International Economics最新文献_第8页

Frequency interdependence and portfolio management between gold, oil and sustainability stock markets 黄金、石油和可持续性股票市场之间的频率相互依存关系和投资组合管理

International Economics Pub Date : 2023-12-14 DOI: 10.1016/j.inteco.2023.100476

Ramzi Nekhili , Salem Adel Ziadat , Walid Mensi

{"title":"Frequency interdependence and portfolio management between gold, oil and sustainability stock markets","authors":"Ramzi Nekhili , Salem Adel Ziadat , Walid Mensi","doi":"10.1016/j.inteco.2023.100476","DOIUrl":"10.1016/j.inteco.2023.100476","url":null,"abstract":"<div><p>This paper examines the dynamic correlation relationship between Dow Jones sustainability indices (DJSI) and oil and gold in the time and frequency domain. Our empirical analysis discloses multiple imperative findings. First, the period of high dependence between oil and these DJSI assets applies only at higher frequency (128–256 days). As such, DJSI Europe, US, Asia-Pacific, and Korea show the strongest dependence with oil in the long run. However, this inter-relationship is only visible from 2018 onwards. Second, the link between DJSI indices and gold is minimal across the dependency spectrum and at multiple frequencies. Third, when comparing a benchmark portfolio with a blended portfolio composed of a suitability index with gold/oil, in consistency with the hedging ratios results, the utility gain is remarkably better in the sustainability/gold pairing. These findings indicate that the safe haven status of gold for investors in conventional stocks can be extended to investors in sustainability stocks.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"178 ","pages":"Article 100476"},"PeriodicalIF":0.0,"publicationDate":"2023-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2110701723000884/pdfft?md5=537714be0d6ed288fcbc31b944e9aa92&pid=1-s2.0-S2110701723000884-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138744863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The macroeconomic effects of exchange rate movements in a commodity-exporting developing economy 汇率变动对发展中商品出口经济体的宏观经济影响

International Economics Pub Date : 2023-12-11 DOI: 10.1016/j.inteco.2023.100475

Gan-Ochir Doojav , Munkhbayar Purevdorj , Anand Batjargal

{"title":"The macroeconomic effects of exchange rate movements in a commodity-exporting developing economy","authors":"Gan-Ochir Doojav , Munkhbayar Purevdorj , Anand Batjargal","doi":"10.1016/j.inteco.2023.100475","DOIUrl":"https://doi.org/10.1016/j.inteco.2023.100475","url":null,"abstract":"<div><p><span><span>This paper empirically examines the macroeconomic effects of exchange rate movements and their transmission mechanisms (trade and financial channels) in Mongolia, a net debtor in foreign currency and a commodity-exporting developing economy, using Structural </span>Bayesian<span> Vector Autoregression (SBVAR) models. Our findings suggest that both the financial and trade channels of exchange rates are operative and have a notable impact at the macroeconomic level. We identify a significant financial channel, causing GDP contractions and affecting investments, particularly in sensitive sectors such as manufacturing and construction in response to DWER depreciation shocks. The traditional trade channel, driven by NEER depreciation, leads to increased net exports with pass-through to </span></span>CPI. Despite these effects on key macro variables, exchange rate shocks do not substantially destabilize the economy. Foreign shocks, including federal funds rates, China's GDP, and copper prices, have a more pronounced impact. The trade channel plays a crucial role in the transmission of external demand and commodity price shocks, while the financial channel is essential in the transmission of commodity price shocks.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"177 ","pages":"Article 100475"},"PeriodicalIF":0.0,"publicationDate":"2023-12-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138633497","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}

引用次数: 0

The dynamic effects of public investments on private capital formation: Modelling a heterogeneous asymmetric cointegration with unobserved global factors 公共投资对私人资本形成的动态影响:具有未观察到的全球因素的异质非对称协整模型

International Economics Pub Date : 2023-12-06 DOI: 10.1016/j.inteco.2023.100473

Gianni Carvelli

引用次数: 0

Talents from abroad. Foreign managers and productivity in the United Kingdom 来自国外的人才。外国管理人员与英国的生产力

