Template-Type: ReDIF-Article 1.0
Author-Name: Benjamin Friedman 
Author-X-Name-First: Benjamin 
Author-X-Name-Last: Friedman 
Title: Monetary policy for emerging market economies: beyond inflation targeting 
Abstract:
  Monetary policymakers normally seek to achieve multiple objectives: for
 prices as well as real economic activity, sometimes for the composition of
 real activity as well as the aggregate, and often for aspects of the
 economy's international balance. The fact that monetary policy has only
 one basic instrument to use therefore creates both complexity and tensions
 among these objectives. Although inflation targeting represents a way of
 imposing a logical consistency on monetary policy, in the presence of
 multiple policy objectives inflation targeting undermines policy
 transparency and therefore makes accountability more difficult too.
 Because of the limitation of monetary policy's having only one instrument,
 but multiple objectives, fiscal policy and prudential supervision and
 regulation of financial institutions are also important for enabling
 emerging market economies to achieve their macroeconomic aims. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-12 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: monetary policy, inflation targeting, policy transparency, accountability, financial regulation, 
X-DOI: 10.1080/17520840801903083 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840801903083
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Template-Type: ReDIF-Article 1.0
Author-Name: Michael Artis 
Author-X-Name-First: Michael 
Author-X-Name-Last: Artis 
Title: What do we now know about currency unions? 
Abstract:
  The paper presents the text of a lecture given at the Bank of England in
 December 2005 as the first in a series of lectures in memory of John
 Flemming. It provides a personal view of what the profession has learnt
 about currency unions as a result of the establishment and operation of
 the European Monetary Union. It argues that the salience of business cycle
 concurrence as a criterion for participation is probably less than used to
 be understood and for some countries borders on irrelevance. In any case
 the effects of union upon business cycle concurrence are themselves not
 obvious. It also appears that, after a period in which very large
 estimates of the trade effect of currency unions were widespread, more
 modest estimates are in order. The most unlooked-for effect is probably
 that which has occurred in the financial markets; country premia within
 the EMU are very small, offering a means for insurance against asymmetric
 shocks. Finally, the lessons of another, local, experiment in currency
 union is examined. But the useful lessons from this experiment (Ecco
 L'Euro) are found to be limited. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 13-29 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: currency union, EMU, optimal currency area theory, 
X-DOI: 10.1080/17520840701856217 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701856217
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Template-Type: ReDIF-Article 1.0
Author-Name: Aman Ullah 
Author-X-Name-First: Aman 
Author-X-Name-Last: Ullah 
Author-Name: Xiangdong Long 
Author-X-Name-First: Xiangdong 
Author-X-Name-Last: Long 
Title: Risk-based portfolio strategy in emerging stock markets: economic significance from Brazil, Russia, India and China 
Abstract:
  The purpose of this paper is to examine the conditional volatility and
 correlation predictability of four emerging stock markets, and address the
 issue whether investors could exploit this predictability to earn excess
 returns from the minimum variance portfolio of index component stocks.
 Inevitably, transaction cost affects the conclusive results. Nevertheless,
 economic gain exceeding a conservatively high transaction cost could be
 derived from a number of conditional volatility and correlation models.
 One dominant model, the shrinkage model, outperforms the market across the
 countries, cost structures and performance measures. We also document the
 superiority of averaging methodologies. However, semiparametric modelling
 falls in a grey area of profitability - sometimes attractive whilst
 sometimes not attractive. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 31-49 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: correlation, emerging stock market, performance measure, portfolio, volatility, 
X-DOI: 10.1080/17520840701835781 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701835781
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Template-Type: ReDIF-Article 1.0
Author-Name: Raghbendra Jha 
Author-X-Name-First: Raghbendra 
Author-X-Name-Last: Jha 
Author-Name: Ibotombi Longjam 
Author-X-Name-First: Ibotombi 
Author-X-Name-Last: Longjam 
Title: A Divisia type saving aggregate for India 
Abstract:
  Indian financial sector reforms initiated in 1991-92 have significantly
 affected user costs of assets and have resulted in significant
 substitution among them. Thus there is a need to develop a measure of
 savings that reflects household choice over assets more accurately than
 the simple sum. An advantage of monetary aggregates that are based on
 microtheoretic foundations, for example, the Divisia index, is that no a
 priori assumptions about asset substitutability need be imposed. We
 construct Divisia subaggregates of the financial assets component of
 Indian household savings and an overall aggregate of financial savings and
 demonstrate their superiority to the simple sum constructs. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 51-66 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: Divisia aggregates, financial savings, 
X-DOI: 10.1080/17520840701834966 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701834966
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Template-Type: ReDIF-Article 1.0
Author-Name: Romar Correa 
Author-X-Name-First: Romar 
Author-X-Name-Last: Correa 
Title: Demand deposit banking and open market operations 
Abstract:
  The institutional combination of illiquid assets and demand deposit
 banking is regarded as vulnerable to collapse because of the impatience of
 depositors. We suggest that the mechanism of fully backed central bank
 money is a means of redress. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 67-73 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: closed-loop information structures, feedback information structures, 
X-DOI: 10.1080/17520840701856241 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701856241
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Template-Type: ReDIF-Article 1.0
Author-Name: Alice Ouyang 
Author-X-Name-First: Alice 
Author-X-Name-Last: Ouyang 
Author-Name: Ramkishen Rajan 
Author-X-Name-First: Ramkishen 
Author-X-Name-Last: Rajan 
Title: Reserve stockpiling and managing its monetary consequences: the Indian experience 
Abstract:
  India's foreign exchange reserves have risen rapidly since the
 balance-of-payment crisis in 1991 to over US$155 billion by mid-2006.
 India is now the fifth largest Asian reserve holder. Despite this, scant
 attention has been paid to the rationale for and impact of reserves
 accumulation in India. This paper estimates the extent of de facto
 sterilization and capital mobility concurrently for the period
 1990:q1-2004:q4. While India appears to have sterilized capital inflows
 quite aggressively, as the extent of de facto capital mobility continues
 to rise, it might become increasingly difficult to continue to sterilize
 going forward. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 75-91 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: balance of payments, capital mobility, money supply, reserves, India, sterilization, 
X-DOI: 10.1080/17520840701835021 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701835021
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Template-Type: ReDIF-Article 1.0
Author-Name: Jose Sanchez-Fung 
Author-X-Name-First: Jose 
Author-X-Name-Last: Sanchez-Fung 
Title: Modelling the term structure of interest rates in a small emerging market economy 
Abstract:
  This paper investigates the term structure of interest rates in a small
 emerging market economy - the Dominican Republic. The modelling finds a
 significant dynamic link amongst the day-to-day interbank interest rate
 and a representative banking system interest rate. But the interbank
 rate's forecasting power breaks down in the aftermath of the 2003 banking
 crisis. This episode illustrates how the monetary authorities' credibility
 with the public and market expectations affect the term structure's
 reliability. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 93-103 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: term structure of interest rates, monetary policy, financial crisis, GARCH modelling, forecasting, Dominican Republic, 
X-DOI: 10.1080/17520840701834958 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701834958
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Template-Type: ReDIF-Article 1.0
Author-Name: Jesus Gonzalo 
Author-X-Name-First: Jesus 
Author-X-Name-Last: Gonzalo 
Author-Name: Tae-Hwy Lee 
Author-X-Name-First: Tae-Hwy 
Author-X-Name-Last: Lee 
Author-Name: Weiping Yang 
Author-X-Name-First: Weiping 
Author-X-Name-Last: Yang 
Title: Permanent and transitory components of GDP and stock prices: further analysis 
Abstract:
  Using the conventional VAR identification approach, Cochrane (Quarterly
 Journal of Economics 107: 241-65, 1994) finds that substantial amounts of
 variation in GDP growth and stock returns are due to transitory shocks.
 Following the common trend decomposition of King etal. (American Economic
 Review 81: 819-40, 1991), we show that Cochrane's results depend on the
 assumption of weak exogeneity of one of the variables with respect to the
 cointegration vector. When this assumption holds both approaches coincide.
 If not, the shocks Cochrane called transitory are not totally transitory.
 In this case, the conventional VAR approach with the assumption of the
 weak exogeneity may overstate the magnitude of transitory shocks and
 understate that of permanent shocks. We find that the permanent components
 of GDP and stock prices are much larger than those estimates of Cochrane,
 although substantial (but much smaller than in Cochrane 1994) variations
 in GDP growth and stock returns are attributed to transitory shocks. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 105-120 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: permanent components, transitory components, weak exogeneity, cointegration, VAR, 
X-DOI: 10.1080/17520840701864955 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701864955
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Template-Type: ReDIF-Article 1.0
Author-Name: Saumitra Bhaduri 
Author-X-Name-First: Saumitra 
Author-X-Name-Last: Bhaduri 
Author-Name: S. Raja Sethu Durai 
Author-X-Name-First: S. Raja Sethu 
Author-X-Name-Last: Durai 
Title: Optimal hedge ratio and hedging effectiveness of stock index futures: evidence from India 
Abstract:
  In a free capital mobile world with increased volatility, the need for an
 optimal hedge ratio and its effectiveness is warranted to design a better
 hedging strategy with future contracts. This study analyses four competing
 time series econometric models with daily data on NSE Stock Index Futures
 and S&P CNX Nifty Index. The effectiveness of the optimal hedge ratios is
 examined through the mean returns and the average variance reduction
 between the hedged and the unhedged positions for 1-, 5-, 10- and 20-day
 horizons. The results clearly show that the time-varying hedge ratio
 derived from the multivariate GARCH model has higher mean return and
 higher average variance reduction across hedged and unhedged positions.
 Even though not outperforming the GARCH model, the simple OLS-based
 strategy performs well at shorter time horizons. The potential use of this
 multivariate GARCH model cannot be sublined because of its estimation
 complexities. However, from a cost of computation point of view, one can
 equally consider the simple OLS strategy that performs well at the shorter
 time horizons. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 121-134 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: optimal hedge ratio, multivariate GARCH model, stock index futures, 
X-DOI: 10.1080/17520840701859856 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701859856
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Template-Type: ReDIF-Article 1.0
Author-Name: C. Rangarajan 
Author-X-Name-First: C. 
Author-X-Name-Last: Rangarajan 
Author-Name: A. Prasad 
Author-X-Name-First: A. 
Author-X-Name-Last: Prasad 
Title: Capital flows, exchange rate management and monetary policy 
Abstract:
  Capital inflows have brought substantial macro and financial benefits; at
 the same time, the size and nature of capital inflows have complicated
 macroeconomic management in recipient countries. Multiple concerns have
 produced multiple responses by countries to capital inflows. Countries
 have pursued a combination of policies - let the exchange rate appreciate,
 accumulate foreign exchange reserves, with or without sterilization,
 liberalize outflows, tighten monetary and fiscal policies and in a few
 cases impose capital controls on inflows either directly or through
 prudential regulation. Experience shows that there are no corner solutions
 and countries have to resort to a judicious mix of these policies
 depending on the prevailing circumstances. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 135-149 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: monetary policy, capital flows, exchange rate management, central banking, 
X-DOI: 10.1080/17520840701859534 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701859534
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Template-Type: ReDIF-Article 1.0
Author-Name: Stefan Ingves 
Author-X-Name-First: Stefan 
Author-X-Name-Last: Ingves 
Author-Name: Goran Lind 
Author-X-Name-First: Goran 
Author-X-Name-Last: Lind 
Title: The development of a modern financial sector in Sweden 
Abstract:
  Macro economic development must be supported by a stable and efficient
 financial system. Excessive and inappropriate regulation of the financial
 system will restrain its functions and may lead to less than optimal
 resource allocation. But the transition from a highly regulated system
 must be carefully planned and orchestrated and several mistakes in this
 regard were made in the Swedish case, eventually leading to a systemic
 banking crisis. After the crisis, modern forms of regulation and
 supervision have been introduced leading to a successful and stable
 financial sector. Experiences from the Swedish case can be applied to many
 other financial systems, developed as well as emerging. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 151-163 
Issue: 1 
Volume: 1 
Year: 2008 
Keywords: regulation, supervision, banking reform, 
X-DOI: 10.1080/17520840701859112 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840701859112
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Template-Type: ReDIF-Article 1.0
Author-Name: D. M. Nachane 
Author-X-Name-First: D. M. 
Author-X-Name-Last: Nachane 
Title: Editorial 
Abstract:
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 165-166 
Issue: 2 
Volume: 1 
Year: 2008 
X-DOI: 10.1080/17520840802323232 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802323232
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Template-Type: ReDIF-Article 1.0
Author-Name: Hui-Boon Tan 
Author-X-Name-First: Hui-Boon 
Author-X-Name-Last: Tan 
Author-Name: Lee-Lee Chong 
Author-X-Name-First: Lee-Lee 
Author-X-Name-Last: Chong 
Title: Choice of exchange rate system and macroeconomic volatility of three Asian emerging economies 
Abstract:
  This study highlights the importance of choice of exchange rate system to
 macroeconomic stability of small-open emerging economies based on the
 outcomes of the recent exchange rate regime switches of three Asian
 countries - Indonesia, Malaysia, and Thailand. These countries have high
 similarities in their economic structures, but have reacted very
 differently in mitigating the economic distortion of the 1997 financial
 crisis, in particular in the adoption of exchange rate system. The
 empirical results of this study show that the amplified instability of
 macro-variables in Thailand and Indonesia, which was due to the crisis,
 were not stabilized by switching the exchange rate system to a flexible
 regime. The volatilities, however, were effectively stabilized after the
 countries made the second switch - from the independent float to the
 managed float with no pre-announcement. For Malaysia, a switch from the
 managed float to the pegged system successfully reduced the volatilities.
 The exchange rate misalignments of the countries, except Indonesia, were
 also reduced when the countries switched from a flexible to a more fixed
 managed float system. These empirical findings thus strongly support
 central banks of small-open emerging economies to adopt a more fixed,
 rather than a more flexible system. However, the managed float system
 needs to couple with efficient management to ensure a smooth and stable
 regime. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 167-179 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: exchange rate regimes, macroeconomic volatility, financial crisis, exchange rate misalignment, 
X-DOI: 10.1080/17520840802252217 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252217
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Template-Type: ReDIF-Article 1.0
Author-Name: Sitikantha Pattanaik 
Author-X-Name-First: Sitikantha 
Author-X-Name-Last: Pattanaik 
Title: Oman's monetary policy transmission process under the fixed peg: some empirical puzzles 
Abstract:
  This paper highlights that an open economy, like Oman, could often enjoy
 partial monetary policy independence despite operating with a fixed peg,
 which may appear as a clear violation of the 'macroeconomic trilemma'.
 While explaining the country-specific factors that create the scope for
 partial monetary policy independence, the paper underscores that for
 meaningful use of this partial monetary policy independence to attain
 domestic goals of inflation and output, the transmission mechanism of
 monetary policy must work effectively. Empirical analyses presented in
 this paper for Oman, however, suggest the presence of not only the
 'interest rate puzzle' but also the 'IS puzzle' and the 'Phillips curve
 puzzle', which together signal the presence of significant transmission
 weaknesses. The paper, thus, concludes that costs stemming from loss of
 any monetary policy independence because of the fixed peg may not be very
 significant for Oman, and hence, any alternative exchange rate regime
 cannot be viewed as appropriate just on the grounds that an alternative
 regime could deliver greater monetary policy independence. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 181-198 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: monetary policy transmission, Oman, interest rate puzzle, IS puzzle, Phillips curve puzzle, monetary policy independence, fixed peg, 
X-DOI: 10.1080/17520840802252225 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252225
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Template-Type: ReDIF-Article 1.0
Author-Name: Naveen Srinivasan 
Author-X-Name-First: Naveen 
Author-X-Name-Last: Srinivasan 
Author-Name: Vidya Mahambare 
Author-X-Name-First: Vidya 
Author-X-Name-Last: Mahambare 
Author-Name: M. Ramachandran 
Author-X-Name-First: M. 
Author-X-Name-Last: Ramachandran 
Title: Dynamics of inflation in India: does the new inflation bias hypothesis provide an explanation? 
Abstract:
  In this paper we estimate the Reserve Bank of India's (RBI) policy
 response to supply shocks. In particular, we exploit an important strand
 of the recent literature (the new inflation bias hypothesis) to understand
 why the two frequently cited measures of inflation in India have
 persistently diverged in recent years. Specifically, it is argued that the
 difference in coverage and weighting pattern between the indices
 interacting with policies pursued by the RBI to control its preferred
 inflation measure WPI turned out to be inappropriate with respect to
 stabilizing expected CPI-IW inflation. This in turn provides an
 explanation for the persistent divergence between the two measures of
 inflation. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 199-212 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: supply shocks, monetary policy, inflation divergence, 
X-DOI: 10.1080/17520840802252308 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252308
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Template-Type: ReDIF-Article 1.0
Author-Name: Joshua Abor 
Author-X-Name-First: Joshua 
Author-X-Name-Last: Abor 
Author-Name: Simon Harvey 
Author-X-Name-First: Simon 
Author-X-Name-Last: Harvey 
Title: Foreign direct investment and employment: host country experience 
Abstract:
  This study investigates the effect of foreign direct investment (FDI) on
 employment creation and wages in Ghana. A simultaneous panel regression
 model is used in estimating the effect FDI has on employment and wages.
 The results of this study indicate that FDI has a statistically
 significant and positive effect on employment levels in Ghana, but has an
 insignificant effect on wages. FDI can greatly augment domestic efforts by
 creating more jobs in the economy. The results clearly demonstrate that
 FDI flows affect employment quantitatively, but not necessarily
 qualitatively. The study identifies other factors including, productivity,
 wages, sub-sector, and location as important in influencing employment
 levels. Also, productivity, labour union, firm size, sub-sector, and
 location are noted as significant in affecting wages in Ghana. The main
 value of this paper is in respect of the fact that it provides insight
 into the effects of FDI flow on employment from a host country
 perspective. The study recommends that FDI should be considered as an
 integral part of the Ghanaian economic policy in order to spur on economic
 growth. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 213-225 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: foreign direct investment, employment, wages, Ghana, 
X-DOI: 10.1080/17520840802323224 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802323224
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Handle: RePEc:taf:macfem:v:1:y:2008:i:2:p:213-225




