or not the factors that drive pollution do so in the same way for high and low pollution countries. The Environmental Kuznets Curve is confirmed and the positive effect of economic development is larger in low pollution countries. Energy consumption and financial development increase CO2 emissions and their effects are larger in countries with lower levels of pollution. Industrialization increases pollution especially in countries with higher level of pollution. Openness to trade and urbanization are negatively related to emissions in low pollution countries. All these findings suggest that pollution control policies should be tailored differently across low and high pollution countries. Classification-JEL: C23, F18, O50, Q53 Keywords: CO2 emissions, Energy consumption, GDP, trade openness, financial development, quantile regression. Journal: Bulletin of Applied Economics Pages: 87-95 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/an-empirical-study-of-some-driving-factors-of-co2-emissions-evidence-from-quantile-regression/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:87-95 Template-Type: ReDIF-Article 1.0 Author-name: Anastasiou Athanasios Author-name: Kalamara Eleni Author-name: Kalligosfyris Charalampos Title: Estimation of the size of tax evasion in Greece Abstract: The purpose of this paper is to estimate the extent of tax evasion in Greece for the period 1980-2018. For this estimation we have chosen to apply an indirect method of approach to the issue, as developed by Tanzi, based on the assumption that estimating the size of the shadow economy can lead us to a safe measurement of the extent of tax evasion. More precisely, through the Currency Demand approach which is based on the basic assumption that activities under the shadow economy constitute a direct response of taxpayers to the increased tax burden and also that cash is mainly used to conduct such transactions and of the wealth derived from them, the size of the shadow economy was determined using the method of the University of Leicester research team and then the level of tax evasion was assessed by imposing an annual tax rate on it as a ratio of total tax revenue to Gross Domestic Product. The results showed a significant increase of the size of tax evasion during the period considered, while the model estimation showed that most of the tax evasion came from direct taxation. Classification-JEL: H21, H26, H30, H23 Keywords: Macroeconomics, public economics, applied economics, tax evasion, Greece Journal: Bulletin of Applied Economics Pages: 97-107 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/estimation-of-the-size-of-tax-evasion-in-greece/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:97-107 Template-Type: ReDIF-Article 1.0 Author-name: Sheng-Yeh, Wu Author-name: Guan-Ru, Chen Title: Price Stickiness under Stochastic Demand Abstract: This study develops a two-period model in which the manufacturer determines a price floor and sets production output prior to resolution of uncertainty. The closer the distance between the minimum price and the high-demand-state price, the higher the degree of price rigidity. Solving for the minimum resale price and production output, the model indicates that asymmetric price transmission could be a characteristic of competitive markets. The retail price in a highly concentrated retail market might be lower than that in a retail market with fierce competition. The relationship between price adjustments and the market competition suggests that the reason underlying price rigidity should be considered while formulating the antitrust and monetary policies. Classification-JEL: D12, L11 Keywords: Price Rigidity, Price Floor, Uncertainty Journal: Bulletin of Applied Economics Pages: 109-117 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/price-stickiness-under-stochastic-demand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:109-117 Template-Type: ReDIF-Article 1.0 Author-name: Sangheon Han Author-name: Dong Joon Lee Title: Additional Transportation Costs benefit Consumer Surplus and Social Welfare in a Bilateral Duopoly Abstract: This paper examines the location selection by retailers in a bilateral duopoly. We suppose that the location is unconstraint. We compare two cases. One case is that each retailer incurs its transportation costs in order to purchase goods from its manufacturer. Another case is that it does not pay the transportation costs. Our conclusions are two. One is that both retailers locate inside the city, when retailers incur the transportation costs. The other is that consumer surplus and social welfare is larger under retailers’ paying transportation costs than under retailers’ no-paying transportation costs. Classification-JEL: D21, L13, R39 Keywords: Unconstraint Location, Consumer Surplus, Social Welfare, Vertical Structure Journal: Bulletin of Applied Economics Pages: 119-128 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/additional-transportation-costs-benefit-consumer-surplus-and-social-welfare-in-a-bilateral-duopoly/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:119-128 Template-Type: ReDIF-Article 1.0 Author-name: Amal Essayem Author-name: Wided Khiari Author-name: Azhaar Lajmi Title: Liquidity buffers determinants in GCC’s Islamic banks Abstract: The purpose of this paper is to understand determinants of liquidity buffers in the GCC’s Islamic banks. We apply the model of Bonner et al. (2005) on balanced panel data, bank specific data and annual balance sheet data for all reporting banks. The data cover a period of 8 years from 2004 until 2011 for 24 Islamic banks from GCC region that includes mainly Saudi Arabia, United Arab Emirates, Bahrain and Kuwait. Results show that liquidity buffers negatively related to the size of the bank, the capitalization is negatively related to liquidity buffers in Islamic banks in the GCC region and the ratio of deposits is negatively related to liquid assets holding in Islamic banks, but not statistically significant. In addition, we found a positive relationship between the profitability and liquidity buffers in Islamic banks of the GCC region. Finally, we found a different result when it comes to macroeconomic variables. First we noticed a negative impact of the inflation on liquidity buffers and second, a positive significant relationship between GDP real growth and liquidity buffers in Islamic banks in the GCC region. Our findings can serve as a tool for policy makers in the GCC region to adopt sounder strategies of liquidity management. Classification-JEL: G2, C1 Keywords: Islamic banking, GCC region, Liquidity Buffers, panel regression Journal: Bulletin of Applied Economics Pages: 129-140 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/liquidity-buffers-determinants-in-gccs-islamic-banks/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:129-140 Template-Type: ReDIF-Article 1.0 Author-name: Gengnan Chiang Author-name: Chin-Chi Liu Title: The Impact of Regulatory Quality on the Nexus between Life Insurance Development and Economic Growth: Evidence from European Developing Countries Abstract: The purpose of this study is to explore whether the regulatory quality influences the relation between life insurance development and economic growth by applying a nonlinear panel smooth transition regression (PSTR) model. Using the data from Worldwide Governance Indicators (WGI) to assess the soundness of regulatory quality, this paper finds that the relationship between life insurance development and economic growth is significantly positive in the countries with relatively better regulatory quality. Our findings not only indicate that sound regulatory quality could encourage the growth effect of life insurance sectors but also have far-reaching practical implications for other economies to realize regulatory quality should matter for the development of the economic growth. Classification-JEL: E44, G22, O11, O47, P34 Keywords: Regulatory quality, Life insurance development, Economic growth, Nonlinear panel smooth transition regression (PSTR) model. Journal: Bulletin of Applied Economics Pages: 141-152 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-impact-of-regulatory-quality-on-the-nexus-between-life-insurance-development-and-economic-growth-evidence-from-european-developing-countries/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:141-152 Template-Type: ReDIF-Article 1.0 Author-name: Costas Siriopoulos Author-name: Maria Skaperda Title: Investing in mutual funds: are you paying for performance or for the ties of the manager? Abstract: This study analyses the performance of US Mutual Funds, from the perspective of Long Memory (LM), exploring if the returns of MFs are systematic due to their active management or they are random. The sample was 200 US equity MFs, from four categories, Large Cap, Middle Cap, Small Cap and World Stock, both 1- and 5-stars rating funds according to Morning Star rating. The time period was starting between 1981 and 2006 and ending 2016. Rescaled Range Analysis (R/S) employed for the Hurst exponent estimation, so to detect LM. Using Surrogate Data Analysis (SDA), the study was extended to Hurst exponent estimation for surrogate time series. The findings suggest that the selection of a MF presents a lot of complexity for investors. The 5-star MFs, with high qualified, and so expensive managers, tend to achieve random returns, while the returns of 1-star MFs, are more systematic. These MFs have higher fees than the 5-star MFs, but the management fees paid are quite inferior. This leads to the conclusion, that it might be preferable to pay for gaining an almost the same, but systematic return than to pay for the ties of the manager. Classification-JEL: G11, G24, C53 Keywords: Hurst exponent, Rescaled Range Analysis, Long Memory, Surrogate Data Analysis, Bootstrap, Mutual Fund Performance, Morning Star. Journal: Bulletin of Applied Economics Pages: 153-164 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/investing-in-mutual-funds-are-you-paying-for-performance-or-for-the-ties-of-the-manager/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:153-164 Template-Type: ReDIF-Article 1.0 Author-name: Huaibing Yu Title: Have Stock Markets across the Globe Been Kidnapped by the Covid-19 Pandemic? Abstract: Based on data of 6 major developed stock markets, this paper provides empirical evidences about how stock markets across the globe behave during the Covid-19 global pandemic. Evidences show that the movements of most stock market indices were individually dependent on the development of the Covid-19 pandemic in the corresponding countries during the pre-bottom period. However, this phenomenon largely faded away after stock markets bottomed out and entered into the recovery stage. Vector error correction model (VECM) confirms the cross-markets equilibrium during the Covid-19 pandemic and the majority of stock markets are expected to restore to new equilibriums relatively quickly if exogenous shocks are introduced in the future. Classification-JEL: G10, G15, G17 Keywords: Covid-19 Pandemic, Stock Market, Cointegration, Market Behavior, Market Impact Journal: Bulletin of Applied Economics Pages: 165-173 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/have-stock-markets-across-the-globe-been-kidnapped-by-the-covid-19-pandemic/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:165-173 Template-Type: ReDIF-Article 1.0 Author-name: Thet Mon Soe Title: Economic Effects of Inward Foreign Direct Investment in Myanmar Abstract: This paper aims to examine the effects of inward foreign direct investment (FDI) on economic growth and domestic investment at the regional-level and sectoral-levels of Myanmar economy, by applying a panel vector-autoregressive model framework. The major research questions are twofold: whether inward FDI causes economic growth or economic growth attracts inward FDI, and whether inward FDI crowds in or crowds out domestic investment. The main findings are summarized as follows. In the regional level analysis, there is a difference in the FDI-economic growth relationship between the FDI-intensive region and the FDI-less-intensive one. In the FDI-intensive region, the bidirectional FDI-economic growth relationship is found, supporting the both hypotheses of FDI-driven growth and growth-driven FDI, while the FDI-driven growth effect is larger than the growth-driven FDI one. In the FDI-less-intensive region, on the other hand, FDI deteriorates economic growth whereas economic growth still induces FDI. The difference in the FDI-economic growth relationship between the regions might come from the gap in agglomeration effects. In the sectoral level analysis, the crowd-in effect of FDI on domestic investment is found in the non-oil and gas sectors, since the FDI in the oil and gas sector has less linkages to domestic investment. Classification-JEL: F21; O53 Keywords: Inward foreign direct investment, Myanmar, Economic growth, Domestic investment, Panel vector autoregressive model Journal: Bulletin of Applied Economics Pages: 175-190 Volume: 7 Issue: 2 Year: 2020 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/economic-effects-of-inward-foreign-direct-investment-in-myanmar/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:7:y:2020:i:2:p:175-190 Template-Type: ReDIF-Article 1.0 Author-name: Apostolos Kiohos Author-name: Maria Paspati Title: Alternative to Insurance Risk Transfer: Creating a catastrophe bond for Romanian earthquakes Abstract: As the severity of natural catastrophes continues to intensify, in terms of the economic, environmental and human impacts, disaster risk management is becoming increasingly significant. The limitations of the insurance and reinsurance market capacity led to the development of alternative risk transfer products. These products are designed to alleviate the risk, in whole or partly, by putting into effect securitisation mechanisms that increase liquidity. Among them, catastrophe risk bonds are designed to transfer the financial consequences of natural catastrophic events (e.g. floods, hurricanes, earthquakes etc.) from the issuers to investors. Within this context, this paper investigates the effects of earthquakes in Romania and suggests a catastrophe bond issuance that offers coverage in case of large earthquakes. Through this mechanism, Romanian governmental authorities will attain sufficient and sustainable fund liquidity for covering the financial obligations following a catastrophic earthquake. Classification-JEL: G22, G23, G32 Keywords: Alternative Risk Transfer, Natural Catastrophe, Insurance–Reinsurance, Catastrophe bond, Earthquake, Romania. Journal: Bulletin of Applied Economics Pages: 1-17 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/5816-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:1-17 Template-Type: ReDIF-Article 1.0 Author-name: Hidekatsu Asada Title: Determinants of Foreign Direct Investment Inflows to Myanmar Abstract: The fast growth of Myanmar in recent decades was brought by capital accumulation, supported by foreign direct investment (FDI) and productivity improvement. A vector error correction model (VECM) analysis on the determinants of FDI inflows to Myanmar from 2000 to 2018 revealed the existence of a positive and long-term relationship between FDI inflows, and the quality of public sector governance and human capital development. The result underpins the importance of implementing reform measures to create a business-friendly policy framework to attract foreign investors. Classification-JEL: F21, H93, O15 Keywords: foreign direct investment, public sector governance, human capital development, Myanmar Journal: Bulletin of Applied Economics Pages: 19-28 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/determinants-of-foreign-direct-investment-inflows-to-myanmar/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:19-28 Template-Type: ReDIF-Article 1.0 Author-name: Anastasiou Athanasios Author-name: Kalligosfyris Charalampos Author-name: Kalamara Eleni Title: Determinants of tax evasion in Greece: Econometric analysis of co-integration and causality, variance decomposition and impulse response analysis Abstract: The purpose of this paper is t? examine the causality relationships and the degree of interdependence, between the level of tax evasion in Greece and a set of deterministic factors, using annual data for the period 1995 - 2018. The research methodology employed includes testing for stationarity with the Augmented Dickey-Fuller (ADF) test, cointegration test according to Engle-Granger approach, estimation Error Correction Models (ECM) to investigate the short-run and long-run relationships, variance decomposition and impulse response analysis. The results indicate a significant interdependence, which is an important tool for pursuing a targeted and effective policy to fight tax evasion. More specifically, the survey showed that the level of tax rates, the level of unemployment, the Rule of Laws index, the level of GDP, the level of non-performing loans, the government efficiency, the corruption perception index and the level of final consumption expenditure, affect the size of tax evasion in Greece, significantly. In addition, the results of variance decomposition and impulse response analysis, support the above findings, providing a quantitative representation of the causality relationships between the factors under investigation and tax evasion. Classification-JEL: E60, H26, C10 Keywords: Macroeconomics, public economics, applied economics, tax evasion, Greece Journal: Bulletin of Applied Economics Pages: 29-57 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/determinants-of-tax-evasion-in-greece-econometric-analysis-of-co-integration-and-causality-variance-decomposition-and-impulse-response-analysis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:29-57 Template-Type: ReDIF-Article 1.0 Author-name: Taha Chaiechi Author-name: Trang Nguyen Title: Measuring urban economic resilience of two tropical cities, using impulse response analysis Abstract: The global urbanisation rate had increased rapidly from just 30% in 1950 to 55% in 2018, and it is projected to reach 68% by 2050. This ongoing urbanisation shows the importance of building resilient economies in dealing with complex external financial and public health shocks and disturbances. Although most growing cities are beginning to demonstrate dedication to integrating sustainable development goals, building economic resilience in cities remains a significant challenge. During the past crises, stronger economies have shown an apparent ability to recover from shocks relatively quickly. Nonetheless, the severe COVID-19 recession has unmasked superficial evidence of economic resilience while also identifying underlying vulnerabilities and economic weak-spots. Accordingly, this paper focuses on resilience as a non-equilibrium property of urban economic structures. Focusing on two tropical cities, the paper explores sources of volatility transmission as indicators of urbanisation change, by utilising orthogonal impulse- response (OIR) functions based upon the Cholesky decomposition. The findings suggest a metropolitan disadvantage concerning urban economic resilience predominantly from shocks on sources of urbanisation. Classification-JEL: P25, O4, Q56 Keywords: economic resilience, urban economics, urbanisation, tropical cities, impulse response analysis Journal: Bulletin of Applied Economics Pages: 59-79 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/measuring-urban-economic-resilience-of-two-tropical-cities-using-impulse-response-analysis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:59-79 Template-Type: ReDIF-Article 1.0 Author-name: Samuel Antwi Author-name: Prince Yeboah Boateng Author-name: Awudu Salley Title: ?he effect of foreign direct investment on economic growth in Ghana: the role of exchange rate volatility Abstract: The main objective of the study is to examine the effect of foreign direct investment inflows on economic growth in Ghana: the moderating role of exchange rate volatility. The study used Auto-Regressive Distributed Lags (ARDL) and Generalized Autoregressive Conditional Heteroskedasticity (GARCH). The study was based mainly on secondary data from World Development