Pub Date : 2023-10-18DOI: 10.1007/s40822-023-00239-7
Edoardo Beretta, Doris Neuberger, Richard Senner
Abstract Starting from Irving Fisher’s equation of exchange ( $$MV=PT$$ MV=PT ) at the basis of the quantity theory of money and mainstream (macro)economics linking money ( $$M$$ M ) and its frequency of circulation ( $$V$$ V ) on the one hand to the general price level ( $$P$$ P ) and real goods and services exchanged ( $$T$$ T ) on the other, we analyze whether product returns by consumers (reaching 16.5% of total US sales in 2022) affect macroeconomic variables such as the price level and the velocity of money. We explore two different product-return scenarios: (1) reselling, and (2) destroying returned items. Based on a theoretical analysis and data for the US, we find that reselling product returns at a discount price reduces the price level, which is however not taken into account in the statistical measurement of the consumer price index. Moreover, the “modern” equation of exchange used in mainstream macroeconomics is an unsuitable instrument to study the effects of product returns on money velocity, because it neglects non-GDP-relevant transactions such as returning and reselling products. This leads to underestimate the actual velocity of money.
摘要在货币数量理论和主流(宏观)经济学将货币($$M$$ M)及其流通频率($$V$$ V)与一般价格水平($$P$$ P)和实际交换的商品和服务($$T$$ T)联系起来的基础上，从欧文·费雪的交换方程($$MV=PT$$ M V = P T)出发，分析消费者是否会获得产品回报(达到16.5)% of total US sales in 2022) affect macroeconomic variables such as the price level and the velocity of money. We explore two different product-return scenarios: (1) reselling, and (2) destroying returned items. Based on a theoretical analysis and data for the US, we find that reselling product returns at a discount price reduces the price level, which is however not taken into account in the statistical measurement of the consumer price index. Moreover, the “modern” equation of exchange used in mainstream macroeconomics is an unsuitable instrument to study the effects of product returns on money velocity, because it neglects non-GDP-relevant transactions such as returning and reselling products. This leads to underestimate the actual velocity of money.
{"title":"Do product returns in the retail sector affect the price level? Evidence from the equation of exchange","authors":"Edoardo Beretta, Doris Neuberger, Richard Senner","doi":"10.1007/s40822-023-00239-7","DOIUrl":"https://doi.org/10.1007/s40822-023-00239-7","url":null,"abstract":"Abstract Starting from Irving Fisher’s equation of exchange ( $$MV=PT$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mrow> <mml:mi>M</mml:mi> <mml:mi>V</mml:mi> <mml:mo>=</mml:mo> <mml:mi>P</mml:mi> <mml:mi>T</mml:mi> </mml:mrow> </mml:math> ) at the basis of the quantity theory of money and mainstream (macro)economics linking money ( $$M$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>M</mml:mi> </mml:math> ) and its frequency of circulation ( $$V$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>V</mml:mi> </mml:math> ) on the one hand to the general price level ( $$P$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>P</mml:mi> </mml:math> ) and real goods and services exchanged ( $$T$$ <mml:math xmlns:mml=\"http://www.w3.org/1998/Math/MathML\"> <mml:mi>T</mml:mi> </mml:math> ) on the other, we analyze whether product returns by consumers (reaching 16.5% of total US sales in 2022) affect macroeconomic variables such as the price level and the velocity of money. We explore two different product-return scenarios: (1) reselling, and (2) destroying returned items. Based on a theoretical analysis and data for the US, we find that reselling product returns at a discount price reduces the price level, which is however not taken into account in the statistical measurement of the consumer price index. Moreover, the “modern” equation of exchange used in mainstream macroeconomics is an unsuitable instrument to study the effects of product returns on money velocity, because it neglects non-GDP-relevant transactions such as returning and reselling products. This leads to underestimate the actual velocity of money.","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"126 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135888523","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 : 2023-10-16DOI: 10.1007/s40822-023-00240-0
Japan Huynh
This paper explores the in-depth effect of bank competition on liquidity hoarding by using a comprehensive strategy for empirical measurement. More precisely, we include all asset-, liability-, and off-balance-sheet items when generating our measures of bank liquidity hoarding. For a multiple-aspect assessment of banking market structure, we simultaneously employ non-structural proxies (Lerner index, Boone indicator, and H-statistic index) and structural measures (top-bank market concentration ratio and Herfindahl–Hirschman index). Through bank-level financial data from 30 Vietnamese banks during 2007–2021, we find strong and consistent evidence that higher bank competition increases total liquidity hoarding. Disaggregate analysis reveals that the increased accumulation in total liquidity hoarding is driven by asset and liability items on the balance sheet, though our findings indicate that bank competition reduces liquidity hoarding off balance sheets. We further shed light on how the impact of competition on liquidity hoarding depends on bank-level heterogeneity. The results suggest that the link is less pronounced for banks that are larger in size, hold more equity capital, and yield better profitability. Our set of results consistently supports the view that financially healthier banks are more effective in handling competitive pressures in the banking market, and thus they may have a better position to mitigate the liquidity hoarding effect from bank competition. Multiple robustness checks are employed to lend further strength to our conclusions.