Template-Type: ReDIF-Article 1.0
Author-Name: Catriona Purfield 
Author-X-Name-First: Catriona 
Author-X-Name-Last: Purfield 
Author-Name: Hiroko Oura 
Author-X-Name-First: Hiroko 
Author-X-Name-Last: Oura 
Author-Name: Charles Kramer 
Author-X-Name-First: Charles 
Author-X-Name-Last: Kramer 
Author-Name: Andreas Jobst 
Author-X-Name-First: Andreas 
Author-X-Name-Last: Jobst 
Title: Asian equity markets: growth, opportunities, and challenges 
Abstract:
  Asian equity markets have grown significantly in size since the early
 1990s, driven by strong international investor inflows, growing regional
 financial integration, capital account liberalization, and structural
 improvements to markets. The development of equity markets provides a more
 diversified set of channels for financial intermediation to support
 growth, thus bolstering medium-term financial stability. At the same time,
 as highlighted by the May-June 2006 market corrections, the increasing
 role of stock markets potentially changes the nature of macroeconomic and
 financial stability risks, as well as the policy requimacfemnts for dealing
 with these risks. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 227-248 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: equity markets, Asian financial markets, financial integration, financial stability, international capital markets, 
X-DOI: 10.1080/17520840802252571 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252571
File-Format: text/html
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Handle: RePEc:taf:macfem:v:1:y:2008:i:2:p:227-248




Template-Type: ReDIF-Article 1.0
Author-Name: Swati Ghosh 
Author-X-Name-First: Swati 
Author-X-Name-Last: Ghosh 
Author-Name: Ernesto Revilla 
Author-X-Name-First: Ernesto 
Author-X-Name-Last: Revilla 
Title: Enhancing the efficiency of securities markets in East Asia 
Abstract:
  We explore the relative efficiency of stock markets across countries
 using newly available data on transactions costs and the quality of the
 informational environment of stock markets. These new measures are
 constructed from firm-level stock returns in a panel of 60 countries for
 the period 2000-2004. We develop a framework to understand the linkages
 between efficiency, liquidity, transactions costs, and informational
 quality and then study their determinants. We find that some institutional
 arrangements - such as the availability of stock lending and short selling
 - and the openness of markets are associated with lower transactions
 costs. We also find that, although disclosure rules for directors and
 officers of listed firms are essential, the ability of shareholders to
 seek redress is more conducive to a better informational environment in
 stock markets. This in turn serves as the basis for policy recommendations
 for the East Asian region. In particular, the region needs to continue to
 strengthen the implementation and enforcement of corporate governance, to
 further enhance the market and institutional infrastructure, and focus on
 measures to foster a larger and more diversified investor base, in order
 to continue to see gains in the efficiency of stock markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 249-268 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: liquidity of stock markets; capital markets; stock markets; East Asia; transactions costs; corporate governance, 
X-DOI: 10.1080/17520840802252753 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252753
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Handle: RePEc:taf:macfem:v:1:y:2008:i:2:p:249-268




Template-Type: ReDIF-Article 1.0
Author-Name: Victor Pontines 
Author-X-Name-First: Victor 
Author-X-Name-Last: Pontines 
Author-Name: Ramkishen Rajan 
Author-X-Name-First: Ramkishen 
Author-X-Name-Last: Rajan 
Title: The Asian Currency Unit (ACU): exploring alternative currency weights 
Abstract:
  While most observers concur that the time is not ripe for Asia to
 consider a common currency, there has been some discussion about the
 possible creation of an Asian Currency Unit (ACU). This paper examines the
 specific issue of the ACU which, in a general sense, is a weighted average
 of regional currencies a la the European Currency Unit (ECU) which was
 created in March 1979 under the European Monetary System (EMS). The paper
 critically examines the rationale for the ACU proposal and offers an
 initial attempt at computing optimal currency composition of the ACU. The
 optimal basket weights computed are aimed at ensuring a regional currency
 basket that has minimal variance. Hence it will deliver stability in
 intra-regional exchange rates for alternative configurations of currency
 baskets in the Asian and Pacific region. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 269-278 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: ASEAN, Asian Currency Unit (ACU), currency basket, European Currency Unit (ECU), monetary and financial regionalism, parallel currency, 
X-DOI: 10.1080/17520840802252829 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252829
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Template-Type: ReDIF-Article 1.0
Author-Name: Apanard Angkinand 
Author-X-Name-First: Apanard 
Author-X-Name-Last: Angkinand 
Author-Name: Thomas Willett 
Author-X-Name-First: Thomas 
Author-X-Name-Last: Willett 
Title: Political influences on the costs of banking crises in emerging market economies: testing the U-shaped veto player hypothesis 
Abstract:
  While there has been considerable research on the consequences of
 financial crises, there has been little empirical research on the possible
 effects of the role of domestic political institutions that influence a
 government's ability to implement crisis management policies. This paper
 investigates the impact of domestic institutions, characterized by a
 U-shaped veto player framework, on the output costs of banking crises. The
 analysis extends MacIntyre's qualitative study (2001) of the relationship
 between veto players and policy risks in the Asian financial crises. For a
 large sample of emerging market economies, we find support for McIntyre's
 hypotheses that both too few and too many veto players are associated with
 greater costs of banking crises. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 279-297 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: veto player, output cost, banking crises, 
X-DOI: 10.1080/17520840802252878 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252878
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Handle: RePEc:taf:macfem:v:1:y:2008:i:2:p:279-297




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Chibba 
Author-X-Name-First: Michael 
Author-X-Name-Last: Chibba 
Title: Monetary policy for small emerging market economies: the way forward 
Abstract:
  Discretionary monetary policy for small emerging market economies,
 especially in Sub-Saharan Africa, can benefit from closer scrutiny and
 strengthening through appropriate and incmacfemntal policies. Field research
 and related analysis challenge the conventional wisdom on the relationship
 between interest rates and inflation. Lessons learned suggest that
 monetary policy needs to be tempered to prevailing social, cultural, and
 socio-economic factors. In addition, access to credit through financial
 inclusion policies and programmes needs to be addressed, and the
 overarching role of good governance cannot be overlooked. Given the broad
 scope of weaknesses inherent in monetary policy-making (and the systems
 that support it) in small emerging market economies such as Botswana's,
 two options are available to tackle the problems: either monetary union
 should be adopted or incmacfemntal new directions to the status quo are
 required. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 299-306 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: monetary policy, small emerging market economies, Sub-Saharan Africa, monetary union, social and cultural factors, 
X-DOI: 10.1080/17520840802252894 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802252894
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Template-Type: ReDIF-Article 1.0
Author-Name: Golak Nath 
Author-X-Name-First: Golak 
Author-X-Name-Last: Nath 
Title: Role of Clearing Corporation in Indian financial market development 
Abstract:
  The Clearing Corporation of India (CCIL) was set up with the prime
 objective to improve efficiency in the transaction settlement process,
 insulate the financial system from shocks emanating from operations
 related issues, and to undertake other related activities that would help
 to broaden and deepen the Money, Gilts and Forex markets in India. The
 role of CCIL is unique as it provides guaranteed settlement of three
 different products under one umbrella. It has been instrumental in setting
 up and running NDS-OM, NDS-Call and NDS-Auction system for the central
 bank that had helped the Indian market to evolve and grow immensely. It
 had also immensely bolstered CCIL's image in terms of ability to provide
 transparent, efficient, robust and cost effective end to end solutions to
 market participants in various markets. The success of its money market
 product 'CBLO' has helped the market participants as well as the central
 bank to find a solution to unusual dependence on uncollateralized call
 market. CCIL has introduced many innovative products/tools like ZCYC, Bond
 and Tbills indices, Sovereign Yield Curve, Benchmark reference rates like
 CCIL-MIBOR/MIBID and CCBOR/CCBID. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 307-311 
Issue: 2 
Volume: 1 
Year: 2008 
Keywords: Clearing Corporation, clearing and settlement, India, novation, gilts, forex, 
X-DOI: 10.1080/17520840802253140 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840802253140
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Editorial 
Abstract:
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-2 
Issue: 1 
Volume: 2 
Year: 2009 
X-DOI: 10.1080/17520840902726151 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726151
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Template-Type: ReDIF-Article 1.0
Author-Name: Jesus Otero 
Author-X-Name-First: Jesus 
Author-X-Name-Last: Otero 
Author-Name: Manuel Ramirez 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Ramirez 
Title: Modelling the monetary policy reaction function of the Colombian Central Bank 
Abstract:
  This paper proposes a simple ordered probit model to analyse the monetary
 policy reaction function of the Colombian Central Bank. There is evidence
 that the reaction function is asymmetric, in the sense that the Bank
 increases the Bank rate when the gap between observed inflation and the
 inflation target (lagged once) is positive, but it does not reduce the
 Bank rate when the gap is negative. This behaviour suggests that the Bank
 is more interested in fulfilling the announced inflation target rather
 than in reducing inflation excessively. The forecasting performance of the
 model, both within and beyond the estimation period, appears to be
 particularly good. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 3-11 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: monetary policy reaction function, ordered probit model, Central Bank independence, Colombia, 
X-DOI: 10.1080/17520840902726193 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726193
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Template-Type: ReDIF-Article 1.0
Author-Name: Chee-Keong Choong 
Author-X-Name-First: Chee-Keong 
Author-X-Name-Last: Choong 
Author-Name: Kian-Ping Lim 
Author-X-Name-First: Kian-Ping 
Author-X-Name-Last: Lim 
Title: Foreign direct investment, financial development, and economic growth: the case of Malaysia 
Abstract:
  This paper presents, within an endogenous growth model, an analysis of
 the interaction between foreign direct investment (FDI) and financial
 development in promoting Malaysia's economic growth. Using a
 co-integration framework, this study estimates a dynamic endogenous growth
 function that includes the impact of FDI and financial sector evolution as
 well as some locational determinants for the sample period spanning from
 1970 to 2001. The empirical evidence suggests that foreign direct
 investment, labour, investment, and government expenditure play a pivotal
 role in local economic prosperity. More importantly, it is found that the
 interaction between FDI and financial development exerts a significant
 effect on the growth performance of Malaysia. Perhaps the strongest result
 to emerge from our study is the significant role played by FDI-finance
 interaction in the growth process. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 13-30 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: foreign direct investment, financial development, economic growth, 
X-DOI: 10.1080/17520840902726227 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726227
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Template-Type: ReDIF-Article 1.0
Author-Name: Dan Wang 
Author-X-Name-First: Dan 
Author-X-Name-Last: Wang 
Author-Name: Subal Kumbhakar 
Author-X-Name-First: Subal 
Author-X-Name-Last: Kumbhakar 
Title: Strategic groups and heterogeneous technologies: an application to the US banking industry 
Abstract:
  Using the US banking industry data during 1991-2000, this paper carries
 out a cluster analysis to segment banks into distinct strategic groups in
 terms of their product mix and allocation of inputs. We then investigate
 the production technology and cost structures for banks in each strategic
 group. A system of cost function and derived share equations is used to
 estimate the technology for each group. The distributions of returns to
 scale and technical change for each strategic group are also examined. Our
 results support the presence of seven distinct strategic groups and
 heterogeneous technologies in the US banking industry. We also find
 variations in returns to scale and technical change across strategic
 groups and over time. By allowing technologies to differ across strategic
 groups, our results show the presence of increasing, constant, and
 decreasing returns to scale in different strategic groups. In contrast, if
 one follows the conventional cost function approach which assumes a single
 homogeneous technology, one would conclude erroneously that the US banking
 industry is characterized by decreasing returns to scale. Based on these
 findings we conclude that the results based on a single homogeneous
 technology are likely to misrepresent the US banking industry. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 31-57 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: strategic groups, clustering, cost function, returns to scale, technical change, 
X-DOI: 10.1080/17520840902726268 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726268
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Template-Type: ReDIF-Article 1.0
Author-Name: Indranil Bhattacharyya 
Author-X-Name-First: Indranil 
Author-X-Name-Last: Bhattacharyya 
Author-Name: Mohua Roy 
Author-X-Name-First: Mohua 
Author-X-Name-Last: Roy 
Author-Name: Himanshu Joshi 
Author-X-Name-First: Himanshu 
Author-X-Name-Last: Joshi 
Author-Name: Michael Patra 
Author-X-Name-First: Michael 
Author-X-Name-Last: Patra 
Title: Money market microstructure and monetary policy: the Indian experience 
Abstract:
  Money market microstructure has recently started drawing attention in the
 empirical literature on financial markets of emerging market economies. In
 the Indian context, a GARCH(1, 1) model shows that policy instruments
 impact bid-ask spreads in the money market. Volatility of bid-ask spreads
 seems to be more persistent in the overnight market than in longer
 maturity segments. The results also suggest the dominance of policy
 interventions over the market microstructure across the term structure of
 the Indian money market. Unanticipated policy actions can delay mean
 reversion and, therefore, the return to stability. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 59-77 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: monetary policy, market microstructure, GARCH, persistence, 
X-DOI: 10.1080/17520840902726326 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726326
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Template-Type: ReDIF-Article 1.0
Author-Name: Saumitra Bhaduri 
Author-X-Name-First: Saumitra 
Author-X-Name-Last: Bhaduri 
Author-Name: Mahima Ravi 
Author-X-Name-First: Mahima 
Author-X-Name-Last: Ravi 
Title: Bubble in the Indian stock market: myth or reality 
Abstract:
  The paper investigates the existence of speculative bubbles in the Indian
 stock market using both monthly and weekly returns for the period
 1990-2007. Further, a year-by-year analysis using weekly returns was also
 carried out to test for the existence of bubbles in each individual year.
 The results suggest that no speculative bubbles were present in the Indian
 stock market for the sample period considered for this study. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 79-92 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: speculative bubbles, duration dependence models, 
X-DOI: 10.1080/17520840902726391 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726391
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Template-Type: ReDIF-Article 1.0
Author-Name: Fadzlan Sufian 
Author-X-Name-First: Fadzlan 
Author-X-Name-Last: Sufian 
Title: The determinants of efficiency of publicly listed Chinese banks: evidence from two-stage banking models 
Abstract:
  The paper attempts to investigate the long-term trend in the efficiency
 of the Chinese banking sector over the period 1997-2006 by employing the
 Data Envelopment Analysis (DEA) window analysis method. We find that the
 small banks have exhibited the lowest mean technical efficiency compared
 to their medium and large bank peers, while the medium-sized banks were
 relatively more technically efficient compared to their small and large
 bank counterparts. The empirical findings suggest that the Joint Stock
 Commercial Banks (JSCBs) have been relatively more technically efficient
 compared to their State-Owned Commercial Bank (SOCB) counterparts
 attributed to higher mean scale efficiency. On the other hand, the SOCBs
 have outperformed their JSCB counterparts in terms of pure technical
 efficiency. The results from the second-stage regression analysis suggest
 that technical efficiency is positively associated with diversification,
 loans intensity, capitalization levels, and economic growth. On the other
 hand, technical efficiency is negatively related to size and expense
 preference behaviour. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 93-133 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: bank efficiency, DEA window analysis, multivariate Tobit regression, China, 
X-DOI: 10.1080/17520840902726458 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726458
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Template-Type: ReDIF-Article 1.0
Author-Name: Sitikantha Pattanaik 
Author-X-Name-First: Sitikantha 
Author-X-Name-Last: Pattanaik 
Title: Some unpleasant policy challenges from the sub-prime lessons 
Abstract:
  The sub-prime lessons have left many unpleasant policy challenges, and
 the emerging dilemma for the policy-making community is that while there
 are no easy answers to many of these complex questions, in the absence of
 clearer policy positions on most of them the financial systems may
 continue to remain vulnerable. The general perception, that 'saving
 finance' is critical to 'save market capitalism', has allowed a process of
 'destructive creation' in finance, with mushrooming growth in financial
 innovations or 'weapons of financial mass destruction', which in turn has
 increasingly weakened the link between 'finance and growth' while also
 creating unsustainable pressures on the policy-makers to ensure that
 'capital' remains as the only winner in a market economy all the time.
 This paper calls for appropriate regulatory and policy responses to
 enhance the congenial influence of finance on economic growth as well as
 to better balance the interests of 'capital' and 'labour' in any market
 economy. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 135-154 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: sub-prime crisis, financial crisis, policy lessons, 
X-DOI: 10.1080/17520840902726508 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726508
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Template-Type: ReDIF-Article 1.0
Author-Name: Bandi Ram Prasad 
Author-X-Name-First: Bandi Ram 
Author-X-Name-Last: Prasad 
Title: Financial regulation: rising to the challenge 
Abstract:
  This paper discusses major initiatives from regulation in global
 financial markets in response to the current crisis. From the perspective
 of emerging markets a few issues of significance may include: whether
 shortcomings in innovations in structured financial market products will
 limit the scope of their development in the emerging markets, and restrict
 the scope of financial growth? Could more flows be expected to emerging
 markets from Western banking centres looking for productive opportunities?
 Are there opportunities for emerging markets finance to invest in good
 companies with strong balance sheets that are available at relatively
 cheap valuations. Will the Middle East emerge as a power centre in global
 finance? 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 155-173 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: regulation, financial institutions, financial crisis, structured financial products, banks, emerging markets, 
X-DOI: 10.1080/17520840902726540 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726540
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Financial crises: reducing pro-cyclicality 
Abstract:
  The swing in favour of markets weakened regulation, created incentives
 for excessive risk-taking, and reduced transparency and diversity. As a
 result, financial markets became more pro-cyclical. The right combination
 of regulation and markets is required to reverse this. Principle-based
 reform should aim to change behaviour rather than forbid activity. Central
 Bank accommodation has been blamed for the crisis, but excessive leverage
 due to lax regulation was of a much greater magnitude than any monetary
 imbalance. Capital's mobility and arbitrage in response to regulation,
 implies changes must be adopted globally. A diversity of voice and power
 is essential to enable implementation of the core set of proposals that
 can make financial markets more robust. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 173-183 
Issue: 1 
Volume: 2 
Year: 2009 
Keywords: regulation, countercyclical, incentives, diversity, 
X-DOI: 10.1080/17520840902726565 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726565
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Introduction: good luck or good policy? 
Abstract:
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 187-188 
Issue: 2 
Volume: 2 
Year: 2009 
X-DOI: 10.1080/17520840903076531 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076531
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Handle: RePEc:taf:macfem:v:2:y:2009:i:2:p:187-188




