Pub Date : 2021-10-01DOI: 10.20885/ejem.vol13.iss2.art3
Oguzhan Ozcelebi, Mehmet Tevfik Izgi
Purpose - This study focuses on the monetary policy transmission of the U.S. on the excess returns in emerging markets by estimating the impacts of changes in the shadow interest rate in the U.S. on the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend Index – EM FX ER (CRASERI). Methods - To account for the spillover effects of the macroeconomic and financial variables, this study employs a bivariate VARMA–AGARCH approach. This study employs 206 daily observations, from February 22, 2002, to July 5, 2019 sourced from The Barclays database and the Reserve Bank of New Zealand Findings - This study finds that the shocks in shadow interest rates will decrease the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend Index – EM FX ER (CRASERI) in the short term. The results of VARMA–BEKK–AGARCH model show that changes/shocks in shadow interest rates will reduce the excess returns in the financial markets of emerging countries in the long term. Implication - The study reveals that a high-interest rate policy could be used as a tool by the FED to prevent excessive returns on emerging countries' financial markets Originality - This study contributes to the existing literature by addressing the issue of whether the monetary policy stance of the U.S. after the Global Financial Crisis (GFC) can be recognized as the primary source of the currency excess returns and multiple-asset class excess returns for emerging countries.
{"title":"The spillover of shadow interest rate to the excess returns in emerging markets","authors":"Oguzhan Ozcelebi, Mehmet Tevfik Izgi","doi":"10.20885/ejem.vol13.iss2.art3","DOIUrl":"https://doi.org/10.20885/ejem.vol13.iss2.art3","url":null,"abstract":"Purpose - This study focuses on the monetary policy transmission of the U.S. on the excess returns in emerging markets by estimating the impacts of changes in the shadow interest rate in the U.S. on the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend Index – EM FX ER (CRASERI). Methods - To account for the spillover effects of the macroeconomic and financial variables, this study employs a bivariate VARMA–AGARCH approach. This study employs 206 daily observations, from February 22, 2002, to July 5, 2019 sourced from The Barclays database and the Reserve Bank of New Zealand Findings - This study finds that the shocks in shadow interest rates will decrease the Barclays Benchmark EM FX Trend Excess Return Index (FXERI) and the Barclays Cross Asset Trend Index – EM FX ER (CRASERI) in the short term. The results of VARMA–BEKK–AGARCH model show that changes/shocks in shadow interest rates will reduce the excess returns in the financial markets of emerging countries in the long term. Implication - The study reveals that a high-interest rate policy could be used as a tool by the FED to prevent excessive returns on emerging countries' financial markets Originality - This study contributes to the existing literature by addressing the issue of whether the monetary policy stance of the U.S. after the Global Financial Crisis (GFC) can be recognized as the primary source of the currency excess returns and multiple-asset class excess returns for emerging countries.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"67 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83433870","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}
Pub Date : 2021-10-01DOI: 10.20885/ejem.vol13.iss2.art1
A. Mamun, E. E. Akça, H. Bal, N. Hoque
Purpose – This study’s main purpose is to investigate the effect of real exchange rate misalignment on economic growth performance for 21 emerging markets from 1980 through 2016. Methods – The study individually measures the real exchange rate misalignment series for 21 emerging markets by using the single-equation approach and then estimates the effect of real exchange rate misalignment, undervaluation, and overvaluation on economic growth performance through dynamic panel system generalized method of moments approach. Findings – The study finds that the real exchange rate of emerging markets is significantly misaligned. The study also argues that any deviation of the real exchange rate from its equilibrium value impairs economic growth. The view that overvaluation erodes growth is customarily accepted, while a real undervaluation is found to be a growth deteriorating fact. Implication - From the policy perspective, policymakers should be cautious enough in setting exchange rate policies to check its sustained misalignments over time so that it can enrich the ability of concerned authorities to attain the growth target by using it as a policy instrument. Originality – The study is in response to the need felt for a common analytical framework for examining misalignment in the real exchange rate to make a more inclusive decision relating to its effects on the growth performance of emerging markets.
