Pub Date : 2021-09-24DOI: 10.1108/aea-03-2021-0077
José A. Pérez-Montiel, Carles Manera
Purpose The authors estimate the multiplier effect of government public infrastructure investment in Spain. This paper aims to use annual data of the 17 Spanish autonomous communities for the 1980–2016 period. Design/methodology/approach The authors use dynamic acyclic graphs and the heterogeneous panel structural vector autoregressive (P-SVAR) method of Pedroni (2013). This method is robust to cross-sectional heterogeneity and dependence, which are present in the data. Findings The findings suggest that an increase in the level of government public infrastructure investment generates a positive and persistent effect on the level of output. Five years after the fiscal expansion, the multiplier effects of government public infrastructure investment reach values above one. This confirms that government public infrastructure investment expansions have Keynesian effects. The authors also find that the multiplier effects differ between autonomous communities with above-average and below-average GDP per capita. Originality/value To the best of the authors’ knowledge, no research uses dynamic acyclic graphs and heterogeneous P-SVAR techniques to estimate fiscal multipliers of government public investment in Spain by using subnational data.
{"title":"Government public infrastructure investment and economic performance in Spain (1980-2016)","authors":"José A. Pérez-Montiel, Carles Manera","doi":"10.1108/aea-03-2021-0077","DOIUrl":"https://doi.org/10.1108/aea-03-2021-0077","url":null,"abstract":"\u0000Purpose\u0000The authors estimate the multiplier effect of government public infrastructure investment in Spain. This paper aims to use annual data of the 17 Spanish autonomous communities for the 1980–2016 period.\u0000\u0000\u0000Design/methodology/approach\u0000The authors use dynamic acyclic graphs and the heterogeneous panel structural vector autoregressive (P-SVAR) method of Pedroni (2013). This method is robust to cross-sectional heterogeneity and dependence, which are present in the data.\u0000\u0000\u0000Findings\u0000The findings suggest that an increase in the level of government public infrastructure investment generates a positive and persistent effect on the level of output. Five years after the fiscal expansion, the multiplier effects of government public infrastructure investment reach values above one. This confirms that government public infrastructure investment expansions have Keynesian effects. The authors also find that the multiplier effects differ between autonomous communities with above-average and below-average GDP per capita.\u0000\u0000\u0000Originality/value\u0000To the best of the authors’ knowledge, no research uses dynamic acyclic graphs and heterogeneous P-SVAR techniques to estimate fiscal multipliers of government public investment in Spain by using subnational data.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-09-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45966295","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-09-13DOI: 10.1108/aea-08-2020-0111
S. Rendon
Purpose This paper aims to weigh the restrictions to job creation imposed by labor market imperfections with respect to financial market imperfections. The authors want to see which restriction is more severe, and thus assess which is more powerful in creating permanent employment if it were removed. Design/methodology/approach A structural estimation is performed. The policy rules of the dynamic programming model are integrated into a simulated maximum likelihood procedure by which the model parameters are recovered. Data come from the CBBE (Balance Sheet data from the Bank of Spain). Identification of key parameters comes mainly from the observation of debt variation and sluggish adjustment to permanent labor. Findings Long-run permanent employment increases up to 69% when financial constraints are removed, whereas permanent employment only increases up to 54% when employment protection or firing costs are eliminated. The main finding of this paper is that the long-run expansion of permanent employment is larger when financial imperfections are removed than when firing costs are removed, even when there are important wage increases that moderate these employment expansions. Social implications The removal of firing costs has been suggested by several economists as a result of the analysis of labor market imperfections. These policies, however, face the strong opposition of labor unions. This paper shows that the goals of permanent job creation can be accomplished without removing employment protection but by means of enhancing financial access to firms. Originality/value The connection between financial constraints and employment has been studied in recent years, motivated by the Great Recession. However, there is no assessment of how financial and labor market imperfections compare with each other to restrict permanent job creation. This comparison is crucial for policy analysis. This study is an attempt to fill out this gap in the economic literature. No previous research has attempted to perform this very important comparison.
