Pub Date : 2023-04-05DOI: 10.1142/s2194565923500057
Jhih-Hong Zeng, Ming-Fu Hsu
This research explores how new financial technologies are able to resolve economic stagnation by considering two dimensions of financial technology’s spread: the spread to poor people and that to rural area people. Based on a sample of 109 countries, our findings indicate that the spread of new financial technologies to poor people not only benefits economic growth directly, but also generates an indirect positive influence on economic growth via the channel of financial institutions’ development. By comparison, the effect of spreading financial technologies to rural area people on stimulating economic growth is insignificant. Lastly, we offer some policy implications associated with the results.
{"title":"HOW NEW FINANCIAL TECHNOLOGIES RESOLVE ECONOMIC STAGNATION: THE FINANCIAL PERSPECTIVE","authors":"Jhih-Hong Zeng, Ming-Fu Hsu","doi":"10.1142/s2194565923500057","DOIUrl":"https://doi.org/10.1142/s2194565923500057","url":null,"abstract":"This research explores how new financial technologies are able to resolve economic stagnation by considering two dimensions of financial technology’s spread: the spread to poor people and that to rural area people. Based on a sample of 109 countries, our findings indicate that the spread of new financial technologies to poor people not only benefits economic growth directly, but also generates an indirect positive influence on economic growth via the channel of financial institutions’ development. By comparison, the effect of spreading financial technologies to rural area people on stimulating economic growth is insignificant. Lastly, we offer some policy implications associated with the results.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"1 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-04-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83673123","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 : 2023-03-27DOI: 10.1142/s219456592350001x
Feriel Nasser, Feryel Ouerghi
Using data from the OECD-Trade in Value Added (TIVA) database, this paper analyzes Tunisia’s national and sectoral participation and positioning in global value chains (GVC) during 2005–2015. This paper also aims to illustrate countries with which Tunisia is highly integrated into GVC, by exploring the countries of origin of foreign value added in Tunisian exports, and the countries exporting Tunisian domestic value added share of its gross exports. Tunisia is among the most integrated countries, during the whole period of study. It has a high level of participation in GVC in many industrial activities, particularly in the textile, clothing and leather sector, food processing, and electronic and electrical equipment. The backward linkage in its GVC integration can be explained by the choice of specialization in its production, which roughly explains its position in the middle-stream–downstream. However, its participation in value chains remains regional rather than global. Around 60% of its GVC participation is with European countries. Overall, our results suggest that Tunisia has a potential that has been well exploited for the period 2005–2010 (period before the Tunisian revolution). However, this success remains limited since political and socio-economic crises have limited the potential of Tunisia’s current participation in the GVC.
{"title":"GLOBAL VALUE CHAINS: OPPORTUNITIES COME WITH CHALLENGES IN TUNISIA","authors":"Feriel Nasser, Feryel Ouerghi","doi":"10.1142/s219456592350001x","DOIUrl":"https://doi.org/10.1142/s219456592350001x","url":null,"abstract":"Using data from the OECD-Trade in Value Added (TIVA) database, this paper analyzes Tunisia’s national and sectoral participation and positioning in global value chains (GVC) during 2005–2015. This paper also aims to illustrate countries with which Tunisia is highly integrated into GVC, by exploring the countries of origin of foreign value added in Tunisian exports, and the countries exporting Tunisian domestic value added share of its gross exports. Tunisia is among the most integrated countries, during the whole period of study. It has a high level of participation in GVC in many industrial activities, particularly in the textile, clothing and leather sector, food processing, and electronic and electrical equipment. The backward linkage in its GVC integration can be explained by the choice of specialization in its production, which roughly explains its position in the middle-stream–downstream. However, its participation in value chains remains regional rather than global. Around 60% of its GVC participation is with European countries. Overall, our results suggest that Tunisia has a potential that has been well exploited for the period 2005–2010 (period before the Tunisian revolution). However, this success remains limited since political and socio-economic crises have limited the potential of Tunisia’s current participation in the GVC.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"13 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-03-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79683753","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 : 2023-02-28DOI: 10.1142/s2194565922500099
Joseph Pelzman, Ofra Bazel-Shoham