Indicators (WDI) where annual time-series data of 39 years was used for the study ranging from 1980 to 2018. The study found that FDI had a positively significant impact on growth in the short run. Also, exchange rate volatility had a negatively significant impact on economic growth in the long run. However, domestic capital and trade openness had a positive significant impact on economic growth in the long run. The long-run estimate suggests that FDI decrease growth and exchange rate volatility dampen the negative effect of FDI on growth. The study, therefore, recommended, among other things, that the government should formulate policies that attract foreign direct investors into the country, as this may stabilize the economy. Classification-JEL: 047, G1 Keywords: FDI, Economic growth, Exchange rate volatility, Ghana Journal: Bulletin of Applied Economics Pages: 81-96 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/%cf%84he-effect-of-foreign-direct-investment-on-economic-growth-in-ghana-the-role-of-exchange-rate-volatility/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:81-96 Template-Type: ReDIF-Article 1.0 Author-name: Hai Long Author-name: Jianzhi Zhao Title: The Impact of SARS Epidemic and Financial Crisis on China’s Economy Structure Referenced to the Potential Impact of COVID-19 Abstract: This empirical study employs regression models to investigate some deep economic determinants, such as human capital, business environment, to investigate what extent China’s economy structure is likely hit by SARS epidemic in 2003 and global financial crisis in 2008. It finds that China’s economy structure is unchanged after the hits, the deep economy determinants and GDP remain upward. Human capital accumulation is the significant deep factor, and both SARS epidemic and financial crisis have no impact on the long-run factor, accordingly, China’s economy growth is sustainable. It suggests further human capital including labor quantity and education is currently the most significant determinants for China’s economy sustainability, followed by the upgrading business environment. The evidence based on SARS and financial crisis may have certain reference value to estimate the potential impact of COVID-19 on China’s economy structure in the future. Classification-JEL: O11, O40, O53 Keywords: COVID-19, SARS epidemic, Financial crisis, Economy structure, Deep determinants Journal: Bulletin of Applied Economics Pages: 97-108 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-impact-of-sars-epidemic-and-financial-crisis-on-chinas-economy-structure-referenced-to-the-potential-impact-of-covid-19/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:97-108 Template-Type: ReDIF-Article 1.0 Author-name: Yutaka Kurihara Author-name: Shinichiro Maeda Author-name: Akio Fukushima Title: Have the Purchases of ETF Raised Stock Prices? Recent Japanese Case Abstract: The Japanese central bank, the Bank of Japan (BOJ) has introduced a drastic and unprecedented quantitative easing (QE) policy to combat deflation from the 2000s. The BOJ has purchased exchange-traded funds (ETF) as well as huge amounts of domestic governments bonds. This paper investigates the effect of ETF purchases by the BOJ on Japanese stock prices. Empirical results show that the purchases were conducted to prevent decreasing stock prices, however, whether the purchases directly promoted stock prices rising or not is uncertain in the short-run. On the other hand, as stock prices have been increasing since then, the purchases made situations such as preventing a decrease to stock prices and promoting prices in the long-run. Classification-JEL: E44, E61 Keywords: Bank of Japan, ETF, stock price Journal: Bulletin of Applied Economics Pages: 109-119 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/have-the-purchases-of-etf-raised-stock-prices-recent-japanese-case/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:109-119 Template-Type: ReDIF-Article 1.0 Author-name: Hsiang-Hsi Liu Author-name: Yu-Cheng Lin Title: Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance Abstract: This study takes the US S&P500 stock index cash, futures and NASDAQ stock index futures as the main research objects, and applies the ARJI (autoregressive jump intensity model) VEC GJR-GARCH model to examine the co-integration, volatility spillover, jump behavior and hedge performance of the three markets. With the rapid circulation of new information, the financial market will often fluctuate under the impact of new information. Investors will have different and timely responses to emergencies, and this event will have an impact on the stock market. When the event is unexpected or abnormal, the financial market will have huge fluctuations, and this kind of fluctuation is a jump. The empirical results found that the three markets have linkages and volatility spillover effects, and there are indeed discontinuous jumps. Two-way volatility spillovers between S&P500 index cash and futures, and only one-way volatility spillovers from S&P500 futures to the Nasdaq futures market. International investors need to consider information from their own-market volatility (risk) as well as information on volatility spillovers (risk) from other markets. The jump frequency is not a fixed constant, that is, the jump frequency (strength) generated by abnormal information changes over time. In addition, the results of this research also found that the ARJI VEC GJR-GARCH model can better capture the risk of fluctuations in price discontinuities after adding jump factors to the hedging performance estimated by the ARJI VEC GJR-GARCH model. The hedging performance can be more effective, which is conducive to investors' risk management decisions. Also, the performance of direct hedging that is better than the performance of cross hedging. Classification-JEL: F30, G10, G13, G19 Keywords: Jump Intensity, Jump Size, Co-integration, ARJI, VEC GJR-GARCH, Hedging Ratio, Hedging Performance. Journal: Bulletin of Applied Economics Pages: 121-148 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/relationships-among-us-sp500-stock-index-its-futures-and-nasdaq-index-futures-with-volatility-spillover-and-jump-diffusion-modeling-and-hedging-performance/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:121-148 Template-Type: ReDIF-Article 1.0 Author-name: Rafiqul Bhuyan Author-name: Mohammad Robbani Author-name: Bakhtear Talukder Title: Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries Abstract: In this paper, we study the effects of oil price volatility on the stock market relevant sectors from several oil producing countries. We investigate the interdependence between oil prices and sector stock indices within OPEC markets and selected major non-OPEC countries such as Russia and United States. By exploring the time-varying dynamics of oil prices and sector-stock indices on the sectoral reaction to oil price shocks we investigate how the shocks in oil prices affect the correlation dynamics of the different sectors. Our study finds that different sectors display heterogeneous dynamic correlation pattern with different oil price shocks origins in different countries. Specifically, the GARCH coefficients in several sectors, such as, industrial, energy and healthcare in some of oil-producing middle-eastern countries are not significant. In addition, the negative coefficients for some sectors in some of the countries indicate the existence of hedging opportunities for portfolio managers. Classification-JEL: G11, G12 Keywords: commodity markets, financial markets, time-varying volatility, conditional correlations Journal: Bulletin of Applied Economics Pages: 149-165 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/oil-volatility-spillover-into-oil-dependent-equity-sector-stock-returns-evidence-from-major-oil-producing-countries/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:149-165 Template-Type: ReDIF-Article 1.0 Author-name: Sharon K Jose Author-name: Girish G P Title: Seasonality in Indian Commodities Market: Insights for modeling from preceding commodity cycle Abstract: In this study we analyze seasonal behavior of Indian agriculture, energy and metal commodities through the ten years of preceding Super-cycle (2003-13) by considering monthly data for near month futures prices to remove basis variance. The thrust of the paper is to investigate seasonal behavior of selected commodities in India using monthly seasonal dummies. We found seasonal variation in four commodities namely gold, barley, guar and Jeera. In a declining interest-rate scenario and Post-Covid world, there is elevated likelihood that we are going to witness the next commodities super-cycle. It is imperative for hedge fund managers, global investors, commodities traders, high net-worth individuals, market participants and spread-traders to know what to expect based on the preceding super-cycle to strategize better and address seasonality. Classification-JEL: L61, L94, L95 Keywords: Commodity, Spot, Future, Hedging, Seasonality, India Journal: Bulletin of Applied Economics Pages: 167-173 Volume: 8 Issue: 1 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/seasonality-in-indian-commodities-market-insights-for-modeling-from-preceding-commodity-cycle/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:167-173 Template-Type: ReDIF-Article 1.0 Author-name: Dimitriou Dimitrios Author-name: Pappas Anastasios Author-name: Kazanas Thanassis Author-name: Kenourgios Dimitris Title: Do confidence indicators lead Greek economic activity? Abstract: In this paper, we evaluate the role of several confidence indicators (i.e., Economic Sentiment Indicator, Consumer Confidence Indicator, Construction Confidence Indicator and Industrial Confidence Indicator) as leading indicators to GDP and its components such as Investments and Private Consumption. Our econometric evaluation performed by popular techniques such as: i) rolling correlation methodology ii) Granger causality iii) ARIMA benchmark model and iv) Kalman filter technique. The results suggest that the inclusion of confidence indicators does not improve substantially the forecasting ability of our econometric models as far as macroeconomic variables are concerned. Thus, we conclude that there is space for improvement of the predictive power of confidence indicators in Greece. Classification-JEL: E21, E23, E37 Keywords: Confidence indicators; GDP; Granger causality; ARIMA; forecasting Journal: Bulletin of Applied Economics Pages: 1-15 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/do-confidence-indicators-lead-greek-economic-activity/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:1-15 Template-Type: ReDIF-Article 1.0 Author-name: Chu-Hsiung Lin Author-name: Tzu-Chuan Kao Author-name: Chang-Cheng Changchien Author-name: Chien-Hui Wu Title: Corporate Social Responsibility and Credit Ratings: On the Moderating Role of Firm Capability Abstract: This study reexamines the effects of corporate social responsibility (CSR) on credit ratings. On examining a sample of listed firms in Taiwan from 2013 to 2015, we find that our results do not support that CSR activities can enjoy more favorable credit ratings. However, firm capabilities can improve credit ratings, and the relationship between CSR and credit ratings is significant for firms with high capability. Our results indicate that CSR activities are beneficial to credit ratings only for firms with high capabilities. Classification-JEL: G30, G32 Keywords: Corporate Social Responsibility, Credit Ratings, Firm Capability, Corporate Financial Performance. Journal: Bulletin of Applied Economics Pages: 17-24 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/corporate-social-responsibility-and-credit-ratings-on-the-moderating-role-of-firm-capability/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:17-24 Template-Type: ReDIF-Article 1.0 Author-name: Ioannis Dokas Author-name: Christos Leontidis Author-name: Nicolaos Eriotis Author-name: Konstantinos Hazakis Title: Earnings Management. An overview of the relative literature Abstract: This article aims to present a critical overview of the traditional studies in earnings management, focusing on the impact on the making decision process. This overview in the literature provides numerous aspects of this topic, in line with the firms’ motivations. Earnings management procedure includes smoothing and opportunistic practices and illustrating accounting rules with a significant effect on accounting information quality. Several researchers have shifted their attention to real activities as a primary method or supplementary to accrual-based methods to obtain a complete view of the earnings management levels. Earnings management is considered an opportunistic instrument, and it can be part of the aggregate long-term business strategy. This review study provides some guidelines, to academics and professionals, in line with the models and the motivations that lead managers to engage in this procedure. This overview creates new research avenues enhancing the existing knowledge. Classification-JEL: G4, H32, M41, M21, B26 Keywords: Earnings management, accounting information quality, manipulation, financial reports Journal: Bulletin of Applied Economics Pages: 25-55 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/earnings-management-an-overview-of-the-relative-literature/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:25-55 Template-Type: ReDIF-Article 1.0 Author-name: Samuel Antwi Author-name: Mohammed Issah Author-name: Richard Kpodo Title: Stock market and economic growth nexus in Ghana Abstract: The aim of this study is to determine the role of monetary policy on the stock market and economic growth nexus in Ghana. The study used annual time series macroeconomic and stock market data from the year 1990 to 2019. Secondary data was collected on Gross Domestic Product (GDP), market capitalization (MC), Commercial bank (CB), inflation (INF), labour (L), capital stock (K), and trade openness (TO). Inflation was measured with consumer price index (CPI), and broad money (M2) were examined. The ARDL cointegration bounce test approach was used. It was revealed that stock market development has a significant positive effect on economic growth both in the short and long run. The study also found a support for a positive and significant nexus between monetary policy and economic growth. Based on the results it is suggested that efforts must be mounted to increase the number of firms to be listed to promote liquidity and raise the size of the market via capitalization ratio. Classification-JEL: 047, G1 Keywords: Stock Market, Economic Growth, Monetary Policy, Ghana Journal: Bulletin of Applied Economics Pages: 57-73 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/stock-market-and-economic-growth-nexus-in-ghana/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:57-73 Template-Type: ReDIF-Article 1.0 Author-name: Panagiotis Liargovas Author-name: Vasilis Pilichos Author-name: Anastasia Angelopoulou Title: Fiscal governance and forecasting Bias: a case study of Greece during the economic crisis Abstract: In this paper, we examine the correlation between budget and growth forecast errors of the Greek Government, during the last decade. We explore if these budget forecast errors are the result of fiscal performance, economic conditions, or other qualitative characteristics of economic policy reform. We try to explain whether biased macroeconomic forecasts were responsible for biased fiscal forecasts. Besides, we investigate the role of business and consumers expectations, the election process and the financial aid disbursements following positive reviews of the Greek policy reform. We conclude that fiscal governance reform has improved fiscal forecasting framework, even though pessimistic forecasts prevail. Classification-JEL: ?6, ?6 Keywords: fiscal governance, fiscal planning, forecasting bias, Greek economic crisis Journal: Bulletin of Applied Economics Pages: 75-95 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/fiscal-governance-and-forecasting-bias-a-case-study-of-greece-during-the-economic-crisis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:75-95 Template-Type: ReDIF-Article 1.0 Author-name: Panagiotis Magdalinos Author-name: Ioannis Tsakalos Title: Macroeconomic and financial determinants of non-performing loans: Evidence from PIIGS Abstract: The Eurozone Debt Crisis led to the outbreak of non-performing loans (NPLs). The purpose of this paper is to identify the macroeconomic and financial factors that enhanced the non-performing loans. We compare the impact of financial crisis to the following countries: Italy, Greece, Spain, Portugal, Ireland (PIIGS) and focus on specific parameters which affect the banking sector. We apply panel data analysis to highlight the relation among NPLs and specific parameters: Gross Domestic Product (GDP), unemployment rate, bank liquidity, and the real estate market. Findings confirm the negative correlation between NPLs and the GDP and the housing prices, as well as the positive one with the unemployment rate and the liquidity ratio (LDR). Classification-JEL: G01, G20, G21 Keywords: Non-performing loans, panel data, macroeconomic factors, financial ratios Journal: Bulletin of Applied Economics Pages: 97-110 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/macroeconomic-and-financial-determinants-of-non-performing-loans-evidence-from-piigs/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:97-110 Template-Type: ReDIF-Article 1.0 Author-name: Rafiqul Bhuyan Author-name: Mohammad Sogir Hossain Khandoker Author-name: Mahjuja Taznin Author-name: Md. Shanur Rahman Author-name: Lamia Akter Title: Determining Stock Return movements of Banking Sector during Global Financial Crisis: An Examination on Emerging Markets of Bangladesh Abstract: The objective of the study is to explore various micro and macro variables that affect stock returns of the Dhaka Stock Exchange surrounding the global financial crisis. We collect a sample of 30 listed banks covering the period of 9 years (2009 – 2017) for our study. The results indicate that debt to asset ratio (D/A), market capitalization (MKT CAP), interest rate, and foreign exchange rate (ForEx Rate) have positive and significant relationships with stock returns. On the other hand, inflation and leverage have negative and significant influence on stock returns among the eight micro variables and four macroeconomic variables that were used in our analyses. Classification-JEL: G01, G11, G21 Keywords: Microeconomic & Macroeconomic Variables, DSE, OLS, Stock Returns and Panel data Journal: Bulletin of Applied Economics Pages: 111-123 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/determining-stock-return-movements-of-banking-sector-during-global-financial-crisis-an-examination-on-emerging-markets-of-bangladesh/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:111-123 Template-Type: ReDIF-Article 1.0 Author-name: Alexandros Koulis Author-name: Constantinos Kyriakopoulos Title: Hedge ratio estimation: A note on the Bitcoin future contract Abstract: This paper investigates the hedging effectiveness of Bitcoin (BTC) future contract using daily settlement prices for the period of 1 January 2018 until 26 March 2021. Standard OLS regressions, Error Correction Model (ECM), as well as GARCH and EGARCH models are used to estimate the optimal hedge ratio which is necessary for trading and risk management. The findings indicate that the time varying hedge ratios, if estimated through the Error Correction Model (ECM), are more efficient than the fixed hedge ratios in terms of risk minimization. Classification-JEL: G11, G13 Keywords: Optimal hedge ratio, hedging models, bitcoin, futures market Journal: Bulletin of Applied Economics Pages: 125-131 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/hedge-ratio-estimation-a-note-on-the-bitcoin-future-contract/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:125-131 Template-Type: ReDIF-Article 1.0 Author-name: ?ikolaos A. Kyriazis Title: Impacts of Stock Indices, Oil, and Twitter Sentiment on Major Cryptocurrencies during the COVID-19 First Wave Abstract: This paper sets under scrutiny whether the S&P500, oil, and Twitter-based uncertainty about