{"title":"Job creation and investment in imperfect financial and labor markets","authors":"S. Rendon","doi":"10.1108/aea-08-2020-0111","DOIUrl":"https://doi.org/10.1108/aea-08-2020-0111","url":null,"abstract":"\u0000Purpose\u0000This paper aims to weigh the restrictions to job creation imposed by labor market imperfections with respect to financial market imperfections. The authors want to see which restriction is more severe, and thus assess which is more powerful in creating permanent employment if it were removed.\u0000\u0000\u0000Design/methodology/approach\u0000A structural estimation is performed. The policy rules of the dynamic programming model are integrated into a simulated maximum likelihood procedure by which the model parameters are recovered. Data come from the CBBE (Balance Sheet data from the Bank of Spain). Identification of key parameters comes mainly from the observation of debt variation and sluggish adjustment to permanent labor.\u0000\u0000\u0000Findings\u0000Long-run permanent employment increases up to 69% when financial constraints are removed, whereas permanent employment only increases up to 54% when employment protection or firing costs are eliminated. The main finding of this paper is that the long-run expansion of permanent employment is larger when financial imperfections are removed than when firing costs are removed, even when there are important wage increases that moderate these employment expansions.\u0000\u0000\u0000Social implications\u0000The removal of firing costs has been suggested by several economists as a result of the analysis of labor market imperfections. These policies, however, face the strong opposition of labor unions. This paper shows that the goals of permanent job creation can be accomplished without removing employment protection but by means of enhancing financial access to firms.\u0000\u0000\u0000Originality/value\u0000The connection between financial constraints and employment has been studied in recent years, motivated by the Great Recession. However, there is no assessment of how financial and labor market imperfections compare with each other to restrict permanent job creation. This comparison is crucial for policy analysis. This study is an attempt to fill out this gap in the economic literature. No previous research has attempted to perform this very important comparison.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42311523","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-26DOI: 10.1108/aea-10-2020-0142
Segundo Camino‐Mogro
Purpose Using a large firm-level data set, this paper examines total factor productivity (TFP) and its determinants in the Ecuadorian manufacturing sector in the period 2007–2018. Design/methodology/approach I analyze the role played by traditional TPF determinants, including internal firm characteristics, international trade activities, financial constraints and competition intensity. I contribute to the literature by presenting quantile regression results. Moreover, I analyze industry patterns, distinguishing between industries according to their technological intensity (following the organisation for economic co-operation and development classification). Findings My results confirm that firm age is positively related to TFP level but negatively related to TFP growth. I also find that being an exporter and an importer at the same time is associated with higher TFP levels and that this effect is higher than when being only an exporter or an importer. Additionally, l find that credit is positively related to TFP levels. Finally, I find that more competition is positively related to productivity in lower quantiles of output. Practical implications The results are the source of tools to propose policy recommendations, which are stated in the present document. Originality/value This paper aims to reopen the debate of firm productivity determinants in a developing country such as Ecuador. The authors use a set of covariates less analyzed in this issue.
