Pub Date : 2022-01-31DOI: 10.1142/s2010495222500014
F. Chang, Lin Zhang
{"title":"Revisiting Inflation-Growth Nexus: An Endogenous Growth Model with Financial Frictions","authors":"F. Chang, Lin Zhang","doi":"10.1142/s2010495222500014","DOIUrl":"https://doi.org/10.1142/s2010495222500014","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42636912","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 : 2022-01-31DOI: 10.1142/s2010495222500051
S. Edeki, Deborah Chikwado Okoli, Hijaz Ahmad, W. Wong
{"title":"Approximate series solutions of a one-factor term structure model for bond pricing","authors":"S. Edeki, Deborah Chikwado Okoli, Hijaz Ahmad, W. Wong","doi":"10.1142/s2010495222500051","DOIUrl":"https://doi.org/10.1142/s2010495222500051","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47301531","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 : 2022-01-31DOI: 10.1142/s2010495221400017
H. Ryu, D. Slottje
{"title":"Ten Ways to Specify a Gini Coefficient Using Entropy","authors":"H. Ryu, D. Slottje","doi":"10.1142/s2010495221400017","DOIUrl":"https://doi.org/10.1142/s2010495221400017","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43522499","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 : 2022-01-31DOI: 10.1142/s2010495221500184
Raymond L. Aor, Afees A. Salisu, I. Okpe
{"title":"The effects of U.S. monetary policy uncertainty shock on international equity markets","authors":"Raymond L. Aor, Afees A. Salisu, I. Okpe","doi":"10.1142/s2010495221500184","DOIUrl":"https://doi.org/10.1142/s2010495221500184","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42269604","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 : 2022-01-31DOI: 10.1142/s2010495222500038
{"title":"Modeling stock price movements prediction based on news sentiment analysis and deep learning","authors":"","doi":"10.1142/s2010495222500038","DOIUrl":"https://doi.org/10.1142/s2010495222500038","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47301472","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 : 2022-01-31DOI: 10.1142/s2010495222500026
Chevaughn van der Westhuizen, R. V. Eyden, G. Aye
The onset of the novel coronavirus pandemic (COVID-19) and previous financial and currency crises have heightened interest in understanding the nature of the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for South Africa over the period of 1979:01–2021:08, including the effect the COVID-19 pandemic has had on the interdependence and volatility transmissions. Through the use of bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) modeling, the empirical outcomes from this study provide strong evidence in support of the “stock-orientated” approach, where significant price and volatility spillovers propagate from the stock market into the foreign exchange market, whilst evidence of the “flow-orientated” approach is seen in the second moment and significant shock and asymmetric spillovers from the exchange to stock market are found. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of contagion between stock and foreign exchange markets. These spillovers became more pronounced during the COVID-19 pandemic, confirming heightened contagion in these markets during the periods of crisis. The results heed important implications for not only policymakers who are concerned by the contagion across financial markets and better regulations of these markets to promote economic growth, but also investors and fund managers who seek to hedge investment risks in South Africa.
{"title":"Contagion across Financial Markets during COVID-19: A Look at Volatility Spillovers between the Stock and Foreign Exchange Markets in South Africa","authors":"Chevaughn van der Westhuizen, R. V. Eyden, G. Aye","doi":"10.1142/s2010495222500026","DOIUrl":"https://doi.org/10.1142/s2010495222500026","url":null,"abstract":"The onset of the novel coronavirus pandemic (COVID-19) and previous financial and currency crises have heightened interest in understanding the nature of the interaction of stock market and exchange rate volatility. This paper aims to investigate the interdependence and volatility transmissions between the stock and foreign exchange markets for South Africa over the period of 1979:01–2021:08, including the effect the COVID-19 pandemic has had on the interdependence and volatility transmissions. Through the use of bivariate Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) modeling, the empirical outcomes from this study provide strong evidence in support of the “stock-orientated” approach, where significant price and volatility spillovers propagate from the stock market into the foreign exchange market, whilst evidence of the “flow-orientated” approach is seen in the second moment and significant shock and asymmetric spillovers from the exchange to stock market are found. The results support the asymmetric and long-range persistence volatility spillover effect and show strong evidence of contagion between stock and foreign exchange markets. These spillovers became more pronounced during the COVID-19 pandemic, confirming heightened contagion in these markets during the periods of crisis. The results heed important implications for not only policymakers who are concerned by the contagion across financial markets and better regulations of these markets to promote economic growth, but also investors and fund managers who seek to hedge investment risks in South Africa.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41578052","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 : 2022-01-31DOI: 10.1142/s2010495222500075
Muhammad Ramzan
{"title":"Symmetric Impact of Exchange Rate Volatility on Foreign Direct Investment in Pakistan: Does the Global Financial Crises and Political Regimes Matter?","authors":"Muhammad Ramzan","doi":"10.1142/s2010495222500075","DOIUrl":"https://doi.org/10.1142/s2010495222500075","url":null,"abstract":"","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44122256","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 : 2022-01-26DOI: 10.1142/s2010495221500202
Azer Dilanchiev, Tengiz Taktakishvili
Household consumption and the variables driving it have garnered extensive attention in economic literature. GDP per capita, gross savings, and inflation are among the macroeconomic variables typically considered to affect household spending. The paper examines the effect of these macroeconomic variables on household consumption using the ARDL model. The yearly aggregate data utilized in this analysis spans the period from 1983 to 2018. The paper found a long-run negative relation between household final consumption expenditure and gross domestic saving in the long run. The study showed positive and significant long-run relationships between GDP per capita and household consumption and a significant and negative relationship between savings and household consumption both in the short and long runs.
{"title":"MACROECONOMIC DETERMINANTS OF HOUSEHOLD CONSUMPTIONS IN GEORGIA","authors":"Azer Dilanchiev, Tengiz Taktakishvili","doi":"10.1142/s2010495221500202","DOIUrl":"https://doi.org/10.1142/s2010495221500202","url":null,"abstract":"Household consumption and the variables driving it have garnered extensive attention in economic literature. GDP per capita, gross savings, and inflation are among the macroeconomic variables typically considered to affect household spending. The paper examines the effect of these macroeconomic variables on household consumption using the ARDL model. The yearly aggregate data utilized in this analysis spans the period from 1983 to 2018. The paper found a long-run negative relation between household final consumption expenditure and gross domestic saving in the long run. The study showed positive and significant long-run relationships between GDP per capita and household consumption and a significant and negative relationship between savings and household consumption both in the short and long runs.","PeriodicalId":43570,"journal":{"name":"Annals of Financial Economics","volume":" ","pages":""},"PeriodicalIF":2.0,"publicationDate":"2022-01-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45548221","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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