financial markets affect the returns and volatility of three major cryptocurrencies. Estimations are conducted concerning Bitcoin, Bitcoin Cash, and Dogecoin during the first wave of the COVID-19 pandemic. Findings document that Twitter uncertainty exhibits a weaker impact on cryptocurrencies than the S&P500 and crude oil. S&P500 constitutes a positive and significant determinant while impacts of oil are weaker and mixed. The volatility of cryptocurrencies is found to display a non-linear character. Moreover, it is revealed that Dogecoin could be more useful to investors as a speculative tool than Bitcoin and Bitcoin Cash. These outcomes inform the interested reader that traditional investments are influential in a much larger degree towards modern financial assets than investor sentiment when economic conditions are stressed. Classification-JEL: E7, F3, G1 Keywords: Twitter Sentiment, Stock, Oil, Cryptocurrency, COVID-19 pandemic. Journal: Bulletin of Applied Economics Pages: 133-146 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/impacts-of-stock-indices-oil-and-twitter-sentiment-on-major-cryptocurrencies-during-the-covid-19-first-wave/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:133-146 Template-Type: ReDIF-Article 1.0 Author-name: Rafailidis Panagiotis Author-name: Katrakilidis Constantinos Title: Do oil prices and exchange rates affect the US stock market? New evidence from the asymmetric cointegration approach Abstract: In this paper, we study the dynamics between US stock prices, exchange rates and oil prices. The data used are quarterly, covers the period from 1986 to 2016 and includes the Standard & Poor's 500 spot prices, the West Texas Intermediate spot prices and the effective exchange rate of US Dollar. We examine the presence of different sources of nonlinearities. The empirical analysis is based on the asymmetric ARDL cointegration methodology proposed by Shin et al (2011). The evidence implies that ignoring possible non-linearities lead to misleading results. The analysis reveals new evidence such as the existence of several structural brakes and asymmetries in both long-run and short-run relationships among the examined variables and that could be of major importance for researchers and other market participants. Classification-JEL: F3, G1 Keywords: stock prices; exchange rates; oil prices; asymmetric cointegration; ARDL; NARDL; Forecasting Journal: Bulletin of Applied Economics Pages: 147-161 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/do-oil-prices-and-exchange-rates-affect-the-us-stock-market-new-evidence-from-the-asymmetric-cointegration-approach/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:147-161 Template-Type: ReDIF-Article 1.0 Author-name: Michael Koczyrkewycz Author-name: Taha Chaiechi Author-name: Rabiul Beg Title: Productivity Growth Recovery Mechanisms: An ARDL Approach Lessons from the United States, Japan and South Korea Abstract: Productivity growth is an essential ingredient for achieving long-term economic growth and sustainable development. In the absence of such growth, economic growth is not achievable. Accordingly, this paper examines economic resilience through multiple productivity channels within the United States, Japan and South Korea. Adopting a Kaleckian post-Keynesian approach, productivity growth is constructed as a function of investment, capacity utilisation, indicators of financial development, and an indicator of fiscal policy. Utilising annual historical data from 1980-2019, this paper adopts Autoregressive Distributed Lag (ARDL) models, Vector Autoregressive-based Impulse Response Functions (IRF) and Variance Decompositions (VD) to examine the resilience of productivity growth through the speeds of adjustment after an external shock. Results show that long and short-run unidirectional causality between productivity growth and the explanatory variables exists amongst all economies through the error-correction terms (ECT) and ARDL models. When imposing a simulated one-time S.D. shock upon the explanatory variables, differing speeds of adjustment and recovery processes in the long-run are present. As such, the strength of causal relationships amongst productivity growth and the explanatory variables ultimately affects speeds of adjustment and hence recovery. Classification-JEL: E44, O4, O47 Keywords: Economic Resilience, Productivity Growth, Kaleckian post-Keynesian, Autoregressive Distributed Lag (ARDL), Impulse Response Functions (IRF), Variance Decomposition (VD). Journal: Bulletin of Applied Economics Pages: 163-184 Volume: 8 Issue: 2 Year: 2021 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/productivity-growth-recovery-mechanisms-an-ardl-approach-lessons-from-the-united-states-japan-and-south-korea/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:8:y:2021:i:2:p:163-184 Template-Type: ReDIF-Article 1.0 Author-name: Zura Kakushadze Author-name: Willie Yu Title: ETF Risk Models Abstract: We discuss how to build ETF risk models. Our approach anchors on i) first building a multilevel (non-) binary classification/taxonomy for ETFs, which is utilized in order to define the risk factors, and ii) then building the risk models based on these risk factors by utilizing the heterotic risk model construction of [Kakushadze, 2015b] (for binary classifications) or general risk model construction of [Kakushadze and Yu, 2016a] (for non-binary classifications). We discuss how to build an ETF taxonomy using ETF constituent data. A multilevel ETF taxonomy can also be constructed by appropriately augmenting and expanding well-built and granular third-party single-level ETF groupings. Classification-JEL: G00, G10, G11, G12, G23 Keywords: ETF, risk model, covariance, correlation, risk factor, optimization, growth, value, industry classification, quant, trading, stock, bond, equity, commodity, currency, volatility, real estate, alternatives, multi-asset, diversification, portfolio, credit rating, duration, maturity, market cap. Journal: Bulletin of Applied Economics Pages: 1-17 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/etf-risk-models/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:1-17 Template-Type: ReDIF-Article 1.0 Author-name: Tzu-Pu Chang Author-name: Yu-Cheng Chang Author-name: Po-Ching Chou Title: The Trend is Your Friend: A Note on An Ensemble Learning Approach to Finding It Abstract: The essential goal of trend-following investing is to precisely identify where the uptrend and downtrend are located. This paper thus provides a two-layer stacking technique, which is a novel ensemble learning approach, to predict such trends for the Taiwan Top 50 ETF. The proposed stacking technique stacks the predictors of support vector machine (SVM), multi-layer perception (MLP), adaptive boosting (Adaboost), and extreme gradient boosting (Xgboost), presenting empirical results whereby following the trends obtained from the stacking technique can generate positive returns and beat both conventional moving-average crossover and buy-and-hold strategies. Classification-JEL: C02, G11 Keywords: Trend-following investing; Stacking technique; Ensemble learning; Machine learning; Taiwan Top 50 ETF Journal: Bulletin of Applied Economics Pages: 19-25 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-trend-is-your-friend-a-note-on-an-ensemble-learning-approach-to-finding-it/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:19-25 Template-Type: ReDIF-Article 1.0 Author-name: Susana Santos Title: An empirical and theoretical approach to a country's economic activity based on a Social Accounting Matrix. An application to Portugal Abstract: The economic flows measured by the national accounts, which are associated with transactions of goods, services, and assets, as well as transfers, all represent interactions between institutional units, to whom legal responsibility for their actions and the fulfilment of specific economic functions is recognized. These flows are defined by the underlying system – the System of National Accounts (SNA) as being transactions. When represented in the matrix form, depending on the classification and organization of the institutional units, at the origin and the destination of the corresponding flows, the “from-whom-to-whom” transactions can be measured and modelled, benefiting from the underlying network of linkages. By adopting the nomenclatures and rules of the current version of the above-mentioned system (SNA 2008), this study uses a top-down methodology to design a matrix representation of the above-mentioned transactions - the Social Accounting Matrix (SAM). Empirical and theoretical descriptions of the economic activity of a country (Portugal is used as the illustrative case), made possible by the use of the numerical and algebraic versions of a SAM, are adopted to approach the multiplier effects of policy measures and the corresponding economic adjustments. Classification-JEL: E01, E16, E65 Keywords: National Accounts, Social Accounting Matrix, Economic Adjustments Journal: Bulletin of Applied Economics Pages: 27-37 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/an-empirical-and-theoretical-approach-to-a-countrys-economic-activity-based-on-a-social-accounting-matrix-an-application-to-portugal/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:27-37 Template-Type: ReDIF-Article 1.0 Author-name: Tito Nestor TIEHI Author-name: Foungnigué Noé COULIBALY Title: Determinants of public health spending in WAEMU area: An empirical investigation Abstract: The aim of this article is to analyze the determinants of government spending on health in the West African Economic and Monetary Union (WAEMU) area. To do this, we have collected panel data on which an autoregressive Distributed Lag model (ARDL) approach is applied at the end of econometric tests (Stationarity and Co-integration). As main results, population growth, use of mosquito nets, hospital beds, number of doctors, nurses - midwives, corruption scores and political stability are responsible for government spending. To be short, we can note that these determinants are both supply and demand factors. Thus, government action is not only political (ensuring political stability, good governance), but also medical (ensuring the professionalism of healthcare staff and raising awareness among the population about the use of Treated Mosquito nets with limited duration of action). Classification-JEL: C23, I18, R10 Keywords: Public health spending and health, Autoregressive Distributed Lag, WAEMU Journal: Bulletin of Applied Economics Pages: 39-49 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/determinants-of-public-health-spending-in-waemu-area-an-empirical-investigation/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:39-49 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Arjun Chatrath Title: Dynamic Responses of Major Pacific Rim Emerging Equity Markets to the US Crude Oil Fear Index (OVX) Abstract: This study examines the reaction of four major emerging equity markets of the Pacific Rim to the US oil market fear index (i.e., the Chicago Board of Trade Volatility Index, OVX). The OVX is designed to perform as a leading indicator of the volatility in crude oil markets. Our study examines the daily data for the period of 2014 through 2019. We excluded data for the extraordinary and transitory COVID-19 time period. We found that, during this period, there were four significant breaks in the data. Impulse responses from the structural vector autoregressive (SVAR) estimation show that in the second and third subperiods, from December 2016 through December 2018, the volatility of the equity markets of Hong Kong, Shanghai, Seoul, and Taiwan responded to structural shocks to the OVX. Nonlinear Granger causality tests confirmed these findings. This period is characterized by geopolitical crises, like nuclear proliferation on the Korean Peninsula and lingering complications surrounding the Brexit referendum. Classification-JEL: G10, G15, G17 Keywords: volatility, Pacific Rim Equity Markets, OVX, structural vector autoregression, GARCH Models, causality Journal: Bulletin of Applied Economics Pages: 51-84 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/dynamic-responses-of-major-pacific-rim-emerging-equity-markets-to-the-us-crude-oil-fear-index-ovx/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:51-84 Template-Type: ReDIF-Article 1.0 Author-name: Thomas Ziesemer Title: Global Dynamics of Gini Coefficients of Education for 146 Countries: Update to 1950-2015 and a Compact Guide to the Literature Abstract: We briefly survey the literature which uses data for Gini coefficients of education. We update the Gini coefficients of education to include the year 2015, added to the Barro-Lee data set recently, and compare them to those of the earlier data set based on older Barro-Lee data. A panel analysis shows that every five years education inequality falls by 2.8 percentage points. A stable average value is predicted to be 0.22. Kernel density world distributions for education Ginis loose their twin peaks when going from 1955 to later years, and the right tail of the distribution with high inequality is losing mass over time. Classification-JEL: E24, I24, I25, O15, Y1 Keywords: Gini coefficients of education, guide to literature, new data, trend, changing global distribution. Journal: Bulletin of Applied Economics Pages: 85-95 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/5995-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:85-95 Template-Type: ReDIF-Article 1.0 Author-name: Diana Castorina Author-name: Riccardo Welters Title: Interregional Migration: Who Decides to Move? Abstract: The functionality of a region depends on its people. Yet for some regions within Australia, attracting and retaining varied skilled people continues to be a challenge. What influences people to want to stay, move away from or move into a region? Before we can answer this question, we firstly need to understand ‘who’ is making this decision. Much of past research assumes the decision is made at the individual head of household level or must assume the decision is made at the individual as opposed to the household level as a result of data availability. This paper highlights the limitations of making such an assumption and offers an alternative method transforming secondary microdata to reflect the collective household unit as the decision making unit. We find that our migration models are statistically robust with results consistent with conventional studies that show smaller, younger households are more mobile. Most importantly, however, we find evidence that our proxies which represent characteristics of the collective unit, termed “Decision Making Unit”, are also statistically significant. Thus, justifying the need for migration models to reflect the collective unit and not just the individual, should we seek to better understand motives. Classification-JEL: J61, R23, R58 Keywords: interregional migration, migration, decision-making, households, regions Journal: Bulletin of Applied Economics Pages: 97-114 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/interregional-migration-who-decides-to-move/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:97-114 Template-Type: ReDIF-Article 1.0 Author-name: Hong-Wen Tsai Author-name: Hui-Chung Che Author-name: Bo Bai Title: Longer Patent Life Representing Higher Value? A Study on China Stock Market and China Patents Abstract: By setting the market capitalization as the frame of patent value reference, twenty-two quarter’s market capitalization from 2016Q1 to 2021Q2 of China listed companies (A-shares) were collected. All valid patent data of three patent species including the invention grant, the utility model grant and the design grant, were retrieved for calculating the average patent life of each A-share. The variances of the market capitalization via different patent life groups were analyzed via ANOVA. The A-shares having invention grant’s patent lives above the general level usually showed higher market capitalization means than the A-shares having invention grant’s patent lives below the general level. The invention grants with longer patent life might be regarded as the patents of higher value. The utility model grants with longer patent life might not be regarded as the patents of higher value because of poor significance. The design grant’s patent life was a significant indicator for discriminating China A-share’s market capitalization, however, the optimal patent life were close to but not longer than four years. The longer patent life of the design grants was not regarded as higher value. Classification-JEL: C38, C46, G11, G12. Keywords: patent, market capitalization, China A-share, patent life, ANOVA. Journal: Bulletin of Applied Economics Pages: 115-136 Volume: 9 Issue: 1 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/longer-patent-life-representing-higher-value-a-study-on-china-stock-market-and-china-patents/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:115-136 Template-Type: ReDIF-Article 1.0 Author-name: Olesea Speian Author-name: Victoria Ganea Author-name: Constantinos Kyriakopoulos Title: Yield Curve Construction: A Note on the Moldovan bond market Abstract: In this note we apply the Nelson Siegel model on the Moldovan Government Securities market. In the Republic of Moldova although remarkable progress for the construction of a medium yield curve has been made during the last five years, the market still lacks the liquidity and depth level that would allow the application of market-based models for the credible description of the yields. Similar to countries with comparable stage of capital market development, the application of the Nelson Siegel model will provide a credible guidance for yields for tenors that either are not traded in the secondary market or even if they are traded the volume is so small that there is no a credible price and yield discovery mechanism. Classification-JEL: G10, G12, E43, E44 Keywords: yield curve, bond market, liquidity level, Nelson – Siegel method Journal: Bulletin of Applied Econo Pages: 9(1) Volume: 9 Issue: 1 Year: mics File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/yield-curve-construction-a-note-on-the-moldovan-bond-market/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:mics:i:1:p:9(1) Template-Type: ReDIF-Article 1.0 Author-name: Eftychia Lola Author-name: Spyridon D. Symeonides Title: On the Heteroskedastic-Autoregressive Specification of the Linear Regression Model Abstract: In this paper we examine, from a theoretical viewpoint, the generalized normal linear regression model with disturbances that are simultaneously heteroskedastic and autoregressive. In particular, the error specification of the model is a mixture of Amemiya’s linear heteroscedasticity structure with a stationary first-order autoregressive process. Given that the heteroskedastic variances are functions of the first-order autocorrelation coefficient, the estimators used in applied research cannot properly distinguish the estimations of the heteroskedastic and autoregressive parameters of the model. To avoid this problem, we introduce a multi-step estimation procedure, which has mainly theoretical interest, and is not suggested as an alternative to the well-known heteroskedasticity and autocorrelation consistent estimation used in applied econometric research. This estimation procedure facilitates the derivation of two distinct, theoretically important, generalized linear models, one with heteroskedastic and another with first-order autoregressive error terms. These two distinct models can be used for the theoretical examination of the finite-sample distributional properties of the estimators of the heteroskedastic and autoregressive parameters. Classification-JEL: C01, C13, C22 Keywords: Linear regression model; autoregression; heteroskedasticity; consistent estimation Journal: Bulletin of Applied Econo Pages: 9(2) Volume: 9 Issue: 2 Year: mics File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/on-the-heteroskedastic-autoregressive-specification-of-the-linear-regression-model/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:mics:i:2:p:9(2) Template-Type: ReDIF-Article 1.0 Author-name: John MacCarthy Author-name: Paul Muda