Template-Type: ReDIF-Article 1.0
Author-Name: Arvind Virmani 
Author-X-Name-First: Arvind 
Author-X-Name-Last: Virmani 
Title: Macro-economic management of the Indian economy: capital flows, interest rates, and inflation 
Abstract:
  This paper addresses the issue of surge in capital inflows into a
 relatively open emerging economy. One of the constraints in dealing with
 surges is that much of the theoretical analysis is motivated by developed
 economies with well developed capital and money markets, while emerging
 economies are characterised by missing market segments and incomplete
 integration of such markets. It tries to use the existing literature and
 empirical information on the concerned economy to derive practical policy
 suggestions for meeting and balancing the objectives of inflation control
 and sustained growth. One of the noteworthy recommendations is the
 introduction of an auctioning mechanism for the right to incur foreign
 debt. This is designed to correct or compensate for the negative
 externalities arising from such cross-border debt, given the possibility
 of sharp reversals arising from global external developments and global
 shocks. The auction of rights to borrow can act as a variable tax that
 taxes short term flows at a higher rate and adjusts to changing
 environment. A limited version of such auctions has been tried sucessfully
 under the supervision of the Securities and Exchange Board of India. The
 global environment that gave rise to this issue in India has changed
 dramatically the US financial crisis and global recession. The analysis
 however, stands and may be useful when the global situation returns to
 normal and another emerging economy is faced with a similar situation. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 189-214 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: capital inflow, monetary policy, financial reform, externality, taxation, trade reform, 
X-DOI: 10.1080/17520840902726482 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726482
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Template-Type: ReDIF-Article 1.0
Author-Name: Rakesh Mohan 
Author-X-Name-First: Rakesh 
Author-X-Name-Last: Mohan 
Title: Capital account liberalization and conduct of monetary policy: the Indian experience 
Abstract:
  The distinguishing feature of our overall reform process initiated in the
 early 1990s has been the acceleration in growth while maintaining price
 and financial stability even in the face of large and repeated domestic
 and foreign shocks. This successful outcome can be attributed, inter alia,
 to our calibrated and cautious approach to capital account and financial
 sector liberalization and our encompassing approach - multiple objectives
 and multiple instruments - to the conduct of monetary policy. For emerging
 market economies like India, monetary policy and exchange rate regimes
 have necessarily to be operated as fuzzy or intermediate regimes not
 obeying the almost received wisdom of purist approaches. The judgement on
 the legitimacy of such a regime must be based on their efficacy as
 revealed by the outcomes. On this count, India's macroeconomic, monetary
 and financial managers can justifiably claim a reasonable degree of
 success: economic growth is high and accelerating; inflation has shifted
 to lower sustainable levels; savings and investments are growing;
 financial markets have been growing and developing in an orderly manner;
 the health of the banking system has improved continuously and is
 approaching best practice standards; the external account is healthy in
 the presence of robust trade growth in both goods and services; increasing
 capital flows indicate growing international confidence in the Indian
 economy; and the Indian exchange rate has been flexible in both directions
 providing for reasonable market determination, in the presence of central
 bank forex interventions. As we ascend to a higher growth path, and as we
 have fuller capital account convertibility, we will face newer challenges
 and will have to continue to adapt. The key point is that with greater
 capital account openness, we have to develop markets such that market
 participants, financial and non financial, are enabled to cope better with
 market fluctuations. As we do this, we need to be cognizant of the vast
 range of capabilities of different market participants in as diverse a
 country as India: from subsistence farmers to the most sophisticated
 financial market practitioners. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 215-238 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: monetary policy, exchange rate management, capital account management, 
X-DOI: 10.1080/17520840903076572 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076572
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Handle: RePEc:taf:macfem:v:2:y:2009:i:2:p:215-238




Template-Type: ReDIF-Article 1.0
Author-Name: Shyamala Gopinath 
Author-X-Name-First: Shyamala 
Author-X-Name-Last: Gopinath 
Title: Indian financial institutions: healthy amid global crises 
Abstract:
  What began as a sub-prime crisis in the US housing mortgage sector in the
 second half of 2007 has turned successively into a global banking crisis,
 global financial crisis and now a global economic crisis. With the spread
 of the contagion from the financial to the real sector, it is now expected
 that global recession will be more protracted and the recovery path fairly
 long. As the global crisis persists with no turnaround in sight, banks
 around the world, including those in India, are taking earnest measures
 with a view to crisis resolution. As the much touted decoupling theory has
 failed the test in today's globalized world, India too is weathering the
 negative impact of the crisis. There is, however, an important difference
 between the crisis in the advanced countries and the developments in
 India. While in the advanced countries the contagion traversed from the
 financial to the real sector, in India the slowdown in the real sector is
 affecting the financial sector, which in turn, has a second-order impact
 on the real sector. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 239-246 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: global financial turmoil, Indian financial system, banks, regulatory framework, non-banking financial intermediaries, 
X-DOI: 10.1080/17520840903076606 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076606
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Handle: RePEc:taf:macfem:v:2:y:2009:i:2:p:239-246




Template-Type: ReDIF-Article 1.0
Author-Name: V. Shunmugam 
Author-X-Name-First: V. 
Author-X-Name-Last: Shunmugam 
Author-Name: Danish Hashim 
Author-X-Name-First: Danish 
Author-X-Name-Last: Hashim 
Title: Volatility in interest rates: its impact and management 
Abstract:
  Volatility in interest rates has direct and indirect effects on the
 economy, particularly on businesses. Studies indicate that due to
 deregulation, following liberalization of economies, the interest rate
 volatility has surged worldwide, with India among the highest-volatility
 counties. Hedging in interest rate futures helps stabilize interest costs
 enabling businesses to remain competitive. Transparency of futures leads
 to increased lending at market determined rates, moderation of external
 shocks, better operating decisions, etc. India's maiden effort to start
 interest rate futures in 2003 failed due to certain inadequacies in
 product design. Here is an attempt to look at the need for and development
 of interest rate futures market in India. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 247-255 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: Financial market, government bonds, interest, interest rates, T-Bill, T-Bond, yield, 
X-DOI: 10.1080/17520840903076614 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076614
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Template-Type: ReDIF-Article 1.0
Author-Name: Saurabh Ghosh 
Author-X-Name-First: Saurabh 
Author-X-Name-Last: Ghosh 
Author-Name: Indranil Bhattacharyya 
Author-X-Name-First: Indranil 
Author-X-Name-Last: Bhattacharyya 
Title: Spread, volatility and monetary policy: empirical evidence from the Indian overnight money market 
Abstract:
  This study uses a GARCH model to estimate conditional volatility in the
 Indian overnight money market during the period 1999-2006. It finds that
 the bid-ask spread in the overnight market was positively related to
 conditional volatility during 1999-2002. This relationship, however, has
 undergone a structural break since 2002 and lagged spread, along with
 conditional variance of the call rate, played an important role in
 determining spread during 2002-2006, indicating the improvement in market
 microstructure in recent years. Regarding monetary policy measures and
 money market volatility, the empirical findings indicate that expansionary
 monetary policy reduces volatility of both the weighted average call rate
 and the bid-ask spread. Among individual policy instruments, announcement
 of cash reserve ratio changes have a negative impact on the volatility of
 both call rate and spread. The other policy variables like Bank Rate, repo
 and reverse repo rates have a mixed impact on volatility of call rate and
 spread. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 257-277 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: GARCH, market microstructure bid-ask spread, monetary policy, 
X-DOI: 10.1080/17520840903076622 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076622
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Handle: RePEc:taf:macfem:v:2:y:2009:i:2:p:257-277




Template-Type: ReDIF-Article 1.0
Author-Name: K. P. Prabheesh 
Author-X-Name-First: K. P. 
Author-X-Name-Last: Prabheesh 
Author-Name: D. Malathy 
Author-X-Name-First: D. 
Author-X-Name-Last: Malathy 
Author-Name: R. Madhumathi 
Author-X-Name-First: R. 
Author-X-Name-Last: Madhumathi 
Title: Precautionary and mercantilist approaches to demand for international reserves: an empirical investigation in the Indian context 
Abstract:
  This paper empirically investigates the importance of precautionary and
 mercantilist approaches to international reserves in the Indian context
 using monthly data from 1993:06 to 2007:03. The ARDL approach to
 cointegration is used to estimate as in the long-run relationship between
 reserves and its determinants. The empirical results show that the impact
 of the volatility of Foreign Institutional Investment which captures the
 precautionary motive, and that of undervalued real exchange rate which is
 associated with the mercantilist view on reserves are statistically
 significant in the long run. We conclude that both the precautionary and
 mercantilist motives explain reserve accumulation in India over the study
 period. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 279-291 
Issue: 2 
Volume: 2 
Year: 2009 
Keywords: international reserves, precautionary motive, mercantilist motive, Foreign Institutional Investment, 
X-DOI: 10.1080/17520840902726367 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840902726367
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Handle: RePEc:taf:macfem:v:2:y:2009:i:2:p:279-291




Template-Type: ReDIF-Article 1.0
Author-Name: Eiji Okano 
Author-X-Name-First: Eiji 
Author-X-Name-Last: Okano 
Title: Optimal monetary and fiscal policy in a currency union with nontradables 
Abstract:
  By constructing a dynamic stochastic general equilibrium (DSGE) model,
 this paper verifies the necessity for an optimal monetary and fiscal
 policy under a currency union with non-tradable goods. An optimal monetary
 policy alone can maximize social welfare through stabilizing the producer
 price inflation and output gap in each country simultaneously when all
 goods are tradable. However, a solitary optimal monetary policy cannot
 maximize social welfare because of the Balassa-Samuelson Theorem when
 non-tradable goods exist. In this case, a cooperative optimal monetary and
 fiscal policy maximizes social welfare. Also, self-oriented fiscal
 authority can replicate optimal allocation similar to a cooperative
 setting. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-23 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: currency union, DSGE, Balassa-Samuelson theorem, optimal monetary policy, monetary and fiscal policy mix, 
X-DOI: 10.1080/17520840903498081 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498081
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Template-Type: ReDIF-Article 1.0
Author-Name: Radovan Fiser 
Author-X-Name-First: Radovan 
Author-X-Name-Last: Fiser 
Author-Name: Roman Horvath 
Author-X-Name-First: Roman 
Author-X-Name-Last: Horvath 
Title: Central bank communication and exchange rate volatility: a GARCH analysis 
Abstract:
  We examine the effects of the Czech National Bank communication,
 macroeconomic news and interest rate differential on exchange rate
 volatility using generalized autoregressive conditional heteroscedasticity
 model. Our results suggest that central bank communication has a calming
 effect on exchange rate volatility. The timing of central bank
 communication seems to matter, too, as financial markets respond more to
 the communication before the policy meetings than after them. Next,
 macroeconomic news releases are found to reduce exchange rate volatility,
 while interest rate differential seems to increase it. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 25-31 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: central bank communication, exchange rate, GARCH, 
X-DOI: 10.1080/17520840903498099 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498099
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Template-Type: ReDIF-Article 1.0
Author-Name: Pami Dua 
Author-X-Name-First: Pami 
Author-X-Name-Last: Dua 
Author-Name: Upasna Gaur 
Author-X-Name-First: Upasna 
Author-X-Name-Last: Gaur 
Title: Determination of inflation in an open economy Phillips curve framework: the case of developed and developing Asian countries 
Abstract:
  This paper investigates the determination of inflation in the framework
 of an open economy forward-looking as well as conventional
 backward-looking Phillips curve for eight Asian countries - Japan, Hong
 Kong, Korea, Singapore, Philippines, Thailand, China Mainland and India.
 Using quarterly data from the 1990s to 2005 and applying the instrumental
 variables estimation technique, we find that the output gap is significant
 in explaining the inflation rate in almost all the countries. Furthermore,
 at least one measure of international competitiveness has a statistically
 significant influence on inflation in all the countries. The differences
 in the developed and developing world are highlighted by the significance
 of agriculture related supply shocks in determining inflation in the case
 of developing countries. For all countries, the forward-looking Phillips
 curve provides a better fit compared to the backward-looking variant. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 33-51 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: determinants of inflation, developed and developing Asian economies, instrumental variable techniques, 
X-DOI: 10.1080/17520840903498107 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498107
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Template-Type: ReDIF-Article 1.0
Author-Name: Saoussen Ben Gamra 
Author-X-Name-First: Saoussen Ben 
Author-X-Name-Last: Gamra 
Author-Name: Dominique Plihon 
Author-X-Name-First: Dominique 
Author-X-Name-Last: Plihon 
Title: Who benefits from financial liberalization? Evidence from advanced and emerging market economies 
Abstract:
  In recent decades most countries have implemented significant reforms to
 foster financial liberalization. This article examines to what extent
 these reforms have benefited advanced economies and emerging market
 economies. We focus on four groups of countries: the G-7, other European
 countries, Latin America and East Asia over the period 1973-2006. We find
 evidence supporting the hypothesis that the different forms of financial
 liberalization affected growth differently in the four groups of
 countries. The main finding is that the benefits of financial
 liberalization are more important for advanced economies. In contrast,
 financial liberalization in emerging market economies has a weak positive
 impact on growth when its scope is limited, whereas full liberalization
 has been associated with slower economic growth. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 53-74 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: financial sectors liberalization, economic growth, advanced and emerging economies, 
X-DOI: 10.1080/17520840903076465 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076465
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Template-Type: ReDIF-Article 1.0
Author-Name: Bruce Hearn 
Author-X-Name-First: Bruce 
Author-X-Name-Last: Hearn 
Author-Name: Jenifer Piesse 
Author-X-Name-First: Jenifer 
Author-X-Name-Last: Piesse 
Author-Name: Roger Strange 
Author-X-Name-First: Roger 
Author-X-Name-Last: Strange 
Title: Market liquidity and stock size premia in emerging financial markets 
Abstract:
  This paper estimates the cost of equity in South Africa, Kenya, Egypt and
 Morocco as well as the UK. Active investor participation in emerging
 markets is contingent on solid regulation and corporate governance that
 provide transparency in information and equity prices. Costs of equity,
 taking account of firm size and illiquidity, enable comparison of
 transactions costs between markets. The evidence suggests a clear
 distinction between markets with different levels of regulation and
 corporate governance. The UK and South Africa have the lowest cost of
 equity followed by Egypt and Morocco and then Kenya, where the fledgling
 AIMS market has the highest value. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 75-101 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: Africa, Capital Asset Pricing Model, liquidity, emerging financial markets, 
X-DOI: 10.1080/17520840903076473 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076473
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Template-Type: ReDIF-Article 1.0
Author-Name: Medhat Hassanein 
Author-X-Name-First: Medhat 
Author-X-Name-Last: Hassanein 
Author-Name: Islam Azzam 
Author-X-Name-First: Islam 
Author-X-Name-Last: Azzam 
Title: Ex post and ex ante returns and risks under different maturities of treasury bonds: evidence from developed and emerging markets 
Abstract:
  Based on asset pricing theory, reward/risk ratios vary positively with
 maturity of Treasury securities. We study the effect of increasing
 Treasury bonds' maturity on ex post and ex ante returns and risks in
 developed and emerging countries. As maturity increases, we show that ex
 post and ex ante returns are negative and they decrease while ex post and
 ex ante risks increase in developed countries, resulting in a sharp
 increase in the ex post and ex ante coefficient of variation. This
 indicates that investors are negatively rewarded for the risk they face
 for investing in Treasury bonds in developed markets. In emerging markets,
 as maturity increases, ex post and ex ante returns are positive for medium
 and long maturities and they increase while ex ante risk decreases with
 maturity. As maturity increases, the coefficient of variation in emerging
 and developed markets increases, indicating that reward to investors for
 facing extra risk decreases as maturity increases; however, investors are
 much better rewarded in emerging than developed markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 103-118 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: Coefficient of variation, GARCH, yield to maturity, 
X-DOI: 10.1080/17520840903076523 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903076523
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Template-Type: ReDIF-Article 1.0
Author-Name: Manoj Dalvi 
Author-X-Name-First: Manoj 
Author-X-Name-Last: Dalvi 
Author-Name: James Refalo 
Author-X-Name-First: James 
Author-X-Name-Last: Refalo 
Author-Name: Golak Nath 
Author-X-Name-First: Golak 
Author-X-Name-Last: Nath 
Title: The effect of settlement regimes on trading cost and market efficiency: evidence from the National Stock Exchange 
Abstract:
  Using data from 65 of the most actively traded stocks from the National
 Stock Exchange of India we study the relationship between impact cost and
 three indicators of market efficiency under different settlement regimes.
 Our data is uniquely suited for this study because it encompasses a
 transition by the National Stock Exchange of India from fixed to rolling
 settlement. As a by-product of our study we are able to examine
 inefficiencies related to the day of the week on which trades are
 conducted for different settlement regimes. In summary our data reveals
 that rolling settlement reduces aggregate impact costs, leading to greater
 market efficiency. Employing a fixed effects model we show that impact
 cost has a stronger relationship to our indicators of market efficiency
 under rolling settlement. However, we find evidence of two structural
 inefficiencies related to the day-of-the-week on which trades are
 conducted: 1) under rolling settlement, trades conducted earlier in the
 week (and settled by Thursday) have lower impact costs, and 2) there is an
 impact cost premium for Friday trades. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 119-130 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: impact cost, day of the week, DOW, market efficiency, bid-ask, 
X-DOI: 10.1080/17520840903498156 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498156
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Template-Type: ReDIF-Article 1.0
Author-Name: Y. Venugopal Reddy 
Author-X-Name-First: Y. Venugopal 
Author-X-Name-Last: Reddy 
Title: Global financial crisis and emerging issues for public policy 
Abstract:
  After surveying causes of the crisis and common features of the few
 emerging markets that were in trouble, the paper turns to the road ahead.
 Even with global agreement on policy stimulus, action was mostly national.
 Progress on other reform is yet to occur. The intellectual framework and
 ethical forces that caused the crisis continue to dominate. With problems
 of timing, sequence, and country context, global convergence on exit may
 be difficult. Prolonged stimulus and spillovers of measures in large
 countries create risks for emerging markets since the markets do not give
 them much leeway. Pragmatism will outperform ideology, but questions
 include the extent of financial globalization when governments' are
 responsible for citizens' welfare? How to reconcile the shift in supply of
 and demand for finance towards emerging markets with the severe stress in
 the existing centres of financial intermediation? 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 131-138 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: crisis, stimuli, exit, reform, globalization, 
X-DOI: 10.1080/17520840903498164 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498164
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Handle: RePEc:taf:macfem:v:3:y:2010:i:1:p:131-138




Template-Type: ReDIF-Article 1.0
Author-Name: Ranjan Chakravarty 
Author-X-Name-First: Ranjan 
Author-X-Name-Last: Chakravarty 
Author-Name: D. G. Praveen 
Author-X-Name-First: D. G. 
Author-X-Name-Last: Praveen 
Title: Exchange traded currency derivatives markets in India: the road ahead 
Abstract:
  Indian exchanges have recently been permitted to offer currency futures
 on their platforms to the market participants. The paper outlines the
 contract, and charts the development and growth of currency futures in
 India since their inception in 2008. It emphasizes the existing close
 connectivity between commodity and currency markets. It highlights the
 increased exchange rate volatility of Indian exchange rate against US
 dollar (INRUSD) during conventional and non conventional trading hours and
 argues for the ability of the market to quickly adapt to extended trading
 hours. The paper recommends some new products and an alternative mechanism
 to settle the contracts. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 139-146 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: currency futures, options, market timings, OTC forex market, volatility, currency pairs, crosses, 
X-DOI: 10.1080/17520840903498172 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498172
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Handle: RePEc:taf:macfem:v:3:y:2010:i:1:p:139-146




