Value at Risk (VaR) estimates the maximum loss a portfolio may incur at a given confidence level over a specified time, while expected shortfall (ES) determines the probability weighted losses greater than VaR. VaR has recently been replaced by (but remains a crucial step in the computation of) ES by the Basel Committee on Banking Supervision (BCBS) as the primary metric for banks to forecast market risk and allocate the relevant amount of regulatory market risk capital. The aim of the study is to introduce a more accurate approach of measuring VaR and hence ES determined using loss forecast accuracy. VaR (hence ES) is unobservable and depends on subjective measures like volatility, more accurate (loss forecast) estimates of both are constantly sought. Modelling the volatility of asset returns as a stochastic process, so a Kalman filter (which distinguishes and isolates noise from data using Bayesian statistics and variance reduction) is used to estimate both market risk metrics. A variety of volatility estimates, including the Kalman filter's recursive approach, are used to measure VaR and ES. Loss forecast accuracy is then computed and compared. The Kalman filter produces the most accurate loss forecast estimates in periods of both calm and volatile markets. The Kalman filter provides the most accurate forecasts of future market risk losses compared with standard methods which results in more accurate provision of regulatory market risk capital.
风险价值（VaR）估算投资组合在特定时间内特定置信水平下可能产生的最大损失，而预期缺口（ES）则确定大于风险价值的概率加权损失。巴塞尔银行监管委员会（BCBS）最近用 ES 取代了 VaR（但 ES 仍是计算 ES 的关键步骤），作为银行预测市场风险和分配相关监管市场风险资本的主要指标。本研究的目的是引入一种更准确的方法来衡量风险价值，进而利用损失预测的准确性来确定 ES。风险价值率（进而 ES）是不可观测的，并依赖于波动率等主观衡量标准，因此人们一直在寻求对二者进行更准确的（损失预测）估算。将资产收益的波动率建模为一个随机过程，因此使用卡尔曼滤波器（利用贝叶斯统计和方差缩小从数据中区分和隔离噪音）来估算这两个市场风险指标。各种波动率估算，包括卡尔曼滤波器的递归方法，都被用来衡量 VaR 和 ES。然后计算并比较损失预测的准确性。在市场平静和波动时期，卡尔曼滤波器都能得出最准确的损失预测估计值。与标准方法相比，卡尔曼滤波法能最准确地预测未来市场风险损失，从而更准确地提供监管市场风险资本。
{"title":"Estimating Value at Risk and Expected Shortfall: A Kalman Filter Approach","authors":"Max van der Lecq, G. Vuuren","doi":"10.32479/ijefi.15184","DOIUrl":"https://doi.org/10.32479/ijefi.15184","url":null,"abstract":"Value at Risk (VaR) estimates the maximum loss a portfolio may incur at a given confidence level over a specified time, while expected shortfall (ES) determines the probability weighted losses greater than VaR. VaR has recently been replaced by (but remains a crucial step in the computation of) ES by the Basel Committee on Banking Supervision (BCBS) as the primary metric for banks to forecast market risk and allocate the relevant amount of regulatory market risk capital. The aim of the study is to introduce a more accurate approach of measuring VaR and hence ES determined using loss forecast accuracy. VaR (hence ES) is unobservable and depends on subjective measures like volatility, more accurate (loss forecast) estimates of both are constantly sought. Modelling the volatility of asset returns as a stochastic process, so a Kalman filter (which distinguishes and isolates noise from data using Bayesian statistics and variance reduction) is used to estimate both market risk metrics. A variety of volatility estimates, including the Kalman filter's recursive approach, are used to measure VaR and ES. Loss forecast accuracy is then computed and compared. The Kalman filter produces the most accurate loss forecast estimates in periods of both calm and volatile markets. The Kalman filter provides the most accurate forecasts of future market risk losses compared with standard methods which results in more accurate provision of regulatory market risk capital.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139523915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This article aims to elucidate the direct and indirect repercussions of migration on economic growth, specifically examining its interaction with unemployment within a backdrop of political instability. Employing a simultaneous equation model, our study spans the period from 1990 to 2020, providing comprehensive insights into the intricate dynamics at play. The findings affirm a global resonance, particularly resonating across the majority of Middle East and North Africa (MENA) nations. Our empirical contribution endeavors to underscore the synergies between political instability and migration while unraveling the nuanced interplay among migration, unemployment, and economic growth within the confines of our study region. This analysis not only contributes to the existing body of knowledge but also underscores the complexity and multifaceted nature of these interactions in the MENA region.
