Influence of the global environment on capital flows in the London Office market

PurposeThe London office market is a major destination of international real estate capital and arguably the epicentre of international real estate investment over the past decade. However, the increase in global uncertainties in recent years due to socio-economic and political trends highlights the need for more insights into the behaviour of international real estate capital flows. The purpose of this study is to evaluate the influence of the global and domestic environment on international real estate investment activities within the London office market over the period 2007–2017.Design/methodology/approachThis study adopts an auto-regressive distributed lag approach using the real capital analytics (RCA) international real estate investment data. The RCA data analyses quarterly cross-border investment transactions within the central London office market for the period 2007–2017.FindingsThe study provides insights on the critical differences in the influence of the domestic and global environment on cross-border investment activities in this office market, specifically highlighting the significance of the influence of the global environment in the long run. In the short run, the influence of factors reflective of both the domestic and international environment are important indicating that international capital flows into the London office market is contextualised by the interaction of different factors.Originality/valueThe authors provide a holistic study of the influence of both the domestic and international environment on cross-border investment activities in the London office market, providing more insights on the behaviour of global real estate capital flows.

How did advanced emerging stock markets respond to COVID-19 and the Ukraine invasion?

Orientation: The global economy and stock markets have been severely affected by two recent events, namely, the COVID-19 pandemic and the Russian invasion of Ukraine. Research purpose: This study aims to establish whether these two events had the same impact on the stock markets of the group of 11 advanced emerging markets and whether individual countries were affected to the same extent by these two events. Motivation for the study: During periods of instability and uncertainty, emerging markets are usually more vulnerable compared to developed markets. Previous studies have confirmed the presence of herd behaviour relating to emerging markets. Research approach/design and method: This empirical study used an event study approach to compare the stock market performance for the 30 days before the events with the 30 days after the events. The performance of the countries is further analysed and ranked to determine whether countries were affected similarly by the two events. Main findings: The COVID-19 pandemic had a much more severe initial impact on the stock markets of the advanced emerging markets compared to the invasion of Ukraine. Regional and country-specific factors were more relevant for the Ukraine invasion, with Eastern European countries more severely affected. There is no indication of herd behaviour by investors. Practical/managerial implications: Investors seemingly did consider country-specific factors and did not treat stock markets in this group in the same way. There is therefore scope for emerging market countries to benefit from sound fundamentals. Contribution/value-add: The specific focus on emerging markets as a homogeneous group is a novel contribution.

The Link between Bitcoin Price Changes and the Exchange Rates in European Countries with Non-Euro Currencies

This paper contributes to the literature dedicated to the interlinkages between cryptocurrencies and currencies by investigating whether Bitcoin price movements affect the exchange rates of a sample of nine European countries with non-euro currencies. By resorting to the novel unconditional quantile regression, we show that there is a statistically significant link between Bitcoin price movements and changes in nominal exchange rates. In normal market conditions, an increase in the price of Bitcoin can be associated with an appreciation of the currencies from our sample, while during the COVID-19 pandemic, the relationship inversed. In addition, we find heterogeneities in this relationship, depending on the level of change in the nominal exchange rate. The results emphasize the relevance of Bitcoin price movements to the conduct of monetary policy through the exchange rate channel and that investors in cryptocurrencies and various financial assets denominated in the currencies from our sample can benefit from diversification by including both types of assets in their portfolios.

On the safe-haven and hedging properties of Bitcoin: new evidence from COVID-19 pandemic

PurposeThis study aims to investigate the safe-haven and hedging properties of Bitcoin against a wide variety of conventional assets before and during the coronavirus disease 2019 (COVID-19) pandemic.Design/methodology/approachThis paper uses a smooth transition regression (STR) to jointly test the hedging properties of Bitcoin in normal conditions and Bitcoin's safe-haven properties in extreme stock market conditions.FindingsHighlighting the results, the authors show that Bitcoin is able to provide safe-haven feature during the COVID-19 pandemic period while Bitcoin serves as a hedge tool in the pre-COVID-19 pandemic period. The findings also show that the prowess of the safe-haven/hedge nature is sensitive to the type of the asset market and the time horizon when switching from daily to weekly frequency data.Originality/valueThis is one of the first studies that conduct a combined analysis of the safe-haven and hedging capabilities of Bitcoin against several asset classes using an STR method. This study uses the longest sample period to yet, allowing researchers to examine Bitcoin's safe-haven and hedging features both before and after the COVID-19 pandemic.

