Pub Date : 2021-07-22DOI: 10.1080/17520843.2021.1957266
Fan Yaojun
ABSTRACT In this paper, we theoretically discussed the relationship between financial liquidity, speculation and grain price for the first time. Then we employ the structural vector auto-regression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.
{"title":"Determinants analysis of grain price under financialization","authors":"Fan Yaojun","doi":"10.1080/17520843.2021.1957266","DOIUrl":"https://doi.org/10.1080/17520843.2021.1957266","url":null,"abstract":"ABSTRACT In this paper, we theoretically discussed the relationship between financial liquidity, speculation and grain price for the first time. Then we employ the structural vector auto-regression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"17 - 31"},"PeriodicalIF":1.3,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1957266","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42908627","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 : 2021-07-22DOI: 10.1080/17520843.2021.1952639
Seema Rehman, J. A. Khilji, S. Sharif
ABSTRACT This paper examines the implications for risk taking in an emerging stock market, namely, Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market such as bullish, bearish, stable etc. Using monthly data over 2005–2020, we estimate the Capital Asset Pricing Model (CAPM) using quantile regression framework, which is robust to distributional assumptions and can estimate the elasticities across the risk spectrum. The empirical findings suggest that the elasticities, namely, betas, are significant across quantiles. It implies that the risk-return relationship behaves differently across the market states and that the investors and policymakers, therefore, should calibrate their decisions accordingly.
{"title":"Risk vs Upside uncertainty: application of quantile regression in investment analysis","authors":"Seema Rehman, J. A. Khilji, S. Sharif","doi":"10.1080/17520843.2021.1952639","DOIUrl":"https://doi.org/10.1080/17520843.2021.1952639","url":null,"abstract":"ABSTRACT This paper examines the implications for risk taking in an emerging stock market, namely, Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market such as bullish, bearish, stable etc. Using monthly data over 2005–2020, we estimate the Capital Asset Pricing Model (CAPM) using quantile regression framework, which is robust to distributional assumptions and can estimate the elasticities across the risk spectrum. The empirical findings suggest that the elasticities, namely, betas, are significant across quantiles. It implies that the risk-return relationship behaves differently across the market states and that the investors and policymakers, therefore, should calibrate their decisions accordingly.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"264 - 284"},"PeriodicalIF":1.3,"publicationDate":"2021-07-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1952639","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47268637","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 : 2021-07-20DOI: 10.1080/17520843.2021.1953865
Kingstone Nyakurukwa
The study investigates the dynamic relationship between trading volume and stock returns on the JSE. The results show prima facie evidence of causality from returns to trading volume in the middle ...
{"title":"Revisiting the dynamic stock return–volume relationship in South Africa: a non-parametric causality in quantiles approach","authors":"Kingstone Nyakurukwa","doi":"10.1080/17520843.2021.1953865","DOIUrl":"https://doi.org/10.1080/17520843.2021.1953865","url":null,"abstract":"The study investigates the dynamic relationship between trading volume and stock returns on the JSE. The results show prima facie evidence of causality from returns to trading volume in the middle ...","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":" ","pages":""},"PeriodicalIF":1.3,"publicationDate":"2021-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1953865","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49017013","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 : 2021-07-15DOI: 10.1080/17520843.2021.1927128
Magaly Duarte Urquhart
ABSTRACT This paper investigates the link between public debt and inflation considering the Fiscal Theory of Price Level (FTPL) with data from Paraguay. Unlike other studies, the paper also considers this relationship according to the monetary regime. The fiscal policy actions are evaluated in a monetary structural vector autoregressive combined with fiscal variables and interpreted using impulse responses. The results highlight the importance of differentiating the monetary regime while conducting the analysis. In the monetary aggregate regime with an active fiscal policy, higher public debt shocks produce inflationary pressures. Conversely, with the inflation targeting sample estimation, inflation follows its targeted path.
