-
On the long-run properties of income and stock prices: the stability of the “golden ratios” Journal of Financial Economic Policy Pub Date : 2024-02-13 James Dean, Joshua C. Hall
Purpose The challenge of predicting changes in aggregate income and stock prices is one that has occupied the research agendas of economists. This paper aims to use the consumption–income ratio and the dividend–price ratio to predict future income and stock prices. Design/methodology/approach To examine the stability of the consumption–income ratio and the dividend–price ratio, the authors run a two-variable
-
Disclosure-based regulation and municipal security trade prices Journal of Financial Economic Policy Pub Date : 2024-01-25 Komla D. Dzigbede
Purpose This paper aims to measure the trade price impact of a recent regulatory disclosure intervention in municipal securities secondary markets, which required broker-dealers to disclose securities trading information on a near-real-time and continuing basis. Design/methodology/approach The author analyzes trade price outcomes in the preintervention and postintervention regimes using a suite of
-
Does internal cash flow-external financing sensitivity react to economic policy uncertainty and geopolitical risk? Evidence from Saudi Arabia Journal of Financial Economic Policy Pub Date : 2024-01-19 Moncef Guizani
Purpose This study aims to investigate the influence of economic policy uncertainty (EPU) and geopolitical risk (GPR) on the relationship between internal cash flow and external financing in an emerging market, Saudi Arabia. It also examines the role of asset tangibility and financial crisis in establishing this relationship. Design/methodology/approach The sample was taken from non-financial sector
-
Prepaid cards and the unbanked in the U.S.: financial innovations and financial inclusion Journal of Financial Economic Policy Pub Date : 2024-01-05 Kumuditha Hikkaduwa Epa Liyanage, Valentina Hartarska, Denis Nadolnyak
Purpose Financial inclusion is measured by the number of people who use the formal financial system and banks in particular. Limited access to formal banking services and the existence of unbanked households is a main policy concern. The authors evaluate how the use of prepaid (reloadable) debit cards by unbanked households affects financial inclusion and specifically the potential for these households
-
Identifying the nexus between financial stability and economic growth: the role of stability indicators Journal of Financial Economic Policy Pub Date : 2024-01-10 Betul Kurtoglu, Dilek Durusu-Ciftci
Purpose This study aims to examine the interrelationship between financial stability and economic growth with a comprehensive analysis. Design/methodology/approach The panel Granger causality testing approach is carried out to the panels of the Fragile Five (F5) and the Group of Seven (G7) countries for the period 1998–2020. To capture the different aspects of financial stability the authors use eight
-
Economic and governance drivers of global remittances: a comparative study of the UK, US, and UAE to India Journal of Financial Economic Policy Pub Date : 2024-01-05 Imran Khan
Purpose The paper aims to analyse the impact of economic and governance factors on remittance inflows to India from the UK, USA and UAE. India is globally recognised as the largest recipient of remittances. Design/methodology/approach Using a comprehensive time series data set spanning 1996 to 2022, the authors use an innovative non-linear autoregressive distributed lag model approach to examine the
-
Socioeconomic determinants of ownership of payment cards, mobile money account, and government remittances of digital financial services: evidence from India Journal of Financial Economic Policy Pub Date : 2023-12-26 Prabhakar Nandru, Madhavaiah Chendragiri, Velayutham Arulmurugan
Purpose This paper aims to measure the extent of digital financial inclusion (DFI) and examine the effect of socioeconomic characteristics on using government remittances and the adoption of digital financial services (DFS) during the COVID-19 pandemic. Design/methodology/approach The World Bank Global Financial Inclusion (Global Findex) database 2021 is used in this study, with a sample size of 3
-
The 2016 US presidential election, opinion polls and the stock market Journal of Financial Economic Policy Pub Date : 2023-12-11 Kamal Upadhyaya, Raja Nag, Demissew Ejara