{"title":"Interaction between Migration and Economic Growth through Unemployment in the Context of Political Instability in the MENA Region","authors":"A. Mtiraoui","doi":"10.32479/ijefi.15419","DOIUrl":"https://doi.org/10.32479/ijefi.15419","url":null,"abstract":"This article aims to elucidate the direct and indirect repercussions of migration on economic growth, specifically examining its interaction with unemployment within a backdrop of political instability. Employing a simultaneous equation model, our study spans the period from 1990 to 2020, providing comprehensive insights into the intricate dynamics at play. The findings affirm a global resonance, particularly resonating across the majority of Middle East and North Africa (MENA) nations. Our empirical contribution endeavors to underscore the synergies between political instability and migration while unraveling the nuanced interplay among migration, unemployment, and economic growth within the confines of our study region. This analysis not only contributes to the existing body of knowledge but also underscores the complexity and multifaceted nature of these interactions in the MENA region.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140501915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Social safety nets (SSNs) in Africa have become a key strategy for addressing poverty and vulnerability. However, the effectiveness of this policy instrument is dependent on design and implementation features. Much of the evidence on the design and implementation of SSNs from systematic literature reviews is skewed toward Latin America, Asia, and to a limited extent, Africa. Using preferred reporting items for systematic reviews and meta-analyses (PRISMA) methodology we aim to address this gap. Based on evidence extracted from 17 studies, we found more than 12 SSNs types in Tanzania, grouped into cash-based transfers, in-kind-based transfers, and public works which is consistent with the view that every country in Sub-Saharan Africa is implementing at least one type of SSNs. Subsequently, we found that the SSNs do not have a recertification program because most them were designed as time-bound, for which recertification was not necessary; and they were initially conceived to alleviate chronic poverty; thus, a maximum duration was not needed. Yet, existing design and implementation features generate inefficiency through duplications and overlaps, and limit potential coverage and performance.
{"title":"Design and Implementation of Social Safety Nets in Tanzania: A Systematic Review","authors":"Basil Msuha, L. Kissoly, Arnold Kihaule","doi":"10.32479/ijefi.15523","DOIUrl":"https://doi.org/10.32479/ijefi.15523","url":null,"abstract":"Social safety nets (SSNs) in Africa have become a key strategy for addressing poverty and vulnerability. However, the effectiveness of this policy instrument is dependent on design and implementation features. Much of the evidence on the design and implementation of SSNs from systematic literature reviews is skewed toward Latin America, Asia, and to a limited extent, Africa. Using preferred reporting items for systematic reviews and meta-analyses (PRISMA) methodology we aim to address this gap. Based on evidence extracted from 17 studies, we found more than 12 SSNs types in Tanzania, grouped into cash-based transfers, in-kind-based transfers, and public works which is consistent with the view that every country in Sub-Saharan Africa is implementing at least one type of SSNs. Subsequently, we found that the SSNs do not have a recertification program because most them were designed as time-bound, for which recertification was not necessary; and they were initially conceived to alleviate chronic poverty; thus, a maximum duration was not needed. Yet, existing design and implementation features generate inefficiency through duplications and overlaps, and limit potential coverage and performance. ","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140502050","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
L. Garekwe, S. Ferreira-Schenk, Z. Dickason-Koekemoer
In the era of globalisation and technological development, artificial intelligence (AI) plays a significant role in financial activities and services. AI in financial technology has a clear potential to accelerate the financial industry's transformation by offering excellent value to customers by providing tailor-made products and services, thus improving customer experience. The paper aims to model the factors influencing bank customers' readiness for artificially intelligent banking products within the South African banking sector. Data were collected from 346 banking customers within South Africa. The study results revealed that demographic and socio-cultural variables influence the readiness for artificially intelligent banking products. Behavioural finance biases also influence bank customers' readiness for artificially intelligent banking products. Furthermore, the study also found that customers' readiness for artificial intelligent banking products is faced with the limitation of the inaccessibility to technological tools in rural areas. Consequently, policies that can improve infrastructure and enable rural citizens to cope with advanced technology can improve bank customers' readiness for artificially intelligent banking products in South Africa.
