Showing papers in "Applied Economics in 2018"
TL;DR: In this paper, a bootstrap autoregressive-distributed lag (ARDL) test was proposed to test the Pesaran, Shin and Smith ARDL bounds test.
Abstract: We propose a bootstrap autoregressive-distributed lag (ARDL) test. By applying the appropriate bootstrap method, some weaknesses underlying the Pesaran, Shin and Smith ARDL bounds test are addresse...
250 citations
TL;DR: In this article, the authors examined the nonlinear Granger causality and time-varying influence between crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) test, the Diks and Panchenko (DP) test and the time varying parameter structural vector autoregression model.
Abstract: This article examines the nonlinear Granger causality and time-varying influence between crude oil prices and the US dollar (USD) exchange rate using the Hiemstra and Jones (HP) test, the Diks and Panchenko (DP) test and the time-varying parameter structural vector autoregression model. By applying the iterated cumulative sums of squares (ICSS) algorithm and the DCC-GARCH model, the effects of structural breaks in volatility of the two markets are also investigated. The empirical analysis indicates that, first, crude oil prices are the nonlinear Granger-cause of the USD exchange rate, but not vice versa. Second, the USD exchange rate exerts a stronger and more stable negative influence on crude oil prices in the short term, and the influence gradually weakens after 2012. Finally, ignoring structural breaks can increase the negative volatility correlation between the oil and USD exchange rate markets, which is particularly remarkable during the financial crisis.
178 citations
TL;DR: In this paper, the authors contribute to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency and traditional investments, by analyzing the relationship between the two currencies.
Abstract: This article contributes to the embryonic literature on the relations between Bitcoin and conventional investments by studying return and volatility spillovers between this largest cryptocurrency a...
176 citations
TL;DR: In this article, the authors examined the causal relationship between globalization, economic growth and energy consumption for 25 developed economies using both time series and panel data techniques for the period 1970-2014.
Abstract: We examine the causal relationship between globalization, economic growth and energy consumption for 25 developed economies using both time series and panel data techniques for the period 1970-2014. Due to the presence of cross-sectional dependence in the panel (countries from Asia, North America, Western Europe and Oceania), we employ the Pesaran (2007) CIPS test to ascertain unit root properties. The Westerlund (2007) cointegration test indicates the presence of a long-run association between globalization, economic growth and energy consumption. Long-run heterogeneous panel elasticities are estimated through the Pesaran (2006) common correlated effects mean group (CMG) estimator and the Eberhardt and Teal (2010) augmented mean group (AMG) estimator. The causality between the variables is examined via Dumitrescu and Hurlin (2012) and, Emirmahmutoglu and Kose (2011) Granger causality tests. The empirical results reveal that, for most countries, globalization increases energy consumption. In the USA and UK globalization is negatively correlated with energy consumption. The causality analysis indicates the presence of the globalization driven energy consumption hypothesis. This empirical analysis suggests insightful policy guidelines for policy makers using globalization as an economic tool to utilize energy efficiently for sustainable economic development in the long-run.
135 citations
TL;DR: Cryptocurrencies are one of the most promising financial innovations of the last decade as mentioned in this paper, and they exhibit different characteristics from major stock indices and the commodities of gold and crude oil.
Abstract: Cryptocurrencies are one of the most promising financial innovations of the last decade. Different from major stock indices and the commodities of gold and crude oil, the cryptocurrencies exhibit s...
132 citations
TL;DR: In this paper, stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization were examined, and the empirical results show that there ex ectiveness of these forms.
Abstract: We examine the stylized facts of eight forms of cryptocurrencies representing almost 70% of cryptocurrency market capitalization. In particular, the empirical results show that (1) there ex...
107 citations
TL;DR: Zhang et al. as discussed by the authors analyzed the mechanisms behind environmental regulations and industrial competiveness at the provincial level and concluded that the impact of environmental regulations upon IC is not a simple linear one, but a U-shaped relationship.
Abstract: Economic activities are closely related to real-world environmental issues. Currently, more attention is paid to the association between environmental regulations and industrial competitiveness (IC) because of pressures on economic development and environmental protection. In this study, we identify and explain the association between environmental regulations and IC in China. As the largest developing country in the world, China has the unavoidable responsibility of protecting the environment and promoting global economic development. We analyse the mechanisms behind environmental regulations and industrial competiveness at the provincial level and conclude that the impact of environmental regulations upon IC is not a simple linear one, but a U-shaped relationship. It is argued that the crucial intervention to activate the U-shaped relationship, or Porter’s Hypothesis, is innovation, which can be triggered by stringent regulations and well-designed policies.
99 citations
TL;DR: In this paper, the authors examined the effects of firm performance and corporate governance on chief executive officer (CEO) compensation in an emerging market, Pakistan using a more robust Generalized Method of Moments (GMM) estimation approach for a sample of non-financial firms listed at Karachi Stock Exchange over the period 2005-2012.