Purpose The purpose of this paper is to study the impact of the 2016 presidential election polls on the stock market. Design/methodology/approach The empirical model includes daily stock returns as the dependent variable and past asset prices, 10-year treasury rates, opinion polls and VIX (market uncertainty) as explanatory variables with a one-year lag. The model was estimated using two sets of daily
-
Effect of financial stability on new business establishments in Africa: does ease of doing business matter? Journal of Financial Economic Policy Pub Date : 2023-11-29 Evans Kulu, Joshua Sebu, Bismark Osei
Purpose Given the relevance of entrepreneurship in nation-building, studies geared towards the promotion of new businesses are crucial. This study aims to contribute to the finance and entrepreneurship literature by providing empirical evidence on the role ease of doing business plays in promoting new business establishments amidst financial stability. Design/methodology/approach The study used the
-
Multi-faceted US uncertainty connectedness with domestic and global geopolitical risk Journal of Financial Economic Policy Pub Date : 2023-11-28 Nikolaos A. Kyriazis, Emmanouil M.L. Economou
Purpose This paper aims to explore the spillover impacts that domestic or global aspects of geopolitical risk generate on uncertainty. The latter is derived from a spectrum of different sources in the USA (economic policy, monetary policy, fiscal policy, national security, government spending, taxation) from 1985 up to November 2022. Design/methodology/approach Vector autoregressive schemes are used
-
Examining small bank failures in the United States: an analysis using (coarsened exact matching) CEM Journal of Financial Economic Policy Pub Date : 2023-11-20 Richard J. Cebula, Maggie Foley, John Downs, Douglas Johansen
Purpose Bank failures are critical events that have far-reaching implications for the financial system and various stakeholders. This study aims to focus on analyzing the phenomenon of small bank failures in the USA. Design/methodology/approach This study adopts the coarsened exact matching (CEM) technique to enhance the reliability of the analysis. By matching similar observed characteristics, the
-
Bank competition and business formation in the U.S. Midwest Journal of Financial Economic Policy Pub Date : 2023-11-17 Oudom Hean, Parker Jabas
Purpose In the wake of rapid banking consolidations in the USA, concerns have arisen about the accessibility of capital and financial services for new businesses. With fewer and more centralized banking options, the likelihood of these entities securing financing may be compromised. This study aims to explore the repercussions of this consolidation on entrepreneurial activities in the U.S. Midwest
-
Financial inclusion and market-based performance: empirical evidence from Syrian banks Journal of Financial Economic Policy Pub Date : 2023-11-14 Masah Alomari, Ibrahim Aladi
Purpose Financial inclusion is considered one of the strategic tools for sustainable development and one of the types of corporate social responsibility disclosures. This study aims to focus on the association between the disclosure of financial inclusion activities and Syrian banking companies’ performance. Design/methodology/approach Different regression models were suggested to examine the hypotheses
-
Fiscal space, governance quality and inclusive growth: evidence from Africa Journal of Financial Economic Policy Pub Date : 2023-11-14 Blessing Katuka, Calvin Mudzingiri, Peterson K. Ozili
Purpose This study aims to examine the impact of fiscal space and governance quality on inclusive growth in African countries. Design/methodology/approach In total, 28 African countries were analyzed from 2000 to 2020 using the generalized method of moment regression method. An inclusive growth index was developed using the principal component analysis (PCA) method. The PCA-derived index incorporates
-
Revisiting the financial development and economic growth nexus: empirical evidence from SAARC countries Journal of Financial Economic Policy Pub Date : 2023-10-31 Muzffar Hussain Dar, Md Zulquar Nain
Purpose This study aims to examine the effect of economic growth and the moderating impact of inflation on financial development (FD) for six South Asian Association of Regional Countries (SAARC)es during the period of 1990–2020. Besides, the inflation threshold level and FD index are also estimated. Design/methodology/approach This study uses several cross-sectional dependency tests, pooled mean group
-
