The paper aims to examine the ability of a global fear index (GFI) based on the COVID-19 pandemic and government policy responses as a measure of uncertainty in predicting eight Indian rupee-based exchange rate return series: the Australian dollar, the Canadian dollar, the Swiss franc, the US dollar, the euro, the British pound sterling, the New Zealand dollar, and the Japanese yen. The predictability of the daily Indian rupee-based exchange rate return series is tested using the recently developed wild bootstrap likelihood ratio test of Kim and Shamsuddin for the period 2 October 2020 to 8 March 2021. Both symmetric and asymmetric tests revealed GFI as an insignificant determinant of the Indian rupee-based exchange rate return series. However, government policy responses are a significant determinant of the rupee-dollar exchange rate return series.
{"title":"Pandemic‐induced fear and government policy response as a measure of uncertainty in the foreign exchange market: Evidence from (a)symmetric wild bootstrap likelihood ratio test","authors":"Khyati Kathuria, Nand Kumar","doi":"10.1111/1468-0106.12410","DOIUrl":"https://doi.org/10.1111/1468-0106.12410","url":null,"abstract":"The paper aims to examine the ability of a global fear index (GFI) based on the COVID-19 pandemic and government policy responses as a measure of uncertainty in predicting eight Indian rupee-based exchange rate return series: the Australian dollar, the Canadian dollar, the Swiss franc, the US dollar, the euro, the British pound sterling, the New Zealand dollar, and the Japanese yen. The predictability of the daily Indian rupee-based exchange rate return series is tested using the recently developed wild bootstrap likelihood ratio test of Kim and Shamsuddin for the period 2 October 2020 to 8 March 2021. Both symmetric and asymmetric tests revealed GFI as an insignificant determinant of the Indian rupee-based exchange rate return series. However, government policy responses are a significant determinant of the rupee-dollar exchange rate return series.","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-10-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45403127","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Abstract We find that quantifying COVID‐19 pandemic shocks is critical to understanding international currency market returns. Scaled by population, shocks from between‐country differences in the number of weekly COVID‐19 deaths are informative in predicting exchange rate returns. Following Alfaro et al. (2020), we estimate the expected number of COVID‐19 deaths based on an exponential model and use it to construct two pandemic shocks that measure the unanticipated number of deaths on a weekly basis and the time‐varying correction of forecast provided new information from the previous week. We document negative impacts of COVID‐19 propagation on currency returns. In addition, we find that the government response, in particular fiscal and monetary stimulus packages, can help mitigate negative effects of COVID‐19 on currency returns. Our findings are robust to country‐specific pandemic measures, window sizes of the exponential model, and the choice of forecast model.
{"title":"International currency markets and the COVID‐19 pandemic","authors":"Hsuan Fu, Jui‐Chung Yang","doi":"10.1111/1468-0106.12409","DOIUrl":"https://doi.org/10.1111/1468-0106.12409","url":null,"abstract":"Abstract We find that quantifying COVID‐19 pandemic shocks is critical to understanding international currency market returns. Scaled by population, shocks from between‐country differences in the number of weekly COVID‐19 deaths are informative in predicting exchange rate returns. Following Alfaro et al. (2020), we estimate the expected number of COVID‐19 deaths based on an exponential model and use it to construct two pandemic shocks that measure the unanticipated number of deaths on a weekly basis and the time‐varying correction of forecast provided new information from the previous week. We document negative impacts of COVID‐19 propagation on currency returns. In addition, we find that the government response, in particular fiscal and monetary stimulus packages, can help mitigate negative effects of COVID‐19 on currency returns. Our findings are robust to country‐specific pandemic measures, window sizes of the exponential model, and the choice of forecast model.","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":"27 1","pages":"400 - 422"},"PeriodicalIF":1.5,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41615290","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The COVID-19 pandemic has deeply influenced the social and economic activities of countries around the world. As countries in Asia play key roles in the global supply chain and their economic development is a crucial driving force of the world economy, it is important to better understand how their economies are affected by the COVID-19 pandemic and their policy responses to such impacts. In this issue, we assemble five papers studying relevant topics: the effect of Taiwan's Triple Stimulus Vouchers; the impact of Korea's COVID-19 stimulus payments on sales of local small businesses; the ability of the global fear index based on COVID-19 pandemic and government policy responses; the predictive power of the stock market return for the real economic growth with respect to COVID-19 pandemic; and the effect of the COVID-19 pandemic on international currency markets. The lead paper, written by Hua, Peng, and Yang, evaluates the economic benefits of revitali-zation vouchers during the COVID-19 