Latin American Shopping Centers are "Staying Alive"

Argentina suffered a return of socialism and a populist government, political unrest and untamed inflation fueling an exodus of global retail brands (tenants). During my sabbatical, my "Feet were on the Street," as I visited approximately 70 shopping malls in five countries and conducted qualitative interviews with shopping mall owners, brokers for the "marks"(retail brands/tenants), managers, real estate attorneys, retail trade associations, investment groups, and real estate professors. When I teach commercial leasing I discuss the codependent relationship between the parties to the Lease, the shopping center Owner, Tenant, and the "hidden" party to the Lease, the Lender. [...]Latin American shopping mall owners are nimbler and more flexible to make decisions because they do not need Lender permission.

Türkiye Döviz Piyasasında Oynaklık ve Oynaklık Yayılımı Üzerine Bir Uygulama

Amerika Birleşik Devletleri Merkez Bankası Aralık 2016'da faiz artırım döngüsüne başlamış ve finansal piyasalardaki oynaklık hızlıca artmıştır. Coronavirus (COVID19) salgını ve Türkiye'de 2018-2021 döneminde yaşanan kur atakları oynaklık çalışmasının yapılmasına öncülük etmiştir. Çalışmanın amacı Türk Lirası üzerindeki oynaklık ve oynaklık yayılımının EGARCH modeli ile analiz edilmesidir. Asimetrik etki parametresinin (δ), yani kaldıraç etkisinin 15 Aralık 2016 – 28 Şubat 2022 döneminde ABD Doları/Türk Lirası alış Kurunda geçerli olmadığını göstermektedir. GARCH modeli;ABD Doları/Güney Afrika Rand'ı ve ABD Doları/Çin Yuan'ı dışında ABD Doları/Türk Lirası alış kurunun oynaklığı ile diğer para birimleri arasında bir ilişki olduğunu göstermektedir. ABD 10 yıllık tahvil faizleri ve Şikago Opsiyon Borsası Oynaklık Endeksi değişkenleri de Amerikan Doları/Türk Lirası alış kuru oynaklığı üzerinde etkilidir.Alternate :The United States Federal Reserve started the interest rate hike cycle in December 2016 and the volatility in financial markets increased rapidly. The coronavirus (COVID19) epidemic and currency attacks in Turkey during the 2018 - 2021 period led to the volatility study. The purpose of the study is to the analyze the volatility and volatility spillover on the the Turkish by using EGARCH model. The asymmetric effect parameter (δ), ie the leverage effect, is not valid in the US Dollar / Turkish Lira buying Rate between December 15, 2016 - February 28, 2022. The GARCH model proves a significant relationship between the volatility of the US Dollar/Turkish Lira and other currencies, except for the US Dollar/South African Rand and the US Dollar/Chinese Yuan. The US 10-year bond yields and the Chicago Options Exchange (VIX) variables also have an impact on the US Dollar/Turkish Lira buying rate volatility.

Assessment of fuel price, exchange rate and unemployment rate impact on road passenger journeys in South Africa

In recent decades passenger transportation journeys experienced a decline and this decline may due to various causes such as cost of transportation, low economic growth, exchange rate volatility, unemployment and petrol price. [...]to the best knowledge of the author, no study was conducted to determine the relationship between the aforementioned variables. [...]the main objective of the current study is to analyse the impact of the exchange rate, petrol price and unemployment rate on road passenger journeys in the South African transportation sector. [...]to minimize either monetary budget or physical and mental burden, irrespective of having their cars, people prefer to use public transport (Guo & Wilson, 2011;Onderwater & Kishoon, 2017). South African road transport depend on the imported fuel and the price of the latter within the domestic market is determined by the exchange rate. [...]the exchange rate is another economic variable that impacts road transpo0rt demand (Havenga et al., 2014).

Periodic Analysis of the Relationship between Gold, Crude Oil, Exchange Rate and India’s Stock Market

Purpose: The purpose of this paper is to find out the relationship between price of Gold, price of Crude Oil, Exchange Rate of India, and Indias stock market. The research has been done on Pre-COVID time periods to analyse the relationship in scenarios like pre-global financial crisis, during crisis and post crisis. The authors incorporate the data from pre-crisis phases i.e., 2005 to 2019, to find out the relationship between the variables using Granger causality test, Johansens Cointegration, and Vector Autoregression. To study the spill-over effect on Indias stock market, regression has been used. The empirical results indicate that for the Pre-Crisis and Post-Crisis periods, Gold does granger cause USDINR, for all three periods Crude oil does granger cause Gold, for the crisis and post crisis periods Gold does granger cause Crude oil, for the post-crisis period USDINR does granger cause Crude oil. No other causality relationship was established with the help of this empirical analysis. Johansens cointegration test revealed that no cointegration exists amongst the three variables. The impact of exchange rate on Indias stock market has changed as compared to the previous time periods. The exchange rate was inversely related to the stock markets for the Pre-Crisis and Crisis periods and is directly related to the stock market for the Post-Crisis period. This study adds to the existing literature on the variables, by using phase-wise data and performing empirical analysis to find out the relationship between the variables. Not many literatures demonstrate together the relationship among these three variables in three different periods. This is a significant gap that the study aimed to address.

