Panoeconomicus最新文献

{"title":"Brexit spillovers through international trade and foreign investment: Empirical evidence from EU-27 and the UK","authors":"G. Noja, S. M. Cristea, Atìla Yüksel","doi":"10.2298/pan171229008n","DOIUrl":"https://doi.org/10.2298/pan171229008n","url":null,"abstract":"This study examines the Brexit spillovers upon the European Union Member\u0000 States (MS) (EU-27) and the UK through two fundamental freedoms of regional\u0000 integration: goods and services (international trade), and capital (foreign\u0000 investment, FDI). We have applied cluster analysis and structural equation\u0000 modelling on a strongly balanced panel of EU-27 and the UK. Both techniques\u0000 explore two scenarios that focus on the performances achieved by the EU-MS\u0000 in terms of GDP per capita and GDP growth, under the impact of trade and\u0000 FDI, before and after the Brexit (1995-2019 and 2020-2025 periods). Our\u0000 results show that the UK?s economy will be affected both related to GDP\u0000 growth and GDP per capita levels, particularly on the short run. The EU-27\u0000 impact largely differs across countries and types of international\u0000 activities, being decisively influenced through the FDI relations. Overall,\u0000 the spillovers induced by international flows are positive, but\u0000 significantly diminished after the Brexit.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-05-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47368283","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":"Real exchange rate and trade balance in Turkey: Evidence from heterogeneous panel data","authors":"A. Kaya","doi":"10.2298/pan161208007k","DOIUrl":"https://doi.org/10.2298/pan161208007k","url":null,"abstract":"In this study, the effect of real exchange rate on bilateral trade balance\u0000 between Turkey and its 25 main trade partners is investigated for the period\u0000 of 1996 - 2015 with heterogeneous panel data techniques. Trade balance model\u0000 is estimated by using Mean Group (MG) estimator, which allows parameter\u0000 heterogeneity, Common Correlated Effects Mean Group (CCEMG), and Augmented\u0000 Mean Group (AMG) estimators, which both allow cross-section dependency and\u0000 heterogeneity. Results indicate that the real exchange rate elasticity of\u0000 the trade balance ranges between -0.40 and -0.45 and Marshall-Lerner (ML)\u0000 condition is valid for Turkey. According to the results, the foreign income\u0000 elasticity of trade balance ranges between 1.54 and 2.84, while for domestic\u0000 income elasticity, it is found between -0.75 and -1.38. Country-specific\u0000 results show that ML condition is valid for the USA, Belgium, Spain,\u0000 Switzerland, Romania, and Russia at the bilateral level according to both\u0000 CCEMG and AMG estimators.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-04-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47980362","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":"Company fundamentals as determinants of firm-level equity premiums: Evidence from an emerging economy","authors":"Muhammad Imran","doi":"10.2298/pan180404006i","DOIUrl":"https://doi.org/10.2298/pan180404006i","url":null,"abstract":"Equity premium is a vital number to consider in finance when making fund\u0000 allocations and investment decisions. This study explores the relationship\u0000 between (controllable) determinants of firm-level equity premiums in the\u0000 context of the Pakistan stock market. It uses a sample of 306 firms? annual\u0000 data, from January 2001 to December 2015, using a two-stage least-squares\u0000 method to estimate our panel data model (Wooldridge 2005; Arellano 2016).\u0000 During the selected sample period, the average market premium of the\u0000 Pakistan stock exchange (100 Index) was 20%. The average equity premium of\u0000 individual firms was only 8%. Company fundamentals are considered\u0000 determinants of firm-level equity premiums. Panel data econometrics\u0000 techniques were used to estimate the modified version of the multi-factor\u0000 model for the Pakistan Stock Exchange. It is found that the market premium,\u0000 return on equity, dividend payout ratio, accounts receivable and firm size\u0000 significantly and positively affect the firm-level equity premium. However,\u0000 increase in the debt-to-equity and quick ratio negatively affect that\u0000 premium. The company fundamental variables are controllable for the firms\u0000 and can be improved by company management to encourage investors and\u0000 maximize shareholder wealth.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45563805","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 role of Eonia in the dynamics of short-term interbank rates","authors":"José Carlos Vides, A. Golpe, Jesús Iglesias","doi":"10.2298/pan171004018c","DOIUrl":"https://doi.org/10.2298/pan171004018c","url":null,"abstract":"To signal monetary policies and market expectations, we apply a fractionally cointegrated vector autoregressive (FCVAR) model, aiming to analyse the expectations hypothesis of term structure (EHTS), persistence in the European OverNight Index Average (Eonia) spread and permanent-transitory decomposition using a novel approach. We use a monthly frequency sample for the 3-month Euribor rate and Eonia rate, covering the period from January 1999 to February 2019. The results obtained confirm the EHTS and show evidence of a high persistence of the spread, which means that shocks may impede effectiveness in monetary policy and that the European Central Bank (ECB) loses control over interest rates. Additionally, according to permanent-transitory decomposition, we determine that the Eonia rate has a permanent component and