{"title":"TFP determinants in the manufacturing sector: the case of Ecuadorian firms","authors":"Segundo Camino‐Mogro","doi":"10.1108/aea-10-2020-0142","DOIUrl":"https://doi.org/10.1108/aea-10-2020-0142","url":null,"abstract":"Purpose Using a large firm-level data set, this paper examines total factor productivity (TFP) and its determinants in the Ecuadorian manufacturing sector in the period 2007–2018. Design/methodology/approach I analyze the role played by traditional TPF determinants, including internal firm characteristics, international trade activities, financial constraints and competition intensity. I contribute to the literature by presenting quantile regression results. Moreover, I analyze industry patterns, distinguishing between industries according to their technological intensity (following the organisation for economic co-operation and development classification). Findings My results confirm that firm age is positively related to TFP level but negatively related to TFP growth. I also find that being an exporter and an importer at the same time is associated with higher TFP levels and that this effect is higher than when being only an exporter or an importer. Additionally, l find that credit is positively related to TFP levels. Finally, I find that more competition is positively related to productivity in lower quantiles of output. Practical implications The results are the source of tools to propose policy recommendations, which are stated in the present document. Originality/value This paper aims to reopen the debate of firm productivity determinants in a developing country such as Ecuador. The authors use a set of covariates less analyzed in this issue.","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-08-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46180654","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-19DOI: 10.1108/aea-11-2020-0159
Antonios M. Koumpias, J. Martínez-Vázquez, Eduardo Sanz‐Arcega
Purpose The purpose of this paper is to quantify to what extent the housing bubble in the early-to-mid 2000s in Spain exacerbated land planning corruption among Spain’s largest municipalities. Design/methodology/approach The authors exploit plausibly exogenous variation in housing prices induced by changes in local mortgage market conditions; namely, the rapid expansion of savings banks (Cajas de Ahorros). Accounting for electoral competition in the 2003–2007 and 2007–2009 electoral cycles among Spanish municipalities larger than 25,000 inhabitants, the authors estimate a positive relationship between housing prices and land planning corruption in municipalities with variation in savings bank establishments using instrumental variables techniques. Findings A 1% increase in housing prices leads to a 3.9% points increase in the probability of land planning corruption. Moreover, absolute majority governments (not needing other parties’ support) are more susceptible to the incidence of corruption than non-majority ones. Two policy implications to address corruption emerge: enhance electoral competition and increase scrutiny over land planning decisions in sparsely populated. Originality/value First empirical evidence of a formal link between the 2000s housing bubble in Spain and land planning corruption.
本文的目的是量化西班牙2000年代早期到中期的房地产泡沫在多大程度上加剧了西班牙最大城市的土地规划腐败。设计/方法/方法作者利用了由当地抵押贷款市场条件变化引起的房价的似是而非的外生变化;即储蓄银行(Cajas de Ahorros)的迅速扩张。考虑到2003-2007年和2007-2009年西班牙超过25,000居民的城市选举周期中的选举竞争，作者使用工具变量技术估计，随着储蓄银行机构的变化，城市房价和土地规划腐败之间存在正相关关系。房价每上涨1%，土地规划腐败的可能性就会增加3.9%。此外，绝对多数政府(不需要其他政党的支持)比非多数政府更容易发生腐败。解决腐败问题的两项政策启示是:加强选举竞争，加强对人口稀少地区土地规划决策的审查。独创性/价值西班牙2000年代的房地产泡沫与土地规划腐败之间存在正式联系的首个实证证据。
{"title":"Housing bubbles and land planning corruption: evidence from Spain’s largest municipalities","authors":"Antonios M. Koumpias, J. Martínez-Vázquez, Eduardo Sanz‐Arcega","doi":"10.1108/aea-11-2020-0159","DOIUrl":"https://doi.org/10.1108/aea-11-2020-0159","url":null,"abstract":"\u0000Purpose\u0000The purpose of this paper is to quantify to what extent the housing bubble in the early-to-mid 2000s in Spain exacerbated land planning corruption among Spain’s largest municipalities.\u0000\u0000\u0000Design/methodology/approach\u0000The authors exploit plausibly exogenous variation in housing prices induced by changes in local mortgage market conditions; namely, the rapid expansion of savings banks (Cajas de Ahorros). Accounting for electoral competition in the 2003–2007 and 2007–2009 electoral cycles among Spanish municipalities larger than 25,000 inhabitants, the authors estimate a positive relationship between housing prices and land planning corruption in municipalities with variation in savings bank establishments using instrumental variables techniques.\u0000\u0000\u0000Findings\u0000A 1% increase in housing prices leads to a 3.9% points increase in the probability of land planning corruption. Moreover, absolute majority governments (not needing other parties’ support) are more susceptible to the incidence of corruption than non-majority ones. Two policy implications to address corruption emerge: enhance electoral competition and increase scrutiny over land planning decisions in sparsely populated.\u0000\u0000\u0000Originality/value\u0000First empirical evidence of a formal link between the 2000s housing bubble in Spain and land planning corruption.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-08-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47986514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-18DOI: 10.1108/AEA-09-2020-0133