As the world continues to navigate a global pandemic that ignores national borders, it is not surprising to find a divide between the interests of vaccine-producing countries — and their entire supply chain networks for intermediates and raw materials — and countries that are primarily reliant on these producers for their vaccine consumption. This paper puts this debate in the context of a multi country strategic game where the major players have been able to produce a vaccine for COVID-19 and control the distribution of the vaccine and all its components. To address this issue of sovereign players, some have raised the possibility of a GATT/WTO intervention into COVID-19 vaccine sale and distribution. In addition, a legal battle is taking shape over lucrative patent rights for COVID-19 vaccines, with drug companies pitted against each other and government and academic scientists over who invented what. At the heart of the disputes is the billion-dollar question: Who can claim to have invented important elements of the COVID-19 vaccines? In June 2022, the WTO struck deals on a partial patent waiver for COVID-19 vaccines. Most observers believe that this change to the intellectual property rules will have limited impact on actual production for now because a current surplus of vaccines globally means there is little demand among vaccine makers to increase output. The implications are clear. The WTO compromise has allowed the existence of high hurdles for exports of products made under such a license. Given the limited WTO compromise agreement there are several options available to solve the problem of lack of access to the COVID-19 vaccine consuming nations at this stage. First, the US Supreme Court could invalidate each of the pharmaceutical companies’ patent requests. Second, individuals could file legal actions designed to disgorge the monopoly revenue of these pharmaceutical companies. If no legal action is taken, along these lines, and the WTO compromise is insufficient to solve the COVID-19 vaccine shortages in the developing world, then the developed countries will be opening the gate to PRC delivery of their COVID-19 vaccine to the entire developing and emerging markets.
{"title":"WEAPONIZING THE COVID-19 VACCINE: THE GEOPOLITICAL STRUGGLE","authors":"Joseph Pelzman, Ofra Bazel-Shoham","doi":"10.1142/s2194565922500099","DOIUrl":"https://doi.org/10.1142/s2194565922500099","url":null,"abstract":"As the world continues to navigate a global pandemic that ignores national borders, it is not surprising to find a divide between the interests of vaccine-producing countries — and their entire supply chain networks for intermediates and raw materials — and countries that are primarily reliant on these producers for their vaccine consumption. This paper puts this debate in the context of a multi country strategic game where the major players have been able to produce a vaccine for COVID-19 and control the distribution of the vaccine and all its components. To address this issue of sovereign players, some have raised the possibility of a GATT/WTO intervention into COVID-19 vaccine sale and distribution. In addition, a legal battle is taking shape over lucrative patent rights for COVID-19 vaccines, with drug companies pitted against each other and government and academic scientists over who invented what. At the heart of the disputes is the billion-dollar question: Who can claim to have invented important elements of the COVID-19 vaccines? In June 2022, the WTO struck deals on a partial patent waiver for COVID-19 vaccines. Most observers believe that this change to the intellectual property rules will have limited impact on actual production for now because a current surplus of vaccines globally means there is little demand among vaccine makers to increase output. The implications are clear. The WTO compromise has allowed the existence of high hurdles for exports of products made under such a license. Given the limited WTO compromise agreement there are several options available to solve the problem of lack of access to the COVID-19 vaccine consuming nations at this stage. First, the US Supreme Court could invalidate each of the pharmaceutical companies’ patent requests. Second, individuals could file legal actions designed to disgorge the monopoly revenue of these pharmaceutical companies. If no legal action is taken, along these lines, and the WTO compromise is insufficient to solve the COVID-19 vaccine shortages in the developing world, then the developed countries will be opening the gate to PRC delivery of their COVID-19 vaccine to the entire developing and emerging markets.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"21 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2023-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"86159443","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 : 2022-12-27DOI: 10.1142/s2194565922500087
L. Kharchenko, L. Efimova, Yulia Loktionova, E. Budko
Modern resource markets are globalized, which gives significant advantages to countries that own these resources. The proceeds from the sale of resources to global markets can serve as a financial phase for the implementation of important government development programs for a country. The paper examines the influence of the economic and political aspects of globalization on the export operations of the OPEC and OPEC+ member countries. A statistical study of the dependence of export volume dynamics on the KOF Globalization Index and its components was carried out, which made it possible to quantitatively assess the impact of political and economic globalization on OPEC countries’ exports by developing a mathematical model that would describe the relationship of these indicators. The OPEC and OPEC+ countries were grouped depending on those components of the globalization indicator that affect export volumes, that is, according to the level of countries’ involvement in globalization.
