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.
{"title":"Corporate Social Responsibility and Credit Ratings: On the Moderating Role of Firm Capability","authors":"Chu-hsiung Lin, Tzu-chuan Kao, Chang-Cheng Changchien, Chien-Hui Wu","doi":"10.47260/BAE/822","DOIUrl":"https://doi.org/10.47260/BAE/822","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"78 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125624880","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}
Dimitriou J. Dimitrios, Pappas Anastasios, Kazanas Thanassis, Kenourgios Dimitris
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.
{"title":"Do confidence indicators lead Greek economic activity?","authors":"Dimitriou J. Dimitrios, Pappas Anastasios, Kazanas Thanassis, Kenourgios Dimitris","doi":"10.47260/BAE/821","DOIUrl":"https://doi.org/10.47260/BAE/821","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"18 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-06-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121251906","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}
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.
{"title":"Seasonality in Indian Commodities Market: Insights for modeling from preceding commodity cycle","authors":"Sharon K Jose, G. Girish","doi":"10.47260/BAE/8110","DOIUrl":"https://doi.org/10.47260/BAE/8110","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"29 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129279454","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 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.
{"title":"Have the Purchases of ETF Raised Stock Prices? Recent Japanese Case","authors":"Y. Kurihara, Shinichiro Maeda, Akio Fukushima","doi":"10.47260/BAE/817","DOIUrl":"https://doi.org/10.47260/BAE/817","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"156 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121029699","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}
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. JEL classification numbers: G11, G12
{"title":"Oil Volatility Spillover into Oil Dependent Equity-Sector Stock Returns: Evidence from Major Oil Producing Countries","authors":"Rafiqul Bhuyan, M. Robbani, Bakhtear Talukder","doi":"10.47260/BAE/819","DOIUrl":"https://doi.org/10.47260/BAE/819","url":null,"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. JEL classification numbers: G11, G12","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-05-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127822510","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 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.
{"title":"Τhe effect of foreign direct investment on economic growth in Ghana: the role of exchange rate volatility","authors":"S. Antwi, P. Boateng, Awudu Salley","doi":"10.47260/BAE/815","DOIUrl":"https://doi.org/10.47260/BAE/815","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"28 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127711463","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 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 impulseresponse (OIR) functions based upon the Cholesky decomposition. The findings suggest a metropolitan disadvantage concerning urban economic resilience predominantly from shocks on sources of urbanisation. JEL classification numbers: P25, O4, Q56,
{"title":"Measuring urban economic resilience of two tropical cities, using impulse response analysis","authors":"Taha Chaiechi, Trang Nguyen","doi":"10.47260/BAE/814","DOIUrl":"https://doi.org/10.47260/BAE/814","url":null,"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 impulseresponse (OIR) functions based upon the Cholesky decomposition. The findings suggest a metropolitan disadvantage concerning urban economic resilience predominantly from shocks on sources of urbanisation. JEL classification numbers: P25, O4, Q56,","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"147 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114348509","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 purpose of this paper is tο 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.
{"title":"Determinants of tax evasion in Greece: Econometric analysis of co-integration and causality, variance decomposition and impulse response analysis","authors":"Anastasiou Athanasios, Kalligosfyris Charalampos, Kalamara Eleni","doi":"10.47260/BAE/813","DOIUrl":"https://doi.org/10.47260/BAE/813","url":null,"abstract":"The purpose of this paper is tο 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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130449223","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 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.
{"title":"Determinants of Foreign Direct Investment Inflows to Myanmar","authors":"Hidekatsu Asada","doi":"10.47260/bae/812","DOIUrl":"https://doi.org/10.47260/bae/812","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114448373","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}
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.
{"title":"Alternative to Insurance Risk Transfer: Creating a catastrophe bond for Romanian earthquakes","authors":"Apostolos Kiohos, Maria Paspati","doi":"10.47260/bae/811","DOIUrl":"https://doi.org/10.47260/bae/811","url":null,"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.","PeriodicalId":344946,"journal":{"name":"Bulletin of Applied Economics","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129204550","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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