{"title":"Modelling Factors Influencing Bank Customers’ Readiness for Artificial Intelligent Banking Products","authors":"L. Garekwe, S. Ferreira-Schenk, Z. Dickason-Koekemoer","doi":"10.32479/ijefi.15238","DOIUrl":"https://doi.org/10.32479/ijefi.15238","url":null,"abstract":"In the era of globalisation and technological development, artificial intelligence (AI) plays a significant role in financial activities and services. AI in financial technology has a clear potential to accelerate the financial industry's transformation by offering excellent value to customers by providing tailor-made products and services, thus improving customer experience. The paper aims to model the factors influencing bank customers' readiness for artificially intelligent banking products within the South African banking sector. Data were collected from 346 banking customers within South Africa. The study results revealed that demographic and socio-cultural variables influence the readiness for artificially intelligent banking products. Behavioural finance biases also influence bank customers' readiness for artificially intelligent banking products. Furthermore, the study also found that customers' readiness for artificial intelligent banking products is faced with the limitation of the inaccessibility to technological tools in rural areas. Consequently, policies that can improve infrastructure and enable rural citizens to cope with advanced technology can improve bank customers' readiness for artificially intelligent banking products in South Africa.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139523897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Using a quantitative longitudinal trends analysis, this study analysed the link between tax evasion and avoidance. The main aim was to assess the implications of evasion and avoidance of taxes on South African economy progress from 1994-2021. Publically secondary data available from South African Revenue authority were gathered. The data gathered provided us with basis of longitudinal statistical analysis of the extent of tax evasion and or tax avoidance affected the economic growth in the years 1994-2021. The Eviews 10 Results was used to estimate elasticities and buoyancies for major taxes with respect of South Africa’s economic growth for years 1994-2021. The natural logarithm of the gap between total budgeted tax income and realised tax income was also employed as a metric of tax evasion and avoidance in South Africa for this key research work. Ordinary Least Squares Regression (OLS) regression analysis was employed to evaluate whether the link between Gross Domestic Product (GDP) and tax evaded and avoided is strong or weak. Test for stationarity to see whether the parameter does not vary over time and for OLS was performed. The overall analysis of tax evasion and avoidance upon South African economy showed the increased tax revenue resulted in surpluses between tax revenue budgeted, tax revenue collected and economic growth (GDP), meaning tax evasion and avoidance in South Africa are minimal. The study's findings disprove prior studies that suggest that tax evasion and tax avoidance seriously affect Gross Domestic Products (GDP) and refute the null hypothesis of this study. However, the study’s results further revealed that increasing tax rates was said to have triggered a positive trend towards economic growth or GDP (actual revenue collected is more than expected taxation revenue annually to cover tax evaded and avoided. As far as policy is concerned the conclusion is reassuring that tax evasion and avoidance has minimal effect upon economic growth as long as tax rates are being risen. The results of this study provide implications for government that specific insights should allow policy makers to gain a better understanding on the key variables that are potentially associated with tax evasion and avoidance. Finally, the study contributes knowledge that is pertinent to an emerging country and provides much needed insights into the magnitude of the extent of tax evasion and avoidance on the county’s economic growth progress.