{"title":"THE INFLUENCE OF ECONOMIC AND POLITICAL GLOBALIZATION ASPECTS ON OPEC MEMBER COUNTRIES’ EXPORT OPERATIONS","authors":"L. Kharchenko, L. Efimova, Yulia Loktionova, E. Budko","doi":"10.1142/s2194565922500087","DOIUrl":"https://doi.org/10.1142/s2194565922500087","url":null,"abstract":"Modern resource markets are globalized, which gives significant advantages to countries that own these resources. The proceeds from the sale of resources to global markets can serve as a financial phase for the implementation of important government development programs for a country. The paper examines the influence of the economic and political aspects of globalization on the export operations of the OPEC and OPEC+ member countries. A statistical study of the dependence of export volume dynamics on the KOF Globalization Index and its components was carried out, which made it possible to quantitatively assess the impact of political and economic globalization on OPEC countries’ exports by developing a mathematical model that would describe the relationship of these indicators. The OPEC and OPEC+ countries were grouped depending on those components of the globalization indicator that affect export volumes, that is, according to the level of countries’ involvement in globalization.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"27 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-12-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89559299","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 : 2022-08-18DOI: 10.1142/s2194565922500075
Joseph Pelzman, Ofra Bazel-Shoham
In 2020, US and European firms undertook financial risk that they can ill-afford to carry, stemming from their supply chain networks. Many have gradually deluded themselves into thinking their risk was reasonable, while other firms have made production sourcing decisions with little idea of the true magnitude of their risks. However, the rising risk was an inevitable consequence of the economy’s multinational firms, spreading the supply chain further away from their home base. For the purposes of this paper, we consider risk associated with a transaction to be excessive when the domestic multinational is likely to incur a loss that will seriously compromise its production and sales, and possibly force the firm into bankruptcy.
{"title":"THE GLOBALIZATION CONUNDRUM POST COVID-19: INTERNALIZING THE RISKS OF THE SUPPLY CHAIN","authors":"Joseph Pelzman, Ofra Bazel-Shoham","doi":"10.1142/s2194565922500075","DOIUrl":"https://doi.org/10.1142/s2194565922500075","url":null,"abstract":"In 2020, US and European firms undertook financial risk that they can ill-afford to carry, stemming from their supply chain networks. Many have gradually deluded themselves into thinking their risk was reasonable, while other firms have made production sourcing decisions with little idea of the true magnitude of their risks. However, the rising risk was an inevitable consequence of the economy’s multinational firms, spreading the supply chain further away from their home base. For the purposes of this paper, we consider risk associated with a transaction to be excessive when the domestic multinational is likely to incur a loss that will seriously compromise its production and sales, and possibly force the firm into bankruptcy.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"5 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-08-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82123497","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 : 2022-08-11DOI: 10.1142/s2194565922500051
Nasreen Nawaz
Existing literature does not capture efficiency losses on the dynamic adjustment path of smuggling control market from initial to final equilibrium after a shock in order to formulate an optimal smuggling control policy. Furthermore, a number of public service units and smuggling control rate are major determinants of smuggling cases controlled in a society, and a policy without taking into consideration such vital determinants cannot ensure adjustment of a number of smuggling cases controlled as a result of cost movement in desired time, which may lead to extra efficiency losses than those envisaged during policy formulation for an optimal level of smuggling control in a society. This article designs a comprehensive optimal smuggling control policy mechanism by modeling a three-dimensional smuggling control system in society capturing the number of public service units, smuggling control rate, and cost, while taking into account efficiency losses during adjustment of smuggling control market, smuggling control rate and the number of public service units in addition to those which result due to movements from initial to final equilibriums.