Drivers of financial stability gap: evidence from sub-Saharan Africa Journal of Financial Economic Policy Pub Date : 2023-10-24 Evans Kulu, Bismark Osei
Purpose As an effort to support the quest for a stable financial sector, this study aims to determine the factors that contribute to the financial stability gap in sub-Saharan Africa (SSA). Design/methodology/approach The estimation techniques used include the fixed and random effect, system general methods of moments and dominance analysis. The data used is annual data for 33 SSA countries, covering
-
Short- and long-term impacts of merger activities in the banking industry: evidence from an emerging market Journal of Financial Economic Policy Pub Date : 2023-10-19 Mohammad Alsharif
Purpose This study aims to examine in depth the impact of merger activities on banks in Saudi Arabia. Design/methodology/approach Event study, financial ratio and efficient frontier analyses with a mixture of parametric and non-parametric tests are used for the sample period 2016Q1–2022Q4. Findings Event study analysis shows that merging banks (bidders) have higher positive cumulative abnormal returns
-
Exploring the nonlinear effect of shadow economies on sustainable development in Africa: does the level of financial market development matter? Journal of Financial Economic Policy Pub Date : 2023-10-16 Baah Aye Kusi
Purpose This study aims to examine the nonlinear threshold effect of shadow economy on sustainable development in Africa while providing additional evidence on how this nonlinear threshold effect play out in economies with high and low developed financial/credit markets. Design/methodology/approach This study uses 37 African economies between 2009 and 2017 in a dynamic GMM panel model that controls
-
Regulatory policy uncertainty, banking industry innovations and financial development among emerging markets Journal of Financial Economic Policy Pub Date : 2023-10-03 Rexford Abaidoo, Elvis Kwame Agyapong
Purpose This study examines the extent to which regulatory policy uncertainty, macroeconomic risk, banking industry innovations, etc. influence variability in financial sector development among emerging economies in sub-Sahara Africa (SSA). Design/methodology/approach Data for the empirical inquiry were compiled from a sample of 25 economies from the subregion from 2010 to 2020. Empirical estimates
-
Can insurance ensure economic growth in an emerging economy? Fresh evidence from a non-linear ARDL approach Journal of Financial Economic Policy Pub Date : 2023-10-03 Quang Thien Tran, Nhan Huynh
Purpose This study aims to explore the nexus between insurance penetration and economic development in Vietnam, one of the fastest-growing economies over the past two decades. Design/methodology/approach This study uses an updated data set of the insurance sector in Vietnam from 1996 to 2020. The autoregressive lagging distribution and cointegrating non-linear autoregressive lagging distribution (NARDL)
-
Can diversification be improved by using cryptocurrencies? Evidence from Indian equity market Journal of Financial Economic Policy Pub Date : 2023-09-27 Susovon Jana, Tarak Nath Sahu
Purpose This study aims to investigate the possibilities of cryptocurrencies as hedges and diversifiers in the Indian stock market before and during financial crisis due to the pandemic and the Russia–Ukraine war. Design/methodology/approach Researchers have used daily data on cryptocurrencies and Indian stock prices from March 10, 2015 to August 26, 2022. The researchers have used the dynamic conditional
-
Financial inclusion: a catalyst for financial system development in emerging and frontier markets Journal of Financial Economic Policy Pub Date : 2023-09-27 Josephine Ofosu-Mensah Ababio, Eric B. Yiadom, Emmanuel Sarpong-Kumankoma, Isaac Boadi
Purpose This study aims to examine the relationship between financial inclusion and financial system development in emerging and frontier markets. Design/methodology/approach Using data across 35 countries over 19 years (2004–2022), the improved GMM estimation technique reveals that financial inclusion significantly contributes to the development of financial systems. Findings The study uses a segmented
-
Does capital flight tone down economic growth? Evidence from emerging Asia Journal of Financial Economic Policy Pub Date : 2023-08-29 Shahanara Basher, Abdullahil Mamun, Harun Bal, Nazamul Hoque, Mahi Uddin
