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The response of oil-importing and oil-exporting countries’ macroeconomic aggregates to crude oil price shocks: some international evidence 石油进口国和石油出口国的宏观经济总量对原油价格冲击的反应：一些国际证据
IF 3.4
Eurasian Economic Review Pub Date : 2024-09-13 DOI: 10.1007/s40822-024-00281-z
Jin Shang, Shigeyuki Hamori
{"title":"The response of oil-importing and oil-exporting countries’ macroeconomic aggregates to crude oil price shocks: some international evidence","authors":"Jin Shang, Shigeyuki Hamori","doi":"10.1007/s40822-024-00281-z","DOIUrl":"https://doi.org/10.1007/s40822-024-00281-z","url":null,"abstract":"<p>Fluctuations in crude oil prices exert substantial economic influence, necessitating adept responses and strategic policy formulations to mitigate potential adverse consequences. Kilian has emphasized the heterogeneous nature of oil price shocks, wherein price rises can yield varied effects contingent upon underlying determinants. Consequently, it is imperative for investors, economists, and policymakers to disentangle real price shocks and assess their impact on macroeconomic aggregates. This study employs a two-stage approach grounded in a structural vector autoregressive (SVAR) model, inspired by Kilian’s framework, to examine and contrast the repercussions of various crude oil price shocks on the actual Gross Domestic Product (GDP) and Consumer Price Index (CPI) in countries that are either net importers or exporters of oil. Our empirical results reveal that variations in real oil prices are more substantially influenced by shocks due to aggregate demand and precautionary demand, as opposed to shocks originating from the oil supply side. Additionally, aggregate demand shocks lead to significant GDP surges for most oil-importing countries and all oil-exporting countries, while only leading to continuous CPI increases in oil-importing countries. Precautionary demand shocks initially boost GDP in oil-exporting countries but lead to GDP reductions in oil-importing countries. Precautionary demand shocks sustain CPI increases in the oil-importing countries, though with variations in significant durations, but have mixed effects in oil-exporting countries, with significant CPI increases observed in Canada and Norway. Concerning the implications for policymakers and investors, the findings underscore the importance of considering variations in response patterns to crude oil price shocks based on their drivers and the country’s status as an oil importer or exporter.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-09-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142181252","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
Non-parametric evidence on the determinants of access to financial services in the countries of the Organization of Turkic States 关于突厥语国家组织成员国获得金融服务的决定因素的非参数证据
IF 3.4
Eurasian Economic Review Pub Date : 2024-09-05 DOI: 10.1007/s40822-024-00288-6
Kenan İlarslan
{"title":"Non-parametric evidence on the determinants of access to financial services in the countries of the Organization of Turkic States","authors":"Kenan İlarslan","doi":"10.1007/s40822-024-00288-6","DOIUrl":"https://doi.org/10.1007/s40822-024-00288-6","url":null,"abstract":"<p>Access to financial services, which is a component of financial inclusion, enables individuals and businesses to access the funds they need on favorable terms and at low cost, without time and place constraints. In this respect, access to finance is seen as an important tool for economic growth, employment and poverty reduction. The study aims to examine the role of the variables of shadow economy (SE), human development level (HDI), automatic teller machines usage (ATM) and inflation (INF) on access to financial services (AFS) in the member countries of the Organization of Turkic States (OTS). In the study, which covers the period 2004–2021, analyzes were conducted within the framework of the fixed-effect Method of Moment Quantile Regression (MM-QR). According to the results of the study, while the level of HDI and the use of ATMs have a positive effect on AFS, while the SE has a negative effect. Although the INF rate has a negative effect on AFS, this effect could not be confirmed at any quantile level.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142181253","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
Firm-specific attributes and capital gains overhang 公司特有属性和资本收益悬置
IF 3.4
Eurasian Economic Review Pub Date : 2024-08-28 DOI: 10.1007/s40822-024-00285-9
Mohamad Husam Helmi, Mohamed Shaker Ahmed
{"title":"Firm-specific attributes and capital gains overhang","authors":"Mohamad Husam Helmi, Mohamed Shaker Ahmed","doi":"10.1007/s40822-024-00285-9","DOIUrl":"https://doi.org/10.1007/s40822-024-00285-9","url":null,"abstract":"<p>This paper investigates the key factors driving the capital gains overhang (hereafter CGO) in the US stock market. We used a sample of 3865 non-financial US companies with 331,023 observations from January 2001 through December 2020. The data is analyzed using a panel regression model. It contributes to the literature by using a new set of firm characteristics, namely, liquidity proxied by turnover, company beta, leverage, EPS, cash flow to price, market to book ratio, and size. This research is interesting as it provides an alternative to the behavioral finance point of view that serves only limited stylized facts. We find that CGO is increasing in some firm attributes, namely earnings per share, leverage, growth, and size, and decreasing in others, namely turnover, beta, and cash flow to price. Our results are robust to cross-sectional regression that checks the stability of estimates over time and to subsample analyses. Finally, our results remain the same even after accounting for endogeneity.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"142181254","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