{"title":"AN OPTIMAL CONTROL OF SMUGGLING","authors":"Nasreen Nawaz","doi":"10.1142/s2194565922500051","DOIUrl":"https://doi.org/10.1142/s2194565922500051","url":null,"abstract":"Existing literature does not capture efficiency losses on the dynamic adjustment path of smuggling control market from initial to final equilibrium after a shock in order to formulate an optimal smuggling control policy. Furthermore, a number of public service units and smuggling control rate are major determinants of smuggling cases controlled in a society, and a policy without taking into consideration such vital determinants cannot ensure adjustment of a number of smuggling cases controlled as a result of cost movement in desired time, which may lead to extra efficiency losses than those envisaged during policy formulation for an optimal level of smuggling control in a society. This article designs a comprehensive optimal smuggling control policy mechanism by modeling a three-dimensional smuggling control system in society capturing the number of public service units, smuggling control rate, and cost, while taking into account efficiency losses during adjustment of smuggling control market, smuggling control rate and the number of public service units in addition to those which result due to movements from initial to final equilibriums.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"176 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-08-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"82274035","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 : 2022-08-06DOI: 10.1142/s219456592250004x
T. R. Fraz, Samreen Fatima
For economists and investors, it is necessary to understand the random and nonlinear pattern of the stock market volatility. High volatility directly affects the financial market that leads to unpredictability. China–Pakistan Economic Corridor attracts economists and investors worldwide. Therefore, predicting the volatility of the stock markets related to CPEC is important. In this study we consider the most important stock markets lying on the route of CPEC, namely KSE 100 (Pakistan), SSE 100 (China), TADAWUL (Kingdom of Saudi Arabia), KASE (Kazakhstan), KLSE (Malaysia), BIST (Turkey), MOEX (Russia), FTSE (United Kingdom) and CAC40 (France). The daily returns of stock market indices consist of 1706 observations from December 2014 to July 2021. After the confirmation from the ARCH effect test, family GARCH models are employed, among them, based on AIC and BIC criteria, GARCH (1,1), EGARCH (1,1), and GARCH-M (1,1) are found suitable to forecast the volatility. The empirical study also suggests that the out-of-sample forecast GARCH-M (1,1) model is more appropriate as it has a minimum value of MAE, MSE, RMSE, MAPE, TheilU1, and Theil U2 among all the studied GARCH models. Furthermore, it is also found that the KSE-100 and SSE-100 have moderate and slow market average returns even though both stock markets are found to be the least risk-returns markets.
{"title":"MODELING AND FORECASTING VOLATILITY OF STOCK MARKET USING FAMILY OF GARCH MODELS: EVIDENCE FROM CPEC LINKED COUNTRIES","authors":"T. R. Fraz, Samreen Fatima","doi":"10.1142/s219456592250004x","DOIUrl":"https://doi.org/10.1142/s219456592250004x","url":null,"abstract":"For economists and investors, it is necessary to understand the random and nonlinear pattern of the stock market volatility. High volatility directly affects the financial market that leads to unpredictability. China–Pakistan Economic Corridor attracts economists and investors worldwide. Therefore, predicting the volatility of the stock markets related to CPEC is important. In this study we consider the most important stock markets lying on the route of CPEC, namely KSE 100 (Pakistan), SSE 100 (China), TADAWUL (Kingdom of Saudi Arabia), KASE (Kazakhstan), KLSE (Malaysia), BIST (Turkey), MOEX (Russia), FTSE (United Kingdom) and CAC40 (France). The daily returns of stock market indices consist of 1706 observations from December 2014 to July 2021. After the confirmation from the ARCH effect test, family GARCH models are employed, among them, based on AIC and BIC criteria, GARCH (1,1), EGARCH (1,1), and GARCH-M (1,1) are found suitable to forecast the volatility. The empirical study also suggests that the out-of-sample forecast GARCH-M (1,1) model is more appropriate as it has a minimum value of MAE, MSE, RMSE, MAPE, TheilU1, and Theil U2 among all the studied GARCH models. Furthermore, it is also found that the KSE-100 and SSE-100 have moderate and slow market average returns even though both stock markets are found to be the least risk-returns markets.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"14(4) 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-08-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90250645","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 : 2022-07-27DOI: 10.1142/s2194565922500063