{"title":"The effect of real exchange rate misalignment on economic growth: Evidence from emerging markets","authors":"A. Mamun, E. E. Akça, H. Bal, N. Hoque","doi":"10.20885/ejem.vol13.iss2.art1","DOIUrl":"https://doi.org/10.20885/ejem.vol13.iss2.art1","url":null,"abstract":"Purpose – This study’s main purpose is to investigate the effect of real exchange rate misalignment on economic growth performance for 21 emerging markets from 1980 through 2016. Methods – The study individually measures the real exchange rate misalignment series for 21 emerging markets by using the single-equation approach and then estimates the effect of real exchange rate misalignment, undervaluation, and overvaluation on economic growth performance through dynamic panel system generalized method of moments approach. Findings – The study finds that the real exchange rate of emerging markets is significantly misaligned. The study also argues that any deviation of the real exchange rate from its equilibrium value impairs economic growth. The view that overvaluation erodes growth is customarily accepted, while a real undervaluation is found to be a growth deteriorating fact. Implication - From the policy perspective, policymakers should be cautious enough in setting exchange rate policies to check its sustained misalignments over time so that it can enrich the ability of concerned authorities to attain the growth target by using it as a policy instrument. Originality – The study is in response to the need felt for a common analytical framework for examining misalignment in the real exchange rate to make a more inclusive decision relating to its effects on the growth performance of emerging markets.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78525114","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}
Pub Date : 2021-10-01DOI: 10.20885/ejem.vol13.iss2.art7
Mubbasher Munir, M. Meo, K. Younas, Noman Arshed, Asma Khalid Jamil
Purpose - This study explores the asymmetric effects of FDI (Foreign Direct Investment) on economic growth in Pakistan. Methods - This paper uses an Asymmetric Effects ARDL (Autoregressive Distributed Lag) model. Findings - The results show that the effects of increasing and decreasing FDI are not equal. The study concludes that reducing FDI is more beneficial for economic growth, particularly in the longer horizon. It mobilizes domestic investment and promotes financial freedom while reducing the reliance on pollution-intensive multinational corporations and taps indigenous knowledge gains. Implications - This study proves that self-reliance is more beneficial for the case of Pakistan. Originality - The researchers and policymakers are unclear about the merits and demerits of FDI as a substitute for domestic investment. Empirical studies are majorly convinced that an increase in FDI generally merits economic growth but weighs in the Pollution Haven Hypothesis and ignores the indigenous knowledge-based domestic resource.
{"title":"Lingering effects of foreign resource dependency in Pakistan: Assessing gains from domestic resources","authors":"Mubbasher Munir, M. Meo, K. Younas, Noman Arshed, Asma Khalid Jamil","doi":"10.20885/ejem.vol13.iss2.art7","DOIUrl":"https://doi.org/10.20885/ejem.vol13.iss2.art7","url":null,"abstract":"Purpose - This study explores the asymmetric effects of FDI (Foreign Direct Investment) on economic growth in Pakistan. Methods - This paper uses an Asymmetric Effects ARDL (Autoregressive Distributed Lag) model. Findings - The results show that the effects of increasing and decreasing FDI are not equal. The study concludes that reducing FDI is more beneficial for economic growth, particularly in the longer horizon. It mobilizes domestic investment and promotes financial freedom while reducing the reliance on pollution-intensive multinational corporations and taps indigenous knowledge gains. Implications - This study proves that self-reliance is more beneficial for the case of Pakistan. Originality - The researchers and policymakers are unclear about the merits and demerits of FDI as a substitute for domestic investment. Empirical studies are majorly convinced that an increase in FDI generally merits economic growth but weighs in the Pollution Haven Hypothesis and ignores the indigenous knowledge-based domestic resource.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"92 6 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83675602","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}
Pub Date : 2021-10-01DOI: 10.20885/ejem.vol13.iss2.art5
F. Ajide