Forecasting Exchange Rate of Pakistan Using Time Series Analysis

Exchange rates are crucial in regulating the foreign exchange market's dynamics. Because of the unpredictability and volatility of currency rates, the exchange rate prediction has become one of the most challenging applications of financial time series forecasting. This study aims to build and compare the accuracy of various methods. The time series model Auto-Regressive Integrated Moving Average (ARIMA) and Generalized Auto-Regressive Conditional Heteroscedasticity (GARCH) are utilized to forecast the daily US dollar to Pakistan rupee currency exchange rates (USD/PKR). Lagged observations of the data series and moving average technical analysis are used in both models. Explanatory factors were used as indicators, and the prediction performance was assessed using a variety of commonly known statistical metrics. These statistical metrics suggested the presence of conditional heteroscedasticity. Thus, the process turns to capture the volatility effect of conditional heteroscedasticity through GARCH modeling. It may be inferred based on the results of tentative models;that the ARCH model outperforms the GARCH model in terms of predicting the USD/PKR exchange rate.

The Link between Asset Value and Fear Sentiment during Covid-19 Pandemic

This article explores the role of global financial instruments as hedging or safe-haven assets in the Covid-19 pandemic crisis, which has weakened the global economy, by linking it to the investor's fear sentiment perspective. Correspondingly, it analyses the effects of shocks in the VIX index, which represents the global investor's fear sentiment, on shocks in some investment assets during the ongoing pandemic. Eight major financial instruments from different asset classes are tested along with the VIX index to achieve this goal. The analysis covers a 156-week time series and assays the variables from symmetric and intertemporal perspectives. The findings show that the most robust asset is the American Dollar fiat currency, followed partly by the Euro and gold. BTC also has been safe for a short time.Alternate :Bu makale, küresel ekonomiyi zayıflatan Covid-19 pandemi krizinde riskten korunma veya güvenli liman varlıkları olarak küresel finansal araçların rolünü yatırımcının korku hissiyatı perspektifiyle ilişkilendirerek araştırmaktadır. Buna bağlı olarak, küresel yatırımcının korku hissiyatını temsil eden VIX endeksindeki şokların, devam eden pandemi sırasında bazı yatırım varlıklarındaki şoklar üzerindeki etkilerini analiz etmektedir. Bu amaca ulaşmak için farklı varlık sınıflarından sekiz ana finansal araç, VIX endeksi ile birlikte test edilmektedir. Analiz, 156 haftalık bir zaman serisini kapsamakta ve değişkenleri simetrik ve zamanlar arası perspektiflerden tahlil etmektedir. Bulgular, en sağlam varlığın Amerikan Doları itibari para birimi olduğunu, ardından kısmen Euro ve altının geldiğini göstermektedir. BTC'nin ise kısa süreliğine sağlam durduğu söylenebilir.

The Impact of the Coronavirus and the War in Ukraine on the Development of Logistics Operators in Poland

Purpose: The purpose of this article is to investigate the impact of coronavirus and war on the development of Polish logistics operators. Do they intend to limit their development, do they plan to invest in modern technologies, and are they examining the risks that have emerged at the moment? Design/Methodology/Approach: The study used two-stage questionnaires for experts. The study was developed on the basis of the Delphi method. The authors wanted to obtain answers from experts belonging to several groups, therefore they decided to conduct the research in accordance with the interpretation of Hsu and Sandford (2007), the Delphi method facilitates the process of group communication and allows gathering information from many groups. The method assumes the objective judgment of experts by asking questions with feedback in several stages Findings: It was possible to obtain information that logistics operators have a significant increase in costs, but at the moment mainly related to fuel. They fear that the remaining costs will also increase soon. Increased demand gives them hope for better financial results, which will allow them to invest in the development of enterprises. Practical Implications: Enterprises continue to focus on development, not less delaying it in time. Only small enterprises have a problem with financial liquidity. The war in Ukraine and the coronavirus epidemic influenced logistics operators and each of them attaches great importance to the risk of running a business in such difficult times. Originality/Value: This paper primarily analyzes the results of research with experts on logistics operators. It helps to find out about current problems in the logistics industry and talks about their causes. It indicates possible benefits and negative threats for logistics operators