International Economics Pub Date : 2023-11-28 DOI: 10.1016/j.inteco.2023.100474

Dimitrios Exadaktylos, Massimo Riccaboni, Armando Rungi

{"title":"Talents from abroad. Foreign managers and productivity in the United Kingdom","authors":"Dimitrios Exadaktylos, Massimo Riccaboni, Armando Rungi","doi":"10.1016/j.inteco.2023.100474","DOIUrl":"https://doi.org/10.1016/j.inteco.2023.100474","url":null,"abstract":"<div><p>In this paper, we test the contribution of foreign management to firm productivity. We use a novel data set on the careers of 115,505 managers employed in 10,238 firms in the UK from 2009–2017. We find that domestic manufacturing firms become, on average, 4.9% more productive and about 23.3% more capital intensive after hiring foreign managers. In particular, we find that prior industry-specific experience of foreign managers abroad allows spillover effects to domestic recruiting firms. On the other hand, we find no significant effect on foreign-owned firms after hiring foreign managers, possibly because technological spillovers have already occurred after takeovers by headquarters. The marginal productivity gain is twice as high when the new hires end up on all-British boards without a history of diversity. Our identification strategy combines matching techniques, difference-in-difference and pre-recruitment trends to challenge reverse causality. The results are robust to different specifications and sample composition effects. Ultimately, our results show how restrictions on the global mobility of managerial talent hamper the competitiveness of the domestic industry.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"177 ","pages":"Article 100474"},"PeriodicalIF":0.0,"publicationDate":"2023-11-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2110701723000860/pdfft?md5=104167de06f7b183c6c7280e49397bb7&pid=1-s2.0-S2110701723000860-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138490613","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic 2019冠状病毒病大流行期间伊斯兰和传统金融市场效率的多重分形趋势波动分析

International Economics Pub Date : 2023-11-15 DOI: 10.1016/j.inteco.2023.100463

Syed Ali Raza , Nida Shah , Muhammed Tahir Suleman

{"title":"A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic","authors":"Syed Ali Raza , Nida Shah , Muhammed Tahir Suleman","doi":"10.1016/j.inteco.2023.100463","DOIUrl":"10.1016/j.inteco.2023.100463","url":null,"abstract":"<div><p>This paper examines the efficiency of DJIM conventional and Islamic sectoral stock markets before and during the Covid-19 period. The study uses both sectoral stock markets' daily data from January 1, 2010, to August 1, 2022, and relies on the multifractal detrended fluctuation analysis (MF-DFA). Firstly, we find that the conventional and Islamic sectoral stock markets are multifractal in the short and long run. Secondly, conventional and Islamic sectoral stock markets are characterized by long-term memory features in small fluctuations. Thirdly, in terms of efficiency before the Covid-19 period, in the Islamic sectoral market, the healthcare sector is the most efficient in the short run, and the financial sector is the most efficient in the long run. During the Covid-19 period, in the conventional sectoral market, the financial sector was the most efficient in the short run, and the utility sector was the most efficient in the long run.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"177 ","pages":"Article 100463"},"PeriodicalIF":0.0,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2110701723000756/pdfft?md5=cc3c8784b2a9cc81b44312e7a16f2a8d&pid=1-s2.0-S2110701723000756-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138526800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends covid-19时期中国的经济行为。一个基于谷歌趋势的新的领先经济指标