Template-Type: ReDIF-Article 1.0
Author-Name: Anuradha Guru 
Author-X-Name-First: Anuradha 
Author-X-Name-Last: Guru 
Title: Credit derivatives: international developments and lessons for India 
Abstract:
  Credit derivatives have been popular instruments for hedging of credit
 risks by banks and financial institutions. The notional value outstanding
 of credit default swap contracts, a type of credit derivative most in use,
 increased from US$6.4 trillion in December 2004 to US$57.89 trillion in
 December, 2007. However, this instrument, which was once 'apple of the
 eye' of market players, lost its sheen in the wake of the sub-prime crisis
 when it was perceived to have played a major role in igniting the crisis
 and spreading it across the global financial system. This article presents
 how this came about and the after thought of the regulators of developed
 countries in regulating these instruments. It then looks at what lessons
 India can draw from the experience of the Western nations before
 considering introduction of credit derivatives in the Indian markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 147-155 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: credit derivatives, credit default swaps, collateralized debt obligations, 
X-DOI: 10.1080/17520840903498263 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498263
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Template-Type: ReDIF-Article 1.0
Author-Name: Jamal Mecklai 
Author-X-Name-First: Jamal 
Author-X-Name-Last: Mecklai 
Author-Name: Anis Shaikh 
Author-X-Name-First: Anis 
Author-X-Name-Last: Shaikh 
Title: Coming of age - a comparative study of emerging foreign exchange markets 
Abstract:
  We developed a market maturity index as a composite of the relative
 liquidity index (which was used historically to measure market maturity)
 and a market sophistication index, constructed by analyzing market volume
 and transaction data. We also constructed a risk management index using
 volatility and V2 (volatility of the volatility) to measure ease of risk
 management. Five (out of 14) emerging markets we studied - India, Brazil,
 Malaysia, Turkey and Poland - improved their risk management index scores
 from 2007 to 2009, suggesting increasing maturity. On the other hand,
 South Africa, Taiwan and South Korea, all markets that had seemed
 reasonably mature in 2007, performed extmacfemly poorly from a risk
 management perspective in 2009, suggesting that their original high market
 maturity index scores were probably not very stable. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 157-165 
Issue: 1 
Volume: 3 
Year: 2010 
Keywords: emerging FX markets, maturity, liquidity, risk, 
X-DOI: 10.1080/17520840903498297 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520840903498297
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Handle: RePEc:taf:macfem:v:3:y:2010:i:1:p:157-165




Template-Type: ReDIF-Article 1.0
Author-Name: T.V.S. Ramamohan Rao 
Author-X-Name-First: T.V.S. 
Author-X-Name-Last: Ramamohan Rao 
Title: Financial crisis, efficient bailouts, and regulatory policy 
Abstract:
  The recent financial crisis generated a great deal of debate about the
 necessity for, and the quantum of, bailouts. There is also a wide ranging
 acknowledgement that prudential regulation is necessary to minimize the
 frequency and intensity of such systemic failures in the future. However,
 the existing analytical and policy studies tend to deal with these two
 aspects in isolation. By way of contrast, this study sets up an analytical
 framework to endogenously determine the requisite regulatory practices and
 bailout instruments to overcome the liquidity problems and the associated
 solvency problem on a long term basis. Such efficient choices have been
 structured to resolve the trade-off between growth and stability by
 maximizing the welfare of all the parties. Prior knowledge that a well
 defined bailout policy operates only if they adhere to clearly specified
 regulatory norms, signals to the financial institutions that keeping risks
 within bounds will be in the overall interests of all concerned. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 167-188 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: financial crisis, bailouts, regulatory policy, 
X-DOI: 10.1080/17520843.2010.498131 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498131
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Template-Type: ReDIF-Article 1.0
Author-Name: Vivekanand Jayakumar 
Author-X-Name-First: Vivekanand 
Author-X-Name-Last: Jayakumar 
Title: The coming unwinding of global imbalances and what it means for India 
Abstract:
  Large US current account deficits, financed mainly by East Asian
 countries and some OPEC members, gave rise to significant global
 imbalances in recent years. This paper argues that such imbalances are
 unsustainable going forward. Faced with lower asset valuations and tighter
 credit access, Americans are likely to curtail consumption and increase
 personal saving. The resulting decline in US imports will significantly
 impact export-driven Asian countries. Diminished foreign desire to finance
 excessive American borrowing, along with rising concerns over dollar's
 reserve status, will also affect global imbalances. The paper highlights
 the relevance of the evolving global economic landscape to India. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 189-212 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: global imbalances, current account, emerging markets, India, 
X-DOI: 10.1080/17520843.2010.498132 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498132
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Handle: RePEc:taf:macfem:v:3:y:2010:i:2:p:189-212




Template-Type: ReDIF-Article 1.0
Author-Name: Himanshu Joshi 
Author-X-Name-First: Himanshu 
Author-X-Name-Last: Joshi 
Title: Assessment of inflationary expectations in India: a Markov chain Monte-Carlo based Gibbs sampling approach 
Abstract:
  Inflation in India is commonly analyzed in terms of the traditional
 'monetarist' and 'structuralist' frameworks. However, these models have
 not been widely tested for their forecasting ability in practical policy
 settings. Besides, the important issue of assessment of inflationary
 expectations is hardly addressed by these models. This paper illustrates
 an empirical method for high frequency (weekly) forecasting of inflation
 rate based on mixed estimation and Markov Chain Monte-Carlo led Gibbs
 sampling procedure and compares the outcomes with respect to those
 obtained from an analogue classical least squares (CLS) model. Improvement
 in forecasting performance is observed. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 213-225 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: autoregression, CUSUM, Markov chain, Monte-Carlo, Gibbs sampler, posterior distribution, smoothness priors, 
X-DOI: 10.1080/17520843.2010.498133 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498133
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Handle: RePEc:taf:macfem:v:3:y:2010:i:2:p:213-225




Template-Type: ReDIF-Article 1.0
Author-Name: Mita Choudhury 
Author-X-Name-First: Mita 
Author-X-Name-Last: Choudhury 
Title: Bank funding and firm investment in underdeveloped financial markets: evidence from India 
Abstract:
  This paper highlights the importance of banking institutions in
 underdeveloped financial markets. Using the concept of external dependence
 of firms developed in the literature, the paper examines the importance of
 funds from development banks in India for firm investment. Results
 indicate that funds from development banks are particularly important for
 firms with high level of external dependence for funds. It highlights why
 regulatory reforms related to banking institutions may have adverse
 implications for firm investment in under-developed financial markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 227-244 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: banking, firm investment, external dependence, 
X-DOI: 10.1080/17520843.2010.498134 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498134
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Handle: RePEc:taf:macfem:v:3:y:2010:i:2:p:227-244




Template-Type: ReDIF-Article 1.0
Author-Name: Hooy Chee-Wooi 
Author-X-Name-First: Hooy 
Author-X-Name-Last: Chee-Wooi 
Author-Name: Tee Chwee-Ming 
Author-X-Name-First: Tee 
Author-X-Name-Last: Chwee-Ming 
Title: The monitoring role of independent directors in CEO pay-performance relationship: the case of Malaysian government linked companies 
Abstract:
  This study looks into the pay-performance and monitoring issues in
 Malaysian government linked companies (GLCs). Our study utilizes 21
 Malaysian public listed GLCs data from financial year 2001 until 2006. We
 adopt panel regression to study pay-performance relationship while the
 internal monitoring mechanism is measured by board independence. In our
 analysis, chief executive officer (CEO pay is regressed to individual
 performance as well as benchmarked against industry average. Generally, we
 document that the pay-performance relationship in Malaysian GLCs is
 sporadically significant, implying that CEO pay is not properly aligned to
 performance. However, pay-earning-sensitivity (EPS) is high and
 statistically significant when individual performances are benchmarked
 against industry average in GLCs with more than 50% independent directors
 (majority board). This implies that for Malaysian GLCs, a majority
 independent board is required to ensure effective monitoring on CEOs'
 performance. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 245-259 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: corporate governance, government-linked companies, director pay, performance, board structure, 
X-DOI: 10.1080/17520843.2010.498136 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498136
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Template-Type: ReDIF-Article 1.0
Author-Name: Nadia Loukil 
Author-X-Name-First: Nadia 
Author-X-Name-Last: Loukil 
Author-Name: Mohamed Bechir Zayani 
Author-X-Name-First: Mohamed Bechir 
Author-X-Name-Last: Zayani 
Author-Name: Abdelwahed Omri 
Author-X-Name-First: Abdelwahed 
Author-X-Name-Last: Omri 
Title: Impact of liquidity on stock returns: an empirical investigation of the Tunisian stock market 
Abstract:
  This paper investigates the return-liquidity relationship on one Middle
 East and North Africa frontier market, the Tunisian Stock Exchange (TSE).
 The findings provide evidence that there is a significant and positive
 premium for companies with high price impact and low trading frequency.
 However, Tunisian investors appreciate more low spread stocks. We show,
 also, a non-linear relation between potential delays of execution and
 stock returns. In addition, we find that Tunisian investors require a
 premium to compensate past cumulative illiquidity risk (high price impact,
 low turnover and high potential delay of execution) over the prior three
 to 12 months and to compensate past cumulative spread over 12 months. We
 point out also that these effects are seasonal. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 261-283 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: return, liquidity, Tunisian stock market, 
X-DOI: 10.1080/17520843.2010.498137 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498137
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Template-Type: ReDIF-Article 1.0
Author-Name: Shyamala Gopinath 
Author-X-Name-First: Shyamala 
Author-X-Name-Last: Gopinath 
Title: Pursuit of complete markets: the missing perspectives 
Abstract:
  India's financial sector reform path has been a measured, cautious and
 steady process, aiming to attain standards of international best practice,
 but fine-tuning the process keeping the context in view. Although much has
 been achieved, this paper focuses on the remaining gaps. But post-crisis
 the pursuit of complete markets is no longer the holy grail of regulation.
 In particular, underlying needs and systemic risk assessment should drive
 the regulatory framework for cash markets, not the elusive search for
 market completion and efficient derivatives markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 285-297 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: Financial reform, complete markets, risk, derivatives, 
X-DOI: 10.1080/17520843.2010.496555 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.496555
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Template-Type: ReDIF-Article 1.0
Author-Name: Usha Thorat 
Author-X-Name-First: Usha 
Author-X-Name-Last: Thorat 
Title: Learning from crises 
Abstract:
  Instead of learning from crises the same mistakes seem to get repeated.
 Therefore recollecting and extracting lessons from crises is essential.
 Key potential lessons are in anticipation, pre-emptive action, crisis
 management, and prevention. The paper details the internal and external
 shocks that hit India's financial system in the post-reform period and the
 regulatory lessons that were learnt and implemented as a consequence. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 299-307 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: crises, global financial markets, macroeconomic, 
X-DOI: 10.1080/17520843.2010.498120 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.498120
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Handle: RePEc:taf:macfem:v:3:y:2010:i:2:p:299-307




Template-Type: ReDIF-Article 1.0
Author-Name: V. Shunmugam 
Author-X-Name-First: V. 
Author-X-Name-Last: Shunmugam 
Title: Need for pragmatic regulation of markets: the takeaway from the recent financial crisis 
Abstract:
  Despite being in an increasingly globalized economy with markets located
 far and wide, regulatory authorities across national boundaries, while
 focusing on their own market yards, had been in the dark about what had
 been happening in markets across borders. If leveraging opportunities and
 opaque markets drive participants to chase, unregulated, too few goods, it
 surely will prove unhealthy for interconnected markets and economies.
 Clearly, appropriate regulatory actions alone can prevent greed-driven
 individual and institutional participants from building up collective
 irrationality in markets. This paper discusses various takeaways from the
 worst economic recession post-Great Depression from a regulatory
 perspective. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 309-320 
Issue: 2 
Volume: 3 
Year: 2010 
Keywords: economic integration, free markets, risk, policy, regulation, regulators, 
X-DOI: 10.1080/17520843.2010.496554 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.496554
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Handle: RePEc:taf:macfem:v:3:y:2010:i:2:p:309-320