Purpose This study aims to offer an up-to-date estimate of capital flight from selected emerging Asian economies and examine the anti-growth phenomenon of capital flight by using annual data for the period 1981–2019. Design/methodology/approach The study relies on residual methods to derive the estimate of capital flight with necessary adjustments. It then applies the autoregressive distributed lag
-
Does financial inclusion promote sustainable livelihood development? Mediating effect of microentrepreneurship Journal of Financial Economic Policy Pub Date : 2023-08-28 Jogeswar Mahato, Manish Kumar Jha
Purpose This study aims to investigate the impact of financial inclusion in promoting sustainable livelihood among indigenous women entrepreneurs. Moreover, the study has also examined the mediating role of microentrepreneurship between financial inclusion and sustainable livelihood. Design/methodology/approach Structure equation modeling has been used to analyze the mediating effect of microentrepreneurship
-
Effect of risk attitude on cryptocurrency adoption for compensation and spending Journal of Financial Economic Policy Pub Date : 2023-07-13 Uma Sridharan, Fady Mansour, Lydia Ray, Tobias Huning
Purpose This study aims to investigate the effect of risk tolerance on the individual choice of adopting Bitcoin in the form of making and receiving payment and receiving compensation. Design/methodology/approach The study uses data collected from an anonymous survey of 225 undergraduate and graduate students to measure their risk attitude using the general risk-taking propensity scale proposed by
-
Is financial technology a complement or substitute for domestic financial institutions in Ghana? Journal of Financial Economic Policy Pub Date : 2023-07-12 Kwadwo Antwi-Wiafe, Grace Nkansa Asante, Paul Owusu Takyi
Purpose This paper aims to examine whether financial technology is complementing the performance of domestic financial institutions or substituting their performance in Ghana. Design/methodology/approach The paper used data from the Bank of Ghana Payment System Statistics and Time Series Data of the Bank of Ghana from 2012 to 2021, by using autoregressive distributive lags estimation technique. Findings
-
Financialization and growth nexus in the EU new member states (NMS): an ARDL bounds testing approach and Granger causality analysis Journal of Financial Economic Policy Pub Date : 2023-07-10 Mehmed Ganic
Purpose This study aims to explore the short-run and long-run relationships and causality between economic growth and financialization in the new member states (NMS-11) and to provide some policy implications drawn from the empirical findings. Design/methodology/approach The autoregressive distributed lag (ARDL) bounds test approach to cointegration with the vector error correction model and the cumulative
-
Political economy of financial development: empirical evidence from Ethiopia Journal of Financial Economic Policy Pub Date : 2023-06-28 Amsalu Bedemo Beyene
Purpose The main purpose of this study is to examine the political economy of financial development in Ethiopia, specifically, to test the empirical relevance of the interest group theory of financial development in the context of Ethiopia. Design/methodology/approach The autoregressive distributive lag model to co-integration is applied to Ethiopia’s time series data from 1990 to 2020 to identify
-
Monetary policy and inflation targeting under global uncertainty: a SVAR approach for Tunisia Journal of Financial Economic Policy Pub Date : 2023-06-27 Emna Trabelsi, Asma Ben Khaled
Purpose The implementation of monetary policy by the central bank is an ongoing topic of discussion. This paper aims to explore monetary policy transmission shocks in times of uncertainty using the new World uncertainty index (WUI). The authors investigate the impact of crises, wars and pandemic shocks on selected macroeconomic variables. Design/methodology/approach The authors use unit root tests
-
FTX fiasco and global equity markets: evidence from event study approach Journal of Financial Economic Policy Pub Date : 2023-06-27 Priyanka Goyal, Pooja Soni
Purpose This study aims to investigate the impact of FTX bankruptcy on the global stock markets, including both the developed and emerging markets, as per the Morgan Stanley Capital Investment (MSCI) country classification. Design/methodology/approach Using the daily closing prices for leading stock market indices of all 47 countries in the MSCI market classification, comprising 23 developed markets
-