Purpose - Literature suggests that entrepreneurship can serve as a veritable tool for providing decent employment and improving economic prosperity. Therefore, the objective of this study is to examine the impact of economic freedom on entrepreneurship in Africa. Design/methodology/approach - The study employs data of 18 African countries covering a period of 2007-2018. The analysis is based on the following techniques: Panel-Corrected Standard Errors (PCSE), generalized method of moments, Hausman–Taylor IV estimator and Driscoll-Kraay standard errors. Findings - Finding based on Panel-Corrected Standard Errors (PCSE) technique reveals that economic freedom and its dimensions improve the level of entrepreneurship in Africa. This finding is robust to other alternative estimation techniques. Secured property right, relaxed tax burden , monetary freedom, trade freedom, freedom from corruption, investment freedom, financial freedom, business freedom and labor freedom have positive impact on African entrepreneurship. Practical implications - The study, hence, suggests that policy should be implemented to maximize the level of economic and fundamental freedom of citizens to encourage indigenous entrepreneurs in Africa. Quality of infrastructure should be improved as well as simplification of firms’ registration procedures. African government also needs to build effective and efficient institutional framework to maintain government integrity in Africa. Originality/value - The position of African countries in the nexus between economic freedom and entrepreneurship is rarely discussed in the literature. Hence, this study contributes in this respect and showcases how economic freedom influence the decision to engage in entrepreneurial venture in African perspectives
{"title":"Does economic freedom affect entrepreneurship? Insights from Africa","authors":"F. Ajide","doi":"10.20885/ejem.vol13.iss2.art5","DOIUrl":"https://doi.org/10.20885/ejem.vol13.iss2.art5","url":null,"abstract":"Purpose - Literature suggests that entrepreneurship can serve as a veritable tool for providing decent employment and improving economic prosperity. Therefore, the objective of this study is to examine the impact of economic freedom on entrepreneurship in Africa. Design/methodology/approach - The study employs data of 18 African countries covering a period of 2007-2018. The analysis is based on the following techniques: Panel-Corrected Standard Errors (PCSE), generalized method of moments, Hausman–Taylor IV estimator and Driscoll-Kraay standard errors. Findings - Finding based on Panel-Corrected Standard Errors (PCSE) technique reveals that economic freedom and its dimensions improve the level of entrepreneurship in Africa. This finding is robust to other alternative estimation techniques. Secured property right, relaxed tax burden , monetary freedom, trade freedom, freedom from corruption, investment freedom, financial freedom, business freedom and labor freedom have positive impact on African entrepreneurship. Practical implications - The study, hence, suggests that policy should be implemented to maximize the level of economic and fundamental freedom of citizens to encourage indigenous entrepreneurs in Africa. Quality of infrastructure should be improved as well as simplification of firms’ registration procedures. African government also needs to build effective and efficient institutional framework to maintain government integrity in Africa. Originality/value - The position of African countries in the nexus between economic freedom and entrepreneurship is rarely discussed in the literature. Hence, this study contributes in this respect and showcases how economic freedom influence the decision to engage in entrepreneurial venture in African perspectives","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"15 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88844320","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}
Pub Date : 2021-10-01DOI: 10.20885/ejem.vol13.iss2.art9
Nagmi Aimer, Abdulmula Lusta
Purpose - This paper analyses the effects of the US economic policy uncertainty index and oil price changes on the dollar exchange rate over a monthly period from January 2006 to August 2020. Methods - This paper uses the Markov-switching Vector Auto-Regressive (VAR) model. Findings - The results show that the sharp decline regime in the exchange rate is the most stable. In addition, the impact of the oil price on the exchange rate of the concerned currencies is stronger than the effect of EPU on the exchange rate of these currencies. We also find that most of the effects of oil prices were negative, while positive for the Canadian dollar and the Japanese yen exchange rate. Implications - Addressing this investigation contributes to many of the areas covered in recent macroeconomic and finance research. Moreover, such research can help predict changes in currency and oil prices better and create profitable investment and hedging strategies for currencies and oil. Originality - We consider the effect of economic policy uncertainty (EPU) and oil price changes on the relationships between those markets and study these relationships under different market conditions.
