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Yield curve reactions to fiscal sentiment in Brazil 收益率曲线对巴西财政情绪的反应
IF 1.2 Q3 ECONOMICS Pub Date : 2022-03-08 DOI: 10.1108/jfep-12-2021-0317
G. Montes, Vitor da Fonseca
PurposeUsing a fiscal sentiment indicator, this study aims to verify whether fiscal sentiment affects the yield curve in Brazil. Since policymakers highlight the coordination between monetary and fiscal policies and the importance of fiscal policy to the expectations formation process in inflation targeting regimes, the authors also explore the transmission mechanism through inflation expectations. Hence, the study also analyzes the effect of fiscal sentiment on interest rate swap spreads through the inflation expectations channel.Design/methodology/approachBased on information obtained from official communiqués about fiscal policies issued by the Central Bank of Brazil and the Brazilian Ministry of Finance, the study builds a fiscal sentiment indicator. The econometric strategy to verify whether fiscal sentiment is related to the short tail of the yield curve is based on time series analysis through ordinary least squares and generalized method of moments estimates. In turn, to estimate the transmission mechanism through inflation expectations, the model uses interaction terms between fiscal sentiment and inflation expectations.FindingsThe results suggest a more optimistic (pessimistic) fiscal sentiment reduces (increases) swap spreads. The findings reveal that improvements in fiscal credibility and a more optimistic fiscal sentiment are able to reduce the positive marginal effect that inflation expectations variations have on interest rate swap spreads.Originality/valueThis study contributes to the literature, as, to the best of authors’ knowledge, it is the first to analyze the content of the communiqués related to fiscal policy, and based on this content, it extracts the sentiment related to the fiscal environment and analyzes the effect of this sentiment on the yield curve. Besides, different from existing studies that analyze the effect of fiscal backward-looking aspects (such as public debt, budget balance, taxes and public spending) on the yield curve, this study investigates forward-looking aspects related to fiscal policy (such as fiscal credibility and fiscal sentiment).
目的采用财政情绪指标,验证财政情绪是否会影响巴西的收益率曲线。鉴于通货膨胀目标制下政策制定者强调货币政策与财政政策的协调以及财政政策对预期形成过程的重要性,本文还探讨了通货膨胀预期的传导机制。因此,本研究还通过通胀预期通道分析财政情绪对利率掉期价差的影响。设计/方法/方法根据从巴西中央银行和巴西财政部发布的关于财政政策的官方公报中获得的信息,本研究建立了一个财政情绪指标。验证财政情绪是否与收益率曲线短尾相关的计量经济学策略是基于时间序列分析,通过普通最小二乘法和广义矩估计方法。反过来,为了通过通胀预期来估计传导机制,该模型使用了财政情绪与通胀预期之间的交互项。研究结果表明,更乐观(悲观)的财政情绪会减少(增加)掉期息差。研究结果表明,财政信用的改善和财政情绪的乐观能够降低通胀预期变化对利率掉期息差的正边际效应。原创性/价值本研究对文献的贡献在于,据作者所知,本研究首次分析了与财政政策相关的公报内容,并基于该内容提取了与财政环境相关的情绪,并分析了这种情绪对收益率曲线的影响。此外,与现有研究分析财政后视性方面(如公共债务、预算平衡、税收和公共支出)对收益率曲线的影响不同,本研究考察了与财政政策相关的前瞻性方面(如财政信誉和财政情绪)。
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引用次数: 0
Interdependence of economic policy uncertainty and business cycles in selected emerging market economies 选定新兴市场经济体经济政策不确定性与商业周期的相互依存关系
IF 1.2 Q3 ECONOMICS Pub Date : 2022-01-24 DOI: 10.1108/jfep-07-2021-0193
Abigail Naa Korkor Adjei, George Tweneboah, Peterson Owusu Junior
PurposeThe purpose of this paper to investigate the interdependence between economic policy uncertainty (EPU) and business cycles within and among six emerging market economies (EMEs) from January 1999 to December 2018.Design/methodology/approachThis study adopts the wavelet multiple correlations and wavelet multiple cross-correlation (WMCC) based on the maximal overlap discrete transform estimator. This methodology simultaneously investigates how two or more time series variables move together continuously at both time and frequency domains.FindingsThe empirical results show that business cycles comove with EPU for both intra- and inter-country analysis, with the long term showing the greatest degree of interdependence. In intra-country comparisons, EPU has a positive correlation with consumer price index and a negative correlation with share price index. According to the WMCC results, EPU does not have any leading or lagging power within each EME, but rather import has both lead and lag power. The inter-country WMCC results are all significant, with Korea’s EPU leading/following all EMEs across all scales.Originality/valueThis study contributes to the ongoing debate about what causes business cycles to comove by investigating business cycle indicators (leader/follower) using a robust wavelet methodology. The authors propose new variables that can clearly reflect the outcome of economic policy actions and translate information about EPU shocks. The inclusion of the variables has altered the understanding of the relationship between EPU and business cycle fluctuations. Policymakers also gain new insights into the trends and patterns of EPU and business cycles, which will help them formulate and implement fiscal and monetary policies more effectively.