Environmental impacts of green bonds in cross-countries analysis: a moderating effect of institutional quality Journal of Financial Economic Policy Pub Date : 2023-05-19 Ngoc Minh Nguyen, Nguyen Hanh Luu, Anh Hoang, Mai Thi Ngoc Nguyen
Purpose This paper aims to investigate the impacts of green bond issuance on the environment while taking into account the moderating role of issuing countries’ institutional quality. Design/methodology/approach The analysis is based on a longitudinal data set covering 171 countries and territories during 2007–2018. The authors rigorously account for endogeneity issues using two-stage least squares
-
Do the macro and global economic factors drive the nonperforming loans in GCC economies? Journal of Financial Economic Policy Pub Date : 2023-05-11 Mukesh Kumar, Muna Ahmed Al-Romaihi, Bora Aktan
Purpose The current study aims to investigate the determinants of nonperforming loans (NPLs) in the GCC economies during the period spanning 2000 to 2018. It also examines whether the worldwide financial crisis of 2007–2008, which brought the issue of non–performing loans to the greater attention of academics and policymakers, had a substantial impact on NPLs in this region. Design/methodology/approach
-
The effect of different periods of unconventional monetary policies on Japanese financial markets Journal of Financial Economic Policy Pub Date : 2023-05-11 Wee-Yeap Lau, Tien-Ming Yip
Purpose This study aims to examine to what extent the Japanese financial markets are affected by the four periods of unconventional monetary policies (UMP) implemented by the Bank of Japan from 2013 to 2020. Design/methodology/approach Using the daily 10-year term spread as a proxy for monetary easing policy, this study uses four sub-sample periods from 2013 to 2020 to look into the effectiveness of
-
Global hidden factors predicting financial distress in Gulf Arab states: a quantile–time–frequency analysis Journal of Financial Economic Policy Pub Date : 2023-05-10 Nader Trabelsi
Purpose This study aims to uncover the main predictors of financial distress in the Gulf Cooperation Council (GCC) countries using a wide range of global factors and asset classes. Design/methodology/approach This study uses novel approaches that take into account extreme events as well as the nonlinear behavior of time series over various time intervals (i.e. short, medium and long term) and during
-
Presidential elections and stock return volatility: evidence from selected sub-Saharan African stock markets Journal of Financial Economic Policy Pub Date : 2023-05-05 Godwin Musah, Daniel Domeher, Abubakar Musah
Purpose This paper aims to investigate the effect of presidential elections on stock return volatility in five leading stock markets in sub-Saharan Africa. Design/methodology/approach This paper uses various criteria to select an appropriate generalized autoregressive conditional heteroscedasticity model to estimate the second moment of the return distribution with the inclusion of pre- and post-presidential
-
Financial inclusion and financial performance: evaluating the moderating effect of mandatory corporate social responsibility Journal of Financial Economic Policy Pub Date : 2023-04-18 Harish Kumar Bhatter, Biswajit Prasad Chhatoi
Purpose This study aims to examine the nexus among financial inclusion, legislative corporate social responsibility (CSR) and the financial performance of banking companies in India. Design/methodology/approach The study uses the fixed-effect model to measure the impact of financial inclusion on the financial performance of banks listed in the Bank Nifty Index from 2015 to 2022. Furthermore, it examines
-
Cross-country categorical economic policy uncertainty spillovers: evidence from a conditional connectedness TVP-VAR framework Journal of Financial Economic Policy Pub Date : 2023-02-28 Kingstone Nyakurukwa, Yudhvir Seetharam
Purpose This study aims to investigate the dynamic interconnectedness of economic policy uncertainty (EPU), fiscal policy uncertainty (FPU) and monetary policy uncertainty (MPU) in four nations, the USA, Japan, Greece and South Korea, between 1998 and 2021. Design/methodology/approach To comprehend the cross-category/cross-country evolution of uncertainty connectedness, the authors use the conditional
-
Connectedness among various financial markets classes under Covid-19 pandemic and 2022 Russo-Ukrainian war: evidence from TVP-VAR approach Journal of Financial Economic Policy Pub Date : 2023-02-02 Mourad Mroua, Hejer Bouattour