Template-Type: ReDIF-Article 1.0
Author-Name: Kaushik Basu 
Author-X-Name-First: Kaushik 
Author-X-Name-Last: Basu 
Title: Non-recourse mortgages and credit market breakdowns: a framework for policy analysis 
Abstract:
  This article illustrates that the legal structure of mortgage credit, in
 particular its status in terms of recourse in foreclosure, can lead not
 only to the familiar problem of adverse selection but multiple equilibria
 in the credit market with the possibility of a small exogenous shock
 leading to a major breakdown in the credit market with the supply of
 credit drying up. As such, it tries to shed light on the recent sub-prime
 crisis; and suggests lessons for emerging economies drafting regulation
 for modern financial markets so as to prevent meltdowns. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-8 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: mortgage, non-recourse loans, foreclosure rules, limited liability, financial crisis, 
X-DOI: 10.1080/17520843.2010.529634 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.529634
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Template-Type: ReDIF-Article 1.0
Author-Name: Mahbub Rabbani 
Author-X-Name-First: Mahbub 
Author-X-Name-Last: Rabbani 
Author-Name: Svitlana Maksymenko 
Author-X-Name-First: Svitlana 
Author-X-Name-Last: Maksymenko 
Title: Do economic reforms and human capital explain post-reform growth? 
Abstract:
  By employing a conventional production function, this study advances
 theoretical and empirical research on the role of economic reforms and
 human capital on the post-reform economic growth. We construct two unique
 indices - a composite economic reform index and a human capital index - to
 perform a comparative analysis of a panel data model and to demonstrate
 that human capital and economic reforms have had a significant positive
 effect on economic growth in India and South Korea in the post-reform
 period. This positive effect is revealed in both contemporaneous and
 lagged estimations. The impact of reforms is found to be much stronger in
 South Korea than in India. This study also demonstrates the importance of
 time-invariant country-specific characteristics, and suggests that
 policies aimed to improve human capital accumulation have complementary
 effects on the efficacy of economic reforms. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 9-34 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: economic growth, human capital, economic reforms, India, South Korea, 
X-DOI: 10.1080/17520843.2011.548593 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548593
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Template-Type: ReDIF-Article 1.0
Author-Name: Susan Pozo 
Author-X-Name-First: Susan 
Author-X-Name-Last: Pozo 
Author-Name: Jose Sanchez-Fung 
Author-X-Name-First: Jose 
Author-X-Name-Last: Sanchez-Fung 
Author-Name: Amelia Santos-Paulino 
Author-X-Name-First: Amelia 
Author-X-Name-Last: Santos-Paulino 
Title: A note on modelling economic growth determinants in the Dominican Republic 
Abstract:
  The article models economic growth determinants in the Dominican
 Republic. The exercise considers a panel of 25 candidate explanatory
 variables observed during the last three decades of the twentieth century.
 The time series are selected on the basis of economic theory and previous
 findings in the cross-country empirical growth literature. The modelling
 reveals that the annual growth rate of real gross domestic product per
 capita is, on average, inversely associated to a proxy for market
 distortions, and positively related to government expenditure, economic
 growth in the United States of America, and an index of globalization
 comprising international trade and migration variables. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 35-41 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: economic growth determinants, automatic model selection, Dominican Republic, 
X-DOI: 10.1080/17520843.2011.548594 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548594
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Template-Type: ReDIF-Article 1.0
Author-Name: Harendra Kumar Behera 
Author-X-Name-First: Harendra Kumar 
Author-X-Name-Last: Behera 
Title: Onshore and offshore market for Indian rupee: recent evidence on volatility and shock spillover 
Abstract:
  The article empirically examines the onshor-offshore linkages of the
 Indian rupee using recently developed multivariate GARCH technique. The
 empirical results show that the offshore non-deliverable forward market
 does not have mean spillover impact on onshore spot, forward and futures
 markets while shocks and volatilities in the non-deliverable forward
 market influence the onshore markets. A key finding of the study is that
 the magnitude of volatility spillover from non-deliverable forward to spot
 market has accentuated after the introduction of currency futures in
 India. This development could be attributable to large arbitrage between
 futures and non-deliverable forward market in the more recent period. The
 finding has critical implications for exchange rate policy and management
 in the Indian context. There is need for close monitoring of both the
 onshore and offshore markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 43-55 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: non-deliverable forward, volatility spillover, multivariate GARCH, JEL classifications: G13, F31, C51, 
X-DOI: 10.1080/17520843.2010.509918 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.509918
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Template-Type: ReDIF-Article 1.0
Author-Name: Kakali Kanjilal 
Author-X-Name-First: Kakali 
Author-X-Name-Last: Kanjilal 
Title: Macroeconomic factors and yield curve for the emerging Indian economy 
Abstract:
  This article investigates the dynamic linkages between the estimated
 parameters of a zero coupon yield curve and macroeconomic variables like
 inflation, gross domestic product growth in the presence of a monetary
 policy indicator in India for the period July 1997 to February 2004. The
 study finds that there exists strong causality from financial factors,
 defined by three parameters of the yield curves ('Level', 'Slope',
 'Curvature') to macroeconomic factors; growth, inflation and monetary
 policy indicators (changes in the call money rate). However, the causality
 in the opposite direction is found to be weaker. It is found that theyield
 and macro factors do not cause each other before the launch of a liquidity
 adjustment facility, so the evidence of causality from financial to
 macroeconomic factors can be attributed to the introduction of a liquidity
 adjustment facility in June 2000. The causality from yield factors to
 macro factors is primarily driven by the fact that the 'changes in level'
 of yield curve brings an impact on inflation through the changes in
 monetary policy. This finding suggests that monetary policy plays a key
 role in driving the causality. This also implies that the indirect
 instrument of monetary policy mechanism is becoming increasingly important
 to influence the aggregate demand in the economy. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 57-83 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: term structure of interest rates, inflation, growth, monetary policy, financial reforms, LAF, VAR modelling, Granger causality, Impulse response, 
X-DOI: 10.1080/17520843.2011.548612 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548612
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Template-Type: ReDIF-Article 1.0
Author-Name: Rilina Basu 
Author-X-Name-First: Rilina 
Author-X-Name-Last: Basu 
Author-Name: Ranjanendra Narayan Nag 
Author-X-Name-First: Ranjanendra Narayan 
Author-X-Name-Last: Nag 
Title: Stock market, capital flow and output: some analytical and policy perspectives 
Abstract:
  The article will theoretically examine how financial opening up can
 influence the real sector under alternative exchange rate regimes. We will
 show that private capital flows can produce favourable macroeconomic
 outcomes through an adjustment in stock market valuation and wealth effect
 induced by a change in asset prices. What we choose for analytical purpose
 is an effective demand framework, which can apply to a large class of
 emerging market economies. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 85-99 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: effective demand, stock market, capital flow, Tobin's q, 
X-DOI: 10.1080/17520843.2010.532145 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.532145
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Template-Type: ReDIF-Article 1.0
Author-Name: Rupayan Pal 
Author-X-Name-First: Rupayan 
Author-X-Name-Last: Pal 
Title: The relative impacts of banking, infrastructure and labour on industrial growth: evidence from Indian states 
Abstract:
  This article analyses the impacts of outreach of banking services,
 infrastructure penetration, and labour market rigidity on the growth of
 manufacturing industries across 14 major states in India in the
 post-liberalization period (from 1991-92 to 2002-3). It documents that the
 outreach of the banking sector as well as infrastructure penetration has a
 significant positive impact on the growth of industries. Interestingly,
 the counteracting effect of labour market rigidity does not appear to be
 significant, if the effects of infrastructure and banking services are
 controlled for. This article also assesses the relative magnitudes of the
 impacts of these three institutional factors on industrial growth. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 101-124 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: banking services, industrial growth, infrastructure, labour market rigidity, JEL classifications: O4, G2, J5, L6, 
X-DOI: 10.1080/17520843.2011.548621 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548621
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Template-Type: ReDIF-Article 1.0
Author-Name: Rachita Gulati 
Author-X-Name-First: Rachita 
Author-X-Name-Last: Gulati 
Author-Name: Sunil Kumar 
Author-X-Name-First: Sunil 
Author-X-Name-Last: Kumar 
Title: Impact of non-traditional activities on the efficiency of Indian banks: an empirical investigation 
Abstract:
  This article investigates the relevance of the inclusion of
 non-traditional activities in the specification of banks' output on the
 efficiency of Indian banks. The results indicate that the exclusion of
 non-traditional activities not only understates the cost, technical and
 allocative efficiencies of individual banks but also affects the ranking
 of ownership groups in the industry. In particular, when a proxy for
 non-traditional activities is accounted for in the output specification,
 the foreign banks appear to be more efficient than public and private
 sector banks. Overall, the results reinforce the prevailing view in the
 extant literature that the exclusion of non-traditional activities causes
 misspecification of banks' output, and may distort the efficiency
 estimates. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 125-166 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: non-traditional activities, data envelopment analysis, cost efficiency, technical efficiency, allocative efficiency, Indian banks, 
X-DOI: 10.1080/17520843.2010.530939 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2010.530939
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Template-Type: ReDIF-Article 1.0
Author-Name: Saumitra Bhaduri 
Author-X-Name-First: Saumitra 
Author-X-Name-Last: Bhaduri 
Author-Name: Mrinal Kanti 
Author-X-Name-First: Mrinal 
Author-X-Name-Last: Kanti 
Title: Macroeconomic uncertainty and corporate liquidity: the Indian case 
Abstract:
  Interest in the uncertainties prevailing at the macroeconomic level has
 always been well known in economic literature. This article analyses the
 effect of firm level and macroeconomic uncertainty on the decisions of
 Indian firms with regard to their optimal cash holdings. Using a dynamic
 panel data model, the study finds strong support for the hypothesis that
 Indian firms increase their cash holdings with an increase in either form
 of uncertainty. Also, results for the sub-samples show that middle-aged
 and middle-sized firms are most affected by variations in macroeconomic
 uncertainty. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 167-180 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: macroeconomics, uncertainty, liquidity, Indian corporate liquidity, 
X-DOI: 10.1080/17520843.2011.548622 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548622
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Template-Type: ReDIF-Article 1.0
Author-Name: Bandi Ram Prasad 
Author-X-Name-First: Bandi Ram 
Author-X-Name-Last: Prasad 
Title: State owned banking: gaining policy support and investor interest 
Abstract:
  State owned banking has staged a major comeback. Finding a place among
 the top 25 banks in the world in terms of market cap and assets apart,
 state owned banks have emerged as hot stocks for domestic and
 international investors. In the aftermath of the global financial crisis,
 privatization of the financial sector, which has been the major policy
 thrust evident in numerous countries, took a backseat with governments
 taking over banking institutions and providing various forms of support
 ranging from capital injections to outright nationalization of the global
 banks adversely affected by the crisis. The current crisis also may
 encourage governments to keep their stakeholding in the public banks in
 view of the need to support the vital sectors of the economy and also
 pursue financial inclusion that emerged as a major policy priority. This
 article presents a brief perspective on the comeback of the state owned
 banking, and also its own transformation that led to its growing
 acceptance and endorsements from policymakers investors and customers. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 181-188 
Issue: 1 
Volume: 4 
Year: 2011 
Keywords: state owned banking, banking policy, banking performance, investor support, transformation of state banks, 
X-DOI: 10.1080/17520843.2011.548624 
File-URL: http://www.tandfonline.com/doi/abs/10.1080/17520843.2011.548624
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Template-Type: ReDIF-Article 1.0
Author-Name: Jagjit S. Chadha 
Author-X-Name-First: Jagjit S. 
Author-X-Name-Last: Chadha 
Title: Policy rules under the monetary and the fiscal theories of the price-level 
Abstract:
  Price-level determination requires co-ordination of monetary and fiscal
 policy to ensure a unique rational expectations equilibrium (REE). This
 paper derives a number of implications for simple interest rate rules
 resulting from various fiscal strategies. We show that fiscal choices
 under either the monetary theory of the price-level (MTPL) and the fiscal
 theory of the price-level (FTPL) can challenge widely accepted principles
 of monetary policy. Specifically, we show that a fiscal rule that responds
 aggressively to output and inflation may force the monetary authorities to
 adopt significantly more aggressive output and inflation stabilization
 policy than suggested by the Taylor Principle. We also show how when
 monetary policy is severely constrained, the fiscal policy maker can act
 to stabilise the economy. Some policy conclusions in light of the lower
 zero bound for monetary policy and debt stabilization are drawn. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 189-212 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 12 
X-DOI: 10.1080/17520843.2011.557389 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.557389 
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Handle: RePEc:taf:macfem:v:4:y:2011:i:2:p:189-212




Template-Type: ReDIF-Article 1.0
Author-Name: Constanza Martinez 
Author-X-Name-First: Constanza 
Author-X-Name-Last: Martinez 
Author-Name: Manuel Ramirez 
Author-X-Name-First: Manuel 
Author-X-Name-Last: Ramirez 
Title: International propagation of shocks: an evaluation of contagion effects for some Latin American countries 
Abstract:
  In this paper we analyse the spread of shocks across asset markets in
 eight Latin American countries. First, we measure the extent of market
 reactions with the principal components analysis, and second, we
 investiga'te the volatility of asset markets based on ARCH-GARCH models as
 a function of the principal components retained in the first stage. Our
 results do not support the existence of financial contagion, but they do
 support interdependence in most cases along with a slight increase in the
 sensitivity of markets to recent shocks. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 213-233 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 12 
X-DOI: 10.1080/17520843.2010.546361 
File-URL: http://hdl.handle.net/10.1080/17520843.2010.546361 
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Handle: RePEc:taf:macfem:v:4:y:2011:i:2:p:213-233




Template-Type: ReDIF-Article 1.0
Author-Name: Dayanand Arora 
Author-X-Name-First: Dayanand 
Author-X-Name-Last: Arora 
Author-Name: Francis   Xavier Rathinam 
Author-X-Name-First: Francis   Xavier 
Author-X-Name-Last: Rathinam 
Title: OTC derivatives market in India: recent regulatory initiatives and open issues for market stability and development 
Abstract:
  In the wake of the present financial crisis, which is believed to have
 been exacerbated by over-the-counter derivatives, increasing attention is
 being paid to analysing the regulatory environment of these markets. In
 this context, we analyse the regulatory framework of the over-the-counter
 derivatives market in India. The paper, <italic>inter alia</italic>,
 analyses how a good reporting system and a post-trade clearing and
 settlement system, through a centralized counter party, has ensured good
 surveillance of the systemic risks in the Indian over-the-counter market.
 This research paper also explores those open issues that are important to
 ensure market stability and development competition among centralized
 counterparties and better supervision of the off-balance sheet business of
 financial institutions. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 235-261 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 4 
X-DOI: 10.1080/17520843.2011.580571 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.580571 
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Template-Type: ReDIF-Article 1.0
Author-Name: Roman Horv&#xE1;th 
Author-X-Name-First: Roman 
Author-X-Name-Last: Horv&#xE1;th 
Title: The frequency and size of price changes: evidence from non-parametric estimations 
Abstract:
  The majority of price setting models predict a negative correlation
 between the frequency and size of price changes. Using a unique
 micro-level price data from Slovakia, we find that a negative correlation
 between frequency and size of price changes holds only for more rigid
 prices. On the other hand, less rigid prices such as gasoline prices
 exhibit positive correlation in line with Rotemberg's pricing model. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 263-268 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 2 
X-DOI: 10.1080/17520843.2011.562518 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.562518 
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Template-Type: ReDIF-Article 1.0
Author-Name: Samuel Sejjaaka 
Author-X-Name-First: Samuel 
Author-X-Name-Last: Sejjaaka 
Title: Determinants of IPO readiness in emerging markets: the case for Ugandan firms 
Abstract:
  The purpose of this study was to identify determinants of initial public
 offers readiness in large firms that have not yet sought to raise capital
 through a stock market. Following a series of focus group discussions, a
 conceptual framework is developed to determine micro determinants of
 initial public offers readiness. Since the firms face the same set of
 macro and market constraints, these are taken as a constant. The micro
 determinants are then regressed against a set of criterion indicators
 using logistic and multinomial logistic regression models and panel data
 collected from 35 firms for the financial years 2003--7. The fitted models
 show that age, level of disclosure, legitimacy of the board (inclusion of
 independent non-executive directors), and level of market activity
 (information asymmetry) are significant determinants of initial public
 offers readiness of the firm. Also, firms in Uganda do not meet most of
 the criteria for listing because they have not taken the requisite steps
 to improve governance by separating roles of the CEO and chairman,
 publishing accounts, and reducing single party control of their boards or
 making their shares transferable. This study provides empirical evidence
 of the direction policy formulation should take in order to grow and
 deepen financial markets in emerging or underdeveloped economies. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 269-288 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 1 
X-DOI: 10.1080/17520843.2011.593906 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.593906 
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Template-Type: ReDIF-Article 1.0
Author-Name: Chaker Aloui 
Author-X-Name-First: Chaker 
Author-X-Name-Last: Aloui 
Title: Latin American stock markets&#x2019; volatility spillovers during the financial crises: a multivariate FIAPARCH-DCC framework 
Abstract:
  The main purpose of this paper is to analyse the volatility spillovers in
 Latin American emerging stock markets. A multivariate Fractionally
 Integrated Asymmetric Power ARCH model with dynamic conditional
 correlations of Engle (1982) with a Student-t distribution is employed. We
 examine whether considering for long memory and asymmetry in emerging
 stock markets behaviour may provide more insights into the volatility
 spillovers phenomenon. In this paper we select daily frequency stock
 indexes covering four emerging countries in Latin America for the period
 (January 1995--September 2009). Our results point out the importance of
 volatility spillovers in these countries. Moreover, long memory and
 asymmetry in emerging stock market dynamics seem to provide more insights
 into the transmission of volatility shocks. More interestingly, the
 analysis of the DCCEs behaviour over time via multivariate cointegration,
 vector error correction model and the Cholesky variance decomposition
 shows shifts behaviour around major Latin American financial crisis and
 recent subprime crisis. On the practical side, these results may be useful
 for international portfolio managers and Latin American stock market
 authorities. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 289-326 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 5 
X-DOI: 10.1080/17520843.2011.590597 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.590597 
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Handle: RePEc:taf:macfem:v:4:y:2011:i:2:p:289-326




Template-Type: ReDIF-Article 1.0
Author-Name: Subir Gokarn 
Author-X-Name-First: Subir 
Author-X-Name-Last: Gokarn 
Title: The price of protein 
Abstract:
  The paper examines micro-level price dynamics of the major dietary
 sources of protein in India, based on demand-supply fundamentals. As
 levels of affluence increase, the demand for proteins increases. But some
 categories show a long-term decline in availability, others show volatile
 growth due to structural imbalance between demand and supply, raising the
 prospect of price surges. Persistent price increases in commodities for
 which there are no effective substitutes raise wages and the potential
 rate of inflation over a period of time, warranting a monetary tightening.
 To the extent diets are affected human resources are weakened. Improving
 the agricultural supply response is urgent. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 327-335 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 7 
X-DOI: 10.1080/17520843.2011.593908 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.593908 
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Template-Type: ReDIF-Article 1.0
Author-Name: Rajesh Chakrabarti 
Author-X-Name-First: Rajesh 
Author-X-Name-Last: Chakrabarti 
Title: The recent microfinance imbroglio -- lessons for regulatory architecture 
Abstract:
  The microfinance crisis in Andhra Pradesh signals a deeper malaise in the
 regulatory architecture of the Indian financial system -- unclear
 demarcation of regulatory jurisdictions. Unless remedied, the symptoms of
 this problem are likely to arise again and elsewhere in the system. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 337-342 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 6 
X-DOI: 10.1080/17520843.2011.593902 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.593902 
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Handle: RePEc:taf:macfem:v:4:y:2011:i:2:p:337-342