Author-name: Prince Sunu Title: Tax Revenue and Economic Growth Nexus in Ghana: Co-integration and Granger causality Test Abstract: The paper sought to assess the taxes and economic growth nexus in Ghana. The study used annual time-series data collected from 1972 to 2019. The study used the Johansen Co-integration technique, vector error correction model, and Granger causality test to assess the causal relationship between tax revenue and economic growth in Ghana. The Co-integration test was used to establish the long-run relationship. In contrast, the Granger Causality test was used to establish the short-run relationship between the variables used in the model. The study revealed that the model has a speed of adjustment of 61.4% to restore the short-run relationship to the long-run equilibrium path. Furthermore, the study found a unidirectional relationship between tax revenue variables and economic growth. Again, the study found support for a positive and significant nexus between direct tax revenue and economic growth and a significant and negative nexus between indirect tax revenue and economic growth. Based on the results, the study recommends that the government tax policy move gradually from indirect tax revenue concentration to direct tax revenue to finance development programs to sustain economic growth. Classification-JEL: Keywords: Direct tax; Economic growth; Granger Causality; Indirect tax. Journal: Bulletin of Applied Economics Pages: 15-35 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/tax-revenue-and-economic-growth-nexus-in-ghana-co-integration-and-granger-causality-test/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:15-35 Template-Type: ReDIF-Article 1.0 Author-name: Chih-Hsiung Chang Author-name: Wu-Hua Chang Author-name: Yi-Yu Shih Title: Is Financial Institution Management Effective to Reduce Problems Related to Information Asymmetry in Taiwan? Abstract: Thanks to the deregulation of financial regulations since the 1990s, the domestic financial institutions had ever been in excessive amounts for a long time. In order to expand their business scope and market share, they often adopted a looser or simple review mechanism, which led to a decline in the asset quality of financial institutions and an upward trend in overdue loans. As a result, the credit card debt crisis caused by the information asymmetry and the derived serious social problems ensued . Under the pressure of public opinion, the financial authority was forced to promote the debt negotiation mechanism in 2005 and even led passing the Consumer Debt Clearance Regulations in 2007. This article analyzed the statistics of consumer finance related to public and private banks, trying to explain whether the problems related to information asymmetry was reduced and whether financial institution management was effective. The result revealed that the number of valid cards, revolving interest rates, and overdue ratios fell in tandem after the financial authority intervened in the market. Especially when the credit card debt crisis and the social problem were showed under control, it was proven that financial institution management is essential and effective to reduce problems related to information asymmetry in Taiwan. Classification-JEL: G01,G21,G28. Keywords: Financial Institution Management, Credit Cards, Card Debt Crisis, Information Asymmetry, Adverse Selection, Moral Hazard. Journal: Bulletin of Applied Economics Pages: 37-58 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/is-financial-institution-management-effective-to-reduce-problems-related-to-information-asymmetry-in-taiwan/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:37-58 Template-Type: ReDIF-Article 1.0 Author-name: Roko Pedisic Title: Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis Abstract: The ?ur?ose of this research was to examine cointegration relationships among the stock market indices before and after the global financial crisis. The cointegration effects were analysed also in the context of the COVID-19 pandemic. The sample included 20 years of data at daily, weekly, and monthly frequencies for stock ?rice indices in the United States (S&? 500), Europe (STXE 600), Japan (Nikkei 225), China (SSE composite), Australia (S&P/ASX 200), and Brazil (IBOVESPA). Two interesting empirical facts were documented. First, the global financial crisis does not seem to have played a significant and uniform role in influencing the cointegration relationship, as only for the monthly sample the number of cointegrating relationships changed after the crisis. Second, the daily sample allowed to explore the period during the COVID-19 pandemic. The findings suggest that this event increased the number of cointegrating relationships, perhaps due to the global nature of such phenomenon which affects both developed and emerging economies contemporaneously. On the other hand, the financial crisis affected mainly developed economies, and the spillovers to emerging markets took place at a later stage as a second-round effect. In line with the previous findings in the existing literature, the results of the study have shown that cointegration stock market indices is dependent on the period of analysis and the frequency of the data. Classification-JEL: C0, C4, G1, F6. Keywords: Cointegration analysis, stock markets, financial crisis, COVID-19. Journal: Bulletin of Applied Economics Pages: 59-78 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/cointegration-analysis-of-financial-market-indices-during-financial-shocks-focus-on-global-financial-crisis-and-covid-19-%d1%80andemic-crisis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:59-78 Template-Type: ReDIF-Article 1.0 Author-name: Steven Buigut and Burcu Kapar Title: Do COVID-19 Incidence and Government Intervention Influence Media Indices? Abstract: The COVID-19 pandemic continues to batter the world economy, strain the limited global health resources and dominate the world media. Even with the emergence of vaccines, there is still a substantial level of uncertainty. The study analyses the effects of COVID-19 incidence, government intervention and level of development on media coverage, and investor sentiments. The study uses daily data from the Ravenpack finance for the period January 2020 to November 2020 for 75 countries. The results show that NPIs increase the media attention, increase panic and depress market sentiment. Furthermore, higher number of COVID-19 cases and deaths affect promote panic and depress sentiment. We also show that a higher human development index increases media coverage, and depresses the sentiment, while a higher level of digital adoption reduces panic and depresses the market sentiment. Classification-JEL: G40, G41. Keywords: COVID-19, Ravenpack Indices, Media Attention, Stringency Index. Journal: Bulletin of Applied Economics Pages: 79-100 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/do-covid-19-incidence-and-government-intervention-influence-media-indices/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:79-100 Template-Type: ReDIF-Article 1.0 Author-name: Hsiang-Hsi Liu Author-name: Chien-Kuo Tseng Title: Common Components in Co-integrated System and Its Estimation and Application: Evidence from Five Stock Markets in Asia-Pacific Chinese Region Abstract: Previous studies on co-integration focused on whether there is co-integration between variables, and might not explore which variables are caused when co-integration exists. This study is based on a multivariate factor model and apply Quah’s decomposition theorem to derive common factors affecting long-run equilibrium, and use this common factor to explain which variables affect the formation of co-integration. Empirically, five stock markets in the Asian-Pacific Chinese region (Hong Kong, Singapore, Taiwan and China including Shanghai and Shenzhen stock markets) are the objects of analysis. According to the estimated common factor, the existence of the co-integration among the five stock markets is caused by the stock markets in Taiwan and Hong Kong. Therefore, when investing in these five stock markets, investors must incorporate and use the information of the two stock markets as a decisive factor in order to promote correct decision-making. That is, the policy authorities of these countries should promote the effective interaction and operation of the stock market. The decisive influence of stock market information in the two countries cannot be ignored. Classification-JEL: F30, F65, G10, G15. Keywords: Co-integration, Error Correction Model (ECM), Common Component, Quah’s Decomposition Theorem. Journal: Bulletin of Applied Economics Pages: 101-121 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/6051-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:101-121 Template-Type: ReDIF-Article 1.0 Author-name: Chih-Hsiung Chang Title: Information Asymmetry and Card Debt Crisis in Taiwan Abstract: Following the Asian Financial Crisis, South Korea, Hong Kong, and Taiwan experienced card debt crisis in 2001, 2002 and 2005, respectively. Various countries have studied and tried to find the factors that lead to the card debt crisis, hoping that the proposed countermeasures can effectively solve the problem. However, these are only practical operations and observations. Therefore, through information asymmetry, this article constructs a model of card debt crisis from adverse selection and moral hazard, and theoretically provides the government or competent authority with a policy basis. This article employs document analysis, combined with qualitative and quantitative data, to test the research hypotheses. The verification result is supported regardless of hypotheses tests for adverse selection, or moral hazard and confirms that information asymmetry and market failure do exist in the Taiwan credit card market. The policy implication of the article is that the government or competent authority should stop the illusion of free market mechanism and have to be responsible for employing countermeasures to face the crisis. Classification-JEL: G01,G21,G28. Keywords: Card debt crisis, Information asymmetry, Adverse selection, Moral hazard , Document analysis, Market failure. Journal: Bulletin of Applied Economics Pages: 123-145 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/information-asymmetry-and-card-debt-crisis-in-taiwan/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:123-145 Template-Type: ReDIF-Article 1.0 Author-name: Yasue Hakata Title: Do People Smooth their After-Tax Income? Evidence from Japanese Local Tax Abstract: This study provides evidence that under the Japanese local individual income tax system, individuals smooth their after-tax income by choosing the timing of their tax payments. We construct a monthly data set of Japanese local taxes with sample periods for over 26 years. The results show that though the tax amounts are pre-determined in one-year units by the system, individuals pay more taxes during months when their incomes are high, such as in “bonus” periods, than other months in a year. The t-statistics for means indicates that there exist significant upward deviations during these months. Classification-JEL: H31; H24; E62. Keywords: Consumption smoothing; Local income tax; Inter-temporal decision making; Mean test; Levene test. Journal: Bulletin of Applied Economics Pages: 147-158 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/do-people-smooth-their-after-tax-income-evidence-from-japanese-local-tax/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:147-158 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Foreign Aid and Dutch Disease: The Case of Vietnam Abstract: This study examines whether foreign aid from 1986 to 2019 caused the Dutch disease effect in Vietnam using a VAR model and Granger causality test. In this context, “Dutch disease” refers to the weakening of manufacturing processes as a consequence of the appreciation of a local currency due to capital inflow. Since foreign aid is considered a type of capital inflow, it is among the reasons for the appreciation of a local currency, which may offset the impact of foreign aid on economic growth. Although Vietnam experienced rapid economic growth, along with a large amount of foreign aid and appreciation in the real exchange rate, after Doi Moi (economic reform) in 1986, few studies have yet been conducted. The estimation results show that foreign aid does not cause an appreciation of the local currency in Vietnam. Based on this result, the Dutch disease did not occur due to foreign aid in Vietnam. Classification-JEL: F35, O53. Keywords: Foreign Aid, Dutch Disease, Vietnam. Journal: Bulletin of Applied Economics Pages: 159-168 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/foreign-aid-and-dutch-disease-the-case-of-vietnam/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:159-168 Template-Type: ReDIF-Article 1.0 Author-name: Sheng-Yeh, Wu Author-name: Guan-Ru, Chen Author-name: Ilia, Tetin Title: An Economic Model for Popular Event Promotions Abstract: This study provides a theoretic framework for price promotions on seasonal events and popular events, such as anniversary, Christmas, and World Soccer Cup. Firms engage in collective price promotions seems to contradict economic wisdom because promotions are less likely to stand out among competitors in popular events. In a rational expectations model, this study shows all players’ performance improve in the equilibrium. Furthermore, even less-famous goods benefit from collective price promotions in which the theoretic framework can provide a guideline to manufacturers and retailers. Classification-JEL: D21, M21. Keywords: Event Promotions, Price-Quality Relationship, Advertising. Journal: Bulletin of Applied Economics Pages: 169-173 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/an-economic-model-for-popular-event-promotions/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:169-173 Template-Type: ReDIF-Article 1.0 Author-name: Panagiotis Kotsios Title: Income Inequality Measurements through Tax Data: the case of Greece Abstract: The goal of this research was to measure income inequality and the distribution of the tax burden in Greece, by using open tax data released by the Greek Independent Authority of Public Revenues. The findings reveal multiple distortions in the disperse of tax burden among taxpayers’ income groups, along with very high income inequality among the population. The calculated Gini coefficient and S80/S20 ratio were found to be considerably higher than any previous measurements performed by international organizations and European statistical authorities through household surveys. The findings indicate an urgent need for an income and tax policy overhaul in the country, while the methodology that was used in the research can be replicated in other countries. Classification-JEL: D63, H2, O2. Keywords: Tax, Income inequality, Greece, Gini coefficient. Journal: Bulletin of Applied Economics Pages: 175-187 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/income-inequality-measurements-through-tax-data-the-case-of-greece/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:175-187 Template-Type: ReDIF-Article 1.0 Author-name: Max Weber Author-name: Taha Chaiechi Author-name: Rabiul Beg Title: Inclusive Growth and Climate Change Mitigation Programs and Policies in the ASEAN: Fiscal Implications Abstract: Addressing urgent global climate change and inequality issues has been a major challenge for the ten AMS (ASEAN Member States) given the diversity and local agendas with divergent political, economic, and social objectives. While regional policy frameworks prioritise harmonisation and inter-regional integration outcomes over national inequality and climate change policy goals, governments typically address the latter through discretionary policy add-ons that lead to policy fragmentation and competing fiscal goals that interfere with intermediate development plans. To achieve the aspired inequality outcomes (Regional Framework and Action Plan, ASEAN Declaration, 2013) and the ratified global climate targets (Paris Treaty 2015) simultaneously, such policy outcomes and commitments to collaborative policy action will need to be aligned within an integrated policy framework at the regional or global level, and externalities of economic activity internalised into a sustainable and inclusive fiscal model. Focusing on policy design, integration and evaluation aspects, this paper tests the hypothesis that, given the urgency of these issues, the ASEAN governments devised corrective and preventive measures to systematically mitigate these externalities through intervention at the policy level and multilateral coordination at the regional and global levels to achieve pro-green and pro-equity policy outcomes with a net social surplus. Adopting a qualitative methodology, this study conducts a structured literature search and subsequent document analysis, using advanced text mining techniques to extract, contextualise and map policy-relevant themes by geopolitical scope, policy intent and outcomes. Literature evidence confirmed that the ASEAN Member States have recognised and acknowledged the urgency of climate change and inequality challenges, and that these governments intervene at the local policy level and also engage in multilateral discussions, which lack, however, formal commitment and transparency. This study could not produce literature evidence of a systematic approach by these governments internalising mitigation mechanisms into the fiscal policy frameworks to achieve the aspired inclusive and sustainable outcomes - by design, rather than discretionary policy add-ons - and thus, the hypothesis was rejected. Classification-JEL: Keywords: Sustainable fiscal policy, inclusive growth, climate change mitigation, policy integration, multilateral intervention, document analysis. Journal: Bulletin of Applied Economics Pages: 189-221 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/inclusive-growth-and-climate-change-mitigation-programs-and-policies-in-the-asean-fiscal-implications/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:189-221 Template-Type: ReDIF-Article 1.0 Author-name: Nachiket Thakkar Author-name: Kiran Ambreen Ayub Title: External Debt Default and Foreign Direct Investments Abstract: We analyze the effect of a country’s defaults and restructuring its’ official and private external debt on its ability to attract foreign direct investment. We use different types of foreign direct investments: FDI Flows, Horizontal FDI, vertical FDI, cross-border mergers & acquisitions, and greenfield FDI. Using the Poisson-Pseudo Maximum Likelihood (PPML) estimation method, which has never been used in the literature to do a similar analysis, we find that external debt default decreases all types of FDIs. Furthermore, we also conduct a more granular sensitivity analysis by analyzing the effect of political risk ratings, effect on non-advanced economies, and effect on highly indebted poor countries (HIPC). We find that cross-border mergers and acquisitions (M&A) decrease as corruption risk decreases and increases as law and order improve. For HIPC countries, official external debt restructuring increases greenfield FDI. Classification-JEL: C1, C33, D72, F21, H63, O57. Keywords: Debt Default, Restructuring, Foreign Direct Investment (FDI), External Debt, ICRG, Poisson-Pseudo Maximum Likelihood (PPML), Political Risk. Journal: Bulletin of Applied Economics Pages: 223-237 Volume: 9 Issue: 2 Year: 2022 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/external-debt-default-and-foreign-direct-investments/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:223-237 Template-Type: ReDIF-Article 1.0 Author-name: Mitch Kunce Title: Unemployment and Suicide in the United States: The Import of Addressing Cross-Sectional Dependence Abstract: Recent reviews of the sociological and economic-based ecological studies of suicide find cyclical unemployment to be a key suicide risk factor, though the evidence presented is mixed at best. The ambiguity of the ecological associations appear to stem from faulty statistical methodologies. Panel treatments offer advantages over conventional time-series methods by exploiting cross-section