Purpose This paper examines the time-varying return connectedness between renewable energy, oil, precious metals, the Gulf Council Cooperation region and the United States stock markets during two successive crises: the pandemic Covid-19 and the 2022 Russo-Ukrainian war. The main objective is to investigate the effect of the Covid-19 pandemic and the Russo-Ukrainian war on the connectedness between
-
Examining small bank failures in the United States: an application of the random effects parametric survival model Journal of Financial Economic Policy Pub Date : 2023-01-31 Maggie Foley, Richard J. Cebula, John Downs, Xiaowei Liu
Purpose The purpose of the current study is to identify variables that, when integrated into the random effects parametric survival model, could be used to forecast the failure rate of small banks in the USA. A bank’s income production, efficiency and costs were taken into consideration when choosing the internal components. The breakout of the financial crisis, bank regulations that affect how the
-
On the cross-city growth drivers of the most vulnerable region of Brazil Journal of Financial Economic Policy Pub Date : 2023-01-27 Paulo Rogério Faustino Matos, Felipe Bastos, Hecirlane Martins, Leilyanne Viana
Purpose The purpose of this paper is discussing on cross-city empirical economic growth, by estimating an unbalanced dynamic panel for the most vulnerable region of Brazil. Design/methodology/approach The authors propose including additional and specific sources of cross-city variation, enabling them to capture the essence and reality of this region. The sample selection is given by the solution of
-
The regional economic impact of the 2020 COVID-19 recession in the USA Journal of Financial Economic Policy Pub Date : 2023-01-18 John E. Connaughton, Richard J. Cebula, Louis H. Amato
Purpose This paper to identify those states that suffered the largest job losses, largest GDP declines and the highest unemployment rates and those states whose employment levels, unemployment rates and GDP declines were smallest during the COVID-19 recession. In addition, this paper endeavors to provide at least preliminary insights into why some states faired so poorly, whereas other states suffered
-
COVID-19 related stringencies and financial market volatility: sectoral evidence from India Journal of Financial Economic Policy Pub Date : 2022-12-20 Pragati Priya, Chandan Sharma
Purpose This study aims to examine the impact of the stringency of COVID-19 protocols on the volatility of sectoral indices during the period 03:2020–05:2021. Specifically, this study investigates the role of economic disturbances on sectoral volatility by applying a range of conditional volatility techniques. Design/methodology/approach For this analysis, two approaches were adopted. The first approach
-
The macroeconomic impacts of the mobile money: empirical evidence from EVC plus in Somalia Journal of Financial Economic Policy Pub Date : 2022-10-31 Abdinur Ali Mohamed, Mohamed Ibrahim Nor
Purpose The purpose of this study was to examine the macroeconomic impact of mobile money in Somalia using quarterly data from 2010 to 2020. Design/methodology/approach This study applied the structural vector autoregressive approach to examine the response of the macroeconomic variables to the mobile money shocks. Findings The results show that mobile money increases consumer spending by reducing
-
Are quantitative easing effects transitory? Evidence from out-of-sample forecasts Journal of Financial Economic Policy Pub Date : 2022-10-05 Dimitris G. Kirikos
Purpose Advocates of quantitative easing (QE) policies have emphasized some evidence that structural models do not predict long-term asset yields as well as naive forecasts, implying that predictions of price reversals cannot be profitable and that QE effects are not transitory. The purpose of this study is to reconsider the out-of-sample forecasting performance of structural time series processes
-
Another look at banks as lenders of first resort: evidence from the COVID-19 crisis Journal of Financial Economic Policy Pub Date : 2022-08-18 Matthew Flynn, Yufei Wu
Purpose This study aims to provide a fresh look at banks as lenders in and extending past the COVID-19 crisis, with a particular focus on examining the results of recent work by Lei et al. (2020). Design/methodology/approach The authors’ replication, as well as the original paper, uses a fixed-effects model on panel data. The authors discuss issues regarding data sources as well as use an array of