pandemic using Taiwan's Triple Stimulus Vouchers as an example. The paper finds that the stimulus policy has positive benefits by (a) inducing con-sumers to use revitalized triple vouchers, (b) boosting consumer confidence, (c) helping increase the economic growth rate from 0.1173% to 0.2156%, and (d) significantly influencing the service industry. The second paper, written by Choi, examines how sales of local small businesses can be promoted through COVID-19 stimulus payments in Korea. The paper finds that the stimulus payments led to significant increases in card spending in establishments accepting local currency relative to other establishments. While the estimated spending effect of the stimulus payments among groceries, furniture, and beauty sectors is larger, sectors such as restaurants, leisure, and travel experiencing substantial sales losses do not gain much from the stimulus payments. This suggests that targeting sectors that are the most severely affected can be a more effective policy measure in terms of alleviating the gaps in COVID-19-induced economic losses across sectors. The third paper, written by Kathuria and Kumar, examines the ability of the global fear index (GFI), based on the COVID-19 pandemic and government policy responses, as a measure of uncertainty in predicting eight Indian rupee-based exchange rate return series. The paper adopts the wild bootstrap likelihood ratio introduced by Kim and Shamsuddin (2020) to test the predictability of daily Indian rupee-based exchange rate return series. The results reveal GFI as an insignificant determinant of Indian rupee-based exchange rate return series. However,
{"title":"Special Issue: Policy Responses to the impacts of COVID‐19 pandemic on Asia","authors":"Chun-Hsien Yeh, P. Chow, Hsien‐Min Lien","doi":"10.1111/1468-0106.12411","DOIUrl":"https://doi.org/10.1111/1468-0106.12411","url":null,"abstract":"The COVID-19 pandemic has deeply influenced the social and economic activities of countries around the world. As countries in Asia play key roles in the global supply chain and their economic development is a crucial driving force of the world economy, it is important to better understand how their economies are affected by the COVID-19 pandemic and their policy responses to such impacts. In this issue, we assemble five papers studying relevant topics: the effect of Taiwan's Triple Stimulus Vouchers; the impact of Korea's COVID-19 stimulus payments on sales of local small businesses; the ability of the global fear index based on COVID-19 pandemic and government policy responses; the predictive power of the stock market return for the real economic growth with respect to COVID-19 pandemic; and the effect of the COVID-19 pandemic on international currency markets. The lead paper, written by Hua, Peng, and Yang, evaluates the economic benefits of revitali-zation vouchers during the COVID-19 pandemic using Taiwan's Triple Stimulus Vouchers as an example. The paper finds that the stimulus policy has positive benefits by (a) inducing con-sumers to use revitalized triple vouchers, (b) boosting consumer confidence, (c) helping increase the economic growth rate from 0.1173% to 0.2156%, and (d) significantly influencing the service industry. The second paper, written by Choi, examines how sales of local small businesses can be promoted through COVID-19 stimulus payments in Korea. The paper finds that the stimulus payments led to significant increases in card spending in establishments accepting local currency relative to other establishments. While the estimated spending effect of the stimulus payments among groceries, furniture, and beauty sectors is larger, sectors such as restaurants, leisure, and travel experiencing substantial sales losses do not gain much from the stimulus payments. This suggests that targeting sectors that are the most severely affected can be a more effective policy measure in terms of alleviating the gaps in COVID-19-induced economic losses across sectors. The third paper, written by Kathuria and Kumar, examines the ability of the global fear index (GFI), based on the COVID-19 pandemic and government policy responses, as a measure of uncertainty in predicting eight Indian rupee-based exchange rate return series. The paper adopts the wild bootstrap likelihood ratio introduced by Kim and Shamsuddin (2020) to test the predictability of daily Indian rupee-based exchange rate return series. The results reveal GFI as an insignificant determinant of Indian rupee-based exchange rate return series. However,","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":"27 1","pages":"317 - 318"},"PeriodicalIF":1.5,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45435466","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We examine the predictive power of the stock market return for real economic growth corresponding to market-wide shocks in Korea. The periods of large market-wide shocks, such as the COVID-19 pandemic, are characterized by the stock return synchronicity and volatility that can measure price informativeness. We find that the predictive power of the stock market return disappears when stock returns show high synchronicity and volatility, and the deteriorated predictive power is associated with an increase in individual investors' net buying shares. Our finding suggests that, even if the stock market shows outstanding performance following market-wide shocks, this signal should be interpreted with caution because the stock market return may become less informative about fundamentals and lose the predictive power for the real economy.
