JOURNAL OF ECONOMIC STUDIES最新文献

Purpose

The relevance of transparency related to public finances is considered fundamental for good economic policy management. An environment of greater fiscal transparency allows the private sector greater predictability, improving the entrepreneur’s decision-making ability. This study empirically analyzes fiscal opacity’s effect on business confidence in an emerging economy.

Design/methodology/approach

We use monthly data from the Brazilian economy from January 2010 to March 2023. Based on Ordinary Least Squares (OLS) and the Generalized Method of Moments (GMM) regressions, we analyze whether fiscal opacity, measured by the signal-to-noise ratio, affects business confidence. Moreover, to evaluate the duration of a shock transmitted by the fiscal opacity on business confidence, we consider an impulse-response function generated by a Vector Auto-Regressive (VAR).

Findings

We found that fiscal opacity resulting from the lack of information to anticipate the budgetary result of the public sector deteriorates business confidence.

Practical implications

We present robust empirical evidence that allows us to assume that using a strategy to reduce fiscal opacity through mechanisms that provide reliable economic data and fiscal forecasts is essential for fiscal policy to affect business confidence positively. Reducing fiscal opacity provides greater clarity regarding the budget outcome, reduces economic uncertainty and improves the fiscal policy expectation channel.

Originality/value

This paper is the first to analyze how the lack of information for market agents to anticipate the government’s budget execution accurately (fiscal opacity) affects business confidence.

Purpose

This article aims to study the nonlinear effect of financial inclusion on tax revenue of 21 low financial development countries (LFDCs) and 22 high financial development countries (HFDCs) from 2004 to 2020.

Design/methodology/approach

The study calculates the world average financial development index (FD̅) for all countries using data from the IMF. The average FD of HFDCs is higher than (FD̅). On the other hand, the average FD of LFDCs is lower than (FD̅). Data of 21 LFDCs and 22 HFDCs cover the period 2004–2020. With the small sample problem, we applied the Bayesian method to examine the nonlinear effect of financial inclusion on the tax revenue of the two groups of countries.

Findings

Using the Bayesian method, the results show that financial inclusion negatively impacts tax revenue with an absolute probability of 100% in LFDCs and a lower probability of 92.45% in HFDCs. Additionally, the financial inclusion threshold at LFDCs is 18.90. Below this threshold, financial inclusion promotes tax revenue with a 100% probability. On the contrary, when financial inclusion exceeds the threshold, it will have a negative effect on tax revenue. Similarly, the financial inclusion threshold at HFDCs is 20.14, with a probability of 92.45%.

Originality/value

To the best of the authors’ knowledge, this is the first paper to examine the nonlinear impact of financial inclusion on tax revenue in high and low financial development countries.

Purpose

Without precedent, green bonds confront, for the first time since their emergence, a twofold crisis context, namely the Covid-19-Russian–Ukrainian crisis period. In this context, this paper aims to investigate the connectedness between the two pioneering bond market classes that are conventional and treasury, with the green bonds market.

Design/methodology/approach

In their forecasting target, authors use a Support Vector Regression model on daily S&P 500 Green, Conventional and Treasury Bond Indexes for a year from 2012 to 2022.

Findings

Authors argue that conventional bonds could better explain and predict green bonds than treasury bonds for the three studied sub-periods (pre-crisis period, Covid-19 crisis and Covid-19-Russian–Ukrainian crisis period). Furthermore, conventional and treasury bonds lose their forecasting power in crisis framework due to enhancements in market connectedness relationships. This effect makes spillovers in bond markets more sensitive to crisis and less predictable. Furthermore, this research paper indicates that even if the indicators of the COVID-19 crisis have stagnated and the markets have adapted to this rather harsh economic framework, the forecast errors persist higher than in the pre-crisis phase due to the Russian–Ukrainian crisis effect not yet addressed by the literature.

Originality/value

This study has several implications for the field of green bond forecasting. It not only illuminates the market participants to the best market forecasters, but it also contributes to the literature by proposing an unadvanced investigation of green bonds forecasting in Crisis periods that could help market participants and market policymakers to anticipate market evolutions and adapt their strategies to period specificities.

Purpose

The purpose of this study is to analyze the price discovery and market efficiency of energy futures traded in India. The study also examines the volatility spillover effect between the cash and futures markets of energy commodities.

Design/methodology/approach

The study uses crude oil and natural gas spot and futures series traded at Multi Commodity Exchange (MCX), India. To evaluate the objectives, the paper employs the cointegration test, causality check, dynamic ordinary least squares (DOLS) method and Baba, Engle, Kraft and Kroner (BEKK) GARCH Model.

Findings

The study supports the long-run association between the selected markets. Unlike natural gas, in the case of crude oil bidirectional, flow of information is observed. The study rejects the unbiasedness and efficient market hypothesis of the energy futures market in India. Further, the study confirms that the selected energy commodities indicate bidirectional shock transmission between their respective cash and futures markets.

Practical implications

The study will assist the commodity market participants in designing their trading strategy. The volatility signal will be used by investors and portfolio managers for risk management and portfolio adjustment. Regulators will be able to anticipate future spillover and can design policies to strengthen the market.

Originality/value

The paper evaluates the three aspects of the energy futures market, namely price discovery, market efficiency and volatility slipover. To the best of the authors’ knowledge, studies on efficacy and shock transmission in the context of the energy futures market in India are rare. Further, the study also contributes by investigating the price discovery process of the energy futures market.