{"title":"Exchange rates and oil price under uncertainty and regime switching: A Markov-switching VAR approach","authors":"Nagmi Aimer, Abdulmula Lusta","doi":"10.20885/ejem.vol13.iss2.art9","DOIUrl":"https://doi.org/10.20885/ejem.vol13.iss2.art9","url":null,"abstract":"Purpose - This paper analyses the effects of the US economic policy uncertainty index and oil price changes on the dollar exchange rate over a monthly period from January 2006 to August 2020. Methods - This paper uses the Markov-switching Vector Auto-Regressive (VAR) model. Findings - The results show that the sharp decline regime in the exchange rate is the most stable. In addition, the impact of the oil price on the exchange rate of the concerned currencies is stronger than the effect of EPU on the exchange rate of these currencies. We also find that most of the effects of oil prices were negative, while positive for the Canadian dollar and the Japanese yen exchange rate. Implications - Addressing this investigation contributes to many of the areas covered in recent macroeconomic and finance research. Moreover, such research can help predict changes in currency and oil prices better and create profitable investment and hedging strategies for currencies and oil. Originality - We consider the effect of economic policy uncertainty (EPU) and oil price changes on the relationships between those markets and study these relationships under different market conditions.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"2 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89848661","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}
Pub Date : 2021-04-21DOI: 10.20885/EJEM.VOL13.ISS1.ART5
V. Dang
Purpose - The paper examines the impacts of the central bank's foreign exchange reserves on bank lending, captured by the dimensions of quantity (loan growth) and quality (credit risk). Methods - This research analysis is based on bank-year observations in Vietnam during 2007–2019 and employs the two-step system Generalized Method of Moments in dynamic panels. Findings - This study finds that banks tend to increase their loan growth rate in response to reserves accumulation. Banks also expand loans and cash items on their asset structure while subsequently slashing total security investments and disaggregate government bond holdings. Our results also indicate that the central bank reserves accumulation is associated with less credit risk and more financial stability of the banking system. Implication - This paper supports the notion that reserve accumulation could be a complementary monetary policy tool for lending navigation and economic growth. Besides, reserve interventions may be used for financial stability, given the finding that it is found to curtail bank credit risk and financial instability. Originality - This paper contributes to the literature by focusing on critical aspects of bank lending, including quantity and quality, to paint a bigger picture of the benefits and costs of reserve accumulation and decompose bank asset portfolios into disaggregate components, thereby providing more insight into bank responses.
{"title":"Bank lending in an emerging economy: How does central bank reserve accumulation matter?","authors":"V. Dang","doi":"10.20885/EJEM.VOL13.ISS1.ART5","DOIUrl":"https://doi.org/10.20885/EJEM.VOL13.ISS1.ART5","url":null,"abstract":"Purpose - The paper examines the impacts of the central bank's foreign exchange reserves on bank lending, captured by the dimensions of quantity (loan growth) and quality (credit risk). Methods - This research analysis is based on bank-year observations in Vietnam during 2007–2019 and employs the two-step system Generalized Method of Moments in dynamic panels. Findings - This study finds that banks tend to increase their loan growth rate in response to reserves accumulation. Banks also expand loans and cash items on their asset structure while subsequently slashing total security investments and disaggregate government bond holdings. Our results also indicate that the central bank reserves accumulation is associated with less credit risk and more financial stability of the banking system. Implication - This paper supports the notion that reserve accumulation could be a complementary monetary policy tool for lending navigation and economic growth. Besides, reserve interventions may be used for financial stability, given the finding that it is found to curtail bank credit risk and financial instability. Originality - This paper contributes to the literature by focusing on critical aspects of bank lending, including quantity and quality, to paint a bigger picture of the benefits and costs of reserve accumulation and decompose bank asset portfolios into disaggregate components, thereby providing more insight into bank responses.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"4 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-04-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75133656","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}
Pub Date : 2021-04-01DOI: 10.20885/EJEM.VOL13.ISS1.ART7
A. Ananwude
Purpose ─ This paper investigates the effect of commercial bank regulations, namely the price, product, and geographic regulations, on the intermediation function of commercial banks in Nigeria. Methods ─ Using secondary data from 1986 to 2017 from the Central Bank of Nigeria (CBN) and the World Bank, this study employs the Autoregressive Distributive Lag (ARDL) model and Granger causality framework. Findings ─ This paper provides evidence of a long-run relationship between commercial bank regulation and intermediation function represented by private sector credit to RGDP (regional gross domestic product). It also finds that commercial banks' regulation index through price, product, and geographic regulation has a positive relationship with intermediation function. Furthermore, the long-run relationship between commercial bank regulation and intermediation function described by private sector credit to RGDP is affirmed. Implication ─ The Central Bank of Nigeria (CBN) needs to relax the product regulation to allow commercial banks to engage in various conventionally non-banking activities. Originality ─ The paper contributes to the literature by ascertaining the commercial banks' intermediation function to Nigeria's economic growth and development.