目的研究1999年1月至2018年12月6个新兴市场经济体内部和之间的经济政策不确定性(EPU)与商业周期之间的相互依存关系。设计/方法/方法本研究采用基于最大重叠离散变换的小波多重相关和小波多重互相关估计器。该方法同时研究两个或多个时间序列变量如何在时域和频域连续移动。实证结果表明,在国内和跨国分析中,商业周期与EPU一致,长期表现出最大程度的相互依存性。在国内比较中,EPU与消费者价格指数呈正相关,与股价指数负相关。根据WMCC的结果,EPU在每个EME中没有任何超前或滞后功率,而是进口同时具有超前和滞后功率。国家间WMCC的结果都很显著,韩国的EPU在所有规模的EME中都处于领先地位。独创性/价值这项研究通过使用稳健的小波方法研究商业周期指标(领导者/追随者),为正在进行的关于是什么导致商业周期合并的争论做出了贡献。作者提出了新的变量,这些变量可以清楚地反映经济政策行动的结果,并转化有关EPU冲击的信息。变量的加入改变了对EPU与商业周期波动之间关系的理解。政策制定者还对EPU和商业周期的趋势和模式有了新的见解,这将有助于他们更有效地制定和实施财政和货币政策。
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引用次数: 2
Is stock market in Sub-Saharan Africa resilient to health shocks? 撒哈拉以南非洲的股市能否抵御健康冲击?
IF 1.2 Q3 ECONOMICS Pub Date : 2021-12-17 DOI: 10.1108/jfep-03-2021-0073
Terver Kumeka, P. Ajayi, O. Adeniyi
PurposeThis paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic.Design/methodology/approachThis paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks in COVID-19, commodity markets and exchange rate. For robustness, the authors also analysed the panel Granger causality test. Data was obtained for the period ranging from 2 January 2020 to 31 December 2020.FindingsThe results show that the growth in COVID-19 cases and deaths do not have any substantial impact on the stock market returns of these economies. In terms of commodity markets, the authors find that gold price has a negative contemporaneous effect on stock returns, but the effect fizzles out around the fifth day while crude oil price, on the other hand, has a significant positive simult aneous impact on stock returns and also converges around the fifth day. The authors further find that the exchange rate has a contemporaneous and nonlinear effect on stock returns and seems to be more dramatic when compared with the other variables. Overall, the results show that stock markets in Africa appear to be flexible and resilient against the COVID-19 outbreak but are affected by other exogenous shocks such as volatile commodity prices and the foreign exchange market. The effect is, however, short-lived – between one to five days.Practical implicationsFollowing the study’s findings, policies should be put in place to support financial markets by way of hedging against commodity instability and securing domestic currency financing. Policymakers are also recommended to concentrate on managing the uncertainties around their exchange rate markets and develop robust and efficient domestic financial markets to encourage local and foreign investors.Originality/valueSeveral studies have been carried out on the effects of disasters (such as the COVID-19 pandemic) on stock markets, but only a few studies have examined the resilience of stock markets to health and other exogenous shocks. This study’s attempt is not only to examine the impact of COVID-19 health shocks on stock markets but also to analyse the resilience of the sampled stock markets. The authors also analyse the resilience of stock markets to commodity markets and exchange rates shocks.
