The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANLSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is a not weak form of an efficient market for the entire period because its successive return is nonlinearly dependent and does not generate randomly. bispectrum estimates by exploiting its asymptotic distribution. The numbers in the parenthesis are critical probabilities. 𝐹 𝑇𝑠𝑎𝑦4 is the Tsay Ori-F test for neglected non-linearities in an autoregression. We test more specifically against STAR using 4 lags.
{"title":"Testing the weak form efficiency of the French ETF market with the LSTAR-ANLSTGARCH approach using a semiparametric estimation","authors":"Mohamed Chikhi, C. Diebolt","doi":"10.47743/ejes-2022-0111","DOIUrl":"https://doi.org/10.47743/ejes-2022-0111","url":null,"abstract":"The present research aims to test the weak-form efficiency of the French ETF market through a LSTAR model with ANSTGARCH errors, by using semiparametric maximum likelihood where the innovation distribution is replaced by a nonparametric estimate based on the kernel density function. In this paper, we consider the daily Xtrackers CAC 40 UCITS from 2009 to 2020 for the analysis as it is supposed to capture more information compared to other French stock markets. After application of different statistical tests, we show that the price fluctuations appear as the result of transitory shocks and the predictions provided by the LSTAR-ANLSTGARCH model are better than those of other models for some time horizons. The predictions from this model are also better than those of the random walk model; accordingly, the XCAC 40 price is a not weak form of an efficient market for the entire period because its successive return is nonlinearly dependent and does not generate randomly. bispectrum estimates by exploiting its asymptotic distribution. The numbers in the parenthesis are critical probabilities. 𝐹 𝑇𝑠𝑎𝑦4 is the Tsay Ori-F test for neglected non-linearities in an autoregression. We test more specifically against STAR using 4 lags.","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70896818","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}
{"title":"BOOK REVIEW: Elena Lazăr, Nicolae Dragoș Costescu, Dreptul european al internetului (translated European Internet Law)","authors":"Carmen Moldovan","doi":"10.47743/ejes-2022-0117","DOIUrl":"https://doi.org/10.47743/ejes-2022-0117","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897111","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}
{"title":"Analysis of the current integration process: from the past to the future of the European Union","authors":"Markéta Pekarčíková, M. Staníčková","doi":"10.47743/ejes-2022-0206","DOIUrl":"https://doi.org/10.47743/ejes-2022-0206","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897331","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}
This study examines the link between human capital and labour market resilience in the seven Portuguese NUTS-2 regions over the period 1995-2018. We use the Local Projection methodology (LPM) to estimate a SVAR model with three variables (employment, human capital, output) conditioning the response of the labour market to two scenarios depending on whether a shock to GDP occurs during recessions or during expansions, with output gap as the switching variable for the identification of recession and expansion regimes. The comparison of the employment responses to GDP shocks between the two regimes is informative about the degree of resilience of the labour market. We find evidence of: (i) distinct effects in terms of the sign and amplitude of GDP shocks on regional employment according to the level of educational attainment of employees; (ii) labour market resilience but jobless recoveries in several regions; and (iii) different regional reactions of human capital to GDP shocks depending on the regime.