{"title":"The Effect of Tax Avoidance and Tax Evasion on the Performance of South African Economy","authors":"J. D. Mvunabandi, Bomi Nomala, Ferina Marimuthu","doi":"10.32479/ijefi.15221","DOIUrl":"https://doi.org/10.32479/ijefi.15221","url":null,"abstract":"Using a quantitative longitudinal trends analysis, this study analysed the link between tax evasion and avoidance. The main aim was to assess the implications of evasion and avoidance of taxes on South African economy progress from 1994-2021. Publically secondary data available from South African Revenue authority were gathered. The data gathered provided us with basis of longitudinal statistical analysis of the extent of tax evasion and or tax avoidance affected the economic growth in the years 1994-2021. The Eviews 10 Results was used to estimate elasticities and buoyancies for major taxes with respect of South Africa’s economic growth for years 1994-2021. The natural logarithm of the gap between total budgeted tax income and realised tax income was also employed as a metric of tax evasion and avoidance in South Africa for this key research work. Ordinary Least Squares Regression (OLS) regression analysis was employed to evaluate whether the link between Gross Domestic Product (GDP) and tax evaded and avoided is strong or weak. Test for stationarity to see whether the parameter does not vary over time and for OLS was performed. The overall analysis of tax evasion and avoidance upon South African economy showed the increased tax revenue resulted in surpluses between tax revenue budgeted, tax revenue collected and economic growth (GDP), meaning tax evasion and avoidance in South Africa are minimal. The study's findings disprove prior studies that suggest that tax evasion and tax avoidance seriously affect Gross Domestic Products (GDP) and refute the null hypothesis of this study. However, the study’s results further revealed that increasing tax rates was said to have triggered a positive trend towards economic growth or GDP (actual revenue collected is more than expected taxation revenue annually to cover tax evaded and avoided. As far as policy is concerned the conclusion is reassuring that tax evasion and avoidance has minimal effect upon economic growth as long as tax rates are being risen. The results of this study provide implications for government that specific insights should allow policy makers to gain a better understanding on the key variables that are potentially associated with tax evasion and avoidance. Finally, the study contributes knowledge that is pertinent to an emerging country and provides much needed insights into the magnitude of the extent of tax evasion and avoidance on the county’s economic growth progress. ","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139523909","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The study uses proxies of political polarization, popular support of the government, and government cohesion, to examine its role in explaining internal conflict and the specific types of political violence and civil disorder. The study uses panel data from 135 countries from 1990 to 2021. The research uses two econometric models, Quantile via Moments, to examine the effects of popular support and government cohesion across the distribution of internal conflict, and two-way fixed effects with Driscoll and Kraay standard errors. The two models account for heteroscedasticity, cross-sectional dependence, and autocorrelation. The study finds popular support of the government and its cohesion robustly explain internal conflict and its specific forms of political violence and civil disorder. The research also finds political polarization that reduces popular support and government cohesion influences internal conflict regardless of regime type. The variables are significant from autocratic to democratic, suggesting political polarization that reduces popular support and government cohesion can negatively affect internal conflict levels irrespective of regime. Finally, the study finds the internet has a minor mitigating impact on internal conflict, while its interaction with popular support and government cohesion slightly exacerbates internal conflict.
{"title":"Political Polarization and Internal Conflict: A Cross-National Analysis Using Popular Support and Government Cohesion as Proxies","authors":"Brandon Parsons","doi":"10.32479/ijefi.15368","DOIUrl":"https://doi.org/10.32479/ijefi.15368","url":null,"abstract":"The study uses proxies of political polarization, popular support of the government, and government cohesion, to examine its role in explaining internal conflict and the specific types of political violence and civil disorder. The study uses panel data from 135 countries from 1990 to 2021. The research uses two econometric models, Quantile via Moments, to examine the effects of popular support and government cohesion across the distribution of internal conflict, and two-way fixed effects with Driscoll and Kraay standard errors. The two models account for heteroscedasticity, cross-sectional dependence, and autocorrelation. The study finds popular support of the government and its cohesion robustly explain internal conflict and its specific forms of political violence and civil disorder. The research also finds political polarization that reduces popular support and government cohesion influences internal conflict regardless of regime type. The variables are significant from autocratic to democratic, suggesting political polarization that reduces popular support and government cohesion can negatively affect internal conflict levels irrespective of regime. Finally, the study finds the internet has a minor mitigating impact on internal conflict, while its interaction with popular support and government cohesion slightly exacerbates internal conflict.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139524173","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This study aimed to examine the impact of public governance quality on the market value of companies listed on the Amman Stock Exchange from 2002 to 2021. The study utilized the Autoregressive Distributed Lag (ARDL) model to analyze slow-moving distributed time series. The findings indicated a significant and positive correlation between various indicators of quality of public governance, such as voting and accountability, political stability and absence of violence, and organizational quality, with the market value of the listed companies. These results align with economic theory assumptions. However, in terms of Monetary freedom, another important indicator of the quality of public governance, the study found no statistically significant relationship with the market value of the listed companies at a significant level. This observation may be attributed to the government's limited capacity to manage the country's public financial resources efficiently and effectively, particularly regarding transparent and responsible administration of taxation, debt, and government expenditure.