{"title":"Commercial banks regulation and intermediation function in an emerging market","authors":"A. Ananwude","doi":"10.20885/EJEM.VOL13.ISS1.ART7","DOIUrl":"https://doi.org/10.20885/EJEM.VOL13.ISS1.ART7","url":null,"abstract":"Purpose ─ This paper investigates the effect of commercial bank regulations, namely the price, product, and geographic regulations, on the intermediation function of commercial banks in Nigeria. Methods ─ Using secondary data from 1986 to 2017 from the Central Bank of Nigeria (CBN) and the World Bank, this study employs the Autoregressive Distributive Lag (ARDL) model and Granger causality framework. Findings ─ This paper provides evidence of a long-run relationship between commercial bank regulation and intermediation function represented by private sector credit to RGDP (regional gross domestic product). It also finds that commercial banks' regulation index through price, product, and geographic regulation has a positive relationship with intermediation function. Furthermore, the long-run relationship between commercial bank regulation and intermediation function described by private sector credit to RGDP is affirmed. Implication ─ The Central Bank of Nigeria (CBN) needs to relax the product regulation to allow commercial banks to engage in various conventionally non-banking activities. Originality ─ The paper contributes to the literature by ascertaining the commercial banks' intermediation function to Nigeria's economic growth and development.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"4 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"73229042","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}
Pub Date : 2021-04-01DOI: 10.20885/EJEM.VOL13.ISS1.ART6
A. Salles
Purpose ─ This paper estimates the idiosyncratic risk (IDR) time series in the Brazilian economy and verifies its interaction with the Brazilian country risk indicators, measured by the EMBI+ (the Emerging Markets Bond Index). Methods ─ This paper estimates various regression models to capture the dynamic nature of the variables. The models include the heteroscedastic conditional autoregressive models and vector error correction models (VECM). Findings ─ The results show similarities or associations between the two indicators with interactions in the short and long run. The idiosyncratic risk proves to be a relevant indicator of the risk of economic activities implemented within the scope of the Brazilian economy and can help evaluate investments in related projects. This results also provide evidence of cointegration between the EMBI+ and IDR variations. Implication ─ This result suggests an alternative way for obtaining estimates of the expected return required by economic agents in financing and investing in productive and infrastructure projects necessary for developing the Brazilian economy that provides greater employability and good social welfare. paper an alternative Brazilian economy. It also compares the results with the time series results obtained from the country risk measure EMBI+, widely used among resource managers in the international markets.
{"title":"Similarity evidence between the country risk and the idiosyncratic risk: An empirical study of the Brazilian case","authors":"A. Salles","doi":"10.20885/EJEM.VOL13.ISS1.ART6","DOIUrl":"https://doi.org/10.20885/EJEM.VOL13.ISS1.ART6","url":null,"abstract":"Purpose ─ This paper estimates the idiosyncratic risk (IDR) time series in the Brazilian economy and verifies its interaction with the Brazilian country risk indicators, measured by the EMBI+ (the Emerging Markets Bond Index). Methods ─ This paper estimates various regression models to capture the dynamic nature of the variables. The models include the heteroscedastic conditional autoregressive models and vector error correction models (VECM). Findings ─ The results show similarities or associations between the two indicators with interactions in the short and long run. The idiosyncratic risk proves to be a relevant indicator of the risk of economic activities implemented within the scope of the Brazilian economy and can help evaluate investments in related projects. This results also provide evidence of cointegration between the EMBI+ and IDR variations. Implication ─ This result suggests an alternative way for obtaining estimates of the expected return required by economic agents in financing and investing in productive and infrastructure projects necessary for developing the Brazilian economy that provides greater employability and good social welfare. paper an alternative Brazilian economy. It also compares the results with the time series results obtained from the country risk measure EMBI+, widely used among resource managers in the international markets.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"1 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79416811","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}
Pub Date : 2021-04-01DOI: 10.20885/EJEM.VOL13.ISS1.ART4
A. Taheri, S. Nessabian, R. Moghaddasi, F. Arbabi, M. Damankeshideh
Purpose ─ This study is aimed at analyzing the main drivers of business cycle in Iran and some selected oil producing countries during the 1970:Q1-2015:Q4 period. In addition, the study evaluates causality of leading macroeconomic indicators for each different regimes of the business cycles. Methods ─ This study proposes a new methodological approach by combining Markov-Switching Vector Autoregressive (MSVAR) and MS-Granger causality approach. Findings ─ The results show that there are diverse sources of business cycle. Iran experienced higher volatility of GDP where machinery investment and export are found as main driver of its business cycle. Meanwhile, consumer price index has countercyclical effect in all countries. We also find some similarities to the US, the UK, and Canada regarding the probability of a business cycle, number of observations, and the average duration, especially in the first regime of MS-VAR models. The high level of oil price volatility relative to the GDP volatility indicates the power of oil price shock to generate cycles. In addition, the results of the traditional Granger causality test confirm the Markov-Switching Granger Causality (MS-GC) test in all countries except export from the UK. Implication ─ Identification the main driver of business cycles is very significant to formulate the steady growth path so that the government able to select the most adequate economic policy. Originality ─ The novelty of this study is the adoption of a new approach by combining stylized facts and MS-VAR and MS-Granger causality to analyze the business cycles in different regime.