Abstract: This study examines the effects of firm performance and corporate governance on chief executive officer (CEO) compensation in an emerging market, Pakistan. Using a more robust Generalized Method of Moments (GMM) estimation approach for a sample of non-financial firms listed at Karachi Stock Exchange over the period 2005–2012, we find that both current- and previous-year accounting performances has positive influence on CEO compensation. However, stock market performance does not appear to have a positive impact on executive compensation. We further find that ownership concentration is positively related with CEO compensation, indicating some kind of collusion between management and largest shareholder to get personal benefits. Inconsistent with agency theory, CEO duality appears to have a negative influence, while board size and board independence have no convincing relationship with CEO compensation, indicating board ineffectiveness in reducing CEO entrenchment. The results of dynamic GMM model s...
88 citations
TL;DR: The authors assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments, for both the United Kingdom and the European Union.
Abstract: This study assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments. As financial markets are by nature ...
80 citations
TL;DR: This article presented new results on the relationship between income inequality and education expansion, that is, increasing average years of schooling and reducing inequality of schooling, and showed that the relationship can be improved by increasing the number of hours of schooling.
Abstract: This article presents new results on the relationship between income inequality and education expansion – that is, increasing average years of schooling and reducing inequality of schooling. When d...
71 citations
TL;DR: In this article, the authors test whether rural financial inclusion, notably lending to rural borrowers, is hampered by stronger sustainability challenges than inclusion in urban markets and find that a higher share of rural borrowers has no direct effect on MFI sustainability.
Abstract: Financial inclusion is said to foster development and growth. However, progress in financial inclusion has been slow in rural areas where poverty is most pronounced. This is often attributed to higher transaction costs, higher risks and a more unfavourable contracting environment which makes it more difficult for financial institutions to achieve and maintain sustainability in rural compared to urban areas. Based on data covering 772 microfinance institutions (MFIs) over the period 2008–2013, we test whether rural financial inclusion, notably lending to rural borrowers, is hampered by stronger sustainability challenges than inclusion in urban markets. Our results suggest that a higher share of rural borrowers has no direct effect on MFI sustainability. However, we find that MFIs with a higher share of rural borrowers are less able to exploit economies of scale and productivity effects. Thus, our results provide support for the view that sustainability challenges make it more difficult to achieve p...
TL;DR: In this article, a cross-country analysis of the influence of national culture on corporate social responsibility disclosure is presented, where the authors analyse the relationship between the Hofstede's cultural...
Abstract: This article presents a cross-country analysis of the influence of national culture on corporate social responsibility (CSR) disclosure. We analyse the relationship between the Hofstede’s cultural ...
TL;DR: In this article, the authors examined herding in three developed stock markets testing for the impact of investors' "fear" on herding estimations, and employed daily data of all listed stocks from all listed companies.
Abstract: In this article, we examine herding in three developed stock markets testing for the impact of investors’ ‘fear’ on herding estimations. To this end, we employ daily data of all listed stocks from ...
TL;DR: In this paper, the authors analyse the role of incoming remittances on financial development in developing economies and find that they are the second largest source of external finance after foreign direct investment.
Abstract: Remittances are the second largest source of external finance after foreign direct investment in the developing economies. In this study, we analyse the role of incoming remittances on financial de...
TL;DR: In this paper, the authors used economic policy uncertainty index, and impulse response based test to assess the impact of economic policy-related uncertainty on real economic activity, using monthly data, over the period of three months.
Abstract: We use economic policy uncertainty index, and impulse response based test to assess the impact of economic policy-related uncertainty on real economic activity. We use monthly data, over the period...
TL;DR: In this paper, the effects of public R&D subsidies on the patent output of German firms are analyzed. But the authors distinguish between the direct impact of subsidies on investment and the indirect effect on innovation output measured by patent applications.
Abstract: This article analyses the effects of public R&D subsidies on R&D input and output of German firms. We distinguish between the direct impact of subsidies on R&D investment and the indirect effect on innovation output measured by patent applications. We disentangle the productivity of purely privately financed R&D and additional R&D investment induced by the public incentive scheme. For this, a treatment-effect analysis is conducted in a first step. The results are implemented into the estimation of a patent production function in a second step. It turns out that both purely privately financed R&D and publicly induced R&D show a positive effect on patent outcome.
TL;DR: In this article, the authors investigated whether economic policy uncertainty (EPU) index can increase the HAR-RV-type models' forecast accuracy and explored how EPU index can be effective.
Abstract: In this research, we first investigate whether economic policy uncertainty (EPU) index can increase the HAR-RV-type models’ forecast accuracy. In addition, we explore how EPU index can be effective...
TL;DR: In this paper, the authors make a comparative attempt incorporating the role of economic, demographic, sectoral contribution, government and trade in explaining financial development for India and China in terms of economic and demographic indicators.
Abstract: This research is the first comparative attempt incorporating the role of economic, demographic, sectoral contribution, government and trade in explaining financial development for India and China. ...
TL;DR: The authors investigated the impacts of economic policy uncertainty on global trade flows in gauging international trade developments and employed a global vector autoregressive (GVAR) trade model to estimate trade flows.