Template-Type: ReDIF-Article 1.0
Author-Name: Krishnamurthy Subramanian 
Author-X-Name-First: Krishnamurthy 
Author-X-Name-Last: Subramanian 
Title: Lessons from the financial crisis: failure of markets or failure of regulation? 
Abstract:
  The popular, demagogic narrative after the global financial system's
 collapse in 2008 has held that the financial crisis signalled the failure
 of capitalism. However, regulators across the world must realize that the
 financial crisis was not brought about by the failure of markets but by
 the failure of governments to appropriately regulate markets. Beginning in
 the 1980s, and continuing over the quarter-century that followed,
 regulators afforded the world of big finance an unaffordable luxury:
 <italic>insurance against possible failure</italic>. As a result, banks
 and financial institutions became adept at turning their insulation from
 disorderly failure, as enforced by free markets, into insulation from
 market discipline, as inflicted by myopic regulators. This &#x2018;too big
 to fail&#x2019; syndrome combined with the incorrect belief perpetrated by
 the Federal Reserve Chairman Alan Greenspan that financial companies,
 powered by a rational motive not to lose money, could police themselves
 and one another. In turn, such sanguine beliefs led to considerable
 over-supply of financial innovation. The supply created its own demand as
 the financial world operated under the implicit guarantee (and market
 distortion) created by the &#x2018;too big to fail&#x2019; syndrome. The
 errors laid bare by the financial crisis clearly call for regulatory
 reform. But in designing that reform, regulators across the world should
 avoid the temptation to seek heavy-handed new approaches. Instead,
 policymakers should look to the long-term success of the system of rules
 whose decay brought about the crisis. Prudent regulations must seek to
 reinforce the fundamental principle that no one, however big or small, can
 be made immune to failure. Such pro-market regulation of finance is
 essential to preserving and fostering countries&#x2019; economic futures. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 343-349 
Issue: 2 
Volume: 4 
Year: 2011 
Month: 5 
X-DOI: 10.1080/17520843.2011.591497 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.591497 
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: India's fiscal and monetary framework: growth in an opening economy 
Abstract:
  Since a crisis is a shock impinging on a system, the response can be used
 to deduce aspects of the system's structure. Analysis of the crisis and
 recovery suggests aggregate supply in India is elastic but subject to
 upward shocks. This has implications for cyclical policy and for fiscal
 consolidation. Both monetary and fiscal policy should identify measures
 that would reduce costs, while avoiding too large a demand contraction.
 Specific policies are identified and Indian policies evaluated. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 108-123 
Issue: 1 
Volume: 5 
Year: 2012
Month: 7 
X-DOI: 10.1080/17520843.2011.605523 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.605523 
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Template-Type: ReDIF-Article 1.0
Author-Name: Aditya Jadhav 
Author-X-Name-First: Aditya 
Author-X-Name-Last: Jadhav 
Title: Dual class shares -- is India ready for it? 
Abstract:
  Market evidence suggest that a class of common stock with superior voting
 rights trades at systematically higher prices than an identical class of
 stock with inferior voting rights, as control over the firm grants the
 promoters some opportunity to receive a higher payoff. Differential voting
 rights class of shares may attract a certain class of investors who are
 only interested in the economic benefits of a company. It assists
 management in deterring potential rivals from winning a control and allows
 raising fresh capital for growth without giving up control. The value of
 controlling a firm derives from the fact that you believe that you or
 someone else would operate the firm differently from the way it is being
 run currently. Differential voting rights shares in different countries
 have indicated that voting rights are generally worth between 10% and 20%
 of the value of common stock. This article intends to create awareness
 about differential voting rights shares, to study the international as
 well as domestic experience and tries to examine the various factors that
 affect differential voting rights share prices. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 124-135 
Issue: 1 
Volume: 5 
Year: 2012
Month: 11 
X-DOI: 10.1080/17520843.2011.643539 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.643539 
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Template-Type: ReDIF-Article 1.0
Author-Name: Michael   Debabrata Patra 
Author-X-Name-First: Michael   Debabrata 
Author-X-Name-Last: Patra 
Author-Name: Muneesh Kapur 
Author-X-Name-First: Muneesh 
Author-X-Name-Last: Kapur 
Title: A monetary policy model for India 
Abstract:
  A New Keynesian model estimated for India yields valuable insights.
 Aggregate demand reacts to interest rate changes with a lag of three
 quarters, while inflation takes four quarters to respond to demand
 conditions. Inflation thus responds to monetary policy actions with a lag
 of seven quarters. Inflation is inertial and persistent when it sets in,
 irrespective of the source. Exchange rate pass-through to domestic
 inflation is low. Inflation turns out to be the dominant focus of monetary
 policy, accompanied by a strong commitment to the stabilization of output. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 18-41 
Issue: 1 
Volume: 5 
Year: 2012
Month: 3 
X-DOI: 10.1080/17520843.2011.576453 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.576453 
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Template-Type: ReDIF-Article 1.0
Author-Name: Raghbendra Jha 
Author-X-Name-First: Raghbendra 
Author-X-Name-Last: Jha 
Author-Name: Tu   Ngoc Dang 
Author-X-Name-First: Tu   Ngoc 
Author-X-Name-Last: Dang 
Title: Inflation variability and the relationship between inflation and growth 
Abstract:
  We examine the effect of inflation variability and economic growth using
 annual historical data on both developing and developed countries. The
 data cover 182 developing countries and 31 developed countries for the
 period 1961--2009. Proxying inflation variability by the five-year
 coefficient of variation of inflation, we obtain the following results:
 (1) For developing countries, there is significant evidence to suggest
 that when the rate of inflation exceeds 10% inflation variability has a
 negative effect on economic growth. (2) For developed countries, there is
 no significant evidence that inflation variability is detrimental to
 growth. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 3-17 
Issue: 1 
Volume: 5 
Year: 2012
Month: 7 
X-DOI: 10.1080/17520843.2011.608371 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.608371 
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Template-Type: ReDIF-Article 1.0
Author-Name: Tu N. Dang 
Author-X-Name-First: Tu N. 
Author-X-Name-Last: Dang 
Title: Evaluating the effectiveness of exchange rate bands in reducing inflation 
Abstract:
  This paper contributes to the debate between the intermediate option and
 the corner solution through evaluating effectiveness of exchange rate
 bands (target zone and crawling band) in retaining inflation. I employ
 propensity score matching methods, based on the conditional independence
 assumption (CIA), to overcome the selection bias and problem of functional
 form in a sample covering observations from 88 countries from 1998 to
 2005. The result suggests countries with target zones experienced
 significantly lower inflation rates than those with floating exchange
 rates. I use the sensitivity analysis for matching estimators, which
 highlights that the result is robust to specific failures of the CIA.
 Meanwhile, no significant evidence has been found that crawling bands
 offer a counter- inflationary benefit. It might be explained by the
 possibility that frequent exchange rate realignments could weaken the role
 of a nominal anchor and raise inflationary expectations. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 42-61 
Issue: 1 
Volume: 5 
Year: 2012
Month: 5 
X-DOI: 10.1080/17520843.2011.588337 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.588337 
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Template-Type: ReDIF-Article 1.0
Author-Name: Amr   Sadek Hosny 
Author-X-Name-First: Amr   Sadek 
Author-X-Name-Last: Hosny 
Title: Financial development and economic growth in Egypt 
Abstract:
  The relationship between financial development and economic growth has
 been widely examined in both the theoretical and empirical literature.
 This paper studies the relationship between these two variables in Egypt
 during the period 1961 to 2009, using co-integration and vector error
 correction analysis, Granger causality tests, and multivariate
 Beveridge-Nelson decomposition. Results indicate that the two variables
 move together in the long run, and that financial development Granger
 causes economic growth in both the short-run and the long-run, thus
 providing support for the supply leading hypothesis. These findings are
 robust using different measures of financial development. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 62-77 
Issue: 1 
Volume: 5 
Year: 2012
Month: 7 
X-DOI: 10.1080/17520843.2011.606608 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.606608 
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Template-Type: ReDIF-Article 1.0
Author-Name: James Refalo 
Author-X-Name-First: James 
Author-X-Name-Last: Refalo 
Author-Name: Hsing Fang 
Author-X-Name-First: Hsing 
Author-X-Name-Last: Fang 
Author-Name: Jong Yi 
Author-X-Name-First: Jong 
Author-X-Name-Last: Yi 
Author-Name: Golak C. Nath 
Author-X-Name-First: Golak C. 
Author-X-Name-Last: Nath 
Title: Investor perceptions and equity-sovereign bond return correlation: revisiting the Mexican Peso Crisis 
Abstract:
  We investigate evidence of state-dependent correlation between Mexican
 Brady bond and Mexican Equity Fund returns between November 1990 and March
 2000. During this timeframe, the Mexican capital market can be
 characterized by three distinct periods: pre-Peso crisis (November
 1990--April 1993), the crisis years (May 1993--December 1996), and a
 period of recovery following the crisis. We find a statistical increase in
 correlation of returns from these instruments during the period
 surrounding the Peso crisis, and show that the correlation preceded the
 collapse of the Peso by 20 months. We also find that common fundamentals
 fail to explain the source of this correlation. However, using a regime
 switching model, state-dependent investor perceptions embedded in the
 Brady returns can explain the correlation pattern. Our evidence implies
 that time-varying correlation between debt and equity securities may be
 driven primarily by state-dependent investor perceptions about bond risk. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 78-93 
Issue: 1 
Volume: 5 
Year: 2012
Month: 9 
X-DOI: 10.1080/17520843.2011.624526 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.624526 
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Template-Type: ReDIF-Article 1.0
Author-Name: Manoj Dalvi 
Author-X-Name-First: Manoj 
Author-X-Name-Last: Dalvi 
Author-Name: Christos Giannikos 
Author-X-Name-First: Christos 
Author-X-Name-Last: Giannikos 
Author-Name: Eleni Gousgounis 
Author-X-Name-First: Eleni 
Author-X-Name-Last: Gousgounis 
Title: Short sale constraints: the impact on the return distribution 
Abstract:
  This paper tests empirically Hong and Stein's theoretical finding, that
 in an environment of short sale constraints, investor disagreement over
 future equity prices leads to negatively skewed return distributions. This
 study uses data from the Indian equity market to examine the third and
 fourth moments of the return distribution. The skewness of the return
 distribution is estimated both from realized returns and option prices.
 Empirical results provide partial supportive evidence for Hong and Stein's
 hypothesis. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 94-107 
Issue: 1 
Volume: 5 
Year: 2012
Month: 11 
X-DOI: 10.1080/17520843.2011.641986 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.641986 
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Author-Name: Subrata Sarkar 
Author-X-Name-First: Subrata 
Author-X-Name-Last: Sarkar 
Author-Name: Sushanta Mallick 
Author-X-Name-First: Sushanta 
Author-X-Name-Last: Mallick 
Title: Introduction: the risks and the rewards of greater openness 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 135-138 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 9 
X-DOI: 10.1080/17520843.2012.709146 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.709146 
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Template-Type: ReDIF-Article 1.0
Author-Name: Gil Kim 
Author-X-Name-First: Gil 
Author-X-Name-Last: Kim 
Author-Name: Lian An 
Author-X-Name-First: Lian 
Author-X-Name-Last: An 
Author-Name: Yoonbai Kim 
Author-X-Name-First: Yoonbai 
Author-X-Name-Last: Kim 
Title: The behaviour of the real exchange rate and current account 
Abstract:
  This paper investigates the joint dynamic response of the current account
 and the real exchange rate to permanent and temporary shocks using
 structural VAR models for seven developed and five developing countries.
 Due to the ambiguity of the unit roots test, model specification based on
 both stationary and non-stationary current accounts are employed. Capital
 flows are also included to capture external shocks as well as potential
 structural breaks due to financial liberalization. We find that the
 differences between the results when the current account is modelled as
 stationary and non-stationary are non-trivial. Changes inthe current
 account are mainly driven by temporary shocks such as monetary shocks or
 disturbances while real exchange rate fluctuations are dominated by
 permanent shocks. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 139-160 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 12 
X-DOI: 10.1080/17520843.2011.653891 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.653891 
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Template-Type: ReDIF-Article 1.0
Author-Name: Lavan Mahadeva 
Author-X-Name-First: Lavan 
Author-X-Name-Last: Mahadeva 
Author-Name: Juan   Carlos Parra Alvarez 
Author-X-Name-First: Juan   Carlos Parra 
Author-X-Name-Last: Alvarez 
Title: What determines the sensitivity of the real exchange rate in Colombia to a terms of trade shock? 
Abstract:
  We show that the sensitivity of the real exchange rate to terms of trade
 shocks is greater the lower the elasticity of final and derived demand
 between domestic and imported items. We develop a novel Kalman
 filter-based method to estimate these key parameters for Colombia, taking
 account of preference shifts, technological relative price trends and
 errors in sectoral data. We find that the elasticity of the input of the
 distribution sector in transforming imports from domestic consumption
 reliably indicates complementarity, implying that rigidities in this
 sector matter in determining the sensitivity of the Colombian economy to
 external shocks. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 161-176 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 4 
X-DOI: 10.1080/17520843.2012.682595 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.682595 
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:161-176




Template-Type: ReDIF-Article 1.0
Author-Name: Ramya Ghosh 
Author-X-Name-First: Ramya 
Author-X-Name-Last: Ghosh 
Title: Capital controls and exchange rate regime: case study of India 
Abstract:
  This paper focuses on India's exchange rate regime, capital controls and
 monetary policy. According to official classification, the exchange rate
 of the Indian rupee has been a &#x2018;managed float' since the 1990s.
 This paper presents a classification of India's exchange rate regime and
 also investigates whether changes in capital controls have had any
 influence on the exchange rate regime. The results reveal that the Indian
 rupee was de facto pegged to the US dollar between 2001 and 2003 but it
 has been moving toward greater flexibility in recent years. The analysis
 shows that there is indeed a link between changes in capital controls and
 the exchange rate regime. The paper also offers a discussion of India's
 monetary policy independence in the context of &#x2018;trilemma'. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 177-186 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 5 
X-DOI: 10.1080/17520843.2012.699896 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.699896 
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:177-186




Template-Type: ReDIF-Article 1.0
Author-Name: Jostein Tvedt 
Author-X-Name-First: Jostein 
Author-X-Name-Last: Tvedt 
Title: Sovereign wealth funds, portfolio choice and corrective taxes 
Abstract:
  In a setting where investors have preferences for future wealth,
 sovereign wealth funds should invest relatively less in equities than the
 representative private investor. Tax asymmetries make it relatively more
 attractive for sovereign wealth funds to invest in fixed income than in
 stock markets. A high fraction invested in equities may be an indication
 that the sovereign wealth fund's principal has other preferences than the
 representative private investor. Host countries may levy corrective taxes
 on foreign sovereign wealth funds based on the &#x2018;private behaviour
 equivalent&#x2019; principle, in order to reduce potential social costs
 related to the sovereign wealth funds' investment activities. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 187-196 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 12 
X-DOI: 10.1080/17520843.2011.652641 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.652641 
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:187-196




Template-Type: ReDIF-Article 1.0
Author-Name: Fassil Fanta 
Author-X-Name-First: Fassil 
Author-X-Name-Last: Fanta 
Title: Financial liberalization and consumption volatility: explaining heterogeneity across countries 
Abstract:
  Most previous studies mainly focus on the direct impact of financial
 liberalization on consumption growth volatility with less emphasis on
 explaining heterogeneity across countries. This paper, therefore,
 contributes to the existing body of literature by analysing factors which
 explain such differences. The initial level of inequality and domestic
 financial development play a prominent role in explaining why the benefit
 of financial integration differs across countries. Overall, our results,
 using data from 26 countries, indicate that financial liberalization
 reduces consumption volatility, ranging between 1.57 and 2.11 (61% to
 82%). An increase in the initial level of income inequality by one
 standard deviation increases consumption volatility, ranging between 0.36
 and 0.48 (14% to 19%). Moreover, an increase in one standard deviation of
 financial development decreases consumption growth variability by 0.16
 (6%). Policy measures that promote redistribution and improve domestic
 financial markets help to reap the potential benefit of financial
 integration. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 197-212 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 5 
X-DOI: 10.1080/17520843.2012.695741 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.695741 
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:197-212




Template-Type: ReDIF-Article 1.0
Author-Name: Tahsin Saadi Sedik 
Author-X-Name-First: Tahsin 
Author-X-Name-Last: Saadi Sedik 
Author-Name: Oral H. Williams 
Author-X-Name-First: Oral H. 
Author-X-Name-Last: Williams 
Title: Do Gulf Cooperation Countries' equity markets waltz or tango to spillovers? 
Abstract:
  This paper analyses the impact of global and regional spillovers to GCC
 equity markets. GCC equity markets were impacted by spillovers from US
 equity markets despite varying degrees of foreign participation.
 Spillovers from regional equity markets were also important but the
 magnitude of the effects was on average smaller than that from mature
 markets. The results also illustrated episodes of contagion, in particular
 during the recent global financial crisis. The findings suggest that the
 degree of interconnectedness between the GCC and global financial markets,
 given their longstanding net creditor status, underscores the financial
 channel as an important source through which volatility is transmitted. In
 this regard, GCC equity markets are not immune from global and regional
 financial shocks. These findings cast doubts on the notion among some
 analysts of decoupling between the GCC and global equity markets. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 213-227 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 4 
X-DOI: 10.1080/17520843.2012.684885 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.684885 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:213-227




Template-Type: ReDIF-Article 1.0
Author-Name: Sreejata Banerjee 
Author-X-Name-First: Sreejata 
Author-X-Name-Last: Banerjee 
Title: Basel l and Basel ll compliance issues for banks in India 
Abstract:
  Factors influencing banks across different ownerships in India for
 compliance with Basel I and II are identified by applying random effect
 panel data and censored regression model. The credit risk focus of Basel I
 is revealed as private and foreign banks' compliance are affected by
 credit risk weighted assets, while public banks by credit deposit ratio,
 capital and ROA. Business per employee, profit per employee influence
 public and private banks, while advances and net non-performing assets
 affect foreign banks in India indicating the operational risk focus in
 Basel II. Buffer capital for countercyclical stance is positively related
 to ROA and negatively to credit deposit ratio. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 228-245 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 4 
X-DOI: 10.1080/17520843.2012.688754 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.688754 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:228-245




Template-Type: ReDIF-Article 1.0
Author-Name: Duvvuri Subbarao 
Author-X-Name-First: Duvvuri 
Author-X-Name-Last: Subbarao 
Title: Price stability, financial stability, and sovereign debt sustainability policy challenges from the new trilemma 
Abstract:
  Managing price stability, financial stability, and sovereign debt
 sustainability is a new trilemma that has emerged after the global crisis
 for central banks. In managing the new trilemma, central banks would face
 some policy relevant questions: Is there a return of fiscal dominance of
 monetary policy? Can the new trilemma erode the autonomy and
 accountability of central banks? How far can pursuit of the new trilemma
 militate against growth? What are the limits to unconventional policy
 measures? The article is an attempt to understand the dimension and
 complexity of the new trilemma with an analytical assessment of these
 questions. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 246-259 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 4 
X-DOI: 10.1080/17520843.2012.686921 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.686921 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:246-259




Template-Type: ReDIF-Article 1.0
Author-Name: Arvind Virmani 
Author-X-Name-First: Arvind 
Author-X-Name-Last: Virmani 
Title: Global economic governance: IMF quota reform 
Abstract:
  The paper examines the principles on which a reform of a quota based
 global economic institution like the International Monetary Fund (IMF)
 must be based, taking account of both the relative economic power of
 countries and the need for voice and representation of the poor countries.
 These principles are then used in the context of the global economic
 realities of the twenty-first century to examine the suitability of
 different variables in the IMF's quota formula. Based on this analysis a
 simple transparent formula is suggested, which will help increase the
 credibility and legitimacy of the IMF as a global macroeconomic and
 financial institution. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 260-280 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 10 
X-DOI: 10.1080/17520843.2011.632487 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.632487 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:260-280




Template-Type: ReDIF-Article 1.0
Author-Name: Venkatachalam Shunmugam 
Author-X-Name-First: Venkatachalam 
Author-X-Name-Last: Shunmugam 
Title: Sovereign wealth funds and emerging economies -- reap the good; leave the bad 
Abstract:
  As in the physical world, sheer size attracts attention in the financial
 world mainly for the fear of impact of their movements in financial
 markets and hence in real economy and its stakeholders. Having originated
 from the economic activities of sovereigns or that of their establishments
 and managed by institutions reporting to them, characterized by opacity in
 their operations arising out of fear of transparency, the activities of
 most sovereign wealth funds were largely restricted to certain sectors of
 developed economies or their financial markets. With their growing size
 and quest for increased returns to serve the economic objectives for which
 many of them have been created, sovereign wealth funds have done their bit
 to rid them of few of the above characteristics in an effort to foray into
 the real economies of the developing world. Though sovereign wealth funds
 voluntarily adopted the Santiago guidelines, their voluntary nature and
 the recent financial crisis led to new lessons for the recently created
 International Forum of Sovereign Wealth Funds (IFSWF) to match sovereign
 wealth funds and their aspirations with that of the long-term funding
 aspirations of most emerging economies. OECD guidelines for Corporate
 Governance (2005) and SWF Recipient Countries (2008) set the right path
 for sovereign wealth funds to adopt and move forward to promote a mutually
 rewarding experience for both the investor funds and the investee
 economies. A global institution for regulation and monitoring of the
 activities of sovereign wealth funds will go a long way in matching
 intentions with expectations among capital providers and emerging nations. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 281-296 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 2 
X-DOI: 10.1080/17520843.2012.671146 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.671146 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:281-296




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Author-Name: Joseph Cherian 
Author-X-Name-First: Joseph 
Author-X-Name-Last: Cherian 
Author-Name: Bejoy Das Gupta 
Author-X-Name-First: Bejoy 
Author-X-Name-Last: Das Gupta 
Author-Name: Syetarn Hansakul 
Author-X-Name-First: Syetarn 
Author-X-Name-Last: Hansakul 
Author-Name: Veerathai Santiprabhob 
Author-X-Name-First: Veerathai 
Author-X-Name-Last: Santiprabhob 
Author-Name: Peter Wolff 
Author-X-Name-First: Peter 
Author-X-Name-Last: Wolff 
Title: Panel: Asian financial integration 
Abstract:
  Asian intraregional trade far exceeds intraregional financial flows.
 Regional financial integration requires further market development with
 supportive institutions and common standards. Internal growth generation
 is important for the region to sustain global growth in the face of
 continued problems in Europe. Asian savings are large and it is an
 originator, not just a recipient, of financial flows. Given its population
 density, acute need for better retirement savings products, and genuine
 demand for infrastructure, institutional and product innovations that help
 retain its high savings in the region could meet real needs, while
 promoting more diverse and stable capital flows. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 297-305 
Issue: 2 
Volume: 5 
Year: 2012 
Month: 5 
X-DOI: 10.1080/17520843.2012.699897 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.699897 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:5:y:2012:i:2:p:297-305




Template-Type: ReDIF-Article 1.0
Author-Name: Bibhas Saha 
Author-X-Name-First: Bibhas 
Author-X-Name-Last: Saha 
Author-Name: Rudra Sensarma 
Author-X-Name-First: Rudra 
Author-X-Name-Last: Sensarma 
Title: State ownership, credit risk and bank competition: a mixed oligopoly approach 
Abstract:
  The recent financial crisis led many governments to buy equity in banks
 leading to situations of mixed oligopoly in banking markets. We model such
 a case where a partially state-owned bank competes with a private bank in
 collecting deposits. The government is purely a welfare maximizer while
 the private bank maximizes profits. Both banks face risks in the loan
 market. We show that if credit risk is sufficiently high and there is
 limited liability, the state-owned bank mitigates depositors' losses by
 mobilizing less deposits leading to contraction of aggregate deposits.
 This contradicts the standard mixed oligopoly results in the literature. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-13 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2011.641719 
File-URL: http://hdl.handle.net/10.1080/17520843.2011.641719 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:1-13




