Economic Notes最新文献

Financial inclusion universally remains one of the critical means to end poverty in the world, especially Africa, where the level of poverty is high. It has however been argued that financial inclusion equally has the tendency to destabilize the financial system, thwarting the poverty reduction efforts, which necessitates the interrogation of the relationship between the variables. This study therefore investigates how financial stability mediates the financial inclusion and poverty reduction relationship in Africa. Using the panel Autoregressive Distributive Lag model, covering a period of 2004–2020, the study found that financial inclusion is positively related to financial stability in both short and long-run, with education, Gross National Income per capita (GNI) and domestic credit to private sector, contributing to financial stability, and trade openness negatively related to financial stability in the long-run. The study further established that financial stability is positively related to household consumption expenditure as such leads to poverty reduction with trade openness, government expenditure, GNI, education, domestic credit to private sector, and institutional quality contributing significantly to poverty reduction. This confirms the mediating role financial stability plays in enhancing the impact of financial inclusion on poverty reduction in Africa and must therefore be given the necessary attention, through proper regulatory mechanisms.

This paper aims at extracting a common factor from major carbon pricing which is interpreted as an effective carbon pricing or a shadow pricing. For this purpose, we use a dynamic factor model for which the unobserved common factors and idiosyncratic noises are potentially nonstationary processes. The two-step Kalman smoother procedure is used to estimate the model. We found (i) that the extracted common factor (i.e., the effective carbon pricing) exhibits very low values which range from 2.05 to 16.1 USD per ton, and more importantly, (ii) this factor does not cointegrate with the market prices. This last result highlights a total lack of integration of carbon markets.

The effect of currency volatility on investments in Africa continues to dominate the headlines, especially in the recent period of global crisis and heightened geopolitical tensions. This paper tackles the dynamic relationship between stock returns and exchange rates in nine emerging and frontier African markets. The study departs from the usual VAR and GARCH models and employs a tool that accounts for time–frequency co-movements and lead/lag relationships between exchange rates and stock returns in Africa. The bivariate wavelet technique applied to daily data from 1 April 2013 to 31 March 2022 established a profound negative co-movement between stock returns and exchange rates, especially in the medium to long-term frequencies. With exchange rates dominantly playing a leading role, it presents a case for policy consideration toward currency stability. We employed the partial wavelet approach to determine how stock returns and exchange rates related during the peak period of the COVID-19 pandemic and found negative co-movements within the short-term frequency, revealing that investors preferred the short-term horizon in times of crisis. However, when the covariate (COVID-19) was controlled or suppressed, we discovered the health pandemic failed to drive both stock returns and exchange rates.

Using a difference-in-differences (DID) framework, we evaluate the effect of UKSSE Trading scheme 2015—launch of stock trading by UK social stock exchange (UKSSE) for social enterprises (SEs) that became its members, on the productivity of UKSSE member-firms (treated group) as compared to nonmembers (control group) for the 2008–2014 and the 2015–2018 periods, before and post the implementation of the UKSSE trading scheme 2015. Our findings suggest significant positive impact of UKSSE trading scheme opening on the productivity of all SEs (treated group) for 2 years and SEs-SMEs (treated group) for 3 years, respectively, following the launch of this trading scheme, compared to the control groups. Thus, the UKSSE, through its trading scheme 2015, accomplished its role as a means to improve the performance of its members, measured by productivity.

The high reliance on cash is a lifestyle for many people, and their low proficiency with smartphone usage acts as an inertial barrier to using digital financial services (DFS). Given low financial or digital literacy, online banking transactions have to be promoted and mediated by DFS agents. This study examines the role of digital platforms, intermediaries such as banks, mobile money agents, payment banks, post offices, and the government's increasing use of digital technologies. This usage of digital platforms is based on the trust relationship between the principals, who are owners of their bank accounts, and agents of DFS, who are intermediaries. A linear probabilistic model is employed to determine the determinants behind the low adoption of DFS between the necessity and nonnecessity groups. We observe that demand-side factors like education level, identity proof (documentation), and level of smartphone use proficiency increase the probability of a principal's involvement in a digital mode of payment. At the same time, supply-side factors like digital infrastructure and trust deficit due to unviable commission incentives to DFS agents decrease the principal's likelihood of using digital platforms.

