ABSTRACT
PurposeThis paper aims to analyze the dynamics of the Spanish public debt-gross domestic product ratio during the period 1850-2020. Design/methodology/approachThis study uses a recent procedure to test for recurrent explosive behavior (Phillips et al., 2011;Phillips et al., 2015a, 2015b) to identify episodes of explosive public debt dynamics and also the episodes of fiscal adjustments over this long period. FindingsThe identified episodes of explosive behavior of public debt coincided with fiscal stress events, whereas fiscal adjustments and changes in economic policies stabilized public finances after periods of explosive dynamics of public debt. Originality/valueThe longer than usual span of the data should allow the authors to obtain some more robust results than in most of previous analyses of long-run sustainability.
ABSTRACT
This article attempts to examine the recent developments that have amplified the consequences of uncertainty regarding trade between Brazil, Russia, India, China, and South Africa (BRICS) countries under global economic turmoil such as occurred in the 2008 financial crisis and trade wars sparked by the USA and the COVID-19 pandemic. These events severely affected intraBRICS trade and investment. For this purpose, we employed the Westerlund and Edgerton cointegration approach to check for cointegration under structural breaks and the procedure for the asymmetric Granger non-causality test to assess the causal relationship between the custom tariff and export variables of BRICS countries with regard to the panel data methodology for the 2000-2020 period using annual data. The empirical results for cointegration indicate the presence of a long-term relationship;in other words, they are seen to move together under investigation. The estimated breakpoints correspond with 2008 and the ongoing financial turmoil and with the 2018-2020 period and the rising trade disputes between USA and China. In addition, the Granger non-causality test provides enough evidence to show opposite directions (signs) for the causal links between the variables that run from tariffs to exports for BRICS countries.
ABSTRACT
We revisit the oil price and stock market nexus by considering the impact of major economic shocks in the post-global financial crisis (GFC) scenario. Our breakpoint unit root test and Markov switching regression (MRS) analyses using West Texas Intermediate (WTI) oil price and Standard & Poor's 500 (S&P 500) market index show that among the major economic events, the recent coronavirus (COVID-19) pandemic is the most significant contributor to market volatilities. Furthermore, our MRS results show that the relationship between oil price and the stock market is regime-dependent; the stock market experiences substantial and positive shocks in a volatile oil price regime. Our results provide valuable insights to investors and policymakers regarding risk management and financial market stability during economic crisis periods, specifically during the COVID-19 pandemic.
ABSTRACT
This study examines the impact of macroeconomic variables in addition to the COVID-19 pandemic on tariffs in Jordan for the period 2003–2020, by using Autoregressive Distributed Lag (ARDL) model, in order to reveal the long-run relationship between macroeconomic variables and tariffs. However, it became clear that all these macroeconomic variables contributed to tariffs in Jordan, and it was proven that there is a long-term relationship between them and tariffs. On one hand, GDP negatively affected tariffs in Jordan, on the other hand, imports and COVID-19 pandemic positively affected tariffs. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
ABSTRACT
This study examines the impact of macroeconomic variables in addition to the Corona pandemic on bank lending in Jordan during 2008:01–2021:02, and thus using the Autoregressive Distributed Lag (ARDL) model, in order to reveal the long-term relationship between macroeconomic variables and bank lending. However, it became clear that all these macroeconomic variables contributed to bank credit in Jordan, and it was proven that there is a long-term relationship between them and bank credit. On one hand, the GDP, inflation, interest rate and coronavirus pandemic negatively affected the lending activities of commercial banks in Jordan, on the other hand, inflation had positively affected these activities. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
ABSTRACT
This study aims to model the dynamic relationships between the number of COVID-19 infected cases and deaths in all the districts of Kerala state, India, from January 2021 to December 2021 based on the panel vector auto-regressive model. The random effect panel vector auto-regressive model of order two was found suitable to model dynamic relationships. This model explains 62 % variations in the endogenous variable, deaths (number of deaths). The exogenous variable deaths (-1) are highly significant, whereas the exogenous variable cases (-1) are significant at a 5% level. Both of these exogenous variables positively influence the endogenous variable. The other exogenous variables, viz., deaths (-2) and cases (-2), are non-significant. The Durbin-Watson test statistic value confirms the independence of the residuals, and the Wald test confirms the validity of the significance of the estimated regression coefficients.