Template-Type: ReDIF-Article 1.0
Author-Name: Arpita Ghose 
Author-X-Name-First: Arpita 
Author-X-Name-Last: Ghose 
Author-Name: Sutapa Das 
Author-X-Name-First: Sutapa 
Author-X-Name-Last: Das 
Title: Government size and economic growth in emerging market economies: a panel co-integration approach 
Abstract:
  A significant positive influence of both government size and domestic
 investment on economic growth is found in the long run during 1970--2006
 for a sample of 19 emerging market economies, employing panel
 co-integration testing and estimating the parameters using dynamic
 ordinary least square method, for all the indicators, excepting the case
 when one chooses general government final consumption expenditure as a
 percentage of GDP a measure of government size and gross capital formation
 as a percentage of GDP a measure of domestic investment, with per capita
 GDP a proxy for economic growth. The findings corroborate the argument
 that diverse results of the earlier studies are due to different measures
 adopted. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 14-38 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.697075 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.697075 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:14-38




Template-Type: ReDIF-Article 1.0
Author-Name: Motilal   Anand Bicchal 
Author-X-Name-First: Motilal   Anand 
Author-X-Name-Last: Bicchal 
Author-Name: Naresh   Kumar Sharma 
Author-X-Name-First: Naresh   Kumar 
Author-X-Name-Last: Sharma 
Author-Name: Bandi Kamaiah 
Author-X-Name-First: Bandi 
Author-X-Name-Last: Kamaiah 
Title: Different statistical core inflation measures for India: construction and evaluation 
Abstract:
  This paper computes several statistical measures for core inflation for
 India and provides methodology of construction of these core measures.
 Some of these have been computed for the first time for India, such as:
 persistence weighted, variations of &#x2018;Neo-Edgeworthian
 Index&#x2019;, asymmetric trimmed mean, and month-by&#x2010;month
 exclusion (dynamic trimmed mean) core measures. For computing these core
 measures, the study uses both aggregate WPI and a detailed breakdown of
 the WPI. It covers the period April 1994--April 2009, with 1993--1994 as
 the base year. Subsequently, a comparison of these estimated core measures
 based on the criteria of usefulness of a measure of core inflation from a
 monetary policy point of view is carried out. The study finds only some
 representative measures of core inflation to be useful. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 39-65 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.682339 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.682339 
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:39-65




Template-Type: ReDIF-Article 1.0
Author-Name: Biru Paksha Paul 
Author-X-Name-First: Biru 
Author-X-Name-Last: Paksha Paul 
Title: Inflation--growth nexus: some bivariate EGARCH evidence for Bangladesh 
Abstract:
  This study examines the inflation--growth nexus for Bangladesh over the
 period 1976--2009 in a bivariate exponential generalized autoregressive
 conditional heteroscedasticity in mean (EGARCH-M) model. This work finds
 that both growth and inflation adversely affect each other in a lagged
 fashion in Bangladesh. Inflation uncertainty appears to be conducive to
 growth for the country, contradicting the Friedman hypothesis. Growth
 uncertainty, which is also thought to be inimical to growth, affects the
 average growth rate positively. Thus, the Central Bank should shift its
 target from controlling inflation uncertainty to reducing a rise in
 inflation to ensure faster growth in Bangladesh. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 66-76 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.695385 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.695385 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:66-76




Template-Type: ReDIF-Article 1.0
Author-Name: S.   Raja Sethu Durai 
Author-X-Name-First: S.   Raja Sethu 
Author-X-Name-Last: Durai 
Author-Name: M. Ramachandran 
Author-X-Name-First: M. 
Author-X-Name-Last: Ramachandran 
Title: Sectoral effects of disinflation: Evidence from India 
Abstract:
  This paper makes an attempt to measure sacrifice ratios for the farm and
 non-farm sector as disinflation policy is believed to have differential
 impact on these sectors. Using the non-parametric approach of Ball (1994),
 five disinflation episodes are identified for India over the period from
 1950--51 to 2009--10. These disinflations are largely due to
 contractionary monetary policy pursued by the Reserve Bank of India. The
 estimates of the sacrifice ratio and the presence of persistence and
 hysteresis effects indicate that disinflationary monetary policy is more
 harmful to output growth in the non-farm sector. In contrast, the negative
 sacrifice ratio in the farm sector implies that there is output gain
 during disinflationary periods. This output gain in the farm sector seems
 to have been driven by those factors which are independent of
 contractionary monetary shocks. These evidences also suggest that use of
 aggregate time series data might produce errors in the measurement of
 sacrifice ratios. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 77-87 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.728236 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.728236 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:77-87




Template-Type: ReDIF-Article 1.0
Author-Name: Subal Kumbhakar 
Author-X-Name-First: Subal 
Author-X-Name-Last: Kumbhakar 
Author-Name: Anatoly Peresetsky 
Author-X-Name-First: Anatoly 
Author-X-Name-Last: Peresetsky 
Title: Cost efficiency of Kazakhstan and Russian banks: results from competing panel data models-super-1  
Abstract:
  In this paper, we estimate cost efficiency of the Kazakhstan and Russian
 banks. A stochastic frontier approach based on a panel data for 2002--6 is
 used. The Kazakhstan banking system is traditionally assumed to be more
 advanced compared to the Russian system. Empirically we do not find any
 significant differences in the cost efficiency of banks between these two
 countries during the period of our study. This result is found to be quite
 robust across several alternative and competing models. We also find that
 many of the banks in both countries operate below their optimal size. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 88-113 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.727444 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.727444 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:88-113




Template-Type: ReDIF-Article 1.0
Author-Name: Vikash Gautam 
Author-X-Name-First: Vikash 
Author-X-Name-Last: Gautam 
Author-Name: Rajendra Vaidya 
Author-X-Name-First: Rajendra 
Author-X-Name-Last: Vaidya 
Title: Firm investment, finance constraint and voluntary asset sales: the evidence from Indian manufacturing firms 
Abstract:
  This paper examines the importance of finance constraints for firm
 investment expenditures by looking at the investment-asset sales
 sensitivity in financially healthy Indian manufacturing firms. Voluntary
 asset sales is a cleaner indicator of firms' liquidity than cash flows
 since it is unlikely to influence firms' growth opportunities unless they
 are financially constrained. We take care of the endogeneity and the
 implicit monotonicity problems, which are much debated in the literature,
 by using an endogenous regime switching regression model. We find that the
 investment-asset sales sensitivity is significantly greater for firms that
 are likely to be financially constraints. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 114-130 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.725419 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.725419 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:114-130




Template-Type: ReDIF-Article 1.0
Author-Name: Jose   Eduardo Gomez-Gonzalez 
Author-X-Name-First: Jose   Eduardo 
Author-X-Name-Last: Gomez-Gonzalez 
Author-Name: Nidia   Ruth Reyes 
Author-X-Name-First: Nidia   Ruth 
Author-X-Name-Last: Reyes 
Title: Firm failure and relationship lending in an emerging economy: new evidence from small businesses 
Abstract:
  We study the effect of relationship lending on small firms' failure
 probability using a uniquely rich data set comprised of information on
 individual loans of a large number of small firms in Colombia. We control
 for firm-specific variables and find that small firms involved in
 long-term liaisons with commercial banks have a significantly lower
 probability of becoming bankrupt than otherwise identical firms not
 involved in a long-term credit relationship. We also find that small firms
 with multiple banking relationships face a lower failure hazard than
 otherwise identical firms involved in a unique long-term relationship. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 131-145 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.691890 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.691890 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:131-145




Template-Type: ReDIF-Article 1.0
Author-Name: Aymen Ben Rejeb 
Author-X-Name-First: Aymen 
Author-X-Name-Last: Ben Rejeb 
Author-Name: Ousama Ben Salha 
Author-X-Name-First: Ousama 
Author-X-Name-Last: Ben Salha 
Title: Financial crises and emerging stock markets volatility: do internal factors matter? 
Abstract:
  This paper has two central aims. The first one is to deal empirically
 with the effects of financial crises on emerging stock markets volatility.
 The second objective consists in testing if the level of stock market
 development affects this relationship. For this purpose, we estimate a
 static panel data model for a sample of nine emerging economies from
 January 1990 to December 2006. We consider three types of financial
 crises, i.e. banking, currency and twin crises. Our empirical results
 suggest that the onset of financial crises strongly increased stock market
 volatility. In addition, we find that the biggest impact is exerted by
 twin crises. When dealing with the second objective, our results show that
 the market size and the liquidity level can attenuate the effects of
 banking and currency crises, but not the one associated to twin crises.
 Nevertheless, the degree of stock market integration seems to reduce the
 effects of banking, currency and twin crises on stock market volatility. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 146-165 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.698630 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.698630 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:146-165




Template-Type: ReDIF-Article 1.0
Author-Name: Jason Gurtovoy 
Author-X-Name-First: Jason 
Author-X-Name-Last: Gurtovoy 
Author-Name: Xiaohua Yang 
Author-X-Name-First: Xiaohua 
Author-X-Name-Last: Yang 
Title: Globalization of Chinese firms, location choice, and socio-cultural milieu 
Abstract:
  For a number of years, the bulk of Chinese outward foreign direct
 investment was found in countries with lower technological development and
 minimal management capabilities. Recent research and preliminary data have
 shown a swift shift in outward foreign direct investment allocation by
 Chinese multinational enterprises to OECD countries. We argue that the
 main reasons for this shift are: location strategy, firm-specific
 resources, new government policy, and socio-cultural milieu. This paper
 examines the factors which influence Chinese manufacturers' decisions to
 invest in OECD countries. We integrate the resource-based view,
 institutional view, and economic view to explain the propensity of Chinese
 manufacturing firm investment. We contribute to Chinese investment
 decision and foreign direct investment location theory by incorporating
 these three views. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 166-176 
Issue: 1 
Volume: 6 
Year: 2013 
Month: 3 
X-DOI: 10.1080/17520843.2012.755557 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.755557 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:1:p:166-176




Template-Type: ReDIF-Article 1.0
Author-Name: Dimitrios Dimitriou 
Author-X-Name-First: Dimitrios 
Author-X-Name-Last: Dimitriou 
Author-Name: Theodore Simos 
Author-X-Name-First: Theodore 
Author-X-Name-Last: Simos 
Title: International portfolio diversification: an ICAPM approach with currency risk 
Abstract:
	      This article investigates international stock market
 integration in four major developed economies, namely the United States,
 the Economic and Monetary Union of the European Union, Japan and the
 United Kingdom, and two Asian emerging, countries namely China and India,
 over the period from June 1994 to June 2009. To model stock market
 integration we estimate a dynamic version of the international capital
 asset pricing model (CAPM) in the absence of purchasing power parity.
 Conditional variance is modelled via a multivariate GARCH specification.
 To investigate the evolution of integration overtime we estimate the CAPM
 in sub-periods. In addition, we connect our results to the timing of world
 financial crises. Our findings show that the stock markets tend to move in
 parallel after June of 2002, although from 2002 to 2006 there have not
 been crises events. These results support the increasing globalization and
 interdependence of both emerging and developed markets in the recent
 decade, reducing the benefits of portfolio diversification.	      
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 177-189 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2012.736400 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.736400 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:6:y:2013:i:2:p:177-189




Template-Type: ReDIF-Article 1.0
Author-Name: Winston Moore 
Author-X-Name-First: Winston 
Author-X-Name-Last: Moore 
Title: Quantifying the effects of capital controls in small states 
Abstract:
	      Capital account liberalization can potentially have important
 effects on the economy. Numerous techniques have been employed in the
 literature to quantify these restrictions. These include
 <italic>ex-post</italic> macroeconomic indicators, regression-based
 indices and qualitative indices of capital control legislation. This paper
 evaluates the effect of the removal of capital account controls on small
 island developing states. In order to evaluate the robustness of the
 relationship between capital account liberalization and growth, the study
 uses a bootstrap approach to index construction. This approach allows one
 to assess the potential effects of differences in index specification as
 well as explain inconsistencies reported in the published literature. The
 results reported in the study suggest that the relationship between
 capital account liberalization and growth is fragile but positive. These
 results imply that the countries should approach capital account
 liberalization with caution, as simply removing restrictions does not
 guarantee growth.	    
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 190-203 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2012.755556 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.755556 
File-Format: text/html
File-Restriction: Access to full text is restricted to subscribers. 
Handle: RePEc:taf:macfem:v:6:y:2013:i:2:p:190-203




Template-Type: ReDIF-Article 1.0
Author-Name: Sitikantha Pattanaik 
Author-X-Name-First: Sitikantha 
Author-X-Name-Last: Pattanaik 
Author-Name: G.V. Nadhanael 
Author-X-Name-First: G.V. 
Author-X-Name-Last: Nadhanael 
Title: Why persistent high inflation impedes growth? An empirical assessment of threshold level of inflation for India 
Abstract:
	      In the policy debate on growth--inflation trade-off and the
 role of monetary policy in managing the trade-off in the short-run,
 theoretical and empirical research suggests the presence of a country
 specific threshold level of inflation. Empirical findings of this paper
 suggest that for India the threshold level of inflation could be around
 6%. The inflation target for monetary policy may have to be somewhat lower
 than the growth maximizing threshold, since any positive inflation could
 be a risk to inclusive and sustainable growth objective.	   
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 204-220 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2012.735248 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.735248 
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Template-Type: ReDIF-Article 1.0
Author-Name: Alexey Ponomarenko 
Author-X-Name-First: Alexey 
Author-X-Name-Last: Ponomarenko 
Author-Name: Alexandra Solovyeva 
Author-X-Name-First: Alexandra 
Author-X-Name-Last: Solovyeva 
Author-Name: Elena Vasilieva 
Author-X-Name-First: Elena 
Author-X-Name-Last: Vasilieva 
Title: Financial dollarization in Russia: causes and consequences 
Abstract:
	      We review some aspects of financial dollarization in Russia,
 applying the main relevant theories to analyse the dynamics of several
 dollarization indicators. An econometric model of the short-run dynamics
 of deposit and loan dollarization is estimated for the last decade. We
 find that ruble appreciation was the main driver of the de-dollarization
 that occurred then and of the later episode of renewed dollarization. We
 estimate the overall (and sectoral) currency mismatches of the Russian
 economy. Evidence is presented for the significant currency risk
 vulnerability of the non-banking private sector.	   
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 221-243 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2012.732099 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.732099 
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Handle: RePEc:taf:macfem:v:6:y:2013:i:2:p:221-243




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Donadelli 
Author-X-Name-First: Michael 
Author-X-Name-Last: Donadelli 
Title: Global integration and emerging stock market excess returns 
Abstract:
	      This article studies the effects of the global integration
 process on emerging stock market excess returns in a dynamic context. I
 improve the existing literature in four main directions. First, I show
 that the average excess returns rise as the level of financial and real
 integration rises. Second, I find overwhelming evidence that the financial
 liberalizations (i.e. <italic>de jure</italic> integration) of the late
 1980s and early 1990s have not been simultaneously accompanied by a
 <italic>de facto</italic> integration. Third, I find that the percentage
 of variation in emerging excess returns explained by
 <italic>non-traded</italic> global risk factors rises as the level of
 market openness rises. Last, at the country level, I show that the
 correlation coefficient does not represent a robust measure of
 integration. Results also suggest that there are substantial cross-country
 differences in the dynamics of the degree of financial integration.	    
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 244-279 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2013.782885 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.782885 
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Template-Type: ReDIF-Article 1.0
Author-Name: Agnirup Sarkar 
Author-X-Name-First: Agnirup 
Author-X-Name-Last: Sarkar 
Title: Financial intermediation and economic growth: the post-liberalization Indian experience 
Abstract:
	      The paper is concerned with the relationship between economic
 growth and financial intermediation, in particular stock market
 development, in post-liberalization India. It identifies three possible
 relationships: (a) the relationship between growth of manufacturing and
 growth of the stock market; (b) the relationship between growth of the
 stock market and growth of traditional financial intermediaries like
 banks; (c) the relationship between the growth of the primary stock market
 and that of the secondary stock market. These three relationships are
 empirically tested using Indian data. While the growth of turnover in the
 stock market is found to be positively correlated with the change in the
 growth of manufacturing and the growth of sales of new shares is found to
 positively affect the secondary market, evidence on the relationship
 between sales of new shares and traditional banking activities is mixed.
 The primary stock market is found to crowd out bank deposits, but crowd in
 bank credit.	       
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 280-294 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2013.766226 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.766226 
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Template-Type: ReDIF-Article 1.0
Author-Name: Anand Sinha 
Author-X-Name-First: Anand 
Author-X-Name-Last: Sinha 
Title: Perspectives on risk and governance 
Abstract:
	      Improper understanding and inefficient management of risk
 coupled with gaps in governance framework are considered to be major
 factors behind the outbreak of the Global Financial Crisis. This article
 highlights the gaps in the risk management and governance framework which
 led to the crisis and delineates international initiatives in building
 robust governance systems. The article also analyses the impact of new
 regulations on the economic growth and bank profitability which is the
 subject matter of intense debate currently and underscores the necessity
 of adopting Basel III by EMDEs. Highlighting the Reserve Bank of India's
 policy initiatives in mitigating the impact of global crisis, the paper
 discusses some contemporary issues in Basel III implementation in India.   
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 295-309 
Issue: 2 
Volume: 6 
Year: 2013 
Month: 9 
X-DOI: 10.1080/17520843.2013.796313 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.796313 
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Handle: RePEc:taf:macfem:v:6:y:2013:i:2:p:295-309