{"title":"Public debt, inflation, and the Fiscal Theory of Price Level in emerging markets: the case of Paraguay","authors":"Magaly Duarte Urquhart","doi":"10.1080/17520843.2021.1927128","DOIUrl":"https://doi.org/10.1080/17520843.2021.1927128","url":null,"abstract":"ABSTRACT This paper investigates the link between public debt and inflation considering the Fiscal Theory of Price Level (FTPL) with data from Paraguay. Unlike other studies, the paper also considers this relationship according to the monetary regime. The fiscal policy actions are evaluated in a monetary structural vector autoregressive combined with fiscal variables and interpreted using impulse responses. The results highlight the importance of differentiating the monetary regime while conducting the analysis. In the monetary aggregate regime with an active fiscal policy, higher public debt shocks produce inflationary pressures. Conversely, with the inflation targeting sample estimation, inflation follows its targeted path.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"15 1","pages":"246 - 272"},"PeriodicalIF":1.3,"publicationDate":"2021-07-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1927128","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49424183","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 : 2021-07-06DOI: 10.1080/17520843.2021.1948171
S. Misra, K. Gupta, Pushpa L. Trivedi
ABSTRACT Recognizing the increasing precedence of fiscal shocks leading to a deterioration in states’ debt due to the realization of contingent liabilities, this study assesses the debt sustainability of Indian states by employing both conventional and augmented debts, obtained by incorporating information on states’ guarantees. Results indicate that states’ debt is just sustainable with potential signs of unsustainability. Guarantees given by states, if invoked, could certainly pose a potential risk to debt sustainability for Indian states. The study suggests revisiting and reviewing states’ FRLs with the inclusion of debt as a medium-term anchor, and greater transparency with regard to contingent liabilities.
{"title":"Sub-national government debt sustainability in India: an empirical analysis","authors":"S. Misra, K. Gupta, Pushpa L. Trivedi","doi":"10.1080/17520843.2021.1948171","DOIUrl":"https://doi.org/10.1080/17520843.2021.1948171","url":null,"abstract":"ABSTRACT Recognizing the increasing precedence of fiscal shocks leading to a deterioration in states’ debt due to the realization of contingent liabilities, this study assesses the debt sustainability of Indian states by employing both conventional and augmented debts, obtained by incorporating information on states’ guarantees. Results indicate that states’ debt is just sustainable with potential signs of unsustainability. Guarantees given by states, if invoked, could certainly pose a potential risk to debt sustainability for Indian states. The study suggests revisiting and reviewing states’ FRLs with the inclusion of debt as a medium-term anchor, and greater transparency with regard to contingent liabilities.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"57 - 79"},"PeriodicalIF":1.3,"publicationDate":"2021-07-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1948171","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42134403","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 : 2021-07-05DOI: 10.1080/17520843.2021.1947614
N. Hung
ABSTRACT This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies.
{"title":"Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam","authors":"N. Hung","doi":"10.1080/17520843.2021.1947614","DOIUrl":"https://doi.org/10.1080/17520843.2021.1947614","url":null,"abstract":"ABSTRACT This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"326 - 356"},"PeriodicalIF":1.3,"publicationDate":"2021-07-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1947614","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44144704","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 : 2021-06-29DOI: 10.1080/17520843.2021.1937259
Aleksandar Vasilev
ABSTRACT We introduce human capital accumulation into a real-business-cycle setup. We calibrate the model to Bulgarian data for the period following the introduction of the currency board arrangement (1999–2018). We investigate the quantitative importance of the presence of skill acquisition for cyclical fluctuations in Bulgaria. After subjecting the smodel to a battery of tests, we find the quantitative effect of such a channel – aside from producing a moderate increase in the variability of hours – to be relatively small. In other words, government spending on education turns out to be an ineffective instrument when it comes to smoothing the cycle.
{"title":"A real-business-cycle model with human capital accumulation: lessons for Bulgaria (1999-2018)","authors":"Aleksandar Vasilev","doi":"10.1080/17520843.2021.1937259","DOIUrl":"https://doi.org/10.1080/17520843.2021.1937259","url":null,"abstract":"ABSTRACT We introduce human capital accumulation into a real-business-cycle setup. We calibrate the model to Bulgarian data for the period following the introduction of the currency board arrangement (1999–2018). We investigate the quantitative importance of the presence of skill acquisition for cyclical fluctuations in Bulgaria. After subjecting the smodel to a battery of tests, we find the quantitative effect of such a channel – aside from producing a moderate increase in the variability of hours – to be relatively small. In other words, government spending on education turns out to be an ineffective instrument when it comes to smoothing the cycle.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"80 - 94"},"PeriodicalIF":1.3,"publicationDate":"2021-06-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1937259","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44828158","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 : 2021-06-25DOI: 10.1080/17520843.2021.1936110
Rahul Roy
ABSTRACT The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step procedure is used to estimate the parameters of both global and local version models. First the study finds that the six-factor model yields better estimates than the competing models in return predictability. Secondly, the study rejects the integrated international asset pricing hypothesis and argues that the local six-factor model yields better estimates than local competing models and outperforms global version models.