Jo-Hui Chen, W. Yeh, Sabbor Hussain
This paper studies the influence of corporate performance and governance on the rating of industry competition degrees from 2012 to 2016. This study uses the ordered logit model and focuses on the non-manufacturing and manufacturing industries from the acquisition perspective and evaluates the rating change of industry competition. The results found that Tobin Q, Earnings Per Share, Management Layer Total Annual Salary, and Number of Board Directors impact the rating changes for industry competition. The manufacturing enterprises can improve the value and income by increasing investment when the market is more concentrated. It can expand the size of the board of directors and reduce compensation to improve the governance ability of the management. The corporate performance and governance of manufacturing industries are more competitive than non-manufacturing industries in the monopolized market. The government offers an efficient manufacturing ecosystem, emphasizes governance policies, and reduces M&A taxes helping localization and industry competition.
{"title":"THE ANALYSIS OF CORPORATE PERFORMANCE AND GOVERNANCE ON INDUSTRY COMPETITION RATINGS IN CHINA","authors":"Jo-Hui Chen, W. Yeh, Sabbor Hussain","doi":"10.1142/s2194565922500063","DOIUrl":"https://doi.org/10.1142/s2194565922500063","url":null,"abstract":"This paper studies the influence of corporate performance and governance on the rating of industry competition degrees from 2012 to 2016. This study uses the ordered logit model and focuses on the non-manufacturing and manufacturing industries from the acquisition perspective and evaluates the rating change of industry competition. The results found that Tobin Q, Earnings Per Share, Management Layer Total Annual Salary, and Number of Board Directors impact the rating changes for industry competition. The manufacturing enterprises can improve the value and income by increasing investment when the market is more concentrated. It can expand the size of the board of directors and reduce compensation to improve the governance ability of the management. The corporate performance and governance of manufacturing industries are more competitive than non-manufacturing industries in the monopolized market. The government offers an efficient manufacturing ecosystem, emphasizes governance policies, and reduces M&A taxes helping localization and industry competition.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"21 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-07-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"87011416","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 : 2022-07-18DOI: 10.1142/s2194565922500026
Jo-Hui Chen, Sabbor Hussain, Yun Cheng
This paper used two frames based on the Multivariate General Autoregressive Conditional Heteroscedasticity (MGARCH) model, namely the Dynamic Conditional Correlation (DCC) and the Baba, Engle, Kraft, and Kroner (BEKK) models. DCC parameters confirmed the significant results to assess the spillover effects for return volatilities of five cryptocurrencies (Bitcoin, Dogecoin, Ethereum, Monero, and Peercoin). It indicated that cryptocurrency market returns would be volatile, connected with the time-varying pattern. Most ARCH and GARCH effects were significant in estimating the three pairs of return-mining profitability, return-Tweet, and mining profitability-Tweet. For the cryptocurrency return and profitability pair, returns depended on future price returns and cross-volatility spillover and were greater than their own volatility spillover effect. Moreover, the BEKK diagonal model was found to be the best model for return-mining profitability. The research community can also gain valuable insights into cryptocurrency investment models, offering wider future areas of research.