{"title":"Analyzing the Impact of Quality of Public Governance on the Market Value of Companies Listed on the Amman Stock Exchange","authors":"Amjad S. Qwader","doi":"10.32479/ijefi.15371","DOIUrl":"https://doi.org/10.32479/ijefi.15371","url":null,"abstract":"This study aimed to examine the impact of public governance quality on the market value of companies listed on the Amman Stock Exchange from 2002 to 2021. The study utilized the Autoregressive Distributed Lag (ARDL) model to analyze slow-moving distributed time series. The findings indicated a significant and positive correlation between various indicators of quality of public governance, such as voting and accountability, political stability and absence of violence, and organizational quality, with the market value of the listed companies. These results align with economic theory assumptions. However, in terms of Monetary freedom, another important indicator of the quality of public governance, the study found no statistically significant relationship with the market value of the listed companies at a significant level. This observation may be attributed to the government's limited capacity to manage the country's public financial resources efficiently and effectively, particularly regarding transparent and responsible administration of taxation, debt, and government expenditure.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139524323","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
This research investigates the intricate relationship between the informal economy and income inequality in BRICS nations from 2000 to 2018. Defining the informal economy as economic activities outside the formal sector contributing to GDP, the study addresses a gap in existing literature that tends to overlook this sector's impact on income distribution. Utilizing panel unit root and panel cointegration tests, the findings reveal a significant and direct correlation between income inequality, the informal economy, and GDP in BRICS countries. The study uncovers a noteworthy revelation: a 1% increase in the informal economy leads to a substantial 3.24% rise in the GINI coefficient, showcasing the informal sector's profound influence on income inequality. Country-specific analyses identify India and Russia as frontrunners in this correlation, with China, Brazil, and South Africa following suit. Intriguingly, the analysis indicates that while a 1% rise in official GDP slightly worsens income distribution, the informal economy exerts a disproportionately negative impact on income inequality. This research provides valuable insights for policymakers, emphasizing the need to consider the informal economy's role in crafting effective strategies for mitigating income inequality within the BRICS context.
{"title":"The Relationship Between Informal Economy and Income Inequality: An Econometric Analysis for BRICS Countries","authors":"Hakan Kum","doi":"10.32479/ijefi.15664","DOIUrl":"https://doi.org/10.32479/ijefi.15664","url":null,"abstract":"This research investigates the intricate relationship between the informal economy and income inequality in BRICS nations from 2000 to 2018. Defining the informal economy as economic activities outside the formal sector contributing to GDP, the study addresses a gap in existing literature that tends to overlook this sector's impact on income distribution. Utilizing panel unit root and panel cointegration tests, the findings reveal a significant and direct correlation between income inequality, the informal economy, and GDP in BRICS countries. The study uncovers a noteworthy revelation: a 1% increase in the informal economy leads to a substantial 3.24% rise in the GINI coefficient, showcasing the informal sector's profound influence on income inequality. Country-specific analyses identify India and Russia as frontrunners in this correlation, with China, Brazil, and South Africa following suit. Intriguingly, the analysis indicates that while a 1% rise in official GDP slightly worsens income distribution, the informal economy exerts a disproportionately negative impact on income inequality. This research provides valuable insights for policymakers, emphasizing the need to consider the informal economy's role in crafting effective strategies for mitigating income inequality within the BRICS context.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139523902","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Mariem Talbi, Monia Mokhtar Ferchichi, Fatma Ismaalia, Samia Samil
The paper delves into the impact of the COVID-19 pandemic on foreign stock markets across several developed nations. It seeks to empirically validate the presence of contagion by employing an adjusted correlation test spanning 7 developing stock markets from February 1, 1992, to April 31, 2021. Employing the FIEGARCH (1.1), DCC-MGARCH(1,1), and Switching-Markov analysis models, the research uncovers compelling evidence of the pandemic's influence on most developed countries during the COVID-19 period. Notably, these markets appear significantly susceptible to the adverse effects brought about by the pandemic. Recognizing the substantial ramifications of financial downturns on monetary policy, risk assessment, asset valuation, and portfolio distribution, the findings hold paramount significance for policymakers, investors, and portfolio managers. This empirical investigation offers insights that could profoundly impact decision-making strategies in these domains, shedding light on crucial aspects for informed policy adjustments, investment decisions, and portfolio allocations amidst such critical market fluctuations.
