世界経済・社会統計 = World development indicators

Econometric policy evaluation: A critique

Handbook of the Economics of Finance

﻿LEAVING aside the courageous efforts of people around Monthly Review and Science and Society there has, by and large, been hardly any Marxist tradition among American intellectuals. However, during the last few years the situation has considerably changed and there is now a growing interest in Marxism, particularly among the younger social scientists of America. The book under review falls within this trend.

Value and Capital

This thesis investigates the relationship between economic growth and financial development in developing countries over 1988-2001. Previous studies have generally used averaged data, for both developing and developed countries, and inappropriate estimation methods. In an attempt to reach some definitive conclusions, Generalised Method of Moments dynamic estimation is used with a newly collected panel of annual data to assess the relationship. The results show that while banks performance has a negative impact on growth, stock markets positively promote growth. To reach an overall conclusion about the impact of finance on growth and to solve the problems associated with the existence of multicollinearity among the different measures of financial development, principal components analysis is used to generate new, comprehensive measures of financial development. In assessing the link between the new measures and financial development and growth, the results support the existence of an overall positive relationship. The thesis also examines the behaviour of interest rates in developing and industrialised countries using individual and panel unit root tests. The results are sensitive to the choice of the test, country and time unit.

Stock markets, banks and economic growth

The creation of bitcoin heralded the arrival of digital or crypto-currency and has been regarded as a phenomenon. Since its introduction, it has experienced a meteoric rise in price and rapid growth accompanied by huge volatility swings, and also attracted plenty of controversies which even involved law enforcement agencies. Hence, claims abound that bitcoin has been characterized by bubbles ready to burst any time (e.g. the recent collapse of bitcoin’s biggest exchange, Mt Gox). This has earned plenty of coverage in the media but surprisingly not in the academic literature. We therefore fill this knowledge gap. We conduct an econometric investigation of the existence of bubbles in the bitcoin market based on a recently developed technique that is robust in detecting bubbles – that of Phillips et al. (2013a). Over the period 2010–2014, we detected a number of short-lived bubbles; most importantly, we found three huge bubbles in the latter part of the period 2011–2013 lasting from 66 to 106 days, with the ...

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Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

This paper investigates the price linkages between the equity market of Australia and that of the US, UK, Japan, Hong Kong, Singapore, Taiwan, and Korea using weekly MSCI stock market data covering the period 1974–1995. Cointegration test using the Johansen (Journal of Economic Dynamics and Control, 12, 1988) and Johansen and Juselius (Oxford Bulletin of Economics and Statistics, 52, 1990) procedure and Granger-causality tests based on error-correction models and standard vector autoregression models are conducted. No cointegration was found between Australia and the other markets. However, the Granger-causality and forecast variance decomposition analyses reveal that Australia is significantly linked with the US and the UK. The impulse response analyses further show that Australia responds to shocks from the US and the UK immediately during the first week and this response is completed with a period of four weeks.

Short-term and long-term price linkages between the equity markets of Australia and its major trading partners

Is there a green premium in the green bond market? Systematic literature review revealing premium determinants

Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context

This article investigates the extent and structure of price linkages among five Association of Southeast Asian Nations (ASEAN) markets (Malaysia, Singapore, Philippines, Indonesia and Thailand), both in the long run and in the short run using cointegration based on the Johansen (1988) procedure, Granger causality and variance decomposition and impulse response analyses. The study finds that in the long term these markets are not significantly linked. However, in the short term, with the exception of Indonesia, all the ASEAN markets have significant linkages with each other. Malaysia is the most influential market while Singapore and Thailand are the markets with most linkages with other markets. Indonesia is not linked at all with any other ASEAN market. Introduction The growth rates of the ASEAN economies are among the highest in the world (DFAT 1992). Starting in 1988, as a result of financial reforms arising out of deregulation (Cargill et. al. 1986; Greenwood 1986; Pringle 1987; Drake 1986; Cole 1988), the financial markets of these countries have also grown significantly (Fry 1995; Allen 1991). Thus, this group of markets has been attracting the attention of investors world-wide. Crucial information that investors need for purposes of portfolio diversification is the degree of linkage among these markets. Unfortunately, this information is unknown at present. There has been an increasing intensity of trade between these countries (Ariff 1996) suggesting that their financial markets are also becoming increasingly linked. The relatively few studies on financial integration in Asia have primarily focused on Japan and the so-called "Asian tigers" or dynamic economies of Hong Kong, Singapore, Taiwan and Korea (see, for instance, Hung and Cheung 1995; Kwan et al. 1995; Kwok 1995; Cheung and Mak 1992 among others). The current authors are unaware of any systematic study which has been undertaken on equity market linkages among ASEAN countries. This study therefore seeks to redress this deficiency. Specifically, the study seeks to find answers to the following questions: 1. To what extent are equity prices in these markets significantly linked, both in the short term and in the long term? 2. Which markets lead and which ones lag? 3. How fast and for how long do interactions occur between these markets? The issue of financial market integration is of crucial importance in the theories in finance (for example portfolio investment theory) and economics (for example Mundell-Fleming theories). Empirically, however, this issue remains unsettled. Previous studies have produced mixed results depending on the theory, methodology, time period, and data used' (Jeon and von Furstenberg 1990; Czerkawsky 1995; Kwan et al. 1995; Ben-zion et al. 1996; Chung and Liu 1994). Many of these studies are plagued by several problems (Jeon and von Furstenberg 1990). Some problems pertain to the use of differencing in order to make variables stationary, the inability to simultaneously analyse short-term and long-term relationships among variables, and the use of non-comparable stock market data (see, for instance, Kwan et al. 1996). The current study overcomes these problems through the use of recent advances in econometric time series analysis-cointegration analysis (Engle and Granger 1987) using the Johansen (1988) procedure, combined with Granger causality, and impulse response and forecast variance analyses. Differencing achieves stationarity of data but important long-term relationships contained among levels of the variables are lost. Cointegration allows the determination of long-term relationships among non-stationary variables. Its associated error-correction model, together with Granger causality and variance decomposition and impulse response analyses, allows a more rigorous scrutiny of the short-run linkages between the markets in terms of identifying the markets that lead or lag, and the speed and duration of interactions between markets. …

Eduardo Roca

Papers

Crypto-currency bubbles: an application of the Phillips–Shi–Yu (2013) methodology on Mt. Gox bitcoin prices

Short-term and long-term price linkages between the equity markets of Australia and its major trading partners

Is there a green premium in the green bond market? Systematic literature review revealing premium determinants

Does the carbon market help or hurt the stock price of electricity companies? Further evidence from the European context

Are the ASEAN Equity Markets Interdependent