{"title":"Is the six-factor asset pricing model discounting the global returns?","authors":"Rahul Roy","doi":"10.1080/17520843.2021.1936110","DOIUrl":"https://doi.org/10.1080/17520843.2021.1936110","url":null,"abstract":"ABSTRACT The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step procedure is used to estimate the parameters of both global and local version models. First the study finds that the six-factor model yields better estimates than the competing models in return predictability. Secondly, the study rejects the integrated international asset pricing hypothesis and argues that the local six-factor model yields better estimates than local competing models and outperforms global version models.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"95 - 136"},"PeriodicalIF":1.3,"publicationDate":"2021-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1936110","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46452919","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 : 2021-05-21DOI: 10.1080/17520843.2021.1928527
M. Nizar, A. Mansur
ABSTRACT A risk-based premium scheme could be a reliable system to determine a fairer deposit insurance premium. This research aimed to assess Indonesian banks’ risk profile, including per size classification and ownership as well as to counterfactually simulate a risk-based deposit insurance system for the individual banks. This research combined analysis of variance (ANOVA) and non-parametric approach applied to 75 banks (2008q1-2019q3). The results showed that big banks did not necessarily posture better risk management compared to small banks. Also, under the risk-based scheme, banks with better risk management could be rewarded, while less prudent banks could be punished.
{"title":"Can the Indonesian banking industry benefit from a risk-based deposit insurance system?","authors":"M. Nizar, A. Mansur","doi":"10.1080/17520843.2021.1928527","DOIUrl":"https://doi.org/10.1080/17520843.2021.1928527","url":null,"abstract":"ABSTRACT A risk-based premium scheme could be a reliable system to determine a fairer deposit insurance premium. This research aimed to assess Indonesian banks’ risk profile, including per size classification and ownership as well as to counterfactually simulate a risk-based deposit insurance system for the individual banks. This research combined analysis of variance (ANOVA) and non-parametric approach applied to 75 banks (2008q1-2019q3). The results showed that big banks did not necessarily posture better risk management compared to small banks. Also, under the risk-based scheme, banks with better risk management could be rewarded, while less prudent banks could be punished.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"16 1","pages":"177 - 196"},"PeriodicalIF":1.3,"publicationDate":"2021-05-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1928527","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46135241","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 : 2021-05-10DOI: 10.1080/17520843.2021.1922167
Saurav Kumar, Sujoy Bhattacharya, S. Mandal
ABSTRACT This paper investigates energy commodities’ ability to diversify an equity portfolio across Asia-Pacific Markets. The joint behaviour of the energy commodities and stock index as noted through its shape, changed both temporally and across regime changes. Restricting short selling of stock index by assigning a greater than zero weight on the equity index improved return from the portfolio across regimes. The tail risk optimized portfolio gave the best risk-return trade-off. Though this was the case, one could use VaR and variance as risk measures with higher-order dependence on copulas in the optimization, if there were no constraints on portfolio returns.
{"title":"Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence","authors":"Saurav Kumar, Sujoy Bhattacharya, S. Mandal","doi":"10.1080/17520843.2021.1922167","DOIUrl":"https://doi.org/10.1080/17520843.2021.1922167","url":null,"abstract":"ABSTRACT This paper investigates energy commodities’ ability to diversify an equity portfolio across Asia-Pacific Markets. The joint behaviour of the energy commodities and stock index as noted through its shape, changed both temporally and across regime changes. Restricting short selling of stock index by assigning a greater than zero weight on the equity index improved return from the portfolio across regimes. The tail risk optimized portfolio gave the best risk-return trade-off. Though this was the case, one could use VaR and variance as risk measures with higher-order dependence on copulas in the optimization, if there were no constraints on portfolio returns.","PeriodicalId":42943,"journal":{"name":"Macroeconomics and Finance in Emerging Market Economies","volume":"15 1","pages":"177 - 195"},"PeriodicalIF":1.3,"publicationDate":"2021-05-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/17520843.2021.1922167","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43933964","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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