Emerging Markets Review最新文献

This study investigates risk spillovers among sub-Saharan African (SSA) stock markets, the Middle East, and North Africa (MENA). Analyzing daily data from March 27th, 2014, to January 24th, 2022, using a quantile connectedness approach, we find high and heterogeneous connectedness, particularly during extreme market conditions. Lower and upper quantiles exhibit the strongest connectivity and shock transmission. Network structure intensified during the global health crisis and subsequent recovery phase. Geopolitical and oil price uncertainty are significant drivers in risk spillovers between SSA and MENA equity markets. The observed variation in transfer spillovers across quantiles offers investors opportunities to optimize hedging strategies. Our findings underscore the need for policymakers to consider market interconnectedness when developing measures to address asset price sensitivity.

This study examines the within-industry and global volatility connectivity of the South African equity market during a major domestic energy crisis (load-shedding) and the COVID-19 pandemic. Using a time-varying parameter vector autoregressive model, we identify distinct patterns in volatility spillovers across periods of global and domestic crises. The onset of the COVID-19 pandemic increased interconnectedness between South Africa and global equity markets. In contrast, during domestic load-shedding, the Johannesburg Stock Exchange (JSE) became detached from international markets, highlighting the localized impact of this crisis. We find that the financial and energy industries are consistently net receivers and transmitters of shocks during both crises which demonstrate their systemic importance to South Africa. Our findings provide insights into the dynamic nature of volatility connectedness, with implications for risk management and policy formulation in Africa.

This paper assesses whether and how setting up a sovereign wealth fund has a buffer effect against currency crises. Using an innovative dynamic logit panel model framework and a unique dataset covering 34 emerging countries over the period 1989–2019, we empirically show that sovereign wealth funds reduce the occurrence of currency crises. This result is robust to different econometric specifications, alternative definitions of sovereign wealth funds, controlling for currency crisis risk factors, and income level sampling. Our findings have important implications for financial stability and for policymakers, who could further exploit the potential of sovereign wealth funds to better manage foreign exchange risks.

We build a dynamic factor model to forecast inflation in a small open economy. The model is estimated with both market and survey data, and a unique two-step methodology to incorporate exogenous factors. Estimations with market data provide a better fit for in-sample and out-of-sample values of inflation. More importantly, our model outperforms univariate and estimated DSGE models, the more common approaches to inflation forecasting that perform well for advanced economies. Our findings, therefore, suggest that a dynamic factor modelling approach for a small open economy such as Jamaica can be a good alternative to the preferred methods for forecasting inflation in advanced economies.

Relationships between firms and between firms and financial institutions influence firms' credit risk. Thus, these relationships should be crucial considerations in credit evaluation. This paper constructs a comprehensive SME network, which integrates multiple types of inter-firm associations and considers lender-borrower relationships, and then establish credit evaluation models utilizing network microstructure and machine learning. We find that complex interfirm relationships contained in network-based features can significantly enhance the credit risk evaluation of SMEs and the predictive contribution of different levels of network structural features varies. We further find that specific network microstructures containing lender-borrower relationships tend to be associated with high defaulting probabilities. It suggests that if a SME is closely linked to microlending institutions through multiple relationships, its defaulting probability will increase.

Although the impact of micro-credit and direct cash transfers on women economic empowerment has been extensively studied, the impact of having access to a bank account remains relatively understudied. This paper uses a detailed national representative dataset of female household heads in Ghana to analyze the relation between access to formal and informal financial accounts and women's economic empowerment. Using propensity score matching, our results elicit that women who have a financial account are more likely to be employed and tend to have higher income. The results are mainly driven by ownership of a formal account (i.e., in a commercial bank) while the impact of informal account ownership is not statistically significant. Thus our findings call for higher promotion of formal banking, particularly among women in rural and poorer areas where financial inclusion is lower.

We examine the impact of compliance and familiarity with fixed assets' disclosure requirements on firm value in Indonesia. Data were manually tabulated from 1672 financial statements of publicly listed firms during the period from 2013 to 2020 to test our hypotheses. We find that both the compliance level and familiarity level gradually increase over time. The result shows that greater compliance with IFRS accounting standards is associated with greater firm value. Interestingly, we find a negative association between the familiarity sub-index and firm value, suggesting that unfamiliarity with more complex accounting standards can lead to lower firm value.

This paper provides a novel look at capital flow determinants by assessing the role of expectations and media sentiments. Analyzing eight emerging market economies, we assess the effects of macroeconomic expectations and disagreement among professionals and various media-based sentiment indicators. Our results show that survey and sentiment indicators which are available in real time contain useful information about capital flow dynamics which go beyond the effects of conventional push and pull factors for all countries we analyze. News sentiment related to the exchange rate have the strongest effects on capital flows. Finally, we identify substantial heterogeneity across countries.

The study examines how mandatory disclosures impact banks' earnings management in India. The Reserve Bank of India (RBI) enforced disclosures fearing underdeclaration of non-performing assets (NPA) and attributable loan loss provision (LLP). In a way, such disclosure requirement was a “name and shame” strategy by the RBI. Our study hypothesizes disclosures to reduce information asymmetry and moral hazard - in a way reflected in the discretionary LLP. The results broadly support our hypothesis that regulatory enforcement through disclosures had the intended effect of hamstringing the banks' ability to manage earnings. Thus, mandatory disclosures positively affect discretionary LLP reduction, consequently minimizing the latitude that banks enjoy.

This study investigates the influence of global financial market conditions on financial risk connectedness and transmission among the Middle East and North Africa (MENA) economies. Utilizing weekly realized stock market volatilities as a measure of risk and employing a smooth transition threshold vector autoregressive (STVAR) model to analyze risk transmission under varying levels of financial stress, the authors also examine the impact of external macroeconomic conditions on the risk connectedness of MENA economies. The results indicate that the overall connectedness, based on a standard VAR model, is moderate at 48.34%. However, in the low financial stress regime, overall connectedness increases to 52.79%, and in the high financial stress regime, it rises to 72.94%, indicating stronger risk interdependency among MENA countries during times of high stress. In the high financial stress regime, Kuwait, Oman, Qatar, Saudi Arabia, Turkey, and the United Arab Emirates are identified as net risk transmitters among MENA countries. The study also reveals that risk transmission across MENA is more pronounced in the regime-dependent model compared to the overall mean-based VAR model.