variation. However, if the added cross-section units are cointegrating (dependent) and independence is presumed, incorrect statistical inference and inconsistent coefficient estimation can result. Herein, we fully address the import of cross-sectional dependence on the ecological relationship between U.S. unemployment rates and suicide rates using an 81-year panel of the 48 contiguous states and the District of Columbia. When proper allowances are made for cross-section dependence at each step of the examination, we find no significant statistical association, short-run or long-run, running from unemployment to suicide rates in the U.S. Results of this sequential analysis highlight potential sources of the ambiguity found in the literature. Classification-JEL: B55, C31, C49 Keywords: Suicide rates, Cointegration, Cross-section dependence. Journal: Bulletin of Applied Economics Pages: 1-19 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/unemployment-and-suicide-in-the-united-states-the-import-of-addressing-cross-sectional-dependence/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 Author-name: Hong-Wen Tsai Author-name: Hui-Chung Che Title: Industry Difference on Patent Drawing’s Capability for Differentiating Stock Rates of Return of Chinese Listed Companies in Non-Manufacturing Industry Sectors -- An Explore into Invention Publication Patents and Utility Model Grant Patents Abstract: The industry difference on patent drawings of invention publications and utility model grants over top nine non-manufacturing industry sectors in China stock market was discussed via analysis of variation (ANOVA). Regarding patent drawing count’s capability for differentiating Chinese listed company’s stock rate of return, the invention publication and the utility model grant were different. The invention publication’s drawing count showed well capability for one industry sector, fair capability for two industry sectors, partial capability for one industry sector, weak capability for two industry sectors, and ineffective capability for three industry sectors; whereas the utility model grant’s drawing count showed partial capability for four industry sectors, weak capability for three industry sectors, and ineffective capability for two industry sectors. The patent drawing count of invention publications showed superior capability to those of utility model grants and invention grants. The higher patent counts of invention publications showed fairly connection with the capability, however, the higher patent counts of utility model grants showed weak connection with the capability. The higher stock rates of return also showed weak connection with the capability for either invention publications or utility model grants. Every non-manufacturing industry sector had its particularity. The industry difference among top nine non-manufacturing industry sectors in China stock market was distinct. Classification-JEL: C38, C46, G11. Keywords: Patent, Invention publications, Utility model grants, ANOVA, Stock rate of return, Drawing count, Industry difference. Journal: Bulletin of Applied Economics Pages: 21-67 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/industry-difference-on-patent-drawings-capability-for-differentiating-stock-rates-of-return-of-chinese-listed-companies-in-non-manufacturing-industry-sectors-an-explore-into-invention-publ/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:21-67 Template-Type: ReDIF-Article 1.0 Author-name: Konstantinos Marinakos Author-name: Georgia Pistikou Author-name: Alkistis Papaioanou Title: Tax Evasion in Hospitality Industry: Institutional Deficit, Mentality or Necessity? Abstract: This paper focused on the study and analysis of the phenomenon of tax evasion in Greek hospitality companies (hotels). Its main research objective was to investigate the degree of tax evasion of hotel companies, to examine its causes, its implications and how to deal with it. The processing of the replies given shows that a large proportion of hoteliers consider that businesses are 'over-taxed', while a common belief is that if a more favourable tax treatment were to apply it would lead to a strengthening of the overall conscience/ideological perception in favour of the institution of taxation. Finally, it is necessary to take measures to deal more rationally with tourism enterprises and to review the taxation policies of hotel companies as a tool to support them in times of crisis such as the current Covid-19 pandemic. Classification-JEL: Keywords: Tax evasion, Over- taxed, Hospitality companies, Taxation policies. Journal: Bulletin of Applied Economics Pages: 69-79 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/tax-evasion-in-hospitality-industry-institutional-deficit-mentality-or-necessity/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:69-79 Template-Type: ReDIF-Article 1.0 Author-name: Abdullaev Elbek Erkin Ugli Title: Global Value Chains’ Participation and Logistics Performance in Post-Soviet Economies Abstract: Post-Soviet countries have never been analysed in the global value chain (GVC) context. Therefore, in this study, we evaluate the degree of backward participation of GVCs in the manufacturing sector of post-Soviet countries. We also examine the quantitative linkage between GVCs and host countries’ logistics performance as a service-link component. We used the UNCTAD-Eora GVC database and employed a structural gravity trade model. The results illustrate a positive correlation between GVC backward participation in manufacturing and income levels in the post-Soviet economies. The empirical estimation using the structural gravity trade model demonstrates a quantitative linkage between GVC backward participation and the logistics performance of the host country. The level of logistics performance accounts for 70–80 percent of the degree of GVC backward participation. Our findings’ major policy implication is that post-Soviet economies’ logistics performance should be improved by erasing the Soviet era’s negative legacy. Classification-JEL: F12, F13, F14, O57 Keywords: Global value chains, Logistics performance, Post-Soviet countries, Manufacturing, Structural gravity trade model. Journal: Bulletin of Applied Economics Pages: 81-101 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/global-value-chains-participation-and-logistics-performance-in-post-soviet-economies/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:81-101 Template-Type: ReDIF-Article 1.0 Author-name: Tito Nestor TIEHI Title: Impact of HIV and Covid-19 pandemics on ivorian health system efficiency Abstract: The purpose of this study is to estimate the impact of HIV and Covid19 on the efficiency of the public health system in Côte d'Ivoire. To this end, we use non-parametric data envelopment analysis (DEA) and double bootstrap procedures to analyze the data. The analyze reveals that district hospitals are not technically efficient. These estimates show that in 2019, TB-HIV co-infection and geographic accessibility increases technical efficiency, while respiratory diseases reduce it. In contrast, in 2020, the advent of the Covid-19 pandemic blunted the positive impact of TB-HIV co-infection and geographical accessibility on the technical efficiency of the Ivorian health system observed in 2019. This result, due to the reorientation of resources allocated to the health sector to deal with the Covid-19 pandemic, is similar to the crowding out of the HIV pandemic by that of Covid-19. Classification-JEL: C14, D24, I12, I18. Keywords: Double Bootstrap, Tuberculosis/HIV, Covid-19. Journal: Bulletin of Applied Economics Pages: 103-113 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/impact-of-hiv-and-covid-19-pandemics-on-ivorian-health-system-efficiency/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:103-113 Template-Type: ReDIF-Article 1.0 Author-name: Miguel D. Ramirez Title: Do Remittances Promote Labor Productivity in Mexico? A DOLS and FMOLS Analysis, 1970-2017 Abstract: This paper investigates the impact of remittance flows on economic output and labor productivity for Mexico during the 1970-2017 period. The findings suggest that remittance flows to Mexico have a positive and significant effect on economic output and labor productivity. The paper is organized as follows: First, it gives an overview of remittance flows in absolute terms, relative to GDP, in comparison to FDI inflows, and in terms of their regional destination. Next, the paper reviews the growing literature that assesses the impact of remittances on investment spending and economic growth. Third, to motivate the discussion of the empirical results, the paper presents a simple endogenous growth model that explicitly incorporates the potential impact of remittance flows on economic output and labor productivity. Fourth, it presents a modified empirical counterpart to the simple model that tests for unit roots and performs both a Johansen cointegration test and a Gregory and Hansen cointegration test with an endogenously determined regime shift. FMOLS and DOLS long-run estimates for the period in question suggest that remittance flows to Mexico have a positive and significant effect, albeit small, on both the levels of economic output and labor productivity. The concluding section summarizes the major results and discusses potential avenues for future research on this important topic. Classification-JEL: C10, F01, 010, 054. Keywords: ADF unit root test, DOLS, FDI inflows, FMOLS, Gregory-Hansen cointegration single-break test, Gross fixed capital formation, Johansen Cointegration test, KPSS no unit root test, labor productivity, and remittance flows. Journal: Bulletin of Applied Economics Pages: 115-131 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/6142-2/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:115-131 Template-Type: ReDIF-Article 1.0 Author-name: Fahmida Mostafiz Author-name: Jianqiang Sun Title: Policy Series Effects on Bangladesh Readymade Garments Exportation Abstract: This paper examines the effects of industrial policies series taken since 2005 on the ready-made garments in Bangladesh, including formation of export processing zones, taxation facility, flat-rate duty drawback facility, FDI with equity participation and so on. Difference in Differences technique is employed and a panel dataset of industrial policy and export data of 75 companies from 1991 to 2020 are used to evaluate the quantitative effects. Empirical findings show that the industrial policies have had a significant positive impact on the RMG export, and that RMG exports increase on an average 10.68% after industry policy 2005 introduced. This paper contributes by providing empirical evidence for the industrial policies effect on Bangladesh exportation. Classification-JEL: L52, L53, F14. Keywords: Industrial Policy, RMG industry, MFA phase out, DID. Journal: Bulletin of Applied Economics Pages: 133-143 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/policy-series-effects-on-bangladesh-readymade-garments-exportation/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:133-143 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Foreign Aid and Productivity in Thailand Abstract: This study examines the relationship between foreign aid and total factor productivity (TFP) in Thailand from 1972 to 2013 using the VAR model and Granger causality. While discussing the role of foreign aid in the economy of recipient countries, it is important to examine whether foreign aid contributes to the productivity of the recipient country. Estimation results do not show any evidence of a relationship between foreign aid and the TFP in Thailand, indicating that foreign aid does not necessarily directly affect productivity. This result is also considered to be suitable for previous studies. Classification-JEL: F35, O53. Keywords: Foreign Aid, Total Factor Productivity, Thailand. Journal: Bulletin of Applied Economics Pages: 145-155 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/foreign-aid-and-productivity-in-thailand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:145-155 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Vanguard Effect of Foreign Aid in Thailand Abstract: This study examines the relationship between foreign aid and investment in Thailand in two ways to see whether foreign aid contributes to Thai economy through encouraging investment in Thailand. The estimation results are summarized as follows. First, the relationship between foreign aid and investment adding to trade, savings, and growth from 1975 to 2020 is shown as positive relationships by using OLS but not by using VAR model. Second, positive relationship between the accumulated foreign aid and foreign direct investment from 1970 to 2020 is shown by using the VAR model, the Granger causality test, and the Impulse response test. Based on the estimation results, we infer that in Thailand foreign aid mainly arranged for social infrastructure since the 1980s guided investments to an extent since foreign aid and investment in Thailand has positive relationship under some restrictions. Classification-JEL: F35, O53. Keywords: Foreign Aid, Vanguard, Foreign Direct Investment, Thailand. Journal: Bulletin of Applied Economics Pages: 157-168 Volume: 10 Issue: 1 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/vanguard-effect-of-foreign-aid-in-thailand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:1:p:157-168 Template-Type: ReDIF-Article 1.0 Author-name: Theodore Chatziapostolou Author-name: Nikolina Kosteletou Title: A VAR model for Fiscal Multipliers and the Future of Fiscal Policy in European Monetary Union Abstract: Fiscal multipliers have been a core issue for the effectiveness of fiscal policy. During the financial economic crisis of 2007–8 there has been a revival of interest in re-estimating the size of the multipliers. Empirical literature showed that fiscal multipliers are dependent either on structural characteristics of the economy (exchange rate regime, openness, etc.), or on business cycles or on fiscal characteristics (level of debt, the choice between expenditures and taxes, etc.) of the economies. The aim of this paper is to contribute to this discussion by developing a VAR model to compute the effects of fiscal policy to output for the 19 member states of EMU for the period 2002-2019. Controlling for size of the countries, level of Debt to GDP ratio and openness. Based on these findings we will discuss the difficulties of fiscal consolidation in EMU economies. We argue that EMU is facing a deadlock, the necessity of fiscal consolidation on the one hand and the unavoidable risk of uneven results of fiscal contraction in the member states due to different size of multipliers on the other hand. The only alternative for EMU is to take a step forward towards a fiscal union. In this case fiscal policy should be balance different political priorities and preferences and at the same time be timely and effective. Classification-JEL: F35, O53. Keywords: Fiscal policy, European Monetary Union, debt, Fiscal cooperation, Fiscal multipliers Journal: Bulletin of Applied Economics Pages: 1-15 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/a-var-model-for-fiscal-multipliers-and-the-future-of-fiscal-policy-in-european-monetary-union/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:1-15 Template-Type: ReDIF-Article 1.0 Author-name: Ioannis A. Venetis Author-name: Avgoustinos Ladas Title: Co-movement and global factors in sovereign bond yields Abstract: We study the co-movement in international zero-coupon government bond yields using a recently proposed methodology by Choi et al. (2018) and Choi et al. (2021) for the estimation of multilevel factor models. We employ a readily available non-proprietary dataset coupled with open-source code which facilitates reproduction of the results but also comparability with the existing bibliography. The ten countries dataset is cross-sectionally expanded to eleven countries with newly constructed data series on the term structure of Greek constant-maturity, government zero-coupon bond rates. We find that the country pair US-Germany is most suitable as an initial candidate for global factor estimation. We confirm that three global factors account for most of the variation in zero-coupon bond yields leaving a small proportion to be (contemporaneously) explained by local factors. Global inflation and global real activity are related to the global level and slope factors. The third global factor, “curvature,” is strongly related to economic/financial uncertainty linked to systemic risk stemming from the US financial markets. Classification-JEL: C10, E43, G12, G15. Keywords: Sovereign bonds; Yield curve; Term structure; Multilevel factor model; Global factors; Local factors. Journal: Bulletin of Applied Economics Pages: 17-45 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/co-movement-and-global-factors-in-sovereign-bond-yields/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:17-45 Template-Type: ReDIF-Article 1.0 Author-name: ?ikolaos A. Kyriazis Title: Twitter‘s happiness sentiment index impacts on financial markets: an integrated overview of empirical findings Abstract: This survey paper investigates the empirical findings of academic work that explores the nexus between the highly innovative Twitter happiness sentiment index and a range of financial assets. An integrated overview of econometric outcomes and the relevant investment policy implications are provided. It is revealed that investor happiness reinforces the safe haven abilities of gold. Moreover, major stock indices are highly influenced by the happiness index especially at higher quantiles. Reverse causality between the happiness index and stock indices is also detected but in a weaker level. This survey contributes to better understanding investment decisions based on behavioural finance and provides evidence about the nexus of investor sentiment estimation with the financial sector nowadays. Classification-JEL: G15, G40, Q02. Keywords: Investor happiness, Investor sentiment, Twitter, Survey, Gold, Stock prices. Journal: Bulletin of Applied Economics Pages: 47-66 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/twitters-happiness-sentiment-index-impacts-on-financial-markets-an-integrated-overview-of-empirical-findings/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:47-66 Template-Type: ReDIF-Article 1.0 Author-name: Barkas Panagiotis Author-name: Kounadeas Theodoros Author-name: Spatharakis Nikolaos Dimitrios Title: Explaining the first effects of Covid-19 on Greek banks’ profitability Abstract: The present paper studies the profitability dynamics of systemic Greek banks. By deploying an econometric methodology based on multiple linear regression analysis, we empirically investigate the drivers of banks’ return on assets between 2008 and 2020. We also shed light on the first effects of Covid-19 on banks. Examining the effects various macroeconomic, regulatory and financial factors, we find that public debt developments, including Greek debt restructuring, and banks’ provisions for credit losses had a negative effect on banks profitability. Besides, we testify that banks' capital adequacy and the size of liabilities of financial institutions towards their customers strengthened chances of increased bank profitability. We discuss the implications of our empirical findings in light of macroeconomic, regulatory and financial developments in Greece and the EU. Classification-JEL: G01, G20, G21, M40, M49. Keywords: Systemic Banks, Profitability, Greece, ROA, Debt Crisis, Covid-19, Financial Analysis, Financial Ratios. Journal: Bulletin of Applied Economics Pages: 67-88 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/explaining-the-first-effects-of-covid-19-on-greek-banks-profitability/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:67-88 Template-Type: ReDIF-Article 1.0 Author-name: KY Sereyvuth Title: Labor Demand Forecasting: The Case of Cambodia Abstract: Labor demand forecasting is crucial for Cambodia’s economic prosperity. This is because it enables the country to make well-informed decisions and implement effective policies that align with the changing dynamics of its labor market to promote sustainable economic progress. This study utilizes