S. Gnangnon
Purpose This paper aims to explore the effect of non-resource tax revenue instability on non-resource tax revenue in developed and developing countries. Design/methodology/approach The analysis has used an unbalanced panel data set of 146 countries over the period 1981–2016, as well as the two-step system generalized methods of moment approach. Findings The empirical analysis has suggested that non-resource tax revenue instability influences negatively non-resource tax revenue share of gross domestic product. The magnitude of this negative effect is higher in less developed countries than in relatively advanced countries. This negative effect materializes through public expenditure instability: non-resource tax revenue instability exerts a higher effect on non-resource tax revenue share as the degree of public expenditure instability increases. Finally, non-resource tax revenue instability exerts a higher negative effect on non-resource tax revenue share as economic growth volatility rises, inflation volatility increases and terms of trade instability increases. Research limitations/implications The main policy implication of this analysis is that policies that help ensure the stability of non-resource tax revenue also contribute to improving countries’ non-resource tax revenue share. For example, governments’ measures that help cope with or prevent the severe adverse effects of shocks on economies (shocks that could translate into higher tax revenue instability) would ultimately help enhance countries’ tax revenue performance. Practical implications The severity of the current COVID-19 pandemic shock (which is a supply and demand shock) and the macroeconomic uncertainty that it has generated – inter alia, in terms of economic growth instability, terms of trade instability, inflation volatility and public expenditure instability – are likely to result in severe tax revenue losses. Governments in both developed and developing countries would surely learn from the management of this crisis so as to prepare for possible future economic, financial and health crises with a view to dampening their adverse macroeconomic effects, including here their negative tax revenue effects. Originality/value To the best of the author’s knowledge, this topic is being addressed in the empirical literature for the first time.
{"title":"Tax revenue instability and tax revenue in developed and developing countries","authors":"S. Gnangnon","doi":"10.1108/AEA-09-2020-0133","DOIUrl":"https://doi.org/10.1108/AEA-09-2020-0133","url":null,"abstract":"\u0000Purpose\u0000This paper aims to explore the effect of non-resource tax revenue instability on non-resource tax revenue in developed and developing countries.\u0000\u0000\u0000Design/methodology/approach\u0000The analysis has used an unbalanced panel data set of 146 countries over the period 1981–2016, as well as the two-step system generalized methods of moment approach.\u0000\u0000\u0000Findings\u0000The empirical analysis has suggested that non-resource tax revenue instability influences negatively non-resource tax revenue share of gross domestic product. The magnitude of this negative effect is higher in less developed countries than in relatively advanced countries. This negative effect materializes through public expenditure instability: non-resource tax revenue instability exerts a higher effect on non-resource tax revenue share as the degree of public expenditure instability increases. Finally, non-resource tax revenue instability exerts a higher negative effect on non-resource tax revenue share as economic growth volatility rises, inflation volatility increases and terms of trade instability increases.\u0000\u0000\u0000Research limitations/implications\u0000The main policy implication of this analysis is that policies that help ensure the stability of non-resource tax revenue also contribute to improving countries’ non-resource tax revenue share. For example, governments’ measures that help cope with or prevent the severe adverse effects of shocks on economies (shocks that could translate into higher tax revenue instability) would ultimately help enhance countries’ tax revenue performance.\u0000\u0000\u0000Practical implications\u0000The severity of the current COVID-19 pandemic shock (which is a supply and demand shock) and the macroeconomic uncertainty that it has generated – inter alia, in terms of economic growth instability, terms of trade instability, inflation volatility and public expenditure instability – are likely to result in severe tax revenue losses. Governments in both developed and developing countries would surely learn from the management of this crisis so as to prepare for possible future economic, financial and health crises with a view to dampening their adverse macroeconomic effects, including here their negative tax revenue effects.\u0000\u0000\u0000Originality/value\u0000To the best of the author’s knowledge, this topic is being addressed in the empirical literature for the first time.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48167171","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-13DOI: 10.1108/aea-07-2020-0093