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Introduction: understanding volatility in emerging markets 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-3 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2014.871404 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.871404 
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Template-Type: ReDIF-Article 1.0
Author-Name: Jiaqian Chen 
Author-X-Name-First: Jiaqian 
Author-X-Name-Last: Chen 
Author-Name: Patrick Imam 
Author-X-Name-First: Patrick 
Author-X-Name-Last: Imam 
Title: Consequences of asset shortages in emerging markets 
Abstract:
				 We assess econometrically the impact of
 asset shortages on economic growth, asset bubbles, the probability of a
 crisis, and the current account for a group of 41 emerging markets (EMs)
 for 1995--2008. The econometric estimations confirm that asset shortages
 pose a serious danger to EMs in terms of reducing economic growth, raising
 the probability of a crisis, and leading to asset price bubbles. Moreover,
 asset shortages can also explain the current account positions of EMs. The
 findings suggest that the consequences of asset shortages for
 macroeconomic stability are significant, and must be tackled urgently. We
 conclude with policy implications.		      
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 4-35 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.809007 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.809007 
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Template-Type: ReDIF-Article 1.0
Author-Name: Nandini Sengupta 
Author-X-Name-First: Nandini 
Author-X-Name-Last: Sengupta 
Title: Interest rate pass-through in India 
Abstract:
				 The success of the interest rate channel
 depends upon the size and speed with which retail interest rates respond
 to changes in policy or money market interest rates. This study estimates
 the dynamic elasticities of the pass-through of the official monetary
 policy rate to the money market and retail interest rates in India and
 examines whether the speed and magnitudes of the pass-through have changed
 following introduction of the Liquidity Adjustment Facility in 2000. The
 results show that the speed of adjustment is highest for call rates and
 lowest for 364-day Treasury Bill yield. The pass-through elasticities with
 respect to call rate show marginal improvement in the case of deposit and
 lending rates and worsening in the case of Treasury Bills.		    
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 36-60 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.771692 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.771692 
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:36-60




Template-Type: ReDIF-Article 1.0
Author-Name: Ganti Subrahmanyam 
Author-X-Name-First: Ganti 
Author-X-Name-Last: Subrahmanyam 
Author-Name: Sridhar Telidevara 
Author-X-Name-First: Sridhar 
Author-X-Name-Last: Telidevara 
Author-Name: Debashis Acharya 
Author-X-Name-First: Debashis 
Author-X-Name-Last: Acharya 
Title: Perverse liquidity effect of monetary policy: some evidence for India 
Abstract:
				 The liquidity effect of money supply
 increases, as policy-oriented measures, would generally lead to a decline
 in interest rates. This is the direct effect. However, such money supply
 increases lead to a sum of the direct effect plus the positive indirect
 price and income effects. In sum, the net effect may be positive leading
 to a net increase and not a decrease in the interest rate. The regular
 money demand function is suitably modified to capture the structural
 changes of the Indian economy to verify the net effect of monetary
 policy-induced money supply movements. The empirical evidence indicates
 the presence of a perverse liquidity effect.			 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 61-82 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.773934 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.773934 
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:61-82




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee 
Author-X-Name-First: Mohsen 
Author-X-Name-Last: Bahmani-Oskooee 
Author-Name: Salman Huseynov 
Author-X-Name-First: Salman 
Author-X-Name-Last: Huseynov 
Author-Name: Rustam Jamilov 
Author-X-Name-First: Rustam 
Author-X-Name-Last: Jamilov 
Title: Is there a J-curve for Azerbaijan? New evidence from industry-level analysis 
Abstract:
				 This paper estimates the J-curve for
 Azerbaijan using quarterly industry-level data over the 2000--2009 period.
 Empirical results show that in 3 of the 10 strategic industries there is
 strong evidence for the fulfilment of the Marshall--Lerner condition, as
 the trade balance improves in the long run in reaction to a currency
 devaluation. In most industries the J-curve pattern is observed in the
 short run. All 10 cases exhibit long-run cointegration and are stable
 according to the CUSUM and CUSUMSQ stability tests. These findings are
 largely consistent with the existing literature on the Azerbaijani J-curve
 and carry important policy implications.		   
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 83-98 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.831366 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.831366 
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:83-98




Template-Type: ReDIF-Article 1.0
Author-Name: Af&#x15f;in &#x15e;ahin 
Author-X-Name-First: Af&#x15f;in 
Author-X-Name-Last: &#x15e;ahin 
Author-Name: Aysit Tansel 
Author-X-Name-First: Aysit 
Author-X-Name-Last: Tansel 
Author-Name: M. Hakan Berument 
Author-X-Name-First: M. Hakan 
Author-X-Name-Last: Berument 
Title: Output--employment relationship across employment status: evidence from Turkey 
Abstract:
				 This paper investigates output--employment
 relationships across different employment statuses and formal versus
 informal employment divisions for Turkey. Even if we fail to find a
 long-run relationship between aggregate output and total employment, there
 are long-run relationships between the aggregate output with all of the
 formal employment statuses. A further investigation for short-run
 relationships reveals no statistically significant relationships between
 aggregate output and total employment and between aggregate output and
 casual employment but there is a significant short-run relationship
 between aggregate output and total regular employment. Thus, a sustainable
 economic growth policy should aim to create formal and regular employment. 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 99-121 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2012.761260 
File-URL: http://hdl.handle.net/10.1080/17520843.2012.761260 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:99-121




Template-Type: ReDIF-Article 1.0
Author-Name: Sajal Ghosh 
Author-X-Name-First: Sajal 
Author-X-Name-Last: Ghosh 
Author-Name: Kakali Kanjilal 
Author-X-Name-First: Kakali 
Author-X-Name-Last: Kanjilal 
Title: Oil price shocks on Indian economy: evidence from Toda Yamamoto and Markov regime-switching VAR 
Abstract:
				 The study investigates the dynamic impact
 of linear and non-linear specifications of oil price shocks on
 macroeconomic fundamentals for an oil-importing emerging economy -- India
 -- during the period March 1991 to January 2009. The paper deploys
 extended vector autoregressive (VAR) model of possibly integrated
 processes proposed by Toda and Yamamoto, which has its advantage of
 application irrespective of the variables being stationary or
 cointegrated. The study further estimates two-state Markov regime-switch
 VAR model to examine regime shift behaviour of the underlying variables
 and its relationship. The study finds that inflation and foreign exchange
 reserve are greatly impacted by oil price shocks. The study also confirms
 that the movement in oil price is exogenous with respect to the movement
 of India's macroeconomic variables and the impact of oil price shocks are
 asymmetric in nature with negative price shocks having more pronounced
 effect than positive shocks.			
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 122-139 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.856333 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.856333 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:122-139




Template-Type: ReDIF-Article 1.0
Author-Name: Suresh K.G. 
Author-X-Name-First: Suresh 
Author-X-Name-Last: K.G. 
Author-Name: Aviral Kumar Tiwari 
Author-X-Name-First: Aviral Kumar 
Author-X-Name-Last: Tiwari 
Title: A Structural VAR (SVAR) analysis of fiscal shocks on current accounts in India 
Abstract:
				 The stimulus packages announced to deal
 with the economic slowdown has increased the fiscal deficit of many
 countries and it spurred the debate on the possible effect of these fiscal
 shocks on other economic variable especially the current account. In this
 study, we examine the effect of fiscal deficit on current account of India
 using the VAR as well as the Structural VAR (SVAR) analysis. Our analysis
 indicates that the fiscal deficit is positively affecting the current
 account deficit in India, as predicted by the twin deficit hypothesis.
 Therefore, the historical data indicates the presence of the twin deficits
 phenomenon in Indian context.			   
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 140-153 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.828764 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.828764 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:140-153




Template-Type: ReDIF-Article 1.0
Author-Name: Masafumi Yabara 
Author-X-Name-First: Masafumi 
Author-X-Name-Last: Yabara 
Title: Assessing exchange rate dynamics of East Africa: fragmented or integrated? 
Abstract:
				 This article investigates the dynamics of
 the currency markets of the East African Community, using forecast error
 variance decompositions from vector autoregressions. It shows that the
 exchange rates of Kenya, Tanzania and Uganda have been mainly driven by
 shocks to their own economies, while those of Burundi and Rwanda have been
 increasingly dictated by spillovers from the dollar and euro since the
 global financial crisis. Interactions within the region are limited,
 although there is some sign of elevation. This makes a clear contrast with
 European currency markets prior to the euro, where spillovers from the
 German mark dominated the markets.		      
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 154-174 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.831367 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.831367 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:154-174




Template-Type: ReDIF-Article 1.0
Author-Name: Saurabh Ghosh 
Author-X-Name-First: Saurabh 
Author-X-Name-Last: Ghosh 
Title: Volatility spillover in the foreign exchange market: the Indian experience 
Abstract:
				 We find evidence of significant volatility
 co-movements and/or spillover from different financial markets to the
 forex market in India. Among a large number of variables examined,
 volatility spillovers from domestic stock, government securities,
 overnight index swap, Ted spread and international crude oil markets to
 the foreign exchange market are found to be significant. There is evidence
 of asymmetric reactions in the forex market volatility. Comparisons
 between pre-crisis and post-crisis volatility indicate that the reform
 measures and changes in financial markets microstructure during the crisis
 period had significant impact on volatility spillover. During the
 post-crisis period, the lagged volatility component that represents
 persistent or fundamental changes had significant spillover effect on
 forex volatility, rather than the temporary shocks component. There is
 evidence of a decline in the asymmetric response in the forex volatility
 during the post-crisis period in India.		      
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 175-194 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.856334 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.856334 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:175-194




Template-Type: ReDIF-Article 1.0
Author-Name: G. Padmanabhan 
Author-X-Name-First: G. 
Author-X-Name-Last: Padmanabhan 
Title: Evolving regulations and emerging market challenges -- the Indian context 
Abstract:
				 The global financial crisis of 2007--2008
 has led to important regulatory changes being initiated by a number of
 countries to segregate commercial banking from investment banking
 activities. The changes also encompass reforms in the OTC derivatives
 market segment, which is considered to be one of the root causes of the
 crisis. This article highlights the important regulatory change
 initiatives that are being undertaken to enhance the safety of the
 financial markets, their likely impact on the market participants and
 challenges to be faced in their implementation, especially in the Indian
 context. The article also analyses the changes taking place in the Indian
 forex derivatives market and touches upon the prospects of greater
 internationalization of the rupee against the backdrop of proactive steps
 taken by the Chinese authorities to internationalize renminbi in the
 post-crisis period.			  
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 195-204 
Issue: 1 
Volume: 7 
Year: 2014 
Month: 3 
X-DOI: 10.1080/17520843.2013.870222 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.870222 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:1:p:195-204




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Author-Name: Subrata Sarkar 
Author-X-Name-First: Subrata 
Author-X-Name-Last: Sarkar 
Title: The benefits and costs of financial market liberalization 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 205-207 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2014.930246 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.930246 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:2:p:205-207




Template-Type: ReDIF-Article 1.0
Author-Name: Rudra P. Pradhan 
Author-X-Name-First: Rudra P. 
Author-X-Name-Last: Pradhan 
Author-Name: Sasikanta Tripathy 
Author-X-Name-First: Sasikanta 
Author-X-Name-Last: Tripathy 
Author-Name: Shashikant Pandey 
Author-X-Name-First: Shashikant 
Author-X-Name-Last: Pandey 
Author-Name: Samadhan K. Bele 
Author-X-Name-First: Samadhan K. 
Author-X-Name-Last: Bele 
Title: Banking sector development and economic growth in ARF countries: the role of stock markets 
Abstract:
				 The paper examines the long-run
 relationship between banking sector development, stock market development
 and economic growth in 26 ASEAN regional forum (ARF) countries for the
 period 1961-2012. Using principal component analysis for the construction
 of development indices and panel vector auto-regressive model for testing
 the Granger causalities, the study shows that a long-run relationship
 between banking sector development, stock market development and economic
 growth exists in ARF countries. The study also uniquely finds the
 existence of bidirectional causality between banking sector development
 and economic growth and a unidirectional causality from stock market
 development to economic growth. It, however, reveals the existence of
 unidirectional or bidirectional causal links between banking sector
 development and stock market development. Hence, future studies on
 economic growth that exclude the dynamic interrelationship of these
 variables will be unreliable.			    
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 208-229 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2014.913071 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.913071 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:2:p:208-229




Template-Type: ReDIF-Article 1.0
Author-Name: Aymen Ben Rejeb 
Author-X-Name-First: Aymen 
Author-X-Name-Last: Ben Rejeb 
Author-Name: Adel Boughrara 
Author-X-Name-First: Adel 
Author-X-Name-Last: Boughrara 
Title: Financial liberalization and emerging stock market efficiency: an empirical analysis of structural changes 
Abstract:
				 This article aims to determine the impact
 of financial liberalization on the informational efficiency in emerging
 stock markets. For this purpose, we estimate a time-varying parameter
 model combined with structural change technique for 13 emerging economies
 from January 1986 to December 2008. Empirical results show a greater
 efficiency in recent years. They also show that the structural breaks
 detected in the emerging market predictability indices coincide with the
 official liberalization dates, and with their alternative events. These
 findings corroborate those of the related literature regarding how
 emerging markets react to the adoption of the financial liberalization
 process.			 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 230-245 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2014.889186 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.889186 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:7:y:2014:i:2:p:230-245




Template-Type: ReDIF-Article 1.0
Author-Name: Galin Todorov 
Author-X-Name-First: Galin 
Author-X-Name-Last: Todorov 
Author-Name: Prasad Bidarkota 
Author-X-Name-First: Prasad 
Author-X-Name-Last: Bidarkota 
Title: Time-varying financial spillovers from the US to frontier markets 
Abstract:
				 We examine US stock index return and
 volatility spillovers on the mean and volatility of stock index returns of
 21 Frontier markets. We entertain potential time variation in spillovers
 in mean returns by considering a time-varying parameter (TVP) model.
 Spillovers in volatility are modelled by augmenting a standard GARCH (1,
 1) model with current and one-period lagged US conditional volatility
 effects. The resulting model can be cast in state space form. However, it
 is not time invariant as the 'coefficient' multiplying the state variable
 (the TVP parameter) is current period US returns. The model is estimated
 by the Kalman filter. Several important hypotheses of interest are tested
 using a variety of restricted versions of the general model. An important
 contribution of the paper is a detailed analysis of the relative
 contributions from US and own-country lagged effects on both the mean and
 the volatility of returns in Frontier countries. In summary, our TVP model
 detects statistically significant time variation in return spillovers, and
 statistically and quantitatively important volatility spillovers for most
 Frontier markets. However, the model captures only a small portion of
 their daily return fluctuations. Most Frontier markets display volatility
 that is greater both in magnitude and variability relative to the US.
 Time-varying and quantitatively significant spillovers from the US are
 important in 13 of the 21 Frontier countries. Quantitative or
 statistically significant impact of US conditional volatility is found for
 at least 14 markets. Our results strongly reject the polar null hypotheses
 of complete market segmentation or complete market integration. Thus,
 Frontier markets are characterized as neither completely segmented from
 the US nor completely integrated with it. Results further suggest possible
 orthogonality in the contributions of current US and lagged own-country
 returns on Frontier countries' mean returns.			      
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 246-283 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2014.919330 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.919330 
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Template-Type: ReDIF-Article 1.0
Author-Name: Ali Chebbi 
Author-X-Name-First: Ali 
Author-X-Name-Last: Chebbi 
Author-Name: Raoudha Louafi 
Author-X-Name-First: Raoudha 
Author-X-Name-Last: Louafi 
Author-Name: Amel Hedhli 
Author-X-Name-First: Amel 
Author-X-Name-Last: Hedhli 
Title: Financial fluctuations in the Tunisian repressed market context: a Markov-switching-GARCH approach 
Abstract:
				 Small open economies are not immune to
 financial shocks. Fluctuations arising there interest more and more
 decision makers as they influence their policies' effectiveness. A common
 belief is that opening the capital account is the primary source of
 financial instability. In this article we show that even if a capital
 account is not previously opened in Tunisia, the investor sentiment plays
 the role of the transmission channel of financial fluctuations. On monthly
 data (2000:01-2010:03) we filter financial business cycles via the
 Hodrick-Prescott procedure. Also we establish their turning points in
 Tunisian, Moroccan and French markets using the Bry-Boschan algorithm.
 Thus we build the investor sentiment index in Tunisia. Then we use it for
 the estimation of the financial volatility through a Markov
 switching-GARCH model. We show that business financial cycles in Tunisia
 are partially synchronized with those in France and the Tunisian
 investor's sentiment is a significant explicative variable of the
 financial volatility. Therefore, we recommend a financial stabilization
 policy based on agent's expectations for better macroeconomic
 effectiveness policies.		     
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 284-302 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2013.781048 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.781048 
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Handle: RePEc:taf:macfem:v:7:y:2014:i:2:p:284-302




Template-Type: ReDIF-Article 1.0
Author-Name: Rasmeet Kohli 
Author-X-Name-First: Rasmeet 
Author-X-Name-Last: Kohli 
Title: Market fragmentation of securities market: traditional exchanges versus alternate trading venues 
Abstract:
				 Market fragmentation is one of the policy
 issues which is being continuously discussed among the regulators in the
 securities market arena in the United States, Canada and Europe. This
 paper is an extant literature review paper and endeavours to explain the
 different forms of alternate trading systems which have caused the
 securities market to fragment. This paper discusses the rationale behind
 market fragmentation and facilitators for this kind of change in the
 securities market microstructure. Through the literature review on the
 subject, this paper aims at unveiling how some significant aspects related
 to securities market microstructure such as market quality, liquidity,
 price discovery, execution costs, fairness and investor confidence are
 impacted through market fragmentation. The paper further discusses how the
 exchanges and the regulators have responded to the challenges emerging
 from market fragmentation.			    
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 303-314 
Issue: 2 
Volume: 7 
Year: 2014 
Month: 9 
X-DOI: 10.1080/17520843.2014.880151 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.880151 
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Handle: RePEc:taf:macfem:v:7:y:2014:i:2:p:303-314




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Handling complexity 
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-4 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2015.996317 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.996317 
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Template-Type: ReDIF-Article 1.0
Author-Name: Raghuram Rajan 
Author-X-Name-First: Raghuram 
Author-X-Name-Last: Rajan 
Title: Competitive monetary easing: is it yesterday once more? 
Abstract:
 Given weak post-crisis aggregate demand both advanced economies and
 emerging economies engage in competitive monetary easing, creating
 financial risks. To ensure stable and sustainable growth, the
 international rules of the game need to be revisited. Since internalizing
 spillovers to other countries may be difficult, large central banks could
 reinterpret their domestic mandate to take into account other country
 reactions over time (and not just the immediate feedback effects) and thus
 become more sensitive to spillovers. This weak 'coordination' could be
 supplemented with improvement of global safety nets.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 5-16 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.992451 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.992451 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:5-16




Template-Type: ReDIF-Article 1.0
Author-Name: Charan Singh 
Author-X-Name-First: Charan 
Author-X-Name-Last: Singh 
Title: Inflation targeting in India 
Abstract:
 The adoption of inflation targeting in India has been a much debated topic
 which also becomes a challenge for an emerging economy. Though inflation
 targeting has already been adopted in some emerging and advanced
 countries, successful implementation would be a concern. The paper argues
 that an emerging country like India needs to consider the