a demand-driven model; specifically, the autoregressive integrated moving average (ARIMA) model with a top-down approach to forecast Cambodia’s labor demand from 2020 to 2025. By capturing current and future labor market trends, we can identify skill requirements and ensure high employment rates for sustainable development. With labor demand forecasting, Cambodia can proactively address skill gaps, optimize workforce planning, and foster an environment conducive to economic growth and stability. Classification-JEL: C82, J21, J23. Keywords: Labor demand, Employment forecasting, ARIMA, Top-down forecasting. Journal: Bulletin of Applied Economics Pages: 89-105 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/labor-demand-forecasting-the-case-of-cambodia/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:89-105 Template-Type: ReDIF-Article 1.0 Author-name: Seraj Bahrawe Author-name: Mohammed Abulkhair Author-name: Sami Mensi Title: The Covid-19 Pandemic Impact on the Saudi Arabia Tourism Sector: An Accountancy Approach Abstract: The article aims to determine the impact of the COVID-19 outbreak on the tourism industry in the world and in the Kingdom of Saudi Arabia. It adopts the financial data of listed companies in Saudi Arabia and uses the synthetic index compilation method to compile an accounting index that captures the period before and during the COVID-19 outbreak and measures the impact of the COVID-19 on the tourism sector. From this article, we recommend the appropriate policies to re-launch some tourism activities within the after COVID-19 period. It will be crucial to restore all types of travel, and domestic and international flights, improve direct and indirect employment and the recovery of many related business as travel agencies, hotels, and airline companies, which allow for economic and social benefits. Classification-JEL: I3, L8. Keywords: COVID-19 Pandemic; Tourism Sector; Accountancy Approach, KSA. Journal: Bulletin of Applied Economics Pages: 107-125 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-covid-19-pandemic-impact-on-the-saudi-arabia-tourism-sector-an-accountancy-approach/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:107-125 Template-Type: ReDIF-Article 1.0 Author-name: Tzu-Pu Chang Author-name: Yu-Wei Chan Author-name: Ping-Huang Wang Title: Forecasting TAIEX and FITX with Affirmative and Doubtful Investor Sentiments Abstract: The existing literature have used media messages as a proxy variable for investor sentiment, but they mainly classify sentiment into positive or negative categories based on the words used in news articles, without much attention to the degree of affirmative or doubtful conveyed by the words used. Thus, in addition to classifying news content into positive or negative sentiment, this study also measures the degree of affirmative or doubtful expressed in the news articles in order to achieve more accurate predictive results. The study converts qualitative text to two quantitative scores (sentiment ratio and affirmative ratio) and investigates the predictive ability of these two variables on stock index returns and volatility in Taiwan’s case. The empirical findings indicate that only affirmative ratio exhibits a significant and negative impact on the one-day ahead returns of the Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX) and the Taiwan Stock Exchange Index Futures (FITX). Additionally, the volatility of returns in both future and spot markets is significantly influenced by both sentiment ratio and affirmative ratio. Classification-JEL: C22, G10, G40. Keywords: Investor sentiment, Text-mining, TAIEX, FITX, Affirmative ratio. Journal: Bulletin of Applied Economics Pages: 127-140 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/forecasting-taiex-and-fitx-with-affirmative-and-doubtful-investor-sentiments/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:127-140 Template-Type: ReDIF-Article 1.0 Author-name: Adel Bogari Title: Does Institutional Quality matter to the Inflation Targeting-Financial Stability Nexus? Abstract: This study examines the quality institutions role played in the inflation targeting- financial stability nexus. A sample of 65 developed and developing countries, including 33 inflation-targeting countries (10 developed and 23 developing), and 32 non-inflation-targeting countries (12 developed and 20 developing), during the 1996 - 2020 period. Using Two Step GMM estimation, results show that inflation targeting stimulates financial stability. This positive relationship between inflation targeting and financial stability is proved, regardless of the inflation targeting regime in place; Soft or Full-Fledged. Results from institutional quality variables prove that inflation-targeting countries with poor institutional quality are financially vulnerable, and that for good institutional quality are able to promote financial stability. Classification-JEL: E4, E52, E58. Keywords: Inflation targeting, Financial stability, Developed and developing countries, Quality of institutions, Tow Step GMM System. Journal: Bulletin of Applied Economics Pages: 141-158 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/does-institutional-quality-matter-to-the-inflation-targeting-financial-stability-nexus/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:141-158 Template-Type: ReDIF-Article 1.0 Author-name: Junhyun Bae Author-name: Ji-Hung (Ryan) Choi Title: Impact of Supply Risk Sharing on Supply Chains: Multiplicative vs. Additive Risks Abstract: We consider a supply chain in which a retailer orders from a manufacturer(s) who face(s) a stochastic supply risk (random yield) under single or dual-sourcing cases. In specific, we look into this problem in two different yield risks: multiplicative and additive. One might intuit that if the retailer shares a manufacturer’s random yield risk with the manufacturer, the manufacturer will be better off. Interestingly, we confirm that this intuition is only valid in the additive yield risk but not necessarily in the multiplicative yield risk. Moreover, under dual sourcing, both manufacturers fiercely compete on their prices (i.e., Bertrand-like competition) to become the sole source in the additive yield risk, but the manufacturers do not compete as much in the multiplicative yield risk. Lastly, this paper shows that the supply chain inefficiency may decrease (increase) as risk-sharing increases in the additive risk model under dual sourcing (single sourcing) while it does not change in the multiplicative risk model. Classification-JEL: L11, M11, M21. Keywords: Supply risk, random yield, dual sourcing, game theory. Journal: Bulletin of Applied Economics Pages: 159-171 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/impact-of-supply-risk-sharing-on-supply-chains-multiplicative-vs-additive-risks/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:159-171 Template-Type: ReDIF-Article 1.0 Author-name: Ilia Tetin Author-name: Elizaveta Antonenko Author-name: Guych Nuryyev Title: Asymmetric Effects of Exchange Rate Volatility on Taiwan-China Trade: A Non-Linear ARDL Analysis of 20 Industries Abstract: This study investigates the long-run and short-run effects of exchange rate volatility on Taiwan's exports to and imports from China across 20 industries, employing a non-linear autoregressive distributed lag (NARDL) approach. The analysis covers the period from January 2004 to December 2022 and highlights industry-specific sensitivities and asymmetric impacts of exchange rate fluctuations. Our findings reveal the critical role of exchange rate volatility in shaping export and import performance across industries, with both positive and negative shocks exerting significant short-run and long-run effects. Asymmetric impacts of exchange rate fluctuations affect 87.96% of Taiwan's total exports to China in the long run and 72.11% in the short run. In contrast, the asymmetric impacts on imports influence 77.12% of Taiwan's total imports from China in the long run and 13.21% in the short run, demonstrating varying sensitivity across industries. These findings accentuate the necessity for industry-tailored trade policies and strategic considerations to better manage the risks and opportunities presented by exchange rate volatility in cross-strait trade. Classification-JEL: F14, F31, C22. Keywords: Exchange rate volatility, Taiwan-China trade, Non-linear ARDL, Asymmetric effects. Journal: Bulletin of Applied Economics Pages: 173-189 Volume: 10 Issue: 2 Year: 2023 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/asymmetric-effects-of-exchange-rate-volatility-on-taiwan-china-trade-a-non-linear-ardl-analysis-of-20-industries/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:10:y:2023:i:2:p:173-189 Template-Type: ReDIF-Article 1.0 Author-name: Chris Magnis Author-name: Skilodimou Louiza Title: The impact of corporate governance mechanisms on earnings quality during the COVID-19 Pandemic. Evidence from the UK Abstract: This study aims to analyze the impact of corporate governance practices on the earnings quality of 228 firms located in the United Kingdom throughout the period from 2019 to 2022. Our fundamental concept states that there is a negative relationship between the efficiency of corporate governance practices within the organization and the probability of participating in earnings manipulation. The findings of our empirical study offer substantiation for our claims, as they demonstrate that companies with boards of directors marked by notable autonomy and financial capabilities, along with the presence of effective audit and compensation committees, experience an improvement in the quality of their earnings. Classification-JEL: G32, G34, M40, M41. Keywords: Corporate Governance, Earnings Quality, Board of Directors, Audit Committee, Compensation Committee. Journal: Bulletin of Applied Economics Pages: 1-14 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-impact-of-corporate-governance-mechanisms-on-earnings-quality-during-the-covid-19-pandemic-evidence-from-the-uk/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:1-14 Template-Type: ReDIF-Article 1.0 Author-name: Javkhlan Ganbayar Title: Effects of Expansionary Fiscal Policy in a Commodity-Exporting Economy: Evidence from Mongolia Abstract: This study contributes to the ongoing debate on the consequences of expansionary fiscal policy by evaluating the macroeconomic effects of various fiscal policy options in a small open economy using a dynamic stochastic general equilibrium (DSGE) model. In addition, the study emphasizes the importance of studying Mongolia, which has unique characteristics and exhibits significant research gaps regarding its fiscal policy. The general architecture of the selected DSGE model includes different types of firms and households, commodity sectors, natural resource funds, and abundant fiscal tools regarding both expenditure and revenue. Employing numerous types of fiscal policy shocks, this study reveals that an exogenous increase in government investment yields the most significant long-term economic benefits, boosting potential output by 0.3%. Among the policy options, government transfers are the least effective in promoting economic output, and existing transfer policies in Mongolia appear to exert only a modest impact on growth, instead primarily contributing to the redistribution of resources. Finally, the estimated output multipliers (except transfers) are greater than one, implying that fiscal policy instruments may be an effective tool for managing the economy in Mongolia. Classification-JEL: E17, E62, H24, H54, H55. Keywords: Fiscal policy, Fiscal policy multiplier, Small open economy, Dynamic Stochastic General Equilibrium model, Natural Resource Sector. Journal: Bulletin of Applied Economics Pages: 15-39 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/effects-of-expansionary-fiscal-policy-in-a-commodity-exporting-economy-evidence-from-mongolia/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:15-39 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Aid and Sectoral Growth in Thailand Abstract: This study examines the relationship between foreign aid and sectoral growth in Thailand from 1960 to 2021 using ordinary least squares. While it is important to see how foreign aid impacts the recipient country, few studies provide analyses in this field. The estimation results show a linear relationship not only between foreign aid and secondary industry growth, but also between foreign aid and tertiary industry growth, whereas a relationship between foreign aid and primary industry growth is not necessarily seen. The results are consistent with previous studies. Classification-JEL: F35, O53. Keywords: Foreign Aid, Sectoral Growth, Thailand. Journal: Bulletin of Applied Economics Pages: 41-49 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/aid-and-sectoral-growth-in-thailand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:41-49 Template-Type: ReDIF-Article 1.0 Author-name: Ivan D. Trofimov Title: Is There J-Curve Effect in the Services Trade in Canada? A Panel Data Analysis Abstract: The effects of real exchange rate changes on the sectoral trade balance have received limited consideration in the empirical literature. We examine services trade and the dynamics of Canada’s bilateral trade balance in services with its 53 major trading partners during 1990-2018. We demonstrate a short-run deterioration and a long-term improvement of the services trade balance following depreciation in an aggregate panel as well as sub-panels, hence supporting the J-curve effect hypothesis and satisfying the Marshall-Lerner condition. At the level of individual cross-sections, the evidence was mixed: a number of economies experienced long-term improvement of the trade balance, albeit without short-term deterioration. Classification-JEL: F14, F32, C23. Keywords: J-curve, Panel data, Trade balance, Exchange rate, Services. Journal: Bulletin of Applied Economics Pages: 51-70 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/is-there-j-curve-effect-in-the-services-trade-in-canada-a-panel-data-analysis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:51-70 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Title: Foreign Aid and Direct Effect of Poverty Reduction in Thailand Abstract: This study examines the effects of foreign aid on poverty reduction in Thailand dividing into ways. One is the direct effect of poverty reduction and the other is the indirect effect of economic growth. Dividing the effect of foreign aid into the direct effect of poverty reduction and the indirect effect through economic growth will contribute to a more efficient way of providing foreign aid by adjusting its purpose and method of foreign aid. The estimation results are summarized as follows: First, the relationship between the infant mortality rate, as a substitute for poverty reduction, and foreign aid from 1961 to 2022 was not significantly estimated using OLS or VAR (Vector Autoregression) models. Second, the relationship between the poverty ratio and foreign aid from 1988 to 2020 for every other year was also insignificant, although economic growth was estimated to be significantly positive. Based on these results, it can be inferred that foreign aid has no direct effect on poverty reduction in Thailand; rather, the indirect effect seems more important. Classification-JEL: F35, O53. Keywords: Foreign Aid, Poverty, Thailand. Journal: Bulletin of Applied Economics Pages: 71-84 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/foreign-aid-and-direct-effect-of-poverty-reduction-in-thailand/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:71-84 Template-Type: ReDIF-Article 1.0 Author-name: Ivy Eklemet Author-name: Emmanuel Gyamera Title: Do Directors’ Remuneration and Remuneration Committees of the Board affect Bank’s Performance: Application of GMM model? Abstract: This paper assessed the effect of directors' remuneration and the remuneration committee on a bank's performance. The study used 200 observations from 20 licensed banks in Ghana from 2012 to 2023. The study employed dynamic System Generalized Method of Moments as the main analytical estimator using Stata 16.0 software. The study revealed that directors' remuneration, audit committee independence, and the remuneration committee are positively and significantly related to the bank's performance. Furthermore, the study revealed that banks with a remuneration committee as well as an independent audit committee tend to enhance the bank's performance because remuneration and audit committees tend to align directors' remuneration with the bank's performance. The findings highlight the importance of setting up a remuneration committee as well as strengthening its functions. The first recommendation for this study is for the board to strengthen the remuneration committee since it affects the bank's performance positively. Lastly, the study recommends that the remuneration committee should be strengthened to align directors' remuneration with the bank's performance metrics, such as revenue growth, profitability of the bank, and shareholders' returns. Classification-JEL: Keywords: Audit committee independence; Bank’s performance; Directors’ remuneration; Ghana; Optimal contracting contract. Journal: Bulletin of Applied Economics Pages: 85-102 Volume: 11 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/do-directors-remuneration-and-remuneration-committees-of-the-board-affect-banks-performance-application-of-gmm-model/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:1:p:85-102 Template-Type: ReDIF-Article 1.0 Author-name: Mohammad Robbani Title: Exchange Rate Volatility and Economic Growth in Eurozone Markets Abstract: Firms involved in foreign trade (exports and imports) are generally sensitive to fluctuations in the exchange rates and carefully take it into consideration while planning their future trading. In this paper, we study the inter-relationship between exchange rate volatility and economic growth in the Eurozone markets. Specifically, we study how volatility of a country’s foreign currency exchange rate affects economic development. For an economy that is heavily dependent on foreign trade, its overall economic productivity may be affected by fluctuation of its currency with the currencies of the trading partners. We investigate this relationship between the GDP growth rates of twenty Eurozone countries with the exchange rate volatility of thirteen developed countries. Our results indicate that GDP growth rates of most of the Eurozone countries are generally affected by exchange rate volatility of its trading partners. Most of these impacts are negative indicating that the GDP growth rates of the Eurozone countries decline with the volatility of the exchange rates of trading partners. The result is consistent with the findings of previous literature in this area. Our findings are important for the policymakers to consider in planning the management of their currencies to minimize the negative effect of exchange rate volatility. Classification-JEL: E24, F31, G15. Keywords: Volatility, Exchange rates, GDP growth rate, Regression. Journal: Bulletin of Applied Economics Pages: 1-13 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/exchange-rate-volatility-and-economic-growth-in-eurozone-markets/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:1-13 Template-Type: ReDIF-Article 1.0 Author-name: Emmanuel Gyamera Author-name: Ivy Eklemet Title: Auditing Services and SME Financial Performance: The Moderating Role of Information Technology Abstract: According to numerous studies, small and medium businesses are more financially limited than large businesses due to the lack of audited financial accounts. This study investigates the effects of Audit services on SMEs' financial performance. As a result, to obtain the necessary data for the project, the study used a quantitative strategy and a survey method. The study's participants are registered SMEs from the Registrar General's Department. The sample size was determined using a list of 6,000 registered small and medium businesses. The SMEs were chosen through a systematic selection process and were given questionnaires. The PLS-SEM Software was used to analyse the data collected