David Boto‐García, Marta Escalonilla, E. Zapico, J. Baños
Purpose This paper aims to examine hotel guests’ satisfaction relative to room rates paying attention to the heterogeneity in the scale of satisfaction scores. Design/methodology/approach This paper studies guests’ post-purchase hotel evaluation using survey data from a sample of 14,879 tourists visiting a Northern Spanish region. This study estimates a Heteroskedastic Ordered Probit model in which both “cognitive” and “emotional” components of satisfaction are modelled. The model allows us to control for heterogeneity in the scale of the latent satisfaction scores. Findings This paper finds that satisfaction relative to rates (value for money) decreases with expenditure per person and day. Interestingly, this negative relationship mainly holds for those who do not prioritize prices at the time of choosing the hotel. Positive first impressions are positively associated with higher satisfaction. In addition, this study finds that the emotional component of satisfaction increases with hotel quality and hiring a full board, being also greater among women and elderly people. Originality/value Instead of using an overall measure of satisfaction, this paper uses one that gathers how the tourist assesses satisfaction in relation to cost (value for money).
{"title":"Scale heterogeneity in hotel guests’ satisfaction relative to room rates","authors":"David Boto‐García, Marta Escalonilla, E. Zapico, J. Baños","doi":"10.1108/aea-07-2020-0093","DOIUrl":"https://doi.org/10.1108/aea-07-2020-0093","url":null,"abstract":"\u0000Purpose\u0000This paper aims to examine hotel guests’ satisfaction relative to room rates paying attention to the heterogeneity in the scale of satisfaction scores.\u0000\u0000\u0000Design/methodology/approach\u0000This paper studies guests’ post-purchase hotel evaluation using survey data from a sample of 14,879 tourists visiting a Northern Spanish region. This study estimates a Heteroskedastic Ordered Probit model in which both “cognitive” and “emotional” components of satisfaction are modelled. The model allows us to control for heterogeneity in the scale of the latent satisfaction scores.\u0000\u0000\u0000Findings\u0000This paper finds that satisfaction relative to rates (value for money) decreases with expenditure per person and day. Interestingly, this negative relationship mainly holds for those who do not prioritize prices at the time of choosing the hotel. Positive first impressions are positively associated with higher satisfaction. In addition, this study finds that the emotional component of satisfaction increases with hotel quality and hiring a full board, being also greater among women and elderly people.\u0000\u0000\u0000Originality/value\u0000Instead of using an overall measure of satisfaction, this paper uses one that gathers how the tourist assesses satisfaction in relation to cost (value for money).\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-08-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42571916","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-08-09DOI: 10.1108/aea-12-2020-0172
Mucahit Aydin, U. Pata, Veysel Inal
Purpose The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021. Design/methodology/approach The study uses asymmetric and symmetric frequency domain causality tests and focuses on BRIC countries, namely, Brazil, Russia, India and China. Findings The findings of the symmetric causality test confirm unidirectional permanent causality from EPU to stock prices for Brazil and India and bidirectional causality for China. However, according to the asymmetric causality test, the findings for China show that there is no causality between the variables. The results for Brazil and India indicate that there is unidirectional permanent causality from positive components of EPU to positive components of stock prices. Moreover, for Brazil, there is unidirectional temporary causality from the negative components of EPU to the negative components of stock prices. For India, there is temporary causality in the opposite direction. Originality/value The reactions of financial markets to positive and negative shocks differ. In this context, to the best of the authors’ knowledge, this study is the first attempt to examine the causal relationships between stock prices and uncertainty using an asymmetric frequency domain approach. Thus, the study enables the analysis of the effects of positive and negative shocks in the stock market separately.