{"title":"Drivers of business cycles in Iran and some selected oil producing countries","authors":"A. Taheri, S. Nessabian, R. Moghaddasi, F. Arbabi, M. Damankeshideh","doi":"10.20885/EJEM.VOL13.ISS1.ART4","DOIUrl":"https://doi.org/10.20885/EJEM.VOL13.ISS1.ART4","url":null,"abstract":"Purpose ─ This study is aimed at analyzing the main drivers of business cycle in Iran and some selected oil producing countries during the 1970:Q1-2015:Q4 period. In addition, the study evaluates causality of leading macroeconomic indicators for each different regimes of the business cycles. Methods ─ This study proposes a new methodological approach by combining Markov-Switching Vector Autoregressive (MSVAR) and MS-Granger causality approach. Findings ─ The results show that there are diverse sources of business cycle. Iran experienced higher volatility of GDP where machinery investment and export are found as main driver of its business cycle. Meanwhile, consumer price index has countercyclical effect in all countries. We also find some similarities to the US, the UK, and Canada regarding the probability of a business cycle, number of observations, and the average duration, especially in the first regime of MS-VAR models. The high level of oil price volatility relative to the GDP volatility indicates the power of oil price shock to generate cycles. In addition, the results of the traditional Granger causality test confirm the Markov-Switching Granger Causality (MS-GC) test in all countries except export from the UK. Implication ─ Identification the main driver of business cycles is very significant to formulate the steady growth path so that the government able to select the most adequate economic policy. Originality ─ The novelty of this study is the adoption of a new approach by combining stylized facts and MS-VAR and MS-Granger causality to analyze the business cycles in different regime.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"12 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76534956","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}
Pub Date : 2021-04-01DOI: 10.20885/EJEM.VOL13.ISS1.ART3
Mansoor Mushtaq, Shabbir Ahmed
Purpose ─ This study analyzes the moderating role of financial development in the Environmental Kuznets Curve (EKC) hypothesis in 25 countries. Methods ─ This paper uses Lin and Chu unit root test to check the stationary of the variables. The unit root test result leads to the investigation using the panel pooled mean group model. Findings ─ The results of the long-run analysis show that the EKC hypothesis exists, and financial development plays its role in two ways. Firstly, it confirms the EKC hypothesis, and secondly, it improves the coefficients of supporting variables, namely economic growth, energy growth, and manufacturing value-added. The results are robust to changing the proxies of dependent as well as independent variables. The error correction model results show that the sign of the error correction term is negative and significant, implying that all of the models will converge toward their long-run equilibrium. that the governments of these countries should focus on enhancing financial development for the betterment of the environment. Originality ─ The study analyzes the role of the financial sector as a moderating role in the EKC hypothesis both in emerging economies and well-developed economies.
{"title":"Environmental Kuznets Curve: Moderating role of financial development","authors":"Mansoor Mushtaq, Shabbir Ahmed","doi":"10.20885/EJEM.VOL13.ISS1.ART3","DOIUrl":"https://doi.org/10.20885/EJEM.VOL13.ISS1.ART3","url":null,"abstract":"Purpose ─ This study analyzes the moderating role of financial development in the Environmental Kuznets Curve (EKC) hypothesis in 25 countries. Methods ─ This paper uses Lin and Chu unit root test to check the stationary of the variables. The unit root test result leads to the investigation using the panel pooled mean group model. Findings ─ The results of the long-run analysis show that the EKC hypothesis exists, and financial development plays its role in two ways. Firstly, it confirms the EKC hypothesis, and secondly, it improves the coefficients of supporting variables, namely economic growth, energy growth, and manufacturing value-added. The results are robust to changing the proxies of dependent as well as independent variables. The error correction model results show that the sign of the error correction term is negative and significant, implying that all of the models will converge toward their long-run equilibrium. that the governments of these countries should focus on enhancing financial development for the betterment of the environment. Originality ─ The study analyzes the role of the financial sector as a moderating role in the EKC hypothesis both in emerging economies and well-developed economies.","PeriodicalId":41472,"journal":{"name":"Economic Journal of Emerging Markets","volume":"428 1","pages":""},"PeriodicalIF":0.5,"publicationDate":"2021-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"77946729","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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