Time-frequency analysis of the comovement between wheat and equity markets

Purpose>This study aims to investigate the time-frequency comovement between wheat futures traded on three US markets (Chicago Board of Trade (CBOT), Kansas City Board of Trade (KCBOT) and Minneapolis Grain Exchange (MGE)) at different maturities and a global equity index.Design/methodology/approach>As they allow to trace transitional shifts over time and across different frequency bands, this paper relies on continuous wavelet tools to investigate the time-frequency comovement among wheat and global stock markets.Findings>The results show an increase in wheat futures prices at all maturities and a weak integration level within each wheat market during the subprime crisis. Moreover, the wavelet power spectra maps show high wheat and equity price volatility at different time scales and for various subperiods. Furthermore, the continuous wavelet coherence highlights time-frequency-varying comovements between the markets considered, which become particularly high during times of crisis.Practical implications>The results provide market participants with a better understanding of the nature as well as the magnitude of the relationship between the global financial market and different wheat markets at different maturities and during tranquil and crisis periods. Indeed, from investors' perspective it is important to understand how markets are segmented or integrated during tranquil and crisis periods in order to better assess risks, diversify portfolios and implement more effective hedging strategies. As for regulators, a better understanding of the level of integration of different markets would further help refine macroprudential policies, and thus strengthen financial stability and resilience.Originality/value>This paper enriches the existing literature by investigating the time-frequency comovement between wheat and a global equity market. Indeed, the dynamics between stock and wheat markets across different nearest to maturities have not been widely explored by previous studies.

POST-COVID-19 VOLATILITY OF EXCHANGE RATE RETURNS A CASE STUDY OF PAKISTAN

The purpose of the study is to forecast the volatility for returns of the exchange rate of Pakistan concerning US dollars along with the impact of covid-19 so that we can find out the feasibility of holding this asset along with the risk and returns associated with it. For this purpose daily data has been taken from the State bank of Pakistan on a period from February 01,2001, to June 30, 2021, where covid-19 is used as a dummy variable. Furthermore, in methodology, we applied GARCH models after finding the presence of the ARCH effect which is at ARCH (6) in the series. It is found in all GARCH models that the past volatility of the exchange rate returns has a statistically significant influence on the current volatility of the exchange rate means there is time-varying and time-correlated volatility associated with exchange rate returns. According to GARCH-M, GARCH-M (variance) (1,1) and GARCH-M (SD) (1,1) results it is concluded that average returns of exchange rate are small but significant and there is no risk factor associated with exchange rate returns but the past square residual terms have a significant impact on risk volatility. Furthermore, Both T-GARCH and E- GARCH depicts that the impact of covid19, which is bad news, although has a significant impact but its magnitude has a lesser influence on exchange rate volatility than the good news.

Foreign Exchange Volatility and the Bubble Formation in Financial Markets: Evidence From The COVID-19 Pandemic

This paper applies recursive right-tailed unit root tests to detect bubble activity for Turkish Lira against financially most-traded five currencies (i.e., the US Dollar (USD/TRY), the British pound (GBP/TRY), the Euro (EUR/TRY), the Chinese Yuan (CNY/TRY) and the Russian Ruble (RUB/TRY)) over January 2, 2015 to February 12, 2021. It can be identified from the Supremum Augmented Dickey-Fuller (SADF) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) tests statistics that there is a high degree of evidence of bubble activity which characterizes all five exchange rates both in the full-sample period and in the sub-periods, including the pre-COVID-19 era (January 2, 2015 to November 15, 2019) and the COVID-19 era (November 18, 2019 to February 12, 2021). The empirical results also indicate that positive bubbles are common for each selected exchange rate and the multiple bubbles were intensified during the COVID-19 period, referring that forex markets became relatively more inefficient compared to the pre-COVID-19 period.

Digital RMB, RMB Internationalization and Sustainable Development of the International Monetary System

The sound and sustainable development of the international monetary system is the cornerstone of the sound and stable development of the global economy. This paper takes digital currency in China as its research object and utilizes a regime-switching transition auto-regression (STAR) model and nonlinear time-varying parameter–stochastic volatility–vector auto regression (TVP-SV-VAR) model to empirically analyze the relationship between digital RMB, RMB internationalization, and the development of the international monetary system. The results show that the relationship between DC/EP and the internationalization of the RMB is time-varying, with the above relationship being significantly different in various economic situations. DC/EP can boost the internationalization of the RMB, and thereby contribute to the diversification of the international monetary system. The results have important policy implications for the sound and sustainable development of economic and financial markets.