本文旨在研究健康和其他外生冲击对非洲股票市场的影响。特别是,作者审查了12个非洲经济体的主要股票市场在最近的全球大流行期间的弹性。设计/方法/方法本文使用最新的面板向量自回归模型,该模型使我们能够捕捉股票市场对2019冠状病毒病、商品市场和汇率冲击的反应。为了稳健性,作者还分析了面板格兰杰因果检验。获取的数据为2020年1月2日至2020年12月31日。研究结果表明,COVID-19病例和死亡人数的增长对这些经济体的股市回报没有任何实质性影响。在商品市场方面,作者发现黄金价格对股票收益具有负同时效应,但这种效应在第5天左右消失,而原油价格对股票收益具有显著的正同时影响,并在第5天左右收敛。作者进一步发现,汇率对股票收益具有同步和非线性的影响,并且与其他变量相比似乎更为显著。总体而言,研究结果表明,非洲股市似乎对2019冠状病毒病疫情具有灵活性和韧性,但受到大宗商品价格波动和外汇市场等其他外部冲击的影响。然而,这种效果是短暂的——只有一到五天。实际意义根据研究结果,应制定政策,通过对冲商品不稳定性和确保本币融资来支持金融市场。还建议政策制定者集中精力管理其汇率市场的不确定性,并发展健全和有效的国内金融市场,以鼓励本地和外国投资者。关于灾害(如COVID-19大流行)对股票市场的影响已经进行了几项研究,但只有少数研究考察了股票市场对健康和其他外生冲击的弹性。本研究不仅试图检验COVID-19健康冲击对股市的影响,还试图分析抽样股市的弹性。作者还分析了股市对大宗商品市场和汇率冲击的弹性。
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引用次数: 4
On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets 论技术趋势下的极值理论:新冠肺炎前后加密货币市场分析
IF 1.2 Q3 ECONOMICS Pub Date : 2021-12-14 DOI: 10.1108/jfep-09-2021-0242
Saji Thazhungal Govindan Nair
PurposeResearch on price extremes and overreactions as potential violations of market efficiency has a long tradition in investment literature. Arguably, very few studies to date have addressed this issue in cryptocurrencies trading. The purpose of this paper is to consider the extreme value modelling for forecasting COVID-19 effects on cryptocoin markets. Additionally, this paper examines the importance of technical trading indicators in predicting the extreme price behaviour of cryptocurrencies.Design/methodology/approachThis paper decomposes the daily-time series returns of four cryptocurrency returns into potential maximum gains (PMGs) and potential maximum losses (PMLs) at first and then tests their lead–lag relations under an econometric framework. This paper also investigates the non-random properties of cryptocoins by computing the incremental explanatory power of PML–PMG modelling with technical trading indicators controlled. Besides, this paper executes an event study to identify significant changes caused by COVID-19-related events, which is capable of analysing the cryptocoin market overreactions.FindingsThe findings of this paper produce the evidence of both market overreactions and trend persistence in the potential gains and losses from coins trading. Extreme price behaviour explains volatility and price trends in crypto markets before and after the outbreak of a pandemic that substantiate the non-random walk behaviour of crypto returns. The presence of technical trading indicators as control variables in the extreme value regressions significantly improves the predictive power of models. COVID-19 crisis affects the market efficiency of cryptocurrencies that improves the usefulness of extreme value predictions with technical analysis.Research limitations/implicationsThis paper strongly supports for the robustness of technical trading strategies in cryptocurrency markets. However, the “beast is moving quick” and uncertainty as to the new normalcy about the post-COVID-19 world puts constraint on making best predictions.Practical implicationsThe paper contributes substantially to our understanding of the pricing efficiency of cryptocurrency markets after the COVID-19 outbreak. The findings of continuing return predictability and price volatility during COVID-19 show that profitable investment opportunities for cryptocoin traders are prevailing in pandemic times.Originality/valueThe paper is unique to understand extreme return reversals behaviour of cryptocurrency markets regarding events related to COVID-19 breakout.