International Economics Pub Date : 2023-11-10 DOI: 10.1016/j.inteco.2023.100462

Manuel Monge, Gloria Claudio-Quiroga, Carlos Poza

{"title":"Chinese economic behavior in times of covid-19. A new leading economic indicator based on Google trends","authors":"Manuel Monge, Gloria Claudio-Quiroga, Carlos Poza","doi":"10.1016/j.inteco.2023.100462","DOIUrl":"10.1016/j.inteco.2023.100462","url":null,"abstract":"<div><p>Since December 2019 we have been living with a virus called SARS-CoV-2 which has led to health policies being given prevalence over economic ones, causing serious consequences with regard to China's economic growth. For this purpose, we have built a Real Time Leading Economic Indicator based on Google Trends that improves the performance of Composite Leading Indicators (CLIs) to anticipate GDP trends and turning points for the Chinese economy. First, we assess the effectiveness of this new leading indicator relative to China's GDP by analyzing its statistical properties. We use fractional integration techniques to show the high degree of persistence of the new Real Time Leading Economic Indicator (RT-LEI) for China. Second, we observe the same relationship between GDP and RT-LEI in the long term using a Fractional Cointegration VAR (FCVAR) model. Third, we use a multivariate Continuous Wavelet Transform analysis to show which leading indicator best fits GDP and to identify when a structural change occurs. Finally, we forecast, using Artificial Neural Networks and a KNN model based on Machine Learning, our RT-LEI predicting the conclusion of a bearish scenario, after which the recovery begins in mid-2022.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"177 ","pages":"Article 100462"},"PeriodicalIF":0.0,"publicationDate":"2023-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135614506","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}

引用次数: 0

Frequency interdependence and portfolio management between gold, oil and sustainability stock markets 黄金、石油和可持续性股票市场之间的频率相互依赖和投资组合管理

International Economics Pub Date : 2023-10-23 DOI: 10.1016/j.inteco.2023.100461

Ramzi Nekhili , Salem Adel Ziadat , Walid Mensi

引用次数: 0

The fiscal multiplier when debt is denominated in foreign currency 债务以外币计价时的财政乘数

International Economics Pub Date : 2023-10-17 DOI: 10.1016/j.inteco.2023.100458

Marie-Pierre Hory , Grégory Levieuge , Daria Onori

引用次数: 0

Services in the India-EU free trade agreement 印度-欧盟自由贸易协定中的服务业

International Economics Pub Date : 2023-10-16 DOI: 10.1016/j.inteco.2023.100460

Hildegunn Kyvik Nordås

{"title":"Services in the India-EU free trade agreement","authors":"Hildegunn Kyvik Nordås","doi":"10.1016/j.inteco.2023.100460","DOIUrl":"https://doi.org/10.1016/j.inteco.2023.100460","url":null,"abstract":"<div><p>This paper analyses the proposed free trade agreement (FTA) between EU and India focusing on services trade. Based on the text published by the European Union, it uses the OECD STRI simulator to calculate the preference margins implied by the agreement and next predicts the impact on services trade flows using a general equilibrium structural gravity analysis. I find that the preference margin on the Services Trade Restrictiveness Index (STRI) for Indian exports to the EU is between four and eight basis points depending on the sector, while for EU’s exports to India the preference margin is between 10 and 35 basis points. The predicted effect is more than a doubling of EU services exports to India, while India’s services exports to the EU would increase by about 50%. EU’s trade with the rest of the world would not change much, while India’s exports to the rest of the world would contract by about 3%. Real services output would not change much in the EU or India. Lifting trade restrictions in the telecommunications sector is the most important policy area for facilitating services trade. About half of the predicted export expansion is driven by reforms to domestic regulation.</p></div>","PeriodicalId":13794,"journal":{"name":"International Economics","volume":"176 ","pages":"Article 100460"},"PeriodicalIF":0.0,"publicationDate":"2023-10-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S2110701723000720/pdfft?md5=10c46f746a797c9f808e07ce1b6076bf&pid=1-s2.0-S2110701723000720-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"92148863","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

The information content of sentiment indices in forecasting Value at Risk and Expected Shortfall: a Complete Realized Exponential GARCH-X approach 情绪指数在预测风险价值和预期缺口中的信息含量：一种完全实现的指数GARCH-X方法

International Economics Pub Date : 2023-10-11 DOI: 10.1016/j.inteco.2023.100459

Antonio Naimoli

引用次数: 0