{"title":"Bank competition and liquidity hoarding","authors":"Japan Huynh","doi":"10.1007/s40822-023-00240-0","DOIUrl":"https://doi.org/10.1007/s40822-023-00240-0","url":null,"abstract":"This paper explores the in-depth effect of bank competition on liquidity hoarding by using a comprehensive strategy for empirical measurement. More precisely, we include all asset-, liability-, and off-balance-sheet items when generating our measures of bank liquidity hoarding. For a multiple-aspect assessment of banking market structure, we simultaneously employ non-structural proxies (Lerner index, Boone indicator, and H-statistic index) and structural measures (top-bank market concentration ratio and Herfindahl–Hirschman index). Through bank-level financial data from 30 Vietnamese banks during 2007–2021, we find strong and consistent evidence that higher bank competition increases total liquidity hoarding. Disaggregate analysis reveals that the increased accumulation in total liquidity hoarding is driven by asset and liability items on the balance sheet, though our findings indicate that bank competition reduces liquidity hoarding off balance sheets. We further shed light on how the impact of competition on liquidity hoarding depends on bank-level heterogeneity. The results suggest that the link is less pronounced for banks that are larger in size, hold more equity capital, and yield better profitability. Our set of results consistently supports the view that financially healthier banks are more effective in handling competitive pressures in the banking market, and thus they may have a better position to mitigate the liquidity hoarding effect from bank competition. Multiple robustness checks are employed to lend further strength to our conclusions.","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"135 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136078713","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 : 2023-10-16DOI: 10.1007/s40822-023-00238-8
Mohamed Shaker Ahmed, Elie Bouri
The paper investigates long memory, structural breaks, and spurious long memory in the daily trading volume of the largest and most active cryptocurrencies and stablecoins, namely, Bitcoin, Ethereum, Tether, USD coin, Binance coin, Binance USD, Ripple, Cardano, Solana, Dogecoin and Bitcoin cash. The overall results show that both long memory and structural breaks are present in the cryptocurrencies trading volume, and the detected long memory property is not driven by structural breaks but rather true and thus not spurious. Given this, we conduct out-of-sample forecasting and indicate that the ARFIMA model, which accounts for long-range dependence, has a superior forecasting performance over the standard ARIMA model for four cryptocurrencies, namely, Binance coin, Ripple, Cardano, and Dogecoin at most forecasting horizons ahead and the shorter forecasting horizon (1-day ahead) for most cryptocurrencies under investigation.