thus dominates the common trend in the cointegration system. In sum, if the ECB wants to keep the interbank market interest rates under control, it must contemplate the evolution of the Eonia rate. Key words: Eonia rate, Long memory and fractional cointegration, Euribor rate, Persistence of interest rates, Permanent-transitory decomposition. JEL: C22, E52, G15 \u0000Uloga Eonia stope u dinamici kratkorocnih međubankarskih stops Kako bismo signalizirali monetarnu politiku i tržisna ocekivanja, primenjujemo frakciono kointegrisani vektorski autoregresivni model (FCVAR), u cilju analiziranja hipoteze o ocekivanjima u pogledu rocne strukture (EHTS), perzistentnosti spread-a Evro prekonocnog prosecnog indeksa (Eonia) i permanentno-tranzitornoj dekompoziciji primenom novog pristupa. Koristimo uzorak mesecne frekvencije za tromesecnu Euribor i Eonia stopu, pokrivajuci period od januara 1999. do februara 2019. godine. Dobijeni rezultati potvrđuju EHTS i upucuju na visoku perzistentnost spread-a, sto znaci da sokovi mogu ograniciti efikasnost monetarne politike i da Evropska centralna banka (ECB) gubi kontrolu nad kamatnim stopama. Pored toga, prema permanentno-tranzitornoj dekompoziciji, utvrđujemo da Eonia stopa ima permanentnu komponentu i na taj nacin dominira u zajednickom trendu kointegracionog sistema. Ukratko, ako ECB želi da drži kamatne stope međubankarskog tržista pod kontrolom, mora da razmotri razvoj Eonija stope. Kljucne reci: Eonia stopa, dugorocna memorija i frakciona kointegracija, Euribor stopa, perzistentnost kamatnih stopa, permanentno-tranzitorna dekompozicija.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":"67 1","pages":"225-240"},"PeriodicalIF":1.0,"publicationDate":"2020-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44121755","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":"Revealing asymmetric spillover effects in hazelnut, gasoline, and exchange rate markets in Turkey: The VECM-BEKK-MGARCH approach","authors":"E. Aşkan, Faruk Urak, A. Bilgiç","doi":"10.2298/pan190509005a","DOIUrl":"https://doi.org/10.2298/pan190509005a","url":null,"abstract":"The study used the VECM-BEKK-MGARCH method to model the volatility\u0000 transmission between the markets of gasoline, exchange rates, and the\u0000 hazelnut market for the period of 21.07.2005-20.3.2018. The suitability of\u0000 the VECM-BEKK-MGARCH method was confirmed by statistical testing. The\u0000 changes in hazelnut prices were not affected by the changes in the prices or\u0000 final values in the other two sectors (Granger causality). Moreover, the\u0000 Granger causality tests revealed that, while the change in the gasoline\u0000 market was not affected by the other two markets, the change in the exchange\u0000 rates market was affected by the other two markets. Furthermore, especially\u0000 the volatilities (long-term uncertainties) of the markets were affected by\u0000 both their own short- and long-term volatilities and other sectors? short-\u0000 and long-term volatilities. It was shown that the long-term swings in these\u0000 three markets were affected by the cross-interaction in the markets.\u0000 Additionally, as opposed to the case in the positive news, it was observed\u0000 that pieces of negative news about the markets affected the markets.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-03-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44281573","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":"Financial development, income inequality and governance institutions","authors":"Cristiano Perugini, I. Tekin","doi":"10.2298/pan191022004p","DOIUrl":"https://doi.org/10.2298/pan191022004p","url":null,"abstract":"The paper investigates empirically how governance institutions mediate the\u0000 link between financial development and inequality. To this aim, we assemble\u0000 a dataset of 48 middle- and high-income countries for the period 1996-2014.\u0000 Results, obtained by means of instrumental variables dynamic panel data\u0000 models, reveal that financial development is pro-inequality; however, the\u0000 strength of the relationship is attenuated in contexts with stricter control\u0000 of corruption, better regulatory quality, political stability and rule of\u0000 law. Institutional domains less directly related to the market economy -\u0000 political voice and accountability and government effectiveness - do not\u0000 play any mediating role.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-03-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47137831","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":"Are there irrational bubbles under the high residential housing prices in China’s major cities?","authors":"P. Arestis, Shenmin Zhang","doi":"10.2298/pan2001001a","DOIUrl":"https://doi.org/10.2298/pan2001001a","url":null,"abstract":"House prices in the main cities of China have been rising to historically high levels. Unsustainable growth of housing prices might cause financial crises and damage the whole economy. This research aims to detect whether bubbles dominate China’s real estate market. It begins by systematically analysing the features of China’s real estate sector, followed by proposing a theoretical framework to identify the fundamentals of house prices and decompose house prices into cyclical and bubble components. It then applies the vector error correction model and other econometric techniques to testify the theoretical framework with data of seven Chinese cities from 2008M01 to 2017M12. The main findings of this research include the following four parts. Firstly, the residential housing market of Shanghai was exposed to the irrational bubble issue, but the rest six cities examined were at safe positions. Secondly, both