-
The effect of Islamic finance on trade in insurance services in selected countries in the Middle East region Journal of Financial Economic Policy Pub Date : 2022-08-04 Alya Al-Fori, Azmat Gani
Purpose Islamic finance is becoming a core part of the financial services economy in the Middle East countries. There is a strong likelihood that Islamic finance is also driving the expansion of trade in insurance services. However, research on Islamic finance’s effect on trade in insurance services is scant. This study aims to fill this gap by investigating if Islamic finance has promoted trade in
-
Basic income: a 50-state economic impact analysis Journal of Financial Economic Policy Pub Date : 2022-05-12 G. Jason Jolley
Purpose This paper aims to estimate the economic impact of a basic income for each state in the USA. Design/methodology/approach Building on existing pilot studies of basic income in the USA, this paper presumes a $500 per month basic income for individuals earning less than $25,000 in annual income. Using impact analysis for planning (IMPLAN) input–output modeling software, estimated increase in gross
-
Labor shortages during the COVID-19 and labor supply based on minimizing effort to achieve a target utility level: confounding economic policies Journal of Financial Economic Policy Pub Date : 2022-05-09 Richard Cebula, Maggie Foley
Purpose The purpose of this analysis is to explain why labor shortages may have appeared during this pandemic. Interestingly, in this COVID-19 pandemic period, the labor supply shortage could very well become more easily explained than under the traditional portrayal of consumer economic behavior. The matter seemingly lends itself to provocative empirical inquiry. Design/methodology/approach From this
-
The linear and non-linear interactions between blockchain technology index and the stock market indices: a case study of the UAE banking sector Journal of Financial Economic Policy Pub Date : 2022-04-25 Anwar Hasan Abdullah Othman, Mohamed Alshami, Adam Abdullah
Purpose This paper aims to investigate the linear and nonlinear interactions between the blockchain technology index and the UAE stock market index within the context of the Abu Dhabi and Dubai banking sector. Design/methodology/approach In this study, linear analysis was performed using the generalized autoregressive conditional heteroscedasticity model (GARCH) (1,1) model, whereas nonlinear analysis
-
Revisiting financial inclusion-stability nexus: cross-country heterogeneity Journal of Financial Economic Policy Pub Date : 2022-04-05 Mallika Saha, Kumar Debasis Dutta
Purpose This paper aims to investigate the debated nexus of financial inclusion (FI) and financial stability (FS) in a comprehensive way, with several indicators of FI, considering nonlinearity and cross-country heterogeneity. Design/methodology/approach The authors introduce several indexes for FI by applying principal component analysis (PCA) and explore their impact on stability for a sample of
-
Energy prices and the macroeconomy: new evidence from Hodrick–Prescott and Hamilton filters Journal of Financial Economic Policy Pub Date : 2022-04-04 Puneet Vatsa, Frank G. Mixon
Purpose This paper aims to investigate the cyclical associations among energy prices and key macroeconomic variables for the USA. Design/methodology/approach To this end, the recently developed Hamilton filter (HF) and the oft-used Hodrick–Prescott filter (HPF) are used. The two methods produce starkly different results regarding the relationships between energy prices on the one hand and output and
-
Effects of financial development on mortgage development in Africa: an application of GMM dynamic pooled estimator Journal of Financial Economic Policy Pub Date : 2022-03-14 Yakubu Awudu Sare, Ezekiel Davies, Joseph Dery Nyeadi
Purpose This study purposely re‐examine the mortgage–finance nexus in Africa. Design/methodology/approach This study adopted a panel data set spanning over the period 1995–2017 by using system generalized method of moments (GMM) dynamic pooled estimator developed by Arellano and Bond (1991) and Arellano and Bover (1995) involving 51 African countries. Findings The findings discovered that financial
-
Yield curve reactions to fiscal sentiment in Brazil Journal of Financial Economic Policy Pub Date : 2022-03-08 Gabriel Caldas Montes, Vítor Manuel Araújo da Fonseca