{"title":"Economic policy uncertainty and stock prices in BRIC countries: evidence from asymmetric frequency domain causality approach","authors":"Mucahit Aydin, U. Pata, Veysel Inal","doi":"10.1108/aea-12-2020-0172","DOIUrl":"https://doi.org/10.1108/aea-12-2020-0172","url":null,"abstract":"\u0000Purpose\u0000The aim of this study is to investigate the relationship between economic policy uncertainty (EPU) and stock prices during the period from March 2003 to March 2021.\u0000\u0000\u0000Design/methodology/approach\u0000The study uses asymmetric and symmetric frequency domain causality tests and focuses on BRIC countries, namely, Brazil, Russia, India and China.\u0000\u0000\u0000Findings\u0000The findings of the symmetric causality test confirm unidirectional permanent causality from EPU to stock prices for Brazil and India and bidirectional causality for China. However, according to the asymmetric causality test, the findings for China show that there is no causality between the variables. The results for Brazil and India indicate that there is unidirectional permanent causality from positive components of EPU to positive components of stock prices. Moreover, for Brazil, there is unidirectional temporary causality from the negative components of EPU to the negative components of stock prices. For India, there is temporary causality in the opposite direction.\u0000\u0000\u0000Originality/value\u0000The reactions of financial markets to positive and negative shocks differ. In this context, to the best of the authors’ knowledge, this study is the first attempt to examine the causal relationships between stock prices and uncertainty using an asymmetric frequency domain approach. Thus, the study enables the analysis of the effects of positive and negative shocks in the stock market separately.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-08-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46230919","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-07-26DOI: 10.1108/aea-07-2020-0088
M. Islam
Purpose This study aims to examine the influence of socioeconomic development on inflation in South Asia using the foreign exchange rate and money supply as control variables. Design/methodology/approach The study uses annual panel data for five South Asian economies, namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka over the period 1990–2018, applies cointegrating regression techniques, namely, the panel dynamic ordinary least square (OLS) and fully modified OLS estimators to examine the long-run relations and conducts the Toda-Yamamoto Granger causality test to detect the direction of causality among variables. Findings The cointegrating regression estimations have documented that the socioeconomic development proxied by the human development index (HDI) has no significant impact on inflation. Although economic development represented by gross domestic product (GDP) growth causes inflation, socioeconomic development represented by HDI has no impact on inflation and has demonstrated as a better macroeconomic indicator, and thus creates no inflationary pressure in the economy. The foreign exchange rate has a positive impact on inflation. The broad money supply has the usual positive effect on domestic inflation that endorses the monetarist view about prices. The Toda-Yamamoto Granger causality test has confirmed several unidirectional causalities: inflation causes HDI, money supply causes both inflation and HDI and the foreign exchange rate causes HDI. Practical implications The study has practical implications for policymakers in South Asia, to improve HDI, particularly GDP per capita, education and health-care facilities to realize continuous socioeconomic development, which will take care of inflation. Moreover, these counties may follow a conservative monetary policy to control inflationary pressure in their economies. Originality/value The study is original and claims to be the first to examine the impact of socioeconomic development on inflation. The findings have socioeconomic values regarding controlling inflation in South Asia.