目的研究价格极端和过度反应作为潜在的违反市场效率的行为在投资文献中有着悠久的传统。可以说,迄今为止,很少有研究涉及加密货币交易中的这一问题。本文的目的是考虑用于预测新冠肺炎对加密货币市场影响的极值模型。此外,本文还考察了技术交易指标在预测加密货币极端价格行为方面的重要性。设计/方法论/方法本文首先将四种加密货币收益的每日时间序列收益分解为潜在最大收益(PMG)和潜在最大损失(PML),然后在计量经济学框架下测试它们的超前-滞后关系。本文还通过计算PML–PMG模型在控制技术交易指标的情况下的增量解释力,研究了加密货币的非随机性质。此外,本文进行了一项事件研究,以确定新冠肺炎相关事件造成的重大变化,从而能够分析加密货币市场的过度反应。研究结果本文的研究结果证明了市场对硬币交易的潜在收益和损失的过度反应和趋势持续性。极端价格行为解释了疫情爆发前后加密货币市场的波动性和价格趋势,证实了加密货币回报的非随机游走行为。在极值回归中,技术交易指标作为控制变量的存在显著提高了模型的预测能力。新冠肺炎危机影响加密货币的市场效率,通过技术分析提高了极值预测的有用性。研究局限性/含义本文强烈支持加密货币市场中技术交易策略的稳健性。然而,“野兽正在迅速移动”,新冠肺炎疫情后世界新常态的不确定性限制了做出最佳预测。实际含义该论文有助于我们理解新冠肺炎爆发后加密货币市场的定价效率。新冠肺炎期间持续回报可预测性和价格波动的研究结果表明,在疫情期间,加密货币交易员的盈利投资机会普遍存在。原创/价值该论文对于理解加密货币市场在新冠肺炎爆发相关事件中的极端回报逆转行为是独一无二的。
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引用次数: 4
Doing Business and capital flight: role of financial development 营商环境与资本外逃:金融发展的作用
IF 1.2 Q3 ECONOMICS Pub Date : 2021-10-24 DOI: 10.1108/jfep-06-2021-0141
John Kwaku Mensah Mawutor, Freeman Christian Gborse, Ernest Sogah, Barbara Deladem Mensah
PurposeThe purpose of this paper is to investigate the effect of financial development on the Doing Business and capital flight contagion. And further, this study determines the threshold beyond which financial development reduces capital flight.Design/methodology/approachA two-step system generalized methods of moment empirical model with linear interaction between Doing Business and financial development was estimated. This study used data on 26 countries over 12 years (2004–2015).FindingsThe main results indicated that, although Doing Business had a significant positive effect on capital flight, the interactive term had a significant adverse effect on capital flight. This outcome suggests that to reduce capital flight, a well-reformed and efficient business environment should be embedded with an efficient, stable and well-developed financial sector. In addition, the authors found only South Africa has a robust financial framework beyond the threshold of 0.383, whereas Congo, Rep., Rwanda, Malawi, Sierra Leone and Congo, Dem. Rep. had the weakest financial system and sector in Sub-Saharan Africa.Research limitations/implicationsThis study recommends that policymakers should initiate policies that would enhance financial development.Originality/valueThis study’s main contributions are that the authors estimated the threshold beyond which financial development helps the business environment reduce the rate of capital flight. Further, the authors have shown that financial development is a catalyst to propel the deterioration powers of the business environment against capital flight. Also, the authors have estimated the long-run effect of the variables of interest on capital flight.