Balancing financial stability and economic growth: a comprehensive analysis of macroprudential regulation 平衡金融稳定与经济增长：宏观审慎监管的全面分析
IF 3.4
Eurasian Economic Review Pub Date : 2024-07-23 DOI: 10.1007/s40822-024-00283-x
Salma Gallas, Houssam Bouzgarrou, Montassar Zayati
{"title":"Balancing financial stability and economic growth: a comprehensive analysis of macroprudential regulation","authors":"Salma Gallas, Houssam Bouzgarrou, Montassar Zayati","doi":"10.1007/s40822-024-00283-x","DOIUrl":"https://doi.org/10.1007/s40822-024-00283-x","url":null,"abstract":"<p>The purpose of this study is to explore the influence of macroprudential measures on financial stability in both advanced and emerging economies, considering key endogenous variables such as banking crises and economic growth. Our analysis covers 66 countries over the period 2000–2017 and focuses on two effects: the direct stabilizing effect, which reduces the likelihood of banking crises, and the indirect destabilizing effect, which may slow down the GDP growth. Employing Generalized Impulse Response Function modeling, we assess the efficacy of macroprudential policy tools. Our findings suggest that macroprudential tightening is more effective in reducing the likelihood of banking crises than in stimulating economic growth, particularly when the impact of macroprudential tools is positive. Ultimately, our study highlights the interplay between the probability of banking crises and financial stability, demonstrating the importance of macroprudential regulation in promoting a stable and resilient financial system.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-07-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141770344","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
Sustainability and the domestic credit market: worldwide evidence 可持续性与国内信贷市场：全球证据
IF 3.4
Eurasian Economic Review Pub Date : 2024-06-28 DOI: 10.1007/s40822-024-00282-y
Fátima Sol Murta, Paulo Miguel Gama
{"title":"Sustainability and the domestic credit market: worldwide evidence","authors":"Fátima Sol Murta, Paulo Miguel Gama","doi":"10.1007/s40822-024-00282-y","DOIUrl":"https://doi.org/10.1007/s40822-024-00282-y","url":null,"abstract":"<p>This paper aims to uncover the cross-sectional relationship between country-level sustainability performance and the domestic lending activity of commercial banks. Considering a worldwide sample of countries, it uses publicly available sustainability scores from SolAlability Sustainable Intelligence, macroeconomic data, and banking sector data from the World Bank. The results show that the country’s sustainability performance is positively related to the amount of domestic credit granted by banks to the private sector and negatively related to the importance of nonperforming loans. Moreover, looking at the pillars that constitute the sustainability scores, this work finds evidence that social cohesion, intellectual capital, and governance are the pillars of sustainability that affect domestic lending activity. Results survive several robustness tests concerning samples, variables’ definitions, and estimation procedures. Our results suggest that policies aiming at improving a country’s sustainability contribute to domestic banking sector stability and financial development. Specifically, measures that contribute to social cohesion and solidarity, innovation and value-added industries, and the country’s governance performance, contribute to the smooth functioning of credit markets.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141503373","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
Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds 利率的不确定性和美国国债收益率曲线的形状
IF 3.4
Eurasian Economic Review Pub Date : 2024-06-25 DOI: 10.1007/s40822-024-00278-8
Yasmeen Bayaa, Mahmoud Qadan
{"title":"Interest rate uncertainty and the shape of the yield curve of U.S. treasury bonds","authors":"Yasmeen Bayaa, Mahmoud Qadan","doi":"10.1007/s40822-024-00278-8","DOIUrl":"https://doi.org/10.1007/s40822-024-00278-8","url":null,"abstract":"<p>We decompose the yield curve of U.S. Treasury bonds into three components—the level, slope, and curvature. We then explore the interaction between these factors and uncertainty in the U.S. bond market. We assess this uncertainty using a VIX-style estimate originating in options on the CBOE’s Treasury Note futures. Using monthly data for 2003–2020, we find that interest rate uncertainty drives the evolution in the shape of the yield curve, but not vice versa. Specifically, the bond market’s VIX-style metric not only correlates with but also influences the yield curve’s level and slope. Moreover, increased uncertainty about interest rates is negatively associated with, and can significantly influence, the yield curve’s curvature. The results of this study are crucial for both policymakers and money managers.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-06-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141528935","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
Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict 能源与农产品之间的动态联系：从 COVID-19 大流行病和俄罗斯-乌克兰冲突中得到的启示
IF 3.4
Eurasian Economic Review Pub Date : 2024-06-03 DOI: 10.1007/s40822-024-00279-7
Noureddine Benlagha, Wafa Abdelmalek
{"title":"Dynamic connectedness between energy and agricultural commodities: insights from the COVID-19 pandemic and Russia–Ukraine conflict","authors":"Noureddine Benlagha, Wafa Abdelmalek","doi":"10.1007/s40822-024-00279-7","DOIUrl":"https://doi.org/10.1007/s40822-024-00279-7","url":null,"abstract":"<p>This paper investigates the interconnectedness patterns between agricultural commodities, crude oil, and ethanol, along with their determinants before and during the COVID-19 pandemic and the Russia–Ukraine conflict. We employ a time-varying parameter vector autoregression model to analyze interconnected behaviors among energy and agricultural commodities. Additionally, quantile regression is used to assess the impact of financial and economic fundamentals on transmission mechanisms in commodity markets. The empirical findings reveal time-varying and crisis-responsive linkages between energy and agricultural commodities, particularly during the COVID-19 pandemic and Russia–Ukraine conflict. Furthermore, economic and financial market uncertainties emerge as significant determinants of the interconnectedness between these commodity groups.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-06-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141252709","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 impact of COVID-19 on Ethereum returns and Ethereum market efficiency COVID-19 对以太坊回报和以太坊市场效率的影响
IF 3.4
Eurasian Economic Review Pub Date : 2024-05-31 DOI: 10.1007/s40822-024-00273-z
Naseem Al Rahahleh, Ahmed Al Qurashi
{"title":"The impact of COVID-19 on Ethereum returns and Ethereum market efficiency","authors":"Naseem Al Rahahleh, Ahmed Al Qurashi","doi":"10.1007/s40822-024-00273-z","DOIUrl":"https://doi.org/10.1007/s40822-024-00273-z","url":null,"abstract":"<p>This paper aims to identify herding biases and assess the inefficiency of Ethereum using an inefficiency index (MLM). Additionally, it investigates the nonlinear dynamical properties of Ethereum by estimating the MFDFA, aiming to deduce the impact of COVID-19 on Ethereum’s performance. The paper also captures abnormal changes resulting from COVID-19-related events and assesses their influence on the Ethereum market response.</p><p>The empirical results show that Ethereum was multifractal before the pandemic and became less fractal in the period following the outbreak using Generalized Hurst Exponent (GHE) estimation. Based on the MLM measure of efficiency, we found Ethereum to be more efficient in the first phase of the pandemic than before it, and as in the Hausdorff topology, the pandemic reduced herd bias. The event study analysis took into account specific events related to the pandemic and showed that each led to significant abnormal returns in the Ethereum market. The results reported are used to empirically establish differences in the value of Ethereum before and during the COVID-19 pandemic. The results are useful in a general sense for traders, investors, and policy makers because they provide new information about market trading opportunities and social responses.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-05-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141196489","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
Dynamics of extreme spillovers across European sustainability markets 欧洲可持续性市场极端溢出效应的动态变化
IF 3.4
Eurasian Economic Review Pub Date : 2024-05-23 DOI: 10.1007/s40822-024-00272-0
Walid Mensi, Ismail O. Fasanya, X. Vo, S. Kang
{"title":"Dynamics of extreme spillovers across European sustainability markets","authors":"Walid Mensi, Ismail O. Fasanya, X. Vo, S. Kang","doi":"10.1007/s40822-024-00272-0","DOIUrl":"https://doi.org/10.1007/s40822-024-00272-0","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-05-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"141104517","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
Energy profile and oil shocks: a dynamic analysis of their impact on stock markets 能源概况和石油冲击：对其对股市影响的动态分析
IF 3.4
Eurasian Economic Review Pub Date : 2024-05-16 DOI: 10.1007/s40822-024-00277-9
Salem Adel Ziadat, Aktham Maghyereh
{"title":"Energy profile and oil shocks: a dynamic analysis of their impact on stock markets","authors":"Salem Adel Ziadat, Aktham Maghyereh","doi":"10.1007/s40822-024-00277-9","DOIUrl":"https://doi.org/10.1007/s40822-024-00277-9","url":null,"abstract":"","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":null,"pages":null},"PeriodicalIF":3.4,"publicationDate":"2024-05-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"140970580","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
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