{"title":"Long memory and structural breaks of cryptocurrencies trading volume","authors":"Mohamed Shaker Ahmed, Elie Bouri","doi":"10.1007/s40822-023-00238-8","DOIUrl":"https://doi.org/10.1007/s40822-023-00238-8","url":null,"abstract":"The paper investigates long memory, structural breaks, and spurious long memory in the daily trading volume of the largest and most active cryptocurrencies and stablecoins, namely, Bitcoin, Ethereum, Tether, USD coin, Binance coin, Binance USD, Ripple, Cardano, Solana, Dogecoin and Bitcoin cash. The overall results show that both long memory and structural breaks are present in the cryptocurrencies trading volume, and the detected long memory property is not driven by structural breaks but rather true and thus not spurious. Given this, we conduct out-of-sample forecasting and indicate that the ARFIMA model, which accounts for long-range dependence, has a superior forecasting performance over the standard ARIMA model for four cryptocurrencies, namely, Binance coin, Ripple, Cardano, and Dogecoin at most forecasting horizons ahead and the shorter forecasting horizon (1-day ahead) for most cryptocurrencies under investigation.","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136113104","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 : 2023-09-27DOI: 10.1007/s40822-023-00235-x
Mindaugas Butkus, Laura Dargenyte-Kacileviciene, Kristina Matuzeviciute, Dovile Rupliene, Janina Seputiene
Okun’s law suggests that economic growth and unemployment are negatively correlated–i.e., a 1% increase in GNP is associated with a decrease in the unemployment rate of 0.3 percentage points. However, agreement on the magnitude of this effect, the so-called Okun’s coefficient, is far from consistent. Empirical findings suggest that Okun’s coefficient varies for males and females, across educational attainment levels, between countries with different labor market regulations, and over recession and expansion periods. This paper is among the first attempts to jointly consider the abovementioned aspects of the heterogeneity of Okun’s law. Our empirical examinations are based on data from European Union countries over the 2000–2020 period. With quarterly data, we apply time-series regressions and estimate gender-, age- and educational attainment level-specific Okun’s coefficients for each country. In the second step, we run cross-country regressions to establish whether labor market regulations influence the responsiveness of unemployment to output growth. We use panel specifications and time-varying Okun’s coefficients to check robustness. Our results show that straightening labor market regulation would not significantly reduce the possibilities for growth to reduce unemployment.
{"title":"The role of labor market regulations on the sensitivity of unemployment to economic growth","authors":"Mindaugas Butkus, Laura Dargenyte-Kacileviciene, Kristina Matuzeviciute, Dovile Rupliene, Janina Seputiene","doi":"10.1007/s40822-023-00235-x","DOIUrl":"https://doi.org/10.1007/s40822-023-00235-x","url":null,"abstract":"Okun’s law suggests that economic growth and unemployment are negatively correlated–i.e., a 1% increase in GNP is associated with a decrease in the unemployment rate of 0.3 percentage points. However, agreement on the magnitude of this effect, the so-called Okun’s coefficient, is far from consistent. Empirical findings suggest that Okun’s coefficient varies for males and females, across educational attainment levels, between countries with different labor market regulations, and over recession and expansion periods. This paper is among the first attempts to jointly consider the abovementioned aspects of the heterogeneity of Okun’s law. Our empirical examinations are based on data from European Union countries over the 2000–2020 period. With quarterly data, we apply time-series regressions and estimate gender-, age- and educational attainment level-specific Okun’s coefficients for each country. In the second step, we run cross-country regressions to establish whether labor market regulations influence the responsiveness of unemployment to output growth. We use panel specifications and time-varying Okun’s coefficients to check robustness. Our results show that straightening labor market regulation would not significantly reduce the possibilities for growth to reduce unemployment.","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135535992","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 : 2023-09-25DOI: 10.1007/s40822-023-00234-y
Ahmed Bossman, Mariya Gubareva, Tamara Teplova
Abstract The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on European Union (EU) stocks by sectors of economic activity. The design and methodological approach of our research are rooted in parametric and nonparametric quantile-based techniques. We employ monthly data covering eleven sectors of economic activity in addition to GPR, Global EPU, European Union EPU, United States EPU, and VIX. Our dataset covers the period between February 2013 and September 2022. Our findings show a generally low predictive power of the considered EPU measures on the stock returns of the EU sectors. Notwithstanding, the analysis reveals that EPU from the EU has the highest predictive ability on the EU sectoral stock returns while EPU from the US has no significant predictive ability on the stock returns from the EU. Our findings also highlight the asymmetric effects of various EPUs on EU stocks. Moreover, certain sectoral exposure to EU stocks, found to serve just as diversifiers in normal market conditions, could become a hedge and safe-haven against GPR in extreme economic conditions. Our findings also highlight the role of the VIX as a good gauge to hedge against the downside risks of the EU stocks. The originality of our work is two-fold. First, we extend the study of how global factors influence the EU stock market to the most recent period including the Russia–Ukraine conflict. Second, we perform this study on a sectoral basis. Therefore, the value of our findings is that they provide notable implications for market regulation and portfolio management.