{"title":"Human capital and labour market resilience over time: a regional perspective of the Portuguese case","authors":"Marta C. N. Simões, J. Andrade, Adelaide Duarte","doi":"10.47743/ejes-2022-0102","DOIUrl":"https://doi.org/10.47743/ejes-2022-0102","url":null,"abstract":"This study examines the link between human capital and labour market resilience in the seven Portuguese NUTS-2 regions over the period 1995-2018. We use the Local Projection methodology (LPM) to estimate a SVAR model with three variables (employment, human capital, output) conditioning the response of the labour market to two scenarios depending on whether a shock to GDP occurs during recessions or during expansions, with output gap as the switching variable for the identification of recession and expansion regimes. The comparison of the employment responses to GDP shocks between the two regimes is informative about the degree of resilience of the labour market. We find evidence of: (i) distinct effects in terms of the sign and amplitude of GDP shocks on regional employment according to the level of educational attainment of employees; (ii) labour market resilience but jobless recoveries in several regions; and (iii) different regional reactions of human capital to GDP shocks depending on the regime.","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70895893","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}
{"title":"FDI inflows, human development and export upgrading: evidence from EU transition economies","authors":"Yılmaz Bayar, Laura Diaconu Maxim","doi":"10.47743/ejes-2022-0201","DOIUrl":"https://doi.org/10.47743/ejes-2022-0201","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897308","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}
{"title":"Gender disparities in COVID-19 job losses across European post-transition economies","authors":"Valerija Botrić, T. Broz","doi":"10.47743/ejes-2022-0208","DOIUrl":"https://doi.org/10.47743/ejes-2022-0208","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897691","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}
{"title":"The EU's response vs. Chinese vaccine diplomacy in Central and Eastern Europe","authors":"Goran Ilik, V. Shapkoski","doi":"10.47743/ejes-2022-0205","DOIUrl":"https://doi.org/10.47743/ejes-2022-0205","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897144","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The substantial ageing impact projected by the Eurostat motivates this research for the case of the Czech Republic. The study assists policymakers by analysing fiscal-policy measures to stabilize ageing impact on the income and the well-being; and motivates fiscal authorities to utilize an extended version of the Czech Ministry of Finance model for the demographic agenda. The examined fiscal measures consist of postponing retirement, increasing pensions, and reducing social-security payments. The simulation outcome reveals reducing social-security payments as the only fiscal policy that would maintain both labour income and well-being unaltered in the presence of ageing. The study continues by proposing a policy mix to mitigate the subsequent government deficit. The policy mix consists of increasing the VAT tax rate and decreasing pensions and other transfers. In conclusion, the reduction of the social security payments financed by the suggested policy mix would support individuals’ responsibility for their future income while motivating them towards higher productivity during their younger years.
{"title":"Population ageing and sustainable fiscal policy in Czechia","authors":"Kateřina Gawthorpe","doi":"10.47743/ejes-2022-0104","DOIUrl":"https://doi.org/10.47743/ejes-2022-0104","url":null,"abstract":"The substantial ageing impact projected by the Eurostat motivates this research for the case of the Czech Republic. The study assists policymakers by analysing fiscal-policy measures to stabilize ageing impact on the income and the well-being; and motivates fiscal authorities to utilize an extended version of the Czech Ministry of Finance model for the demographic agenda. The examined fiscal measures consist of postponing retirement, increasing pensions, and reducing social-security payments. The simulation outcome reveals reducing social-security payments as the only fiscal policy that would maintain both labour income and well-being unaltered in the presence of ageing. The study continues by proposing a policy mix to mitigate the subsequent government deficit. The policy mix consists of increasing the VAT tax rate and decreasing pensions and other transfers. In conclusion, the reduction of the social security payments financed by the suggested policy mix would support individuals’ responsibility for their future income while motivating them towards higher productivity during their younger years.","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70896004","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}
{"title":"The democratic legitimacy hierarchy. The scales to determine authorities's legitimacy in democratic states","authors":"Metehan Dogan","doi":"10.47743/ejes-2022-0207","DOIUrl":"https://doi.org/10.47743/ejes-2022-0207","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70897560","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}
{"title":"Conformity, polarization, and democratic dialogue in times of pathogen threats. Germany and the United States during Covid-19","authors":"Björn Toelstede","doi":"10.47743/ejes-2022-0213","DOIUrl":"https://doi.org/10.47743/ejes-2022-0213","url":null,"abstract":"","PeriodicalId":43713,"journal":{"name":"Eastern Journal of European Studies","volume":null,"pages":null},"PeriodicalIF":0.6,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"70898806","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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