目的研究金融发展对营商环境和资本外逃传染的影响。进一步,本研究确定了金融发展减少资本外逃的阈值。设计/方法/方法:在营商环境报告与金融发展之间建立线性互动关系的矩经验模型的两步系统广义方法。这项研究使用了26个国家12年(2004-2015年)的数据。研究结果表明,尽管《营商环境报告》对资本外逃有显著的正向影响,但交互项对资本外逃有显著的不利影响。这一结果表明,要减少资本外逃,改革良好、效率高的商业环境应与高效、稳定和发达的金融部门相结合。此外,作者还发现,只有南非的金融框架在0.383以上,而刚果(金)、卢旺达、马拉维、塞拉利昂和刚果(金)的金融框架在0.383以上。在撒哈拉以南的非洲,坦桑尼亚的金融体系和部门是最薄弱的。研究局限/启示本研究建议政策制定者应启动促进金融发展的政策。原创性/价值本研究的主要贡献在于作者估计了金融发展有助于商业环境降低资本外逃率的阈值。此外,作者还表明,金融发展是推动商业环境对资本外逃恶化能力的催化剂。此外,作者还估计了利率变量对资本外逃的长期影响。
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引用次数: 6
The validity of the irrelevant theory in Middle East and North African markets: conventional banks versus Islamic banks 不相关理论在中东和北非市场的有效性:传统银行与伊斯兰银行
IF 1.2 Q3 ECONOMICS Pub Date : 2021-10-11 DOI: 10.1108/jfep-06-2021-0148
A. Budagaga
PurposeThe purpose of this paper is to test the validity of irrelevant theory empirically by exploring the relationship between cash dividends, profitability, leverage and investment policy with the value of banking institutions in the Middle East and North Africa (MENA) markets.Design/methodology/approachThe paper adopts Ohlson’s (1995) valuation model. The author estimates models by using static panel (random and fixed effects) techniques and the dynamic technique, namely, the GMM estimation. The empirical study covers a sample of 122 conventional and 37 Islamic banks listed on stock markets in 12 MENA countries over the period 1999–2018.FindingsThe empirical results show that dividend yield has no significant association with the value of conventional banks, whereas profitability, growth opportunity and leverage have a significant positive impact on the value of conventional banks. In contrast, the results for a sample of Islamic banks indicate that the dividend yield, profitability and leverage have a significant positive effect on the value of Islamic banks, whereas growth opportunity has no significant effect on the value of Islamic banks. Therefore, these results support, to a greater extent, the validity of the dividend irrelevance theory of Modigliani and Miller for conventional banks but would not be accepted for Islamic banks in the MENA region.Research limitations/implicationsThis study is restricted to a sample of one type of financial firms, banking firms listed in the MENA countries. In addition, the study has dealt with one type of dividend (the cash dividend).Practical implicationsHighlighting the difference between conventional and Islamic banks is crucial to understanding dividend policy behavior and to providing investors information to be integrated in their valuation setting to make informed corporate decisions.Originality/valueTo the best of the author’s knowledge, the present study is the first of its kind that it draws a comparative analysis by testing empirically the validity of the Irrelevant Theory to banks in the MENA region covering a long time period in the recent past.
目的通过对中东和北非(MENA)市场现金股利、盈利能力、杠杆率和投资政策与银行机构价值之间关系的研究,实证检验无关理论的有效性。设计/方法论/方法本文采用了Ohlson(1995)的估价模型。作者使用静态面板(随机和固定效应)技术和动态技术(即GMM估计)来估计模型。实证研究涵盖了1999-2008年期间在中东和北非地区12个国家的122家传统银行和37家伊斯兰银行的样本,增长机会和杠杆率对传统银行的价值有显著的正向影响。相反,伊斯兰银行样本的结果表明,股息收益率、盈利能力和杠杆率对伊斯兰银行的价值有显著的正向影响,而增长机会对伊斯兰银行价值没有显著影响。因此,这些结果在很大程度上支持了Modigliani和Miller的股息无关理论对传统银行的有效性,但对中东和北非地区的伊斯兰银行来说是不可接受的。研究局限性/含义本研究仅限于一类金融公司的样本,即中东和北非地区国家上市的银行公司。此外,本研究还涉及一种类型的股息(现金股息)。实际含义强调传统银行和伊斯兰银行之间的差异对于理解股息政策行为以及为投资者提供信息以纳入其估值环境以做出明智的企业决策至关重要。原创性/价值据作者所知,本研究首次通过实证检验无关理论对中东和北非地区银行的有效性进行了比较分析。
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引用次数: 1
New developments in financial economics 金融经济学的新发展
IF 1.2 Q3 ECONOMICS Pub Date : 2021-08-18 DOI: 10.1108/jfep-04-2021-0113
T. Willett
PurposeThis study aims to critically review recent contributions to the methodology of financial economics and discuss how they relate to one another and directions for further research.Design/methodology/approachA critical review of recent literature on new methodologies for financial economics.FindingsRecent books have made important contributions to the study of financial economics. They suggest new approaches that include an emphasis on radical uncertainty, adaptive markets, agent-based modeling and narrative economics, as well as extensions of behavioral finance to include concepts such as diagnostic expectations. Many of these contributions can be seen more as complements than substitutes and provide fruitful directions for further research. Efficient markets can be seen as holding under particular circumstances. A major them of most of these contributions is that the study of financial crises and other aspects of financial economics requires the use of multiple theories and approaches. No one approach will be sufficient.Research limitations/implicationsThere are great opportunities for further research in financial economics making use of these new approaches.Practical implicationsThese recent contributions can be quite useful for improved analysis by researchers, private participants in the financial sector and macroeconomic and regulatory officials.Originality/valueProvides an introduction to these new approaches and highlights fruitful areas for their extensions and applications.