ABSTRACT
PurposeThis study aims to investigate the interconnectedness across the risk appetite of distinct investor types in Borsa Istanbul. This study also examines the causal impact of global implied volatility indices on the risk appetite of these investor groups. Design/methodology/approachThe authors use a novel time-varying frequency connectedness framework of Chatziantoniou et al. and a new time-varying Granger causality test with a recursive evolving procedure by Shi et al. over June 2008 and July 2022. FindingsThe results show a high level of interconnectedness across the risk appetite of different investor types. The sizable spillovers to domestic types of investors either occur from professional or foreign investors, indicating the long-term dominant effect of foreign and more qualified investors on the domestic investors in Borsa Istanbul. The authors provide significant evidence of causality from the global implied volatility to the Borsa Istanbul risk appetite indices, which are getting stronger after the COVID-19 outbreak. Originality/valueUnlike the previous studies, the authors analyze the risk appetite sub-indices of various types of investors to reveal behavioral distinctions and interconnectedness across them. The authors use a novel econometric framework to assess investors' risk appetite in different investment horizons in a time-varying system. Together with volatility index (VIX), the authors also use volatilities of oil (OVX), gold (GVZ) and currency (EVZ), considering the information transmission not only from stock markets but also energy, metals and currency markets. The present data set covers significant financial crises, socioeconomic events and the COVID-19 outbreak.
ABSTRACT
This paper investigates the dynamic relationships between the number of COVID-19 infected cases and deaths in all the districts of Karnataka state, India, from July 2020 to December 2021 based on the panel Generalized Method of Moments (GMM). The panel GMM model with the first difference transformation was found suitable for studying the dynamics of the number of deaths due to COVID-19 infections over time. The one-period lag (DEATHS (-1)) has a positive and significant effect on the number of deaths (DEATH). The Wald test confirms the validity of the coefficients' significance and adds explanatory power to the model. The correlation between number of fatalities at time t positively correlated with the number of deaths in the previous period. Also, the number of infected cases positively and significantly influences the number of deaths over time. Granger pairwise causality test reveals the existence of bi-directional causality relationships between the COVID-19 infected cases and deaths.
ABSTRACT
Natural gas plays important role in the global energy sources, hence understanding its price behavior is important to various economic agents. This study examined whether rational bubbles existed in the three major natural gas markets by employing Fourier unit root tests and a nonparametric rank test for cointegration. Data comprises monthly data on the three largest natural gas indices in the world – Henry hub (USA), European and Asian (Japan) for the period from 2000M1–2021M12. The results reveal that the efficient market hypothesis holds in the market ruling out the possibility of arbitrage opportunities. The rank test estimates at 0.009677, 0.009872, and 0.009657 at 1% significant level for the pre-COVID-19 sample period, and at 0.009671, 0.09874, and 0.009661 at 1% significant level for the full sample period contradict the rational explosive bubble framework that suggests deviation of prices from the fundamentals. This suggests that natural gas prices markets are efficient at least in the weak form, the implication is that disruptions in the market will be short-lived as the market will fundamentally adjust back to equilibrium.
ABSTRACT
This study examines the impact of macroeconomic variables in addition to the COVID-19 pandemic on tariffs in Jordan for the period 2003–2020, by using Autoregressive Distributed Lag (ARDL) model, in order to reveal the long-run relationship between macroeconomic variables and tariffs. However, it became clear that all these macroeconomic variables contributed to tariffs in Jordan, and it was proven that there is a long-term relationship between them and tariffs. On one hand, GDP negatively affected tariffs in Jordan, on the other hand, imports and COVID-19 pandemic positively affected tariffs. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
ABSTRACT
This study examines the impact of macroeconomic variables in addition to the Corona pandemic on bank lending in Jordan during 2008:01–2021:02, and thus using the Autoregressive Distributed Lag (ARDL) model, in order to reveal the long-term relationship between macroeconomic variables and bank lending. However, it became clear that all these macroeconomic variables contributed to bank credit in Jordan, and it was proven that there is a long-term relationship between them and bank credit. On one hand, the GDP, inflation, interest rate and coronavirus pandemic negatively affected the lending activities of commercial banks in Jordan, on the other hand, inflation had positively affected these activities. © 2023, The Author(s), under exclusive license to Springer Nature Switzerland AG.
ABSTRACT
A time series has been adopted for the numbers of people infected with the Covid-19 pandemic in Iraq for a whole year, starting from the first infection recorded on February 18, 2020 until the end of February 2021, which was collected in the form of weekly observations and at a size of 53 observations. The study found the quality and suitability of the autoregressive moving average model from order (1,3) among a group of autoregressive moving average models. This model was built according to the diagnostic criteria. These criteria are the Akaike information criterion, Bayesian Information Criterion, and Hannan & Quinn Criterion models. The study concluded that this model from order (1,3) is good and appropriate, and its predictions can be adopted in making decisions.