from the respondents. The findings indicate that the use of audit services results in the avoidance and detection of financial irregularities, resulting in an improvement in SMEs' financial performance. The study also found a positive relationship between information technology and the financial performance of SMEs. Classification-JEL: Keywords: Audit Services, Small and Medium Scale Enterprise (SME), Financial Performance, information technology. Journal: Bulletin of Applied Economics Pages: 15-30 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/auditing-services-and-sme-financial-performance-the-moderating-role-of-information-technology/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:15-30 Template-Type: ReDIF-Article 1.0 Author-name: Nachiket Thakkar Author-name: Rafiqul Bhuyan Title: Effect of Fintech on Sustainable Development Goals: An Empirical Analysis Abstract: This paper empirically examines the impact of financial technology (FinTech) and financial inclusion on sustainable development goals (SDGs). The adoption of FinTech has a significant positive effect on key SDGs in developing nations. Specifically, FinTech contributes to reducing income inequality and poverty, while promoting gender equality, access to basic sanitation, clean energy, and education. Additionally, the increasing adoption of FinTech is linked to overall economic growth. To address potential biases from heteroscedasticity and endogeneity, we conduct robustness checks using simultaneous equation modeling and Poisson pseudo-maximum likelihood estimations. Our findings confirm that the benchmark results are robust. Classification-JEL: O1, O19, O20, Q01. Keywords: Sustainable Development Goals, SDG, Fintech, Financial Inclusion, Pseudo – Poisson Maximum Likelihood (PPML), Simultaneous Equations Model (SEM). Journal: Bulletin of Applied Economics Pages: 31-46 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/effect-of-fintech-on-sustainable-development-goals-an-empirical-analysis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:31-46 Template-Type: ReDIF-Article 1.0 Author-name: Sediq Sameem Title: The ?mpact of Business Cycles on Health Status in the United States During the Past Half-Century Abstract: The association between mortality and business cycle is inconclusive. Most macro level studies find mortality to be pro-cyclical whereas micro level studies suggest the opposite. The consensus among these studies, however, is on the use of unemployment rate as a proxy for cyclical variations in economic activity. This study builds upon these findings by implementing an alternative proxy – per capita income – to better understand such a mediating relationship. Using state level annual data of the United States during 1968-2022, this study finds a negative association between state per capita income and mortality rate. Contrary to the findings of macro level studies, this analysis suggests that mortality declines during expansions. The results are robust to the inclusion of both old and new proxies for the business cycle. Classification-JEL: E24, E32, I15. Keywords: Health, Mortality, Unemployment, Income. Journal: Bulletin of Applied Economics Pages: 47-54 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/the-%ce%b9mpact-of-business-cycles-on-health-status-in-the-united-states-during-the-past-half-century/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:47-54 Template-Type: ReDIF-Article 1.0 Author-name: Apostolos Kiohos Title: Insurance Markets Risk Affects Global Reinsurance Market Risk? Evidence from USA and Europe Insurance Markets Abstract: Reinsurance is the last shelter of traditional international risk management. Insurance companies cede part of their risks incurred to the reinsurance companies and this enhances the proper risk diversification procedure. This paper investigates the risk transmission characteristics from the USA and Europe insurance markets on the Global reinsurance market in order to analyse the risk affection of insurance to the reinsurance sector. The results suggest that there is a relatively low risk influence of non-life and life insurance companies on the global reinsurance index. Also, last four years the U.S. non-life and life insurance markets volatility asymmetry has an impact on the volatility of the global reinsurance index in terms of bad and good news. The volatility persistence is high before and after the pandemic period, indicating that if there is an extreme volatility shock in the insurance markets, the impact will occur faster on global reinsurance, except for the European non-life insurance index, which has the lowest impact on the reinsurance market in terms of the volatility persistence. Classification-JEL: G22, G32, D53, C5. Keywords: Reinsurance, Risk Analysis, Non- Life Insurance, Life Insurance, TGARCH. Journal: Bulletin of Applied Economics Pages: 55-64 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/insurance-markets-risk-affects-global-reinsurance-market-risk-evidence-from-usa-and-europe-insurance-markets/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:55-64 Template-Type: ReDIF-Article 1.0 Author-name: Chih-Hsiung Chang Title: Exploring the Impact of the Cash Cards on Taiwan’s Dual-Card Crisis under the Information Asymmetry Abstract: The purpose of the article was to explore the impact of the cash cards on Taiwan’s dual-card crisis under the information asymmetry. Accordingly, the article was based on the quality analysis primarily combined with the method of the document analysis and constructed the information asymmetry model ,including the two criteria of the adverse selections and the moral hazards. The results of the article showed that the impact of the cash cards on Taiwan’s dual-card crisis was no less than that of the credit cards even if the issuing scale of the cash cards was much smaller . The findings revealed the significant management implication for the financial authorities that the cash cards shouldn’t be ignored if the dual-card crisis needed to be solved. Classification-JEL: G01, G21, G28. Keywords: Cash card, Information asymmetry, Adverse selections, Moral hazards, Dual-card crisis. Journal: Bulletin of Applied Economics Pages: 65-81 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/exploring-the-impact-of-the-cash-cards-on-taiwans-dual-card-crisis-under-the-information-asymmetry/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:65-81 Template-Type: ReDIF-Article 1.0 Author-name: Guangyun Deng Author-name: Hui-Chung Che Author-name: Yingwu Peng Title: A Study on Patents Invalidation Reexamination Decisions for Discussing Variance between Strong Utility Models and Weak Utility Models Abstract: 19,082 China utility model patents were retrieved from invalidation reexaminations decisions. A thorough analysis using ANOVA was conducted across nine technology areas for discussing the variances between weak utility models, in any of which all claims were invalid through the reexaminations, and strong utility models, in any of which at least one claim was remaining valid. Four high value indicators for classifying utility models were found, including description word count, examination duration, figure count and claim count, to respectively show significance in five technology areas; wherein the strong patents showed significantly higher means of indicators in every technology areas of significance. Two fair value indicators for classification were found, including IPC count and abstract word count, to respectively show significance in three technology areas. Two low value indicators for classification were found, including inventor count and applicant count, showing significance in two or less technology areas. Technology distinction was shown. The overall technology and technology G (physics) were respectively provided with the most number of five valuable indicators, while technology C (chemistry and metallurgy) and D (textiles; paper) were respectively provided with the least number of three valuable indicators. The technologies provided with more valuable indicators were more applicable for classifying strong/weak utility models. The strong utility models were shown to be provided with more claim terms, more figures, richer description content and longer examination duration. The criteria for classification was therefore obtained. Classification-JEL: C38, C46, G11, G12. Keywords: Patent, ANOVA, Utility Model, Reexamination, Invalidation. Journal: Bulletin of Applied Economics Pages: 83-110 Volume: 11 Issue: 2 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/a-study-on-patents-invalidation-reexamination-decisions-for-discussing-variance-between-strong-utility-models-and-weak-utility-models/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:11:y:2024:i:2:p:83-110 Template-Type: ReDIF-Article 1.0 Author-name: Mohammad Sogir Hossain Khandoker Author-name: Md. Shakil Mallik Author-name: Rafiqul Bhuyan Title: Impact of Macroeconomic Variables on Foreign Direct Investment of Bangladesh Abstract: The main purpose of the study is to explore the impact of macroeconomic variables, such as GDP growth rate (GDPGR), inflation rate (INF), the real exchange rate (RER), and balance of trade (BOT) on foreign direct investment the FDI in Bangladesh. Data has been gathered from the World Bank's data indicators for the years 1987-2022. Our result shows that there is a significant and positive correlation between the macro variables and FDI. Additionally, the macro variables are co-integrated and have both short-run and long-run relations with FDI. We also observe that there are unidirectional relations of GDP growth and real exchange rate with foreign direct investment. On the contrary, there is a non-directional causality between the balance of trade and FDI along with inflation and FDI. Thus, for attracting foreign investors, the government of Bangladesh and economic policymakers should focus on and critically analyze macroeconomic aspects that highly influence the FDI in Bangladesh. Classification-JEL: G18, F32. Keywords: Foreign Direct Investment (FDI), Gross Domestic Product Growth Rate (GDPGR), Balance of Trade (BOT), Real Exchange Rate (RER), Inflation Rate (INF). Journal: Bulletin of Applied Economics Pages: 1-19 Volume: 12 Issue: 1 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/impact-of-macroeconomic-variables-on-foreign-direct-investment-of-bangladesh/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:1-19 Template-Type: ReDIF-Article 1.0 Author-name: Vasilis Zervos Title: A Note on Strategic Trade Applications and Public Support Selection in the Aerospace industry: Which Subsidy for Airliner Manufacturers? Abstract: Policy makers and academics have long analyzed a duopoly in the commercial airliners manufacturers industry between Airbus and Boeing. Particular attention has been paid to the structure and performance of the industry, as well as the crucial role of subsidies in the context of strategic trade theory and applications, leading to one of the longest World Trade Organization cases. This analysis is becoming increasingly topical as both competitors experience significant backlogs with indications that their capacity does not meet demand, public discussion on subsidies is increasing and new contenders in the long haul market are becoming visible. The modeling method developed compares and evaluates government support in the forms of capacity enhancement with the relevant support of per unit cost on the performance of the domestic firm. The results are compatible with the stylized evidence, revealing that the capacity enhancement mechanism is inferior in boosting the domestic firm’s performance. Classification-JEL: D21, D22, D43, F12. Keywords: Subsidies, Airbus, Boeing, Microeconomics, Strategic Trade. Journal: Bulletin of Applied Economics Pages: 21-29 Volume: 12 Issue: 1 Year: 2024 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/a-note-on-strategic-trade-applications-and-public-support-selection-in-the-aerospace-industry-which-subsidy-for-airliner-manufacturers/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2024:i:1:p:21-29 Template-Type: ReDIF-Article 1.0 Author-name: Paul Muda Author-name: John MacCarthy Author-name: Kingsley Tornyeva Author-name: Nora Danso Title: Mediating Role of Firm Resilience between the Institutional Isomorphic Pressures and Adoption of IFRS for SMEs in Ghana Abstract: The purpose of the study was to assess the direct and indirect effect of institutional isomorphic pressures on the adoption of IFRS for SMEs in Ghana. This study administered a questionnaire to collect primary data to assess the relationship between the variables. Multistage sampling methods were used to select the sample size as the true representative of the 16 regions of Ghana without bias. The study employed factor analysis, and structural equation model analysis to test the null hypotheses in this study. The results revealed that coercive isomorphic and mimetic isomorphic pressures significantly affect the adoption of IFRS for SMEs positively in Ghana. Secondly, the result showed that firm resilience partly mediates the direct relationship between coercive, mimetic isomorphic pressures and the adoption of IFRS for SMEs. However, normative isomorphic pressure has no direct or indirect (mediation) effect on the adoption of IFRS for SMEs in Ghana. The study recommends that the government must place emphasis on both internal and external drivers, particularly the firm’s resilience, to facilitate more successful adoptions of IFRS for SMEs in Ghana. Secondly, the government needs to encourage accountants in SMEs to join professional accounting bodies. Again, the study recommends that the government, through the Ministry of Trade and Industry (MoTI), collaborate with the regulator (ICAG) to provide financial accounting education to SME owners and accounting personnel who lack the necessary skills to adopt and implement IFRS for SMEs in Ghana. Finally, Ministry of Trade and Industries should establish a special pathway for non-professional accounting personnel in SMEs to become ICAG members and receive incentives. Classification-JEL: M40, M41, M48. Keywords: IFRS for SMEs, Coercive pressure, Normative pressure, Mimetic pressure, Isomorphic pressure. Journal: Bulletin of Applied Economics Pages: 31-63 Volume: 12 Issue: 1 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/mediating-role-of-firm-resilience-between-the-institutional-isomorphic-pressures-and-adoption-of-ifrs-for-smes-in-ghana/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:31-63 Template-Type: ReDIF-Article 1.0 Author-name: Panagiotis Tsintzos Title: Equilibrium Unemployment and the Finance of Unemployment Benefits Abstract: This paper examines the impact of a tax scheme that considers a flat tax rate on employment income on equilibrium employment within a general equilibrium framework, incorporating Shapiro and Stiglitz's (1984) theory of wage rigidity. We consider taxation of wages, which are used to finance, under a government’s balanced budget regime, unemployment benefits, and analyse the effects on labour market outcomes. Our results show that the introduction of taxation on wages leads to an upward shift of the no-shirking condition (NSC) curve and a new equilibrium point at a higher level of unemployment and higher wages. The results underscore the significance of tax scheme design in shaping labour market equilibrium. These results may have a role in policy decisions aimed at promoting employment and economic growth and offer some insight for empirical studies on the estimation of the level of equilibrium unemployment. Classification-JEL: E24, H21, J64. Keywords: Unemployment, Wage rigidity, Taxation, Labour demand, Efficiency wage theory. Journal: Bulletin of Applied Economics Pages: 65-74 Volume: 12 Issue: 1 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/equilibrium-unemployment-and-the-finance-of-unemployment-benefits/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:65-74 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Arjun Chatrath Author-name: Saman Hatamerad Author-name: Kambiz Raffiee Title: Equity Markets Volatility, Regime Dependence and Economic Uncertainty: The Case of Pacific Basin Abstract: This study investigates the relationship between the market volatility of the iShares Asia 50 ETF (AIA) and economic and market sentiment indicators from the United States, China, and globally during periods of economic uncertainty. Specifically, it examines the association between AIA volatility and key indicators such as the US Economic Uncertainty Index (ECU), the US Economic Policy Uncertainty Index (EPU), China's Economic Policy Uncertainty Index (EPUCH), the Global Economic Policy Uncertainty Index (GEPU), and the Chicago Board Options Exchange's Volatility Index (VIX), spanning the years 2007 to 2023. Employing methodologies such as the two-covariate GARCH-MIDAS model, regime-switching Markov Chain (MSR), and quantile regressions (QR), the study explores the regime-dependent dynamics between AIA volatility and economic/market sentiment, taking into account investors' sensitivity to market uncertainties across different regimes. The findings reveal that the relationship between realized volatility and sentiment varies significantly between high- and low-volatility regimes, reflecting differences in investors' responses to market uncertainties under these conditions. Additionally, a weak association is observed between short-term volatility and economic/market sentiment indicators, suggesting that these indicators may have limited predictive power, especially during high-volatility regimes. The QR results further demonstrate the robustness of MSR estimates across most quantiles. Overall, the study provides valuable insights into the complex interplay between market volatility and economic/market sentiment, offering practical implications for investors and policymakers. Classification-JEL: G10, G12, G37. Keywords: Volatility, GARCH-MIDAS, VIX, Economic policy uncertainty, Quantile regression, Regime switching Markov Chain regression. Journal: Bulletin of Applied Economics Pages: 75-105 Volume: 12 Issue: 1 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/equity-markets-volatility-regime-dependence-and-economic-uncertainty-the-case-of-pacific-basin/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:75-105 Template-Type: ReDIF-Article 1.0 Author-name: Junhyun Bae Title: Supply Chain Dynamics: How Risk and Bargaining Shape Cost Pass-through Abstract: This study employs a game-theoretic approach to examine cost pass-through in a supply chain involving a manufacturer and a retailer, factoring in yield uncertainty and bargaining power. We analyze how manufacturer cost changes affect wholesale and retail prices, focusing on supply-side risks and negotiation dynamics. The base model reveals three key insights: (1) yield uncertainty lowers the cost pass-through rate, stabilizing downstream prices; (2) higher mean yield enhances pass-through, reflecting cost shifts more fully; and (3) increased manufacturer bargaining power reduces pass-through, keeping costs upstream. An extended model introduces retailer effort to boost demand, uncovering additional dynamics: low effort costs can lead to negative pass-through, where retail prices drop despite cost rises, while higher effort costs shift pass-through toward positive values. These findings underscore the complex interplay of uncertainty, bargaining, and strategic effort in shaping pricing outcomes. We offer managerial insights for navigating cost volatility and suggest future research directions, such as dynamic models and empirical validation. Classification-JEL: L11, M11, M21. Keywords: Supply chain risk, Cost pass-through, Stackelberg game, Bargaining power. Journal: Bulletin of Applied Economics Pages: 107-117 Volume: 12 Issue: 1 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/supply-chain-dynamics-how-risk-and-bargaining-shape-cost-pass-through/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:1:p:107-117 Template-Type: ReDIF-Article 1.0 Author-name: Soukvisan Khinsamone Author-name: Zhang Yang Author-name: Visansack Khamphengvong Author-name: Sisabay Chanthasombath Title: Cointegration between Electricity prices and the Consumer Price Index