{"title":"Economic policy uncertainty, geopolitical risk, market sentiment, and regional stocks: asymmetric analyses of the EU sectors","authors":"Ahmed Bossman, Mariya Gubareva, Tamara Teplova","doi":"10.1007/s40822-023-00234-y","DOIUrl":"https://doi.org/10.1007/s40822-023-00234-y","url":null,"abstract":"Abstract The purpose of this study is to investigate the asymmetric effects of economic policy uncertainty (EPU), geopolitical risk (GPR), and market sentiment (VIX) on European Union (EU) stocks by sectors of economic activity. The design and methodological approach of our research are rooted in parametric and nonparametric quantile-based techniques. We employ monthly data covering eleven sectors of economic activity in addition to GPR, Global EPU, European Union EPU, United States EPU, and VIX. Our dataset covers the period between February 2013 and September 2022. Our findings show a generally low predictive power of the considered EPU measures on the stock returns of the EU sectors. Notwithstanding, the analysis reveals that EPU from the EU has the highest predictive ability on the EU sectoral stock returns while EPU from the US has no significant predictive ability on the stock returns from the EU. Our findings also highlight the asymmetric effects of various EPUs on EU stocks. Moreover, certain sectoral exposure to EU stocks, found to serve just as diversifiers in normal market conditions, could become a hedge and safe-haven against GPR in extreme economic conditions. Our findings also highlight the role of the VIX as a good gauge to hedge against the downside risks of the EU stocks. The originality of our work is two-fold. First, we extend the study of how global factors influence the EU stock market to the most recent period including the Russia–Ukraine conflict. Second, we perform this study on a sectoral basis. Therefore, the value of our findings is that they provide notable implications for market regulation and portfolio management.","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-09-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135768444","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 : 2023-06-01DOI: 10.1007/s40822-023-00233-z
Constantin G. Ogloblin
{"title":"Health care financing and productivity of health care in OECD countries: a stochastic frontier analysis","authors":"Constantin G. Ogloblin","doi":"10.1007/s40822-023-00233-z","DOIUrl":"https://doi.org/10.1007/s40822-023-00233-z","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"55 1","pages":"259 - 283"},"PeriodicalIF":3.4,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74562500","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 : 2023-06-01DOI: 10.1007/s40822-023-00232-0
Tiago E. Pratas, F. Ramos, Lihki Rubio
{"title":"Forecasting bitcoin volatility: exploring the potential of deep learning","authors":"Tiago E. Pratas, F. Ramos, Lihki Rubio","doi":"10.1007/s40822-023-00232-0","DOIUrl":"https://doi.org/10.1007/s40822-023-00232-0","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"40 1","pages":"285 - 305"},"PeriodicalIF":3.4,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"89088139","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 : 2023-06-01DOI: 10.1007/s40822-023-00231-1
Mariem Gaies, Walid Chkili
{"title":"Dynamic correlation and hedging strategy between Bitcoin prices and stock market during the Russo-Ukrainian war","authors":"Mariem Gaies, Walid Chkili","doi":"10.1007/s40822-023-00231-1","DOIUrl":"https://doi.org/10.1007/s40822-023-00231-1","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"49 1","pages":"307 - 319"},"PeriodicalIF":3.4,"publicationDate":"2023-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74090458","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 : 2023-05-31DOI: 10.1007/s40822-023-00230-2
István Kónya
{"title":"Catching up or getting stuck: convergence in Eastern European economies","authors":"István Kónya","doi":"10.1007/s40822-023-00230-2","DOIUrl":"https://doi.org/10.1007/s40822-023-00230-2","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"7 1","pages":"237 - 258"},"PeriodicalIF":3.4,"publicationDate":"2023-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"79598425","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 : 2023-04-10DOI: 10.1007/s40822-023-00228-w
M. Alraja, Faris Alshubiri, B. Khashab, Mahmood Shah
{"title":"The financial access, ICT trade balance and dark and bright sides of digitalization nexus in OECD countries","authors":"M. Alraja, Faris Alshubiri, B. Khashab, Mahmood Shah","doi":"10.1007/s40822-023-00228-w","DOIUrl":"https://doi.org/10.1007/s40822-023-00228-w","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"40 1","pages":"1 - 33"},"PeriodicalIF":3.4,"publicationDate":"2023-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"74024681","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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