This paper investigates the dynamic relationships between the volatility of Bitcoin and major Indian stock market indices. Employing a dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC-GARCH) model, we explore how volatility shocks and information flow influence the correlations between these asset classes. Our findings reveal a key characteristic: volatility spillovers tend to be short-lived, indicated by a relatively low DCC-GARCH parameter (dcca1). This suggests that while a surge in volatility in one market might lead to a temporary increase in correlation with the other, this heightened correlation is unlikely to persist for extended periods. However, the model also highlights a high DCC-GARCH parameter (dccb1), signifying that the correlations themselves are responsive to new information. This implies that volatility linkages can adjust rapidly in response to market events or economic data releases. To enhance accessibility for a broad audience, we translate these findings into economic intuitions. We illustrate how the model can be interpreted through real-world examples, such as the impact of sudden policy changes in India or global market flash crashes. By understanding the short-lived nature of volatility spillovers and the responsiveness of correlations, investors in the Indian markets can make more informed decisions when considering the potential influence of Bitcoin's volatility while contributing to a deeper understanding of the dynamic interactions between cryptocurrency and traditional financial markets in the Indian context.

The literature has examined the relationship between financial inclusion and financial stability, but no studies have examined the relationship between financial inclusion and financial crisis. This study examines the effect of financial inclusion on financial crisis using data from 28 countries from 2006 to 2017. Three stylised facts were established based on real-world observation. One, the level of financial inclusion, in terms of number of bank depositors, decreases during domestic financial crisis. Two, the level of financial inclusion, in terms of ATM penetration, does not decrease during global and domestic financial crises. Three, the level of financial inclusion, in terms of number of bank branch, decreases during global and domestic financial crises and the contraction is stronger during a domestic financial crisis. Using the panel regression, logit and probit regression estimation methods, the empirical results show that low levels of financial inclusion, measured by fewer bank depositors and fewer bank branches, increase the likelihood that a financial crisis will occur. Low levels of financial inclusion, measured by fewer bank depositors, increase the likelihood that a financial crisis will occur in low financial-inclusion countries. In contrast, greater ATM penetration increases the likelihood that a financial crisis will occur in low financial-inclusion countries. The interaction analyses show that all indices of financial inclusion have a joint positive impact on financial crisis, implying that high levels of financial inclusion increases the likelihood that a financial crisis will occur.

This article proposes a methodology for measuring the macroprudential policy stance based on a forward-looking distance-to-tail metric derived from a large-scale semi-structural model. The model reflects the dynamics of 89 significant euro area banks and 19 euro area economies and two endogenous amplification mechanisms: the real economy banking sector and solvency funding feedback loops. Our results reveal a slight tightening of the macroprudential policy stance from 2017 to the end of 2019 that partially stemmed from adjusting macroprudential capital buffers and the phase-in of other systemwide banking sector policies reflecting macroprudential intentions. This trend is abruptly interrupted at the onset of the Covid-19 pandemic, when pronounced macrofinancial uncertainty led to a substantial increase in tail risks and reappears in 2021. Our assessment also reveals a high degree of co-movement in macroprudential stances across the euro area countries.

This paper studies the introduction of new temporary taxation on banks and its effects on banks' lending decisions. Focusing on a unique policy experiment in Slovenia in 2011, where the government imposed a 0.1% tax on banks' total assets, I find that the introduction of the tax resulted in a lower credit supply of loans to corporates. In particular, for each percentage point increase in the share of tax in the capital, banks charge, on average, 8 basis points higher lending rates and decrease their lending amount by 0.5%. The findings of this research carry strong policy implications for countries contemplating or having already implemented windfall or other temporary taxes on banks. The introduction of the tax might lead to a reduction in lending beyond what would be warranted from the standpoint of monetary or other policies.

Borrower-based macroprudential policies—such as caps on loan-to-value (LTV) ratios and debt-service-to-income (DSTI) limits—contain the build-up of systemic risk by reducing the probability and conditional impact of a crisis. While LTV/DSTI limits can increase inequality at introduction, they can dampen the increase in inequality under adverse macroeconomic conditions. The relative size of these opposing effects is an empirical question. We conduct counterfactual simulations under different macroeconomic and macroprudential policy scenarios using granular income and wealth data from the Households Finance and Consumption Survey for Ireland, Italy, Netherlands and Portugal. Simulation results show that borrower-based measures are associated with a moderate increase in wealth inequality, while the impact on income inequality is negligible.