Determinants of Gold Price in Thailand

Though gold plays a significant role in the financial market, monetary policy, and jewelry, pharmaceutical and electronic industries, its price is often volatile. This study aims to examine the relationship between macroeconomic variables such as exchange rate, interest rate, consumer price index, and financial indicators like the stock exchange of Thailand (SET Index) and bond index with gold prices, and investigate the factors influencing the gold prices in Thailand. This study employs dataset from May 2006 to May 2021, including 1.5 years of the Covid-19 pandemic period. The findings reveal that there is a relationship between exchange rate, interest rate, consumer price index, SET Index, and bond index with gold prices in Thailand, and this holds good during the period of Covid pandemic also. Finally, all the participants in the gold market should consider these factors before entering the market, which would assist them in achieving their investment goals.

The Mediating Effects of Implied Volatility and Exchange Rate on the U.S. Tourism-Growth Nexus

In this paper, we examine the impact of destination risk and currency valuation on the U.S. tourism-growth nexus using the recently developed nonlinear autoregressive distributed lag cointegration technique. Tourism development is proxied by tourist arrivals, while growth is measured by real GDP. Empirical results show evidence of long-run asymmetric bidirectional causality. Positive shocks in tourism development directly impact growth, while negative shocks in GDP have a negative causal effect on tourism. This latter finding, which supports the growth-led tourism hypothesis, suggests that in the long run, tourism tends to improve following periods of economic weakness, perhaps due to the dollar’s weakness at such times. However, we have evidence only of unidirectional causality running from GDP to tourism in the short run. An important implication of these findings is the need to promote inbound tourism, especially when weakness in the U.S. economy is accompanied by a decline in the value of the dollar.

IS THE U.S. DOLLAR LOSING ITS MOMENTUM AS A GLOBAL LEADER?

The United States is seen as a leader in many aspects across the globe, when compared with other countries. Leading in things such as currency, cultural influence, power and as an economic leader. The United States looks to continue to innovate and lead the charge in all categories. The United States dollar has been the global leader in currency for the past while, but with other countries' currencies gaining in popularity, the dollar could be losing the momentum it once had. This paper will look at the United States dollar status and momentum as the current global leader and look at if the current momentum it has is diminishing at all.

Exchange Rate Volatility in the Covid-19 Period: An Analysis Using the Markov-Switching ARCH Model

Most analyses of exchange rate volatility in the economic literature are conducted by means of autoregressive conditional heteroskedasticity (ARCH) or generalized ARCH (GARCH) models. According to Humilton and Susmel such models often predict higher volatility than their actual volatility rates, and their predictive performance is considerably low. Diebold and Lamoureux and Lastapes attributed this to the structural change in the ARCH process. Moreover, Hamilton and Susmel developed the Markov-switching ARCH (MS-ARCH or SWARCH) model to overcome the reliability problem of parameter estimates that do not allow for a regime change. This method presents a nonlinear structure enabling regime changes. Therefore, the MS-ARCH method was preferred in the study. Considering the continuing massive impact of COVID-19 on the global financial system, its influence on exchange rates must also be explored. This question was addressed in the analysis. In this direction, the effect of volatility was estimated with the MS-ARCH model using the return values of USD/TRY exchange rate in the trading days between March 2020 and October 2021, the month March 2020 when the first COVID-19 case appeared in Turkey. Two volatility regimes, namely, low volatility and high volatility, were employed in the study. The findings demonstrate that the COVID-19 pandemic, along with various economic and political events in Turkey and the world, affects exchange rate volatility and that these volatility periods are permanent. It also depicts that the USD/TRY return series has high volatility and a strong regime dependency. From these results, it may be concluded that the forecasting of information on exchange rate volatility is important for asset pricing and risk management because exchange rate volatility can increase transaction costs and reduce gains in international trade. The article contributes to the existing body of literature by explaining volatility modeling in the light of the recent daily exchange rate returns during the COVID-19 pandemic.

Foreign and Domestic Uncertainty Shocks in Four Open Economies

This paper investigates how the economic performance of four economies with floating exchange rates is affected by shocks in domestic and US economic policy uncertainty. We estimate a Bayesian VAR model describing the dynamics of ten local and US variables for each of the four countries and use it to evaluate the response of the system to structural shocks. The analysis reveals that increased economic uncertainty in the US reduces industrial output in all the countries analysed, while the effect of increased domestic uncertainty varies across the economies. A key finding concerns the role of the exchange rate. Whereas the real effective exchange rate amplifies the effect of uncertainty shocks in the US, it typically helps absorb shocks in the open economies. This asymmetry may reflect the role of the US as a safe haven in times of increased uncertainty.