{"title":"Unveiling COVID-19’s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets","authors":"Mariem Talbi, Monia Mokhtar Ferchichi, Fatma Ismaalia, Samia Samil","doi":"10.32479/ijefi.15643","DOIUrl":"https://doi.org/10.32479/ijefi.15643","url":null,"abstract":"The paper delves into the impact of the COVID-19 pandemic on foreign stock markets across several developed nations. It seeks to empirically validate the presence of contagion by employing an adjusted correlation test spanning 7 developing stock markets from February 1, 1992, to April 31, 2021. Employing the FIEGARCH (1.1), DCC-MGARCH(1,1), and Switching-Markov analysis models, the research uncovers compelling evidence of the pandemic's influence on most developed countries during the COVID-19 period. Notably, these markets appear significantly susceptible to the adverse effects brought about by the pandemic. Recognizing the substantial ramifications of financial downturns on monetary policy, risk assessment, asset valuation, and portfolio distribution, the findings hold paramount significance for policymakers, investors, and portfolio managers. This empirical investigation offers insights that could profoundly impact decision-making strategies in these domains, shedding light on crucial aspects for informed policy adjustments, investment decisions, and portfolio allocations amidst such critical market fluctuations.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140501550","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
There is evidence of recent rising public debts and low economic growth in Africa which is being attributed to the COVID-19 pandemic and the geopolitical tensions from the Russia-Ukraine war. With the evidence of also recent high corruption amidst low investments in Africa, it is thought-provoking to find empirically how public debt impact on economic growth per capita among African countries even before the COVID-19 pandemic and the geopolitical tensions from the Russia-Ukraine war with the mediation of control of corruption. The study used secondary data from the World Development Indicators, World Economic Outlook, and Worldwide Governance Indicators. The annual data spans from 1996 to 2019 for 45 countries. The study deployed a dynamic panel data estimation technique and controlled for other variables. The findings show a negative impact of gross debt percentage of GDP on economic growth but a positive interactive effect of excessive accumulation of gross public debt and the control of corruption on economic growth per capita among countries in Africa before the outbreak of the COVID-19 pandemic. In this COVID era of high public debt, governments can reduce their indebtedness by financing appropriate infrastructure while controlling corruption to increase the economic growth in their countries.
{"title":"Public Debt and Economic Growth in Africa in the Pre-Covid Era: The Role of Control of Corruption","authors":"A. Abotsi, Isaac Kwesi Ampah","doi":"10.32479/ijefi.15113","DOIUrl":"https://doi.org/10.32479/ijefi.15113","url":null,"abstract":"There is evidence of recent rising public debts and low economic growth in Africa which is being attributed to the COVID-19 pandemic and the geopolitical tensions from the Russia-Ukraine war. With the evidence of also recent high corruption amidst low investments in Africa, it is thought-provoking to find empirically how public debt impact on economic growth per capita among African countries even before the COVID-19 pandemic and the geopolitical tensions from the Russia-Ukraine war with the mediation of control of corruption. The study used secondary data from the World Development Indicators, World Economic Outlook, and Worldwide Governance Indicators. The annual data spans from 1996 to 2019 for 45 countries. The study deployed a dynamic panel data estimation technique and controlled for other variables. The findings show a negative impact of gross debt percentage of GDP on economic growth but a positive interactive effect of excessive accumulation of gross public debt and the control of corruption on economic growth per capita among countries in Africa before the outbreak of the COVID-19 pandemic. In this COVID era of high public debt, governments can reduce their indebtedness by financing appropriate infrastructure while controlling corruption to increase the economic growth in their countries.","PeriodicalId":30329,"journal":{"name":"International Journal of Economics and Financial Issues","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2024-01-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"139610327","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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