本文采用了基于多元一般自回归条件异方差(MGARCH)模型的两种框架，即动态条件相关(DCC)模型和Baba, Engle, Kraft, and Kroner (BEKK)模型。DCC参数证实了评估五种加密货币(比特币、狗狗币、以太坊、门罗币和Peercoin)回报波动的溢出效应的重要结果。它表明，加密货币市场的回报将是不稳定的，与时变模式有关。大多数ARCH和GARCH效应在估计回报-挖矿盈利能力、回报-推特和挖矿盈利能力-推特三对时显著。对于加密货币收益和盈利能力对，收益取决于未来价格收益和交叉波动溢出效应，且大于其自身波动溢出效应。此外，发现BEKK对角模型是回报采矿盈利能力的最佳模型。研究界还可以获得有关加密货币投资模型的宝贵见解，从而提供更广泛的未来研究领域。
{"title":"CRYPTOCURRENCY, PROFITABILITY, AND TWEETER: A MGARCH FRAMEWORK","authors":"Jo-Hui Chen, Sabbor Hussain, Yun Cheng","doi":"10.1142/s2194565922500026","DOIUrl":"https://doi.org/10.1142/s2194565922500026","url":null,"abstract":"This paper used two frames based on the Multivariate General Autoregressive Conditional Heteroscedasticity (MGARCH) model, namely the Dynamic Conditional Correlation (DCC) and the Baba, Engle, Kraft, and Kroner (BEKK) models. DCC parameters confirmed the significant results to assess the spillover effects for return volatilities of five cryptocurrencies (Bitcoin, Dogecoin, Ethereum, Monero, and Peercoin). It indicated that cryptocurrency market returns would be volatile, connected with the time-varying pattern. Most ARCH and GARCH effects were significant in estimating the three pairs of return-mining profitability, return-Tweet, and mining profitability-Tweet. For the cryptocurrency return and profitability pair, returns depended on future price returns and cross-volatility spillover and were greater than their own volatility spillover effect. Moreover, the BEKK diagonal model was found to be the best model for return-mining profitability. The research community can also gain valuable insights into cryptocurrency investment models, offering wider future areas of research.","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"17 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"81439813","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 : 2022-06-30DOI: 10.1142/s2194565922500038
HELENA GLEBOCKI KEEFE, SUJATA SAHA
The impact of unconventional monetary policies adopted by advanced economies in the wake of the Global Financial Crisis has had far reaching implications for global economic conditions. Although several transmission channels of quantitative easing to financial market and exchange rate conditions have been identified, there is a lack of empirical investigation on the spillover effects to exports for emerging market economies. The research presented in this paper focuses on assessing the asymmetric transmission of unconventional monetary policy in the US on exports for fifteen emerging market economies. Employing the panel ARDL (Autoregressive Distributed Lag) model, we find that the increase in large-scale asset purchases in the US corresponds to a decline in exports in the emerging market economies. The effect on exports is more sizable in the Fragile Five than in the other 10 emerging markets. Finally, although monetary policy shocks from the US transmit to impact trade in emerging markets, the effect is asymmetric. Specifically, the tapering of the quantitative easing does not have a statistically significant effect on exports.
{"title":"SPILLOVER EFFECTS OF QUANTITATIVE EASING ON EXPORTS IN EMERGING MARKET ECONOMIES","authors":"HELENA GLEBOCKI KEEFE, SUJATA SAHA","doi":"10.1142/s2194565922500038","DOIUrl":"https://doi.org/10.1142/s2194565922500038","url":null,"abstract":"<p>The impact of unconventional monetary policies adopted by advanced economies in the wake of the Global Financial Crisis has had far reaching implications for global economic conditions. Although several transmission channels of quantitative easing to financial market and exchange rate conditions have been identified, there is a lack of empirical investigation on the spillover effects to exports for emerging market economies. The research presented in this paper focuses on assessing the asymmetric transmission of unconventional monetary policy in the US on exports for fifteen emerging market economies. Employing the panel ARDL (Autoregressive Distributed Lag) model, we find that the increase in large-scale asset purchases in the US corresponds to a decline in exports in the emerging market economies. The effect on exports is more sizable in the Fragile Five than in the other 10 emerging markets. Finally, although monetary policy shocks from the US transmit to impact trade in emerging markets, the effect is asymmetric. Specifically, the tapering of the quantitative easing does not have a statistically significant effect on exports.</p>","PeriodicalId":44015,"journal":{"name":"Global Economy Journal","volume":"85 1","pages":""},"PeriodicalIF":0.7,"publicationDate":"2022-06-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138537324","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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