Abstract: This article investigates the impacts of economic policy uncertainty (EPU) on global trade flows in gauging international trade developments. We employ a global vector autoregressive (GVAR) trade m...
TL;DR: In this paper, the authors explored the relationship between globalization and financial development by endogenizing economic growth, population density, inflation and institutional quality for India during the period from 1971-2013.
Abstract: This study attempts to explore the relationship between globalization and financial development by endogenizing economic growth, population density, inflation and institutional quality for India during the period from 1971–2013. Using the more conclusivecombined cointegration method, the study provides evidence of cointegration among these variables. The long-run and short-run estimates from the ARDL model and causality tests, respectively, suggest that globalization in its all forms (political, social and economic) and its overall measure as well as inflation are detrimental to financial development, while economic growth and population density both promote financial development. Furthermore, the results also point out that institutional quality is not conducive to financial development in India, and there exists a feedback effect between financial development and inflation. Moreover, financial development is influenced by economic growth, institutional quality and population density.
TL;DR: In this paper, a nonparametric quantile causality approach was adopted to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific Rim region.
Abstract: This article adopts a nonparametric quantile causality approach to examine the causal effects of the U.S. and Japan stock markets on the stock markets of the Pacific-Rim region. This approach allow...
TL;DR: In this paper, the authors examined the links between firm innovation and firm productivity performance across a range of European economies, and explored the differences between countries which had different characteristics of innovation and productivity.
Abstract: This article examines the links between firm innovation and firm productivity performance across a range of European economies, and in particular, we explore the differences between countries which...
TL;DR: In this article, the authors examined the impact of micro-finance plus (i.e., coordinated combination of financial and non-financial services) on the performance of microfinance institutions (MFIs).
Abstract: This article examines the impact of microfinance ‘plus’ (i.e. coordinated combination of financial and nonfinancial services) on the performance of microfinance institutions (MFIs). Using a global data set of MFIs in 77 countries, we find that the provision of nonfinancial services does not harm nor improve MFIs’ financial sustainability and efficiency. The results however suggest that the provision of social services is associated with improved loan quality and greater depth of outreach.
TL;DR: In this article, an uncertainty composite indicator (UCI) based on three distinct sources of uncertainty (namely financial, political, and macroeconomic) for the US economy on the period 1985-2015 was proposed.
Abstract: This article proposes a uncertainty composite indicator (UCI) based on three distinct sources of uncertainty (namely financial, political, and macroeconomic) for the US economy on the period 1985–2015. For that, we use a dynamic factor model, summarizing efficiently six individual uncertainty proxies, namely two macroeconomic and financial uncertainty factors based on the unpredictability, a measure of (micro)economic uncertainty, the implied volatility index, the corporate bond spreads, and an index of economic policy uncertainty. We then compare the effects of uncertainty on economic activity when the UCI is used instead of individual uncertainty proxies in structural VAR models. The interest of our UCI is to synthesize theses effects within one measure of uncertainty. Overall, the UCI was able to account for the most important dynamics of uncertainty which play an important role in business cycles.
TL;DR: Within labour economics, returns to education is an area of focused research as mentioned in this paper, and amongst studies looking at emerging economies, China is the most widely studied economy. While there is a gen...
Abstract: Within labour economics, returns to education is an area of focused research. Moreover, amongst studies looking at emerging economies, China is the most widely studied economy. While there is a gen...
TL;DR: In this paper, the authors investigate the presence of bubbles in the US house price-income ratio at the State level by applying the recent time series-based EConometric test to data from January 1975 to December 2014.
Abstract: We investigate the presence of bubbles in the US house price-income ratio at the State level by applying the recent time series-based econometric test to data from January 1975 to December 2014. We...
TL;DR: In this paper, the authors explore the time-varying causal nexus between tourism development and economic growth for the top 10 tourist destinations in the world, namely China, France, Germany, Italy, Mexico, and Singapore.
Abstract: This article explores the time-varying causal nexus between tourism development and economic growth for the top 10 tourist destinations in the world, namely China, France, Germany, Italy, Mexico, t...
TL;DR: The authors constructed the first news-based economic uncertainty index for Chile, which allowed them to rebuild 23 years of the history of economic uncertainty in the country and quantify its impact on the eco...
Abstract: We construct the first news-based economic uncertainty index for Chile, which allowed us to rebuild 23 years of the history of economic uncertainty in the country and quantify its impact on the eco...
TL;DR: In this article, the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of in...
Abstract: This paper examines the sensitivity of the Dow Jones Islamic market index and its corresponding industry equity indices to changes in the level, slope and curvature of the U.S. term structure of in...
TL;DR: In this paper, the sign and size of the finance-growth relation were investigated using a meta-analysis with 551 estimates from 68 empirical studies, and the results showed that the sign was larger than the growth relation.
Abstract: In this article, we contribute to the current debate on the sign and size of the finance–growth relation. To this purpose, we use a meta-analysis with 551 estimates from 68 empirical studies that t...