long-run and short-run relationships between economic fundamentals and house prices have been verified. Thirdly, economic regulations also have significant effects on house prices. Finally, this research suggests that the root cause of the high housing prices in major cities in China is due to the excessive capital injection into the residential property market. \u0000Key words: China, House prices, Housing bubbles, Political adjustment, Real estate market, Macroeconomics.JEL: G15, G21, R11, R21, R31. \u0000Postoje li neracionalni mehuri pod visokim cenama stambenog smestaja u vecim gradovima Kine? \u0000Cene kuca u glavnim gradovima Kine popele su se na istorijski visoke nivoe. Neodrživi rast cena stanova mogao bi izazvati finansijske krize i naneti stetu ekonomiji kao celini. Ovo istraživanje ima za cilj da utvrdi da li mehuri dominiraju kineskim tržistem nekretnina. Pocinjemo sistematskom analizom karakteristika kineskog sektora nekretnina, nakon cega predlažemo teorijski okvir za identifikaciju osnova cena kuca i dekompoziciju cena kuca na ciklicne komponente i mehure. Zatim primenjujemo model vektorske korekcije gresaka i druge ekonometrijske tehnike za proveru teorijskog okvira sa podacima o sedam kineskih gradova od 2008M01 do 2017M12. Glavni rezultati ovog istraživanja ukljucuju sledeca cetiri dela. Prvo, tržiste stambenih stanova u Sangaju bilo je izloženo problemu iracionalnih mehura, ali ostalih sest pregledanih gradova bilo je na sigurnim pozicijama. Drugo, provereni su i dugorocni i kratkorocni odnosi između ekonomskih osnova i cena kuca. Trece, ekonomski propisi takođe imaju znacajan uticaj na cene kuca. Konacno, ovo istraživanje sugerise da je glavni uzrok visokih cena stanova u vecim gradovima Kine rezultat prevelikog ulaganja kapitala na tržistu nekretnina. \u0000Kljucne reci: Kina, cene kuca, mehuri na tržistu nekretnina, politicko prilagođavanje, tržiste nekretnina, makroekonomija.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":"67 1","pages":"1-26"},"PeriodicalIF":1.0,"publicationDate":"2020-02-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46569083","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":"Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach","authors":"Le Nghi Dinh, Nguyen Kieu Minh","doi":"10.2298/pan170428003n","DOIUrl":"https://doi.org/10.2298/pan170428003n","url":null,"abstract":"Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":" ","pages":""},"PeriodicalIF":1.0,"publicationDate":"2020-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43749592","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":"Spread determinants in corporate bond pricing: The effect of market and liquidity risks","authors":"Menevşe Özdemir-Dilidüzgün, A. Altiok-Yilmaz, E. Akben-Selcuk","doi":"10.2298/pan171024002o","DOIUrl":"https://doi.org/10.2298/pan171024002o","url":null,"abstract":"This paper investigates the effect of market and liquidity risks on corporate bond pricing in Turkey, an emerging market, and in Europe. Results show that corporate bond returns have exposure to liquidity factors and not to market factors in both settings. Corporate bonds issued in Turkey have significant exposure to fluctuations in benchmark treasury bond liquidity and corporate bond market liquidity; while corporate bonds issued in Eurozone have exposure to equity market liquidity and are sensitive to fluctuations in a 10-year generic government bond liquidity. The total estimated liquidity risk premium is 0.7% per annum for Turkish “A” and above graded corporate bonds, and 1.08% for the last investment grade level (BBB-) long term bonds. For Eurozone, the total liquidity risk premium is 0.27% for investment grade 5-10 year term bonds, 1.05% for high-yield 1-5 year term bonds and 1.02% for high-yield 5-10 year term category. Key words: Corporate bond, Liquidity risk, Credit spread, Risk premium. JEL: G12, G13.","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":"1 1","pages":"2-2"},"PeriodicalIF":1.0,"publicationDate":"2020-01-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44983826","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":"Macroeconomic effects of unconventional balance sheet policies in the United States and The Euro area","authors":"Maciej Ryczkowski","doi":"10.2298/pan170910023r","DOIUrl":"https://doi.org/10.2298/pan170910023r","url":null,"abstract":"Post Great Recession vector autoregression analysis revealed that the reserves’ creation of the European Central Bank (ECB) until 2015 had an impact on the perceived credit risk that was either statistically insignificant or opposite to the expected one. The ECB’s unconventional measures returned the real GDP growth merely to an equilibrium of nil growth. In the United States, unconventional balance sheet policies of the Federal Reserve System (the Fed) significantly increased the real GDP by between 3.2% and 5.3% and reduced the initial rise of the perceived credit risk. We argue that the plausible reason for the discrepancy between the Fed and the ECB’s outcomes were the contrasting goals of both central banks. The major conclusion is that creation of money by the central bank may support the economy after a crisis, but it cannot deliver long-run prosperity. The positive effects of balance sheet policies were found to be short-lasting. Key words: Unconventional monetary policy, Quantitative easing, Transmission mechanism, Uncertainty and growth, Central bank’s money creation. JEL: E31, E40, E58","PeriodicalId":45222,"journal":{"name":"Panoeconomicus","volume":"1 1","pages":"23-23"},"PeriodicalIF":1.0,"publicationDate":"2020-01-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45741368","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}