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GARCH option pricing and implied FX volatility indices GARCH期权定价与隐含外汇波动率指数
Journal for Studies in Economics and Econometrics Pub Date : 2021-01-02 DOI: 10.1080/03796205.2021.1956170
Pierre J. Venter, E. Maré
{"title":"GARCH option pricing and implied FX volatility indices","authors":"Pierre J. Venter, E. Maré","doi":"10.1080/03796205.2021.1956170","DOIUrl":"https://doi.org/10.1080/03796205.2021.1956170","url":null,"abstract":"Abstract The focus of this paper is the foreign exchange (FX) variance risk premium and the modelling of FX volatility indices of both a developed (United States Dollar) and an emerging market (South African Rand). Regarding the methodology, the variance risk premium is estimated as the difference between realised variance and the variance obtained from the volatility index, and different univariate Generalised Autoregressive Conditional Heteroskedasticity (GARCH) models are considered for the modelling of the volatility index. Empirical results indicate that the variance risk premium is negative on average, this is consistent with previous findings in the literature. Furthermore, asymmetric GARCH models outperform the symmetric GARCH model when modelling FX implied volatility indices.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"45 1","pages":"42 - 52"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47934579","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 differential effects of oil price shocks on exchange rate, inflation, and monetary policy rate in Ghana 石油价格冲击对加纳汇率、通货膨胀和货币政策利率的差异影响
Journal for Studies in Economics and Econometrics Pub Date : 2021-01-02 DOI: 10.1080/03796205.2021.1956168
Mikidadu Mohammed
{"title":"The differential effects of oil price shocks on exchange rate, inflation, and monetary policy rate in Ghana","authors":"Mikidadu Mohammed","doi":"10.1080/03796205.2021.1956168","DOIUrl":"https://doi.org/10.1080/03796205.2021.1956168","url":null,"abstract":"Abstract This paper investigates the differential effects of oil price shocks on exchange rate, inflation, and monetary policy rate in Ghana. The paper also introduces the trade weighted U.S. dollar-major currencies index as another measure for identifying the speculative component of the real price of oil. To execute its objective, the paper employed a two-step estimation technique and monthly data from 1973 to 2018. The two-step method involves structural VAR in the first step and OLS regressions in the second step. Full sample estimation results indicate that oil price shocks are inconsequential to exchange rate, inflation, and monetary policy rate in Ghana. Furthermore, when the sample is split into two sub-periods, the study did not find the fact that Ghana switching from a net oil-importer to a net oil-exporter have any deferential effect. Taken together, the findings suggest that even in emerging and developing countries, a fading relationship between oil price shocks and macroeconomic indicators could exist.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"40 1","pages":"23 - 41"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"41299277","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: 2
The corporate income tax gap in South Africa: a top-down approach 南非企业所得税差距:自上而下的方法
Journal for Studies in Economics and Econometrics Pub Date : 2021-01-02 DOI: 10.1080/03796205.2021.1956167
A. Jansen, W. Steyn, Winile Ngobeni, Alexius Sithole
{"title":"The corporate income tax gap in South Africa: a top-down approach","authors":"A. Jansen, W. Steyn, Winile Ngobeni, Alexius Sithole","doi":"10.1080/03796205.2021.1956167","DOIUrl":"https://doi.org/10.1080/03796205.2021.1956167","url":null,"abstract":"Abstract A key objective of many governments is to improve tax revenue mobilization. One way to achieve this is by improving tax compliance. This requires accurate knowledge of the tax gap, i.e., the difference between what should be paid and what is actually paid. Tax gaps have been primarily estimated in developed countries, and very little is known about tax gaps in developing countries. Information about these gaps can help policy makers develop appropriate revenue mobilization strategies. This paper uses a top-down approach to estimate the tax gap in corporate income tax in South Africa. It uses national accounts statistics and tax administrative data to estimate the gap in the non-financial corporate sector, i.e., the difference between potential and actual corporate income tax under current tax legislation. The overall gap is estimated at 39 per cent of the potential tax liability or 2 per cent of GDP over the period 2015 to 2017.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"45 1","pages":"53 - 69"},"PeriodicalIF":0.0,"publicationDate":"2021-01-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46805262","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: 6
COMMODITY PRICE SHOCKS AND FINANCIAL SECTOR STABILITY IN COMMODITY DEPENDENT COUNTRIES IN SOUTHERN AFRICA 南部非洲依赖商品国家的商品价格冲击和金融部门稳定
Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI: 10.1080/03796205.2020.1919427
N. Mupunga, T. Ngundu