ABSTRACT
Purpose: This paper aims to analyze the dynamics of the Spanish public debt–gross domestic product ratio during the period 1850–2020. Design/methodology/approach: This study uses a recent procedure to test for recurrent explosive behavior (Phillips et al., 2011;Phillips et al., 2015a, 2015b) to identify episodes of explosive public debt dynamics and also the episodes of fiscal adjustments over this long period. Findings: The identified episodes of explosive behavior of public debt coincided with fiscal stress events, whereas fiscal adjustments and changes in economic policies stabilized public finances after periods of explosive dynamics of public debt. Originality/value: The longer than usual span of the data should allow the authors to obtain some more robust results than in most of previous analyses of long-run sustainability. © 2022, Vicente Esteve and María A. Prats.
ABSTRACT
The main objective of this paper is to investigate the dynamic relationship between the COVID-19 infected cases and the number of deaths due to COVID-19 using the Johnsen-Fisher co-integration test, vector error correction model and Granger causality test. The daily COVID-19-infected new cases and daily deaths due to COVID-19 in the United States, Canada, Ukraine and India were collected from the website for the period from 01-04-2020 to 26-12-2020. The summary statistics revealed that the highest numbers of COVID-19-infected cases were registered in the United States, followed by India, Canada and Ukraine;the highest numbers of deaths due to COVID-19 were registered in the United States, followed by India, Ukraine and Canada. The death percentage is exceedingly high in Canada, followed by the United States, Ukraine and India. The Johnsen-Fisher co-integration test results reveal the existence of one co-integration equation. The vector error correction model and Granger causality test reveal that long-term and short-term causality exists between COVID-19 infection and death cases. The speed of adjustment is found to be 9.9%. © 2022 NSP Natural Sciences Publishing Cor.
ABSTRACT
The study investigates the influence of the COVID-19 on the rate of R&D investment and foreign exchange development of China's most important emerging industry firms. From 2010 to 2020, data were collected from 26 locations across China, focusing on seven different types of critical creating companies. To analyze the data, we have applied Fourier Increased Unit Root Test, Granger causality assessments test, Pattern Assessment test, Poisson pseudo most excellent probability (PPML) approach, Wald test, and Regression analysis test. The results of the tests reveal a clear underlying association among COVID-19 relates Chinese exports and imports. COVID-19's instant effects on imports and exports lack working capital have been calculated, but the short-term, medium-to-long-term products are composite and unidentified. The article result main results are following: (i) The COVID-19 impacts the R&D investment is main industries like as high-end equipment industry, new materials industry, and new-era data innovation. (ii) The COVID-19 highly affects the imports and exports development network of Chinese strategic emerging industries which emphasizes cross-industry grouping features. The study provides the guidance to the future researchers to focus on COVID-19 affects on the strategic emerging industries of developed and underdeveloped countries to determine of foreign direct investment inflow and unemployment growth rates. JEL: G20, O10, O40.
Subject(s)
COVID-19 , China , Humans , Industry , Policy , SARS-CoV-2ABSTRACT
This paper uses the daily seasonally-adjusted data for net revenues and openings of small businesses in the accommodation, food services, leisure, and hospitality sectors in the United States from January 10, 2020, to June 24, 2021. The results from the Dorta-Sanchez bootstrap unit-root test for a random walk with drift show that the COVID-19 crisis has significantly affected revenues and openings of small leisure and hospitality firms. Moreover, the results remain valid when the data for the national level and 51 states are considered.
Subject(s)
COVID-19 , Small Business , Humans , Leisure Activities , SARS-CoV-2 , United StatesABSTRACT
This paper introduces a health index for measuring the health level of societies during the lockdown era, i. e., for the period from March 21, 2020 to April 7, 2020. For this purpose, individual-level survey data from the Global Behaviors and Perceptions in the COVID-19 Pandemic dataset are considered. We focus on cases in the United States and the United Kingdom, and the data come from 11,270 and 11,459 respondents, respectively. We then use unit root tests with structural breaks to examine whether COVID-19-related economic shocks significantly affect the health levels of the United States and the United Kingdom. The empirical results indicate that the health levels in the United States and the United Kingdom are not significantly affected by the COVID-19-related economic shocks. The evidence shows that government directives (such as lockdowns) did not significantly change the health levels of these societies.