目的本研究旨在批判性地回顾最近对金融经济学方法论的贡献,并讨论它们之间的关系以及进一步研究的方向。设计/方法论/方法论对金融经济学新方法论的最新文献的批判性评论。最近的书对金融经济学的研究做出了重要贡献。他们提出了新的方法,包括强调激进的不确定性、适应性市场、基于主体的建模和叙事经济学,以及将行为金融扩展到包括诊断预期等概念。其中许多贡献更多地被视为补充而非替代,并为进一步研究提供了富有成效的方向。有效市场可以被视为在特定情况下持有。这些贡献中的一个主要方面是,研究金融危机和金融经济学的其他方面需要使用多种理论和方法。没有一种方法是足够的。研究局限性/含义利用这些新方法在金融经济学中进行进一步研究有很大的机会。实际意义这些最近的贡献对于研究人员、金融部门的私人参与者以及宏观经济和监管官员改进分析非常有用。独创性/价值介绍这些新方法,并强调其扩展和应用的富有成效的领域。
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引用次数: 1
Remittances-inflation nexus in South Asia: an empirical examination 南亚地区的汇款与通货膨胀关系:一项实证研究
IF 1.2 Q3 ECONOMICS Pub Date : 2021-08-17 DOI: 10.1108/jfep-02-2021-0053
Hem C. Basnet, Ficawoyi Donou-Adonsou, K. Upadhyaya
PurposeThe purpose of this paper is to examine whether remittances induce inflation in South Asian countries, namely, Bangladesh, India, Nepal, Pakistan and Sri Lanka.Design/methodology/approachThis study uses panel cointegration and Pooled Mean Group techniques covering from 1975 to 2017 to estimate the long-run and the short-run effect of remittances on inflation.FindingsThe estimated results suggest that the inflationary impact of remittances in South Asia depends on the time length. The inflow tends to lower inflation in the short run, whereas it increases in the long run. The findings highlight the regional peculiarity in the impact of remittances on the price level. The results are statistically significant and are confirmed by the Mean Group estimation as well.Originality/valueMost past studies investigating the nexus between remittances and inflation in the South Asian context examine either these countries individually or include them all in a pool of big cross-sections. This study contributes to the literature by addressing this void. The South Asian countries should not generalize the earlier findings on the link between remittance inflows and inflation, as the short-run effect is different from the long run. Thus, these countries would be better off designing long-run policies that are different from the short run.
本文的目的是研究汇款是否会导致南亚国家的通货膨胀,即孟加拉国、印度、尼泊尔、巴基斯坦和斯里兰卡。设计/方法/方法本研究使用面板协整和汇总平均组技术,涵盖1975年至2017年,以估计汇款对通货膨胀的长期和短期影响。研究结果估计的结果表明,汇款在南亚的通货膨胀影响取决于时间长度。资金流入往往会在短期内降低通胀,而在长期内则会上升。研究结果强调了汇款对物价水平影响的地区特殊性。结果具有统计学意义,并得到均值组估计的证实。原创性/价值大多数过去调查南亚地区汇款与通货膨胀之间关系的研究要么单独考察这些国家,要么将它们全部纳入一个大的横截面。本研究通过解决这一空白对文献做出了贡献。南亚国家不应将早先关于汇款流入与通货膨胀之间关系的调查结果一概而论,因为短期影响不同于长期影响。因此,这些国家最好设计不同于短期的长期政策。
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引用次数: 3
The government spending multiplier in Latin American countries: does the institutional environment matter? 拉美国家的政府支出乘数:制度环境重要吗?