in Lao PDR Abstract: This study investigates the relationship among electricity prices, exchange rates, and the Consumer Price Index (CPI) in Lao PDR using the nonlinear autoregressive distributed lag model. It employs time-series data from 1990 to 2023 and applies unit root tests, cointegration analysis, and bound testing to examine both long- and short-run relationships. The empirical results indicate that electricity price increases significantly contribute to inflation, while exchange rate depreciation has a stronger inflationary effect than appreciation. The short-run dynamics further confirm these asymmetric effects, with the CPI responding more strongly to depreciation than to appreciation. Additionally, the error correction term is negative and statistically significant, confirming that deviations from equilibrium gradually adjust over time. These findings highlight the importance of exchange rate stability and electricity price management in controlling inflation in Lao PDR. Classification-JEL: C32, Q41, E31. Keywords: Electricity Prices, Consumer Price Index, NARDL Model, Lao PDR. Journal: Bulletin of Applied Economics Pages: 1-13 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/cointegration-between-electricity-prices-and-the-consumer-price-index-in-lao-pdr/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:1-13 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Arjun Chatrath Author-name: Kambiz Raffiee Title: Latin American Equities, Volatility Regimes, and the US Economic Policy Uncertainty Abstract: We investigate how the volatility of the iShares Latin America 40 ETF (ILF) responds to key economic and market sentiment indicators associated with economic uncertainty. Specifically, we explore the regime-dependent nature of ILF volatility in relation to Economic Policy Uncertainty (EPU), U.S. Economic Uncertainty (ECU), Global Economic Policy Uncertainty (GEPU), and implied risk, as captured by the Chicago Board Options Exchange's VIX (CBOE VIX), from 2001 to 2023. Our findings highlight that the connection between market volatility and economic/market sentiment is influenced by distinct volatility regimes. Utilizing a two-covariate GARCH-MIDAS (GM) model, a regime-switching Markov Chain (MSR) model, and quantile regressions (QR), we reveal that the impact of sentiment on realized volatility varies depending on the prevailing volatility regime, reflecting investors’ differing responses to market uncertainty. Additionally, our results show a significant linkage between ILF’s short and long-term volatility and economic uncertainty/sentiment indicators, suggesting that these factors shape ILF volatility across different market conditions and quantiles of the volatility distribution. Overall, our findings indicate that investor sentiment and economic uncertainty extend beyond their domestic origins, influencing volatility patterns in U.S., global, and Latin American markets. Classification-JEL: G12, G14, G38. Keywords: Volatility, GARCH-MIDAS, VIX, Economic policy uncertainty, Global economic policy uncertainty, Quantile regression, Regime switching Markov Chain regression. Journal: Bulletin of Applied Economics Pages: 15-44 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/latin-american-equities-volatility-regimes-and-the-us-economic-policy-uncertainty/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:15-44 Template-Type: ReDIF-Article 1.0 Author-name: Foungnigué Noé COULIBALY Author-name: Tito Nestor TIEHI Author-name: Sylvain N’GUESSAN Author-name: Ahwoua Severin Daniel AKOSSI Title: Social Protection and Economic Growth in ECOWAS zone Abstract: This study was applied in ECOWAS countries where mortality rates still remain a concern and this correlates with the low level of social protection despite the numerous social protection policies and systems implemented to improve the living conditions of the most vulnerable populations. The objective of the paper is to analyze the link between social protection and economic growth in ECOWAS countries. Using data from the World Bank WDI (2022), the econometric approaches used are causal analysis based on Granger causality and the DOLS estimation technique. On the one hand, there is a unidirectional relationship between social protection and economic growth in ECOWAS countries. On the other hand, social protection improves economic growth through per capita income in the ECOWAS zone. In conclusion, social protection significantly improves economic growth. Therefore, the implications of economic and social policies should be to emphasize social protection which could improve human capital capable of guaranteeing sustainable development. Classification-JEL: H55, O47, E24, C51. Keywords: Social protection, Economic growth, Human capital, Granger causality. Journal: Bulletin of Applied Economics Pages: 45-62 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/social-protection-and-economic-growth-in-ecowas-zone/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:45-62 Template-Type: ReDIF-Article 1.0 Author-name: Zacharias Bragoudakis Author-name: Ioannis Krompas Title: Greek GDP Forecasting Using Bayesian Multivariate Models Abstract: Building on a proper selection of macroeconomic variables for constructing a Gross Domestic Product (GDP) forecasting multivariate model (Kazanas, 2017), this paper evaluates whether alternative Bayesian model specifications can provide greater forecasting accuracy compared to a standard Vector Error Correction model (VECM). To that end, two Bayesian Vector Autoregression models (BVARs) are estimated, a BVAR using Litterman’s prior (1979) and a BVAR with time-varying parameters (TVP-VAR). The BVAR is found to have statistically significant forecasting gains against the benchmark and the TVP-VAR. Furthermore, the BVAR requires only minimal modifications to account for the effect of pandemic observations on its coefficients, only for longer-term forecasts. Classification-JEL: C11, C51, C52, C53. Keywords: Bayesian VARs, Forecasting, GDP, VECM. Journal: Bulletin of Applied Economics Pages: 63-76 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/greek-gdp-forecasting-using-bayesian-multivariate-models/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:63-76 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Saman Hatamerad Author-name: Ales Kresta Author-name: Tomas Tichy Title: Uncertainty and Volatility: Sectoral Equity Responses to Economic and Policy Shocks in the U.S. Abstract: This study investigates the effects of economic policy and financial uncertainty on equity return volatility across major U.S. sectoral indices. Specifically, it examines the relationships between uncertainty indices and the S&P 500 financials sector index (SPF), the Wilshire U.S. Real Estate Investment Trust Total Market Index (WRE), and the iShares U.S. Consumer Staples ETF (IYK). The analysis employs GARCH-MIDAS methodology, Markov Switching Regressions (MSR), Threshold Regressions, and Granger causality tests. Results from the sectoral analysis indicate varying degrees of sensitivity to uncertainty across sectors. The consumer staples sector exhibits consistently high volatility, largely driven by shifts in consumer sentiment, income dynamics, and inflation expectations. Over the long term, global economic policy uncertainty (GEPU) and recession risk further amplify volatility in this sector, reflecting its deep integration into global supply chains. The real estate sector demonstrates a more conditional response; its volatility increases significantly in the presence of economic policy uncertainty (EPU), but primarily during periods of elevated recession risk. Under stable economic conditions, real estate equities appear relatively insensitive to both inflation expectations and GEPU. In contrast, the financial sector displays both short- and long-term strong and persistent sensitivity to indicators, particularly EPU, inflation expectations, and the VIX. Classification-JEL: G12, G14, G38. Keywords: Volatility, GARCH-MIDAS, VIX, Economic Policy Uncertainty, Global Economic Policy Uncertainty, Threshold Regression, Regime Switching Markov Chain Regression. Journal: Bulletin of Applied Economics Pages: 77-110 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/uncertainty-and-volatility-sectoral-equity-responses-to-economic-and-policy-shocks-in-the-u-s/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:77-110 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Arjun Chatrath Author-name: Madhuparna Kolay Author-name: Kambiz Raffiee Title: Economic and Policy Uncertainties and Firm Value in the U.S. Consumer Nondurable Goods Industry Abstract: This paper examines the impact of macroeconomic and policy-related uncertainties on firm value, measured by Tobin’s Q, for a panel of nine major U.S. consumer nondurable goods firms from 1980 through the first quarter of 2022. Utilizing panel quantile regression and panel MIDAS-VAR models, the analysis incorporates firm-level financial variables such as the current and quick ratios, debt-to-asset ratio, and operating income after depreciation. The findings reveal that economic policy uncertainty, consumer confidence, and inflationary expectations are positively associated with Tobin’s Q and Granger cause firm value across the distribution. In contrast, recessionary expectations do not significantly influence Tobin’s Q, reflecting the essential nature of the sector’s products and its relative insulation from business cycle downturns. These results suggest that firms in this sector may benefit from strategic focus on liquidity management, operational efficiency, and responsiveness to shifts in consumer sentiment and policy conditions. Classification-JEL: L6, M0, M2. Keywords: Tobin’s Q, Uncertainty, Economic Policy Uncertainty, Inflation expectations, Consumer confidence index, Panel quantile regression, Panel MIDS Vector autoregressive. Journal: Bulletin of Applied Economics Pages: 111-133 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/economic-and-policy-uncertainties-and-firm-value-in-the-u-s-consumer-nondurable-goods-industry/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:111-133 Template-Type: ReDIF-Article 1.0 Author-name: Chien-Jung Ting Author-name: Yi-Long Hsiao Author-name: Jia-Jhen Shen Title: Tourist Sites and Visitor Numbers in Taiwan: An Online Buzz Analysis Abstract: This study highlights the influence of online buzz by examining the effect of tourism and recreational site-related keywords on inbound tourism to Taiwan. Using large-scale, real-time data from Google Trends, we assess how search interest in key attractions predicts tourist arrivals. Principal Component Analysis (PCA) is applied to construct a composite index of search activity, allowing us to explore its relationship with inbound tourist numbers. The results indicate that six keywords - Longshan Temple, Jiufen, Miramar Entertainment Park, Fushoushan Farm, Yangmingshan National Park, and Raohe Street Night Market - are significantly associated with tourist arrivals. The growing use of social media and real-time information platforms has enhanced tourists’ awareness and interest in Taiwanese attractions, supporting the steady growth of inbound tourism. Government initiatives promoting smart tourism through digital technology and big data further amplify the visibility of Taiwan’s tourism resources and contribute to tourism development. The study’s principal contribution lies in leveraging real-time data; by providing richer and timelier information than conventional official statistics, these data yield more precise and statistically significant results. Moreover, because few studies use real-time data to examine the direct effect of online buzz on inbound tourist arrivals to Taiwan, this paper fills that gap. Classification-JEL: C60, O11, R11. Keywords: Principal Component Analysis (PCA), Tourism and Recreational Site, Vector Autoregressive (VAR). Journal: Bulletin of Applied Economics Pages: 135-147 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/tourist-sites-and-visitor-numbers-in-taiwan-an-online-buzz-analysis/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:135-147 Template-Type: ReDIF-Article 1.0 Author-name: Alliou Salihini DIARRASSOUBA Author-name: Sylvain N’GUESSAN Author-name: Xavier Fabrice Mea ANZARA Author-name: Tito Nestor TIEHI Title: Fintech Contribution to Health Sector Performance in Waemu Abstract: The recent emergence of financial technologies (Fintech) in the countries of the West African Economic and Monetary Union (WAEMU) has sparked growing interest, particularly with regard to their impact on the health sector. This study analyses the contribution of Fintech to the performance of health systems in the eight countries of the Union over the period 2011-2021. Methodologically, it uses two approaches : the double bootstrap DEA method developed by Simar and Wilson (2007) and the quantile moments method developed by Machado and Silva (2019). The results indicate that healthcare systems in the region are marked by technical inefficiency, with an average corrected score of 55.3%. Furthermore, the positive effect of Fintech appears to be particularly pronounced in countries with the lowest levels of healthcare performance (quantiles 10, 25 and 50). Classification-JEL: O33, D24, I10, C15, C21. Keywords: Fintech, Performance, Health Systems, Double Bootstrap DEA, Quantile Moments. Journal: Bulletin of Applied Economics Pages: 149-163 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/fintech-contribution-to-health-sector-performance-in-waemu/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:149-163 Template-Type: ReDIF-Article 1.0 Author-name: Mounoufie Valery KOFFI Author-name: Moro Jean-Pierre EBY Author-name: Dago Okoubi Arthur YAO Title: Relationship Between Macroeconomic instability and current account in WAEMU countries Abstract: In this study, we analyze the link between macroeconomic instability and the current account balance within the WAEMU zone. We use World Bank data from 1990 to 2022 and apply an econometric approach based on VAR modeling. The results indicate that the current account balance reacts negatively to macroeconomic instability shocks, but positively to supply shocks (GDP growth rate). The causality test reveals a bidirectional relationship between macroeconomic instability and the current account balance. These results highlight the need for macroeconomic stabilization policies and institutional reforms to strengthen economic resilience in the WAEMU zone. Policymakers should prioritize strategies that simultaneously promote stability and growth, thereby improving the domestic economy and external position of member countries. Classification-JEL: F14, F41, F62, C33. Keywords: Macroeconomic instability, current account balance, Panel VAR. Journal: Bulletin of Applied Economics Pages: 165-174 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/relationship-between-macroeconomic-instability-and-current-account-in-waemu-countries/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:165-174 Template-Type: ReDIF-Article 1.0 Author-name: Hiroaki Sakurai Author-name: Kenji Nozaki Title: Pull Factors of Immigration in Thailand: GDP, Economic Disparity, Poverty, Unemployment, and FDI Abstract: This study examined the pull factors of immigrants in Thailand by exploring the relationship between immigration and macroeconomic statistics, including per capita gross domestic product (GDP), the Gini coefficient, the unemployment rate, the poverty rate, and foreign direct investment (FDI) from 2009 to 2021. Since Thailand attracts low-skilled immigrants from surrounding countries such as Cambodia, Laos, and Myanmar, as well as highly skilled immigrants from developed nations, the direction of inflow and outflow across the border is more complicated compared with countries that are more clearly categorized as either low-income or high-income. As for estimation outcomes, first, the relationship linking the number of migrants to economic disparities, the poverty ratio, and the unemployment rate declines when economic disparities rise; this is partially because many low-skilled laborers are engaged in the workforce. Second, the relationship between remittances per migrant and economic disparities, per capita GDP, and FDI increases under a diminished Gini coefficient while the poverty ratio and unemployment rise; this is partially because remittances include those sent to developed nations. In general, the pull factors of immigrants in Thailand are stronger among immigrants from developed countries, although these factors are reflected among immigrants from both developed and developing states. Classification-JEL: F22, O53, J61. Keywords: Immigration, Pull factor, Thailand. Journal: Bulletin of Applied Economics Pages: 175-182 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/pull-factors-of-immigration-in-thailand-gdp-economic-disparity-poverty-unemployment-and-fdi/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:175-182 Template-Type: ReDIF-Article 1.0 Author-name: Bahram Adrangi Author-name: Ales Kresta Author-name: Kambiz Raffiee Author-name: Tomas Tichy Title: Volatility in U.S. Natural Gas Prices: Exploring Market Dynamics and Economic Policy Uncertainties Abstract: We investigate the association between the Henry Hub natural gas pricFe (HHNGP) short-and long-run volatilities in the US and Global economic policy uncertainties, and crude oil market uncertainties (GEPU, OVX, respectively). Our findings from a GARCH-MIDAS methodology that takes the US industrial production and the US economic policy uncertainty (EPU) into account, Markov switching regressions (MSR) and Quantile Granger causality tests suggest that the association of realized short-term and long-term volatilities and global policy and oil market uncertainties are stable over time. Both the short- and long-term volatilities (STV and LTV, respectively) are Granger caused by GEPU and OVX at some quantiles. These findings have significant ramifications for policy makers and natural gas users in US. Classification-JEL: Q31, Q39, G10. Keywords: Natural gas price volatility, GARCH-MIDAS, Economic policy uncertainty, Economic uncertainty, Quantile Regression Granger causality, Markov Switching Regression. Journal: Bulletin of Applied Economics Pages: 183-208 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/volatility-in-u-s-natural-gas-prices-exploring-market-dynamics-and-economic-policy-uncertainties/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:183-208 Template-Type: ReDIF-Article 1.0 Author-name: Catherine Georgiou Title: Puzzling behavioral mechanisms under extreme market conditions: A bibliometric and systematic literature review Abstract: The present study maps the academic literature on behavioral mechanisms that evolve under significant and troublesome economic circumstances in the investment arena. Academic scholars have supported a rising interest and publication thrust on behavioral biases but have limited focus on the mental inclinations and heuristics that form investment decision-making, the underlying dynamics through which opinion impacts on market unpredictability, and the ramifications for speculation procedures. Through bibliometric tools, the study analyzes 220 research papers from the Scopus database and adopts performance examination techniques that assist in identification of impactful journals, prolific authors, countries and affiliations that have contributed to the development of this sub-discipline in behavioral finance. Bibliographic and thematic mapping also generate significant perceptiveness on the intellectual and conceptual structure of the field. The research guidance provided by this review will hopefully provide a roadmap for future research endeavors. Classification-JEL: G01, G40, G41. Keywords: Financial crises, Asset Booms and Busts, Fear, Greed, Behavioral Finance concepts. Journal: Bulletin of Applied Economics Pages: 209-229 Volume: 12 Issue: 2 Year: 2025 File-URL: https://www.riskmarket.co.uk/bae/journals-articles/issues/puzzling-behavioral-mechanisms-under-extreme-market-conditions-a-bibliometric-and-systematic-literature-review/?download=attachment.pdf File-Format: Application/pdf Handle: RePEc:rmk:rmkbae:v:12:y:2025:i:2:p:209-229