{"title":"Impact of socioeconomic development on inflation in South Asia: evidence from panel cointegration analysis","authors":"M. Islam","doi":"10.1108/aea-07-2020-0088","DOIUrl":"https://doi.org/10.1108/aea-07-2020-0088","url":null,"abstract":"\u0000Purpose\u0000This study aims to examine the influence of socioeconomic development on inflation in South Asia using the foreign exchange rate and money supply as control variables.\u0000\u0000\u0000Design/methodology/approach\u0000The study uses annual panel data for five South Asian economies, namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka over the period 1990–2018, applies cointegrating regression techniques, namely, the panel dynamic ordinary least square (OLS) and fully modified OLS estimators to examine the long-run relations and conducts the Toda-Yamamoto Granger causality test to detect the direction of causality among variables.\u0000\u0000\u0000Findings\u0000The cointegrating regression estimations have documented that the socioeconomic development proxied by the human development index (HDI) has no significant impact on inflation. Although economic development represented by gross domestic product (GDP) growth causes inflation, socioeconomic development represented by HDI has no impact on inflation and has demonstrated as a better macroeconomic indicator, and thus creates no inflationary pressure in the economy. The foreign exchange rate has a positive impact on inflation. The broad money supply has the usual positive effect on domestic inflation that endorses the monetarist view about prices. The Toda-Yamamoto Granger causality test has confirmed several unidirectional causalities: inflation causes HDI, money supply causes both inflation and HDI and the foreign exchange rate causes HDI.\u0000\u0000\u0000Practical implications\u0000The study has practical implications for policymakers in South Asia, to improve HDI, particularly GDP per capita, education and health-care facilities to realize continuous socioeconomic development, which will take care of inflation. Moreover, these counties may follow a conservative monetary policy to control inflationary pressure in their economies.\u0000\u0000\u0000Originality/value\u0000The study is original and claims to be the first to examine the impact of socioeconomic development on inflation. The findings have socioeconomic values regarding controlling inflation in South Asia.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-07-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48414965","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-07-07DOI: 10.1108/AEA-02-2021-0029
Alfonso Camba-Crespo, J. García-Solanes, Fernando Torrejón-Flores
Purpose This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants. Design/methodology/approach Using data from the IMF and the World Bank, this study applies the Lee and Strazicich test to endogenously identify breaks and the Heckman selection model to simultaneously study the determinants of structural breaks and current-account changes after breaks. Findings This study identifies 212 significant structural breaks and 341 stability spells. These spells become shorter and more volatile the further they are from equilibrium, and half of them last 10 years or less. The results show that economic growth and foreign-exchange piling are particularly useful to prevent breaks, while lower per capita income increases exposure to break risks. Originality/value This study introduces the concept of current-account stability spells to refer to the periods between structural breaks. These spells are then studied to determine their main characteristics. The authors also apply a global perspective in their analysis, using a wide sample of 181 economies between 1980 and 2018 and considering positive and negative breaks in both level and trend.
{"title":"Current-account breaks and stability spells in a global perspective","authors":"Alfonso Camba-Crespo, J. García-Solanes, Fernando Torrejón-Flores","doi":"10.1108/AEA-02-2021-0029","DOIUrl":"https://doi.org/10.1108/AEA-02-2021-0029","url":null,"abstract":"\u0000Purpose\u0000This study aims to identify structural breaks in the current account and the periods between these breaks, which the authors name stability spells, and study their characteristics and determinants.\u0000\u0000\u0000Design/methodology/approach\u0000Using data from the IMF and the World Bank, this study applies the Lee and Strazicich test to endogenously identify breaks and the Heckman selection model to simultaneously study the determinants of structural breaks and current-account changes after breaks.\u0000\u0000\u0000Findings\u0000This study identifies 212 significant structural breaks and 341 stability spells. These spells become shorter and more volatile the further they are from equilibrium, and half of them last 10 years or less. The results show that economic growth and foreign-exchange piling are particularly useful to prevent breaks, while lower per capita income increases exposure to break risks.\u0000\u0000\u0000Originality/value\u0000This study introduces the concept of current-account stability spells to refer to the periods between structural breaks. These spells are then studied to determine their main characteristics. The authors also apply a global perspective in their analysis, using a wide sample of 181 economies between 1980 and 2018 and considering positive and negative breaks in both level and trend.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-07-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47569326","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2021-07-03DOI: 10.1108/aea-08-2020-0105