{"title":"COMMODITY PRICE SHOCKS AND FINANCIAL SECTOR STABILITY IN COMMODITY DEPENDENT COUNTRIES IN SOUTHERN AFRICA","authors":"N. Mupunga, T. Ngundu","doi":"10.1080/03796205.2020.1919427","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919427","url":null,"abstract":"Abstract This paper examines the impact of negative commodity price shocks on financial sector stability in selected Southern African countries, namely Angola, Botswana, Mozambique, Namibia, Tanzania, Zambia and Zimbabwe. Using multivariate panel data regression analysis, with fixed effects from 2000 to 2015, the study shows that commodity price downturns result in increased non-performing loans and reduced bank profitability. Specifically, negative commodity price shocks reduce profitability as measured by the return on assets and return on equity. In addition, the study shows that there is an adverse impact on financial sector conditions, using a financial condition index as a proxy. The index was derived from a combination of measures of non-performing loans, return on assets and regulatory capital adequacy ratios, using a three variable dynamic factor model. The main transmission mechanisms through which commodity prices shocks affect financial stability are GDP growth, fiscal revenue, savings and the size of the fiscal deficit.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"109 - 137"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919427","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"43805348","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: 4
WEAK LINKS AMONG RISK, RETURN AND VOLUME IN TIME AND FREQUENCY DOMAINS 时间域和频率域中风险、回报和交易量之间的薄弱环节
Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI: 10.1080/03796205.2020.1919421
H. Dong, X. Guo
{"title":"WEAK LINKS AMONG RISK, RETURN AND VOLUME IN TIME AND FREQUENCY DOMAINS","authors":"H. Dong, X. Guo","doi":"10.1080/03796205.2020.1919421","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919421","url":null,"abstract":"Abstract The classical portfolio theory suggests that higher returns of an asset are justified by the higher risk it carries, supported by multi-factor cross-sectional regressions. By investigating the time series and frequency transformation of the Russell 3000 constituents, this study shows that there are weak links between risk and return, as well as trade volume and return. Only 19,02% (13,45%) constituents have significantly positive (negative) risk and return relationships. In addition, only 7,66% (12,77%) of the returns are positively (negatively) related to trade volume. We use the cross-wavelet power spectrums to provide additional evidence on the weak links. The conclusions from cross-sectional analysis might lead to the asset misallocation in a time series setting.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"21 - 40"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919421","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45201911","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 INTERDEPENDENCE BETWEEN CRUDE OIL PRICES AND FOREIGN EXCHANGE MARKET IN NIGERIA 尼日利亚原油价格与外汇市场的动态相互依存关系
Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI: 10.1080/03796205.2020.1919418
K. Emenike
{"title":"DYNAMIC INTERDEPENDENCE BETWEEN CRUDE OIL PRICES AND FOREIGN EXCHANGE MARKET IN NIGERIA","authors":"K. Emenike","doi":"10.1080/03796205.2020.1919418","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919418","url":null,"abstract":"Abstract Modelling volatility interdependence between crude oil and foreign exchange markets returns provides useful insights into how information is transmitted from the crude oil market to the foreign exchange market and vice versa. This paper evaluates dynamic interdependence between crude oil and foreign exchange markets by applying Baba, Engle, Kraft and Kroner (1990) (BEKK) specifications to crude oil prices and Naira/USD exchange rates. Estimates from the BEKK-GARCH (1,1) model indicate evidence of unidirectional shock and volatility transmission from crude oil market to foreign exchange market in Nigeria. Evidence of unidirectional volatility transmission provides support for partial interdependence between the markets in Nigeria. This finding has important implications for financial risk management, foreign exchange market regulation and crude oil revenue management policy.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"1 - 20"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919418","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45350531","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: 1
IDENTIFYING THE DRIVERS OF TRADE FINANCE IN SOUTH AFRICA 确定南非贸易融资的驱动因素
Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI: 10.1080/03796205.2020.1919428
S. Boshoff, G. V. Van Vuuren, W. Viviers
{"title":"IDENTIFYING THE DRIVERS OF TRADE FINANCE IN SOUTH AFRICA","authors":"S. Boshoff, G. V. Van Vuuren, W. Viviers","doi":"10.1080/03796205.2020.1919428","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919428","url":null,"abstract":"Abstract Trade finance (or bank intermediated trade finance) plays an integral role in facilitating trade across the globe: most studies assert that trade finance (TF) forms part of more than 80% of total global trade. Although TF has increased in importance for policy makers after the financial crises of 2008, most studies conducted over the last decade (2009 onward) focussed on the supply side of TF and how its reduction has hampered trade. By applying a robust least squares maximum likelihood estimation technique, and using bi-squares and median absolute deviation-centred (MADMED) scaling, this study investigates the international and domestic variables driving demand for TF for several listed South African companies. This study identified 12 instances of individually significant relationships between certain industries and the independent variable (both domestic and international financial and economic variables). It also found significant regression results for the retail industry at first differences and identified that macro-economic and financial variables (such as the US gross domestic product and the rand-British pound exchange rate) influenced the demand for retail TF. The sole significant domestic variable was South African bank asset-to-capital ratios, showing that both financial and economic factors are relevant in identifying TF demand drivers of South African companies.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"139 - 162"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919428","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48567741","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