{"title":"Market‐wide shocks and the predictive power for the real economy in the Korean stock market","authors":"Jinyong Kim, Yongsik Kim","doi":"10.1111/1468-0106.12405","DOIUrl":"https://doi.org/10.1111/1468-0106.12405","url":null,"abstract":"We examine the predictive power of the stock market return for real economic growth corresponding to market-wide shocks in Korea. The periods of large market-wide shocks, such as the COVID-19 pandemic, are characterized by the stock return synchronicity and volatility that can measure price informativeness. We find that the predictive power of the stock market return disappears when stock returns show high synchronicity and volatility, and the deteriorated predictive power is associated with an increase in individual investors' net buying shares. Our finding suggests that, even if the stock market shows outstanding performance following market-wide shocks, this signal should be interpreted with caution because the stock market return may become less informative about fundamentals and lose the predictive power for the real economy.","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46869331","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Interregional infrastructure, competition for capital, and local public expenditure policies: Evidence from China's\u0000 high‐speed\u0000 rail network","authors":"Long Pu, Guangrong Ma, Chong Liu","doi":"10.1111/1468-0106.12396","DOIUrl":"https://doi.org/10.1111/1468-0106.12396","url":null,"abstract":"","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-07-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41444392","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Ana Kristel Lapid, Rogelio Mercado, Peter Rosenkranz
Cross-border bank positions in Asia and the Pacific remain highly concentrated among a few counterparties, exposing the region to financial risks and policy spillovers. Consequently, assessing the determinants and impacts of the region's cross-border banking concentration is relevant to the design of appropriate policies for promoting financial development and safeguarding financial stability. To this end, we construct cross-border bank concentration measures for 47 economies in Asia and the Pacific from 2000 to 2019. The results show that higher capital account and trade openness and per capita income are significantly associated with lower cross-border bank concentration. Moreover, elevated cross-border bank concentration tends to lower domestic credit and nonperforming loans. We find no impact on bank profitability for the region.
{"title":"Concentration in Asia's cross-border banking: Determinants and impacts","authors":"Ana Kristel Lapid, Rogelio Mercado, Peter Rosenkranz","doi":"10.1111/1468-0106.12399","DOIUrl":"https://doi.org/10.1111/1468-0106.12399","url":null,"abstract":"Cross-border bank positions in Asia and the Pacific remain highly concentrated among a few counterparties, exposing the region to financial risks and policy spillovers. Consequently, assessing the determinants and impacts of the region's cross-border banking concentration is relevant to the design of appropriate policies for promoting financial development and safeguarding financial stability. To this end, we construct cross-border bank concentration measures for 47 economies in Asia and the Pacific from 2000 to 2019. The results show that higher capital account and trade openness and per capita income are significantly associated with lower cross-border bank concentration. Moreover, elevated cross-border bank concentration tends to lower domestic credit and nonperforming loans. We find no impact on bank profitability for the region.","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":"66 4","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138509266","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"The impact of regional trade policy uncertainty on the productivity of Chinese export enterprises: The case of\u0000 China–ASEAN\u0000 Free Trade Area","authors":"Kexuan Zhou, Linhui Yu, Xinling Jiang, Sanjay Kumar","doi":"10.1111/1468-0106.12403","DOIUrl":"https://doi.org/10.1111/1468-0106.12403","url":null,"abstract":"","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-07-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41771339","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
{"title":"Sectoral FTA gains, conflicts, and the role of interindustry factor mobility: Evidence from Korea's free trade agreement","authors":"J. Park, E. Hwang","doi":"10.1111/1468-0106.12400","DOIUrl":"https://doi.org/10.1111/1468-0106.12400","url":null,"abstract":"","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":" ","pages":""},"PeriodicalIF":1.5,"publicationDate":"2022-07-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46926187","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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