IF 1.2 Q3 ECONOMICS Pub Date : 2021-08-17 DOI: 10.1108/jfep-02-2021-0030
Rafael Acevedo, Jose U. Mora, Andrew T. Young

Purpose

Mora and Acevedo (2019) report that the government spending multipliers in Latin American countries are notably higher than what is typically reported for developed economies. Latin American countries have been inclined toward using procyclical fiscal policies. Those policies have been perceived as being effective at mitigating the effects of the 2008–2009 Great Recession. This study aims to estimate the government spending multiplier using Latin American panel data from 19 Latin American countries from 2000 to 2018. The estimates are conditional on the extent of openness, capital mobility and economic freedom. Based on the results, the latter is important: the less economically free a country, the larger its spending multiplier. Lower economic freedom in Latin American countries can help to account for their large spending multipliers. In particular, restrictions on international trade are positively associated with multipliers. This is the case even while controlling the trade share of GDP.

Design/methodology/approach

The authors provide regression results that are conditional on the extent of openness, capital mobility and economic freedom.

Findings

The less economically free a country, the larger its spending multiplier. Lower economic freedom in Latin American countries can help to account for their large spending multipliers. In particular, restrictions on international trade are positively associated with multipliers. This is the case even while controlling the trade share of GDP.

Originality/value

To the best of the authors’ knowledge, this is first study to estimate the fiscal multiplier conditional on economic freedom levels. The authors provide correctly calculated multipliers conditional on different levels of economic freedom. The authors point the way to future studies considering the effectiveness of fiscal policy conditional on institutional/policy quality.

emora和Acevedo(2019)报告称,拉丁美洲国家的政府支出乘数明显高于发达经济体的通常报告。拉美国家一直倾向于使用顺周期财政政策。这些政策被认为有效地缓解了2008-2009年大衰退的影响。本研究旨在利用2000年至2018年来自19个拉美国家的拉美面板数据估算政府支出乘数。这些估计取决于开放程度、资本流动性和经济自由度。根据研究结果,后者很重要:一个国家经济自由度越低,其支出乘数就越大。拉丁美洲国家较低的经济自由度有助于解释它们庞大的支出乘数。特别是,对国际贸易的限制与乘数呈正相关。即使在控制贸易占GDP比重的情况下也是如此。作者提供了以开放程度、资本流动性和经济自由为条件的回归结果。一个国家经济自由度越低,其支出乘数就越大。拉丁美洲国家较低的经济自由度有助于解释它们庞大的支出乘数。特别是,对国际贸易的限制与乘数呈正相关。即使在控制贸易占GDP比重的情况下也是如此。原创性/价值据作者所知,这是第一个以经济自由水平为条件估计财政乘数的研究。作者提供了正确计算的乘数,条件是不同的经济自由水平。作者指出了未来考虑财政政策有效性取决于制度/政策质量的研究方向。
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引用次数: 0
Quantitative easing, macroeconomic stability and economic policy effectiveness 量化宽松、宏观经济稳定与经济政策有效性
IF 1.2 Q3 ECONOMICS Pub Date : 2021-07-29 DOI: 10.1108/jfep-06-2021-0149
R. Cebula, F. Rossi
PurposeThis study mathematically aims to evaluate the implications of a central bank’s adoption of a policy of quantitative easing (QE)/relative QE.Design/methodology/approachIt is shown, within an investment-savings (IS)-liquidity preference-money supply (LM) framework, that this policy prerogative has, depending upon the aggressiveness which QE is undertaken, demonstrable implications for the conditions under which macroeconomic stability exists.FindingsFurthermore, it is shown here that the presence of QE increases the effectiveness of traditional discretionary monetary and fiscal policies.Originality/valueThe study shows, within an IS-LM framework, that this policy prerogative has, depending upon the aggressiveness which QE is undertaken, demonstrable implications for the conditions under which macroeconomic stability exists.
本研究的数学目的是评估中央银行采用量化宽松(QE)/相对量化宽松政策的影响。设计/方法/方法在投资储蓄(is)-流动性偏好-货币供给(LM)框架中,根据量化宽松的积极程度,这一政策特权对宏观经济稳定存在的条件具有明显的影响。此外,本文还表明,量化宽松的存在提高了传统的自由裁量货币和财政政策的有效性。原创性/价值研究表明,在is - lm框架内,这一政策特权对宏观经济稳定存在的条件具有明显的影响,这取决于量化宽松的力度。
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引用次数: 2
期刊
Journal of Financial Economic Policy
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