ANALYSIS OF THE DEPENDENCE STRUCTURE BETWEEN MINERALS PRICES AND THE RAND/USD EXCHANGE RATE USING COPULAS 用copula分析矿产价格与兰特/美元汇率的依赖结构
Journal for Studies in Economics and Econometrics Pub Date : 2020-12-14 DOI: 10.1080/03796205.2020.1919425
K. Malandala, J. Olaomi
{"title":"ANALYSIS OF THE DEPENDENCE STRUCTURE BETWEEN MINERALS PRICES AND THE RAND/USD EXCHANGE RATE USING COPULAS","authors":"K. Malandala, J. Olaomi","doi":"10.1080/03796205.2020.1919425","DOIUrl":"https://doi.org/10.1080/03796205.2020.1919425","url":null,"abstract":"Abstract Copula functions are flexible tools for modelling the dependence structure between variables. In this research, we extend the literature on currency-commodity relationship using copulas. We examine the dependence structure between gold, platinum mineral prices and RAND/USD exchange rate. ARMA (1, 1)-EGARCH (1, 1) and ARMA(1, 1)-APARCH (1, 1) models under different error terms including normal, student-t and skewed student-t were fitted to the returns of commodity prices and the exchange rate. Constants and time varying copulas were then employed to examine the commodity-currency dependence structure. The results show evidence of a positive, strong dependence between gold, platinum prices and the RAND/USD exchange rate. The analysis relies on Clayton, rotated Clayton, Student-t, Gumbel, rotated Gumbel, Plackett and Joe Clayton copulas and provide an indication of leverage effects. The results of the time varying Normal copula indicate that fluctuations in gold and platinum prices generate Rand/USD volatility.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"73 - 107"},"PeriodicalIF":0.0,"publicationDate":"2020-12-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/03796205.2020.1919425","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45048282","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
Income Concentration and Economic Growth in the Neoliberal Period (1980-2014) 新自由主义时期的收入集中与经济增长(1980-2014)
Journal for Studies in Economics and Econometrics Pub Date : 2020-08-01 DOI: 10.1080/10800379.2020.12097364
J. Vaca
{"title":"Income Concentration and Economic Growth in the Neoliberal Period (1980-2014)","authors":"J. Vaca","doi":"10.1080/10800379.2020.12097364","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097364","url":null,"abstract":"Fiscal reforms, which were the result of neoliberal economic policies, have led many countries to higher levels of inequality since the 1980s. This paper shows that the impact of income concentration on economic growth is both positive and negative, depending on the degree of accumulation. A positive relationship is observed when the concentration is moderate, but, when it becomes extreme, its impact turns negative. This trend is reflected in an inverted U-shaped curve. Using a GMM model, for a sample of 31 countries, it is found that the curve undergoes a change of direction when the 99th percentile accounts for approximately 24-26% of the total national income (this turning point is lower for OECD countries [14%] than for non-OECD countries [28%]). Also, the slopes suggest that the negative effects are much greater (about twice) than the positive ones.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"109 - 132"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097364","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"45837929","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: 1
Using Dynamic Panel Data Modeling to Study Net FDI Inflows in MENA Countries 利用动态面板数据模型研究中东和北非国家的外国直接投资净流入
Journal for Studies in Economics and Econometrics Pub Date : 2020-08-01 DOI: 10.1080/10800379.2020.12097360
M. Abonazel, O. A. Shalaby
{"title":"Using Dynamic Panel Data Modeling to Study Net FDI Inflows in MENA Countries","authors":"M. Abonazel, O. A. Shalaby","doi":"10.1080/10800379.2020.12097360","DOIUrl":"https://doi.org/10.1080/10800379.2020.12097360","url":null,"abstract":"Foreign direct investment (FDI) plays a critical role in providing financial capital needs, technology transfer, and creating more jobs in the host country. It also helps economies to increase competitiveness and productivity, thereby increasing exports and enhancing opportunities for growth and development. Middle East and North Africa (MENA) countries are in desperate need of more FDI inflows to resolve their economic problems. This paper investigates the determinants of net FDI inflows to 23 countries in MENA region during the period from 1995 to 2017 by using static and dynamic panel data analysis. The results indicate that macro determinants, such as gross domestic product (GDP) growth rate, openness, the inflation rate, and public expenditure have a significant impact on net FDI inflows. In addition, we observe that rents from natural resource (oil), exchange rate, and total reserves of foreign exchange and monetary gold do not significantly influence FDI.","PeriodicalId":55873,"journal":{"name":"Journal for Studies in Economics and Econometrics","volume":"44 1","pages":"1 - 28"},"PeriodicalIF":0.0,"publicationDate":"2020-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1080/10800379.2020.12097360","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47087371","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: 10
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