Showing papers in "Economic Modelling in 2017"

TL;DR: In this article, a non-parametric causality-in-quantiles test was employed to analyse the causal relation between trading volume and Bitcoin returns and volatility, over the whole of their respective conditional distributions.

TL;DR: In this paper, the authors re-examine the relationship between oil price and stock prices in oil exporting and oil importing countries in the following distinct ways: first, they account for possible nonlinearities in the relationship in order to quantify the asymmetric response of stock prices of these two categories to positive and negative oil price changes.

TL;DR: In this article, the authors evaluate public and private spending in clean energy and compare it to the effects of spending on fossil fuels and find that on average, 2.65 full-time-equivalent (FTE) jobs are created from $1 million spending in fossil fuels, while that same amount of spending would create 7.49 or 7.72 FTE jobs in renewables or energy efficiency.

TL;DR: In this article, the effect of economic policy uncertainty (EPU) in four countries or regions (China, Japan, Europe, and the United States) on the contagion risk of investments in the global stock market was explored.

TL;DR: In this paper, the authors investigated whether a shift toward non-interest income activities improves the profitability of Indian banks and, if so, how it varies across ownership groups and banks with different asset qualities.

TL;DR: In this paper, the authors argue that the effects of exchange rate volatility on trade flows could be asymmetric due to the change in expectations of traders when a currency depreciates as compared to a case when that currency appreciates.

TL;DR: In this article, the driving forces of China's provincial energy intensity were investigated by combining the Data Envelopment Analysis (DEA)-Malmquist and spatial panel approaches for the period between 2000 and 2014.

TL;DR: In this paper, the authors proposed a new Autoregressive distributional lag (ADL) cointegration test in the presence of nonlinear breaks approximated by a Fourier function.

TL;DR: Wang et al. as discussed by the authors investigated the impact of the recently introduced Shanghai-Hong Kong Stock Connect and found that the new Stock Connect does contribute to the increasing importance of Chinese mainland stock market and economic activity.

TL;DR: This article investigated the impact of innovations in US economic policy uncertainty on the co-movements of China's A/B stock markets with the US stock market, and found that it is the absolute changes in the United States economic uncertainty index that have a negative impact on the stock market comovements, and provided evidence regarding how stock market correlations are driven by policy-related uncertainty shocks in the international context.

TL;DR: In this paper, the effect of political stability on economic growth by taking 120 developing countries over the period of 1996-2014 was studied and the authors applied relatively advanced dynamic two-step system-GMM and quantile regression.

TL;DR: In this article, the authors compared the performance of Islamic and conventional banks with the use of individual financial ratios or efficiency frontier techniques, and found that the difference of the overall financial strength between the two groups is not statistically significant.

TL;DR: In this article, the authors investigated the time-varying long-term correlation of U.S. stock and bond markets, as influenced by an economic policy uncertainty (EPU) index based on the modified DCC-MIDAS model.

TL;DR: In this article, the authors developed and estimated a new-Keynesian dynamic stochastic general equilibrium (DSGE) model for the analysis of fiscal policy in the UK and found that government consumption and investment yield the highest GDP multipliers in the short-run, whereas capital income tax and public investment have dominating effect on GDP in the long-run.

TL;DR: In this paper, the authors investigated the presence of asymmetries in the short and long-run relationships between the 5-year CDS index spreads at the U.S. industry level and a set of major macroeconomic and financial variables, namely the corresponding industry stock indices, the VIX index, the 5year Treasury bond yield and the crude oil price, using the NARDL approach.

TL;DR: Ackerberg et al. as discussed by the authors reviewed the state of the art in firm-level total factor productivity (TFP) estimation employing an unbalanced panel of 7400 manufacturing firms in the UK during 2004-2011.

TL;DR: Wang et al. as mentioned in this paper developed both theoretical and empirical models to account for the sources of China's economic growth from 2000 to 2013, which decomposes China's economy growth into five components: the technological change effect, the industrial structure effect, regional balance development effect, management effect, and the production factors effect.

TL;DR: In this paper, the authors studied the hourly volatility spillover between the equity markets of New York (DJI), London (FTSE 100) and Tokyo (N225) and their exchange rates (USD, EUR, GBP and JPY) for the period of 2001 through 2013 covering the non-crises period, the global financial crisis and the euro debt crisis.

TL;DR: In this article, the effect of ASEAN trading link establishment on the short-term interdependency of stock markets in the Association of Southeast Asian Nations (ASEAN) countries was investigated.

TL;DR: In this paper, the extent of financial contagion in Indian asset markets is measured by applying DCC-MGARCH method on daily return of commodity future price index and other asset markets for the period 2006-16, time varying correlation between commodity and other assets are estimated.

TL;DR: In this article, the effect of decentralization on government performance differs from the vast literature on the topic in three major ways: it is not oversold as a policy prescription to improve government performance; the form of decentralisation and its contextualization in terms of the targeted area of government activity need careful consideration.

TL;DR: In this article, the authors investigate the reaction of fiscal policy to the business cycle in a panel of 56 developed, emerging and developing economies over 1990-2011 and reveal a non-linear response of the government's response to a business cycle, conditional upon the outstanding debt stock.

TL;DR: In this article, the authors examined how world prices affect depletion of exhaustible fossil fuels for export and the role of an export revenue tax in curbing depletion in a small open economy affected by climate change.

TL;DR: In this paper, the effects of fiscal institutions on fiscal policy outcomes, addressing issues related to measurement and endogeneity in a novel way, are estimated by exploiting the exogeneity of institutional variables (checks and balances, government fragmentation, inflation targeting), which are found to be relevant determinants of fiscal rules.

TL;DR: In this article, a simple panel stationarity test which takes into account structural shifts and cross-section dependency is proposed, where structural shifts are modelled as a gradual/smooth process with a Fourier approximation.

TL;DR: In this paper, the authors investigated the risk and return characteristics of Islamic funds in comparison with SRI and the conventional open-end mutual funds for the UK and found that Islamic and SRI funds in general perform close to the conventional funds with significantly better risk-return tradeoff in US focused funds.

TL;DR: In this article, the authors look at the relationship between economic growth, human development, and openness to trade in a large panel of developing Asian economies using a theoretically motivated simultaneous equations system.

TL;DR: Using taxation statistics, this article derived consistently defined Gini coefficients for the period 1942-2013 for Australia as a whole as well as its eight states and territories and found that inequality adversely affects economic growth with a couple of years delay.

TL;DR: Wang et al. as discussed by the authors investigated the contemporaneous and the lead-lag relationship between local daily happiness sentiment extracted from Twitter and stock returns of cross-listed companies, i.e., the Chinese companies listed in the United States.

TL;DR: The authors examined the role of quality of governance (QOG) on economic growth under the condition of heterogeneity and cross-sectional independence in errors in 50 oil exporting countries and found that QOG is by far the most consistent driver of economic growth both in the long and short run.