F. Bilgili, F. Ünlü, Pelin Gençoğlu, Sevda Kuşkaya
Purpose This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects of exchange rates on domestic prices. Design/methodology/approach The paper launches several nonlinear models in which the basic determinants of domestic prices in Turkey are determined through Markov regime-switching models (MSMs). Hence, this research follows the variables of the consumer price index (CPI), USD exchange rate, gross domestic product (GDP; demand side of the economy), industrial production index (production side of the economy), economic uncertainty and geopolitical risk index for Turkey. Findings This work explores that the exchange rate and demand side of the economy (GDP) follow a positive nonlinear relationship with CPI at both regimes. The production side of the economy (IP) affects negatively the CPI during regime 0. Economic uncertainty influences the CPI positively at Regime 1, while geopolitical risk has a negative association with CPI at Regime 0. Eventually, the paper provides some policy proposals associated with the impacts of GDP, IP, economic uncertainty and geopolitical risk on CPI in Turkey. Originality/value One may claim that any PT model, which does not observe the possible structural or regime shifts in estimated parameters, might fail to estimate the coefficients unbiasedly and efficiently. Hence, this work differs from available relevant works in the literature since this paper considers linearity or nonlinearity important and reveals that the relevant PT model follows a nonlinear path rather than a linear path, this nonlinear path is converged strongly by MSMs and estimates the significant regime shifts in the constant term and, in parameters of independent variables of PT by MSMs.
{"title":"Modeling the exchange rate pass-through in Turkey with uncertainty and geopolitical risk: a Markov regime-switching approach","authors":"F. Bilgili, F. Ünlü, Pelin Gençoğlu, Sevda Kuşkaya","doi":"10.1108/aea-08-2020-0105","DOIUrl":"https://doi.org/10.1108/aea-08-2020-0105","url":null,"abstract":"\u0000Purpose\u0000This paper aims to investigate the pass-through (PT) effect in Turkey by using quarterly data for the period 1998: Q1-2019: Q2 to understand the dynamic potential effects of exchange rates on domestic prices.\u0000\u0000\u0000Design/methodology/approach\u0000The paper launches several nonlinear models in which the basic determinants of domestic prices in Turkey are determined through Markov regime-switching models (MSMs). Hence, this research follows the variables of the consumer price index (CPI), USD exchange rate, gross domestic product (GDP; demand side of the economy), industrial production index (production side of the economy), economic uncertainty and geopolitical risk index for Turkey.\u0000\u0000\u0000Findings\u0000This work explores that the exchange rate and demand side of the economy (GDP) follow a positive nonlinear relationship with CPI at both regimes. The production side of the economy (IP) affects negatively the CPI during regime 0. Economic uncertainty influences the CPI positively at Regime 1, while geopolitical risk has a negative association with CPI at Regime 0. Eventually, the paper provides some policy proposals associated with the impacts of GDP, IP, economic uncertainty and geopolitical risk on CPI in Turkey.\u0000\u0000\u0000Originality/value\u0000One may claim that any PT model, which does not observe the possible structural or regime shifts in estimated parameters, might fail to estimate the coefficients unbiasedly and efficiently. Hence, this work differs from available relevant works in the literature since this paper considers linearity or nonlinearity important and reveals that the relevant PT model follows a nonlinear path rather than a linear path, this nonlinear path is converged strongly by MSMs and estimates the significant regime shifts in the constant term and, in parameters of independent variables of PT by MSMs.\u0000","PeriodicalId":36191,"journal":{"name":"Applied Economic Analysis","volume":" ","pages":""},"PeriodicalIF":2.3,"publicationDate":"2021-07-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41609148","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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