Purpose Using a fiscal sentiment indicator, this study aims to verify whether fiscal sentiment affects the yield curve in Brazil. Since policymakers highlight the coordination between monetary and fiscal policies and the importance of fiscal policy to the expectations formation process in inflation targeting regimes, the authors also explore the transmission mechanism through inflation expectations
-
Interdependence of economic policy uncertainty and business cycles in selected emerging market economies Journal of Financial Economic Policy Pub Date : 2022-01-24 Abigail Naa Korkor Adjei, George Tweneboah, Peterson Owusu Junior
Purpose The purpose of this paper is to investigate the interdependence between economic policy uncertainty (EPU) and business cycles within and among six emerging market economies (EMEs) from January 1999 to December 2018. Design/methodology/approach This study adopts the wavelet multiple correlations and wavelet multiple cross-correlation (WMCC) based on the maximal overlap discrete transform estimator
-
Is stock market in Sub-Saharan Africa resilient to health shocks? Journal of Financial Economic Policy Pub Date : 2021-12-17 Terver Kumeka, Patricia Ajayi, Oluwatosin Adeniyi
Purpose This paper aims to examine the impact of health and other exogenous shocks on stock markets in Africa. Particularly, the authors examined the resilience of the major stock markets in 12 African economies during the recent global pandemic. Design/methodology/approach This paper uses the recent panel vector autoregressive model, which enables us to capture the response of stock markets to shocks
-
On extreme value theory in the presence of technical trend: pre and post Covid-19 analysis of cryptocurrency markets Journal of Financial Economic Policy Pub Date : 2021-12-14 Saji Thazhungal Govindan Nair
Purpose Research on price extremes and overreactions as potential violations of market efficiency has a long tradition in investment literature. Arguably, very few studies to date have addressed this issue in cryptocurrencies trading. The purpose of this paper is to consider the extreme value modelling for forecasting COVID-19 effects on cryptocoin markets. Additionally, this paper examines the importance
-
Doing Business and capital flight: role of financial development Journal of Financial Economic Policy Pub Date : 2021-10-24 John Kwaku Mensah Mawutor, Freeman Christian Gborse, Ernest Sogah, Barbara Deladem Mensah
Purpose The purpose of this paper is to investigate the effect of financial development on the Doing Business and capital flight contagion. And further, this study determines the threshold beyond which financial development reduces capital flight. Design/methodology/approach A two-step system generalized methods of moment empirical model with linear interaction between Doing Business and financial
-
The GDP, the US treasury yield and the federal funds rate: who follows whom, when and why? Journal of Financial Economic Policy Pub Date : 2021-10-13 Knut Lehre Seip, Dan Zhang
Purpose This study aims to address the fundamental question on how the major players in the economy dynamically interact with each other: among the central bank, the investors in the bond market and the firms and consumers that contribute to the economic growth, who gets information from whom, when and why? Design/methodology/approach To answer “who follows whom,” the authors apply a novel technique
-
The validity of the irrelevant theory in Middle East and North African markets: conventional banks versus Islamic banks Journal of Financial Economic Policy Pub Date : 2021-10-11 Akram Ramadan Budagaga
Purpose The purpose of this paper is to test the validity of irrelevant theory empirically by exploring the relationship between cash dividends, profitability, leverage and investment policy with the value of banking institutions in the Middle East and North Africa (MENA) markets. Design/methodology/approach The paper adopts Ohlson’s (1995) valuation model. The author estimates models by using static
-
New developments in financial economics Journal of Financial Economic Policy Pub Date : 2021-08-18 Thomas D. Willett
Purpose This study aims to critically review recent contributions to the methodology of financial economics and discuss how they relate to one another and directions for further research. Design/methodology/approach A critical review of recent literature on new methodologies for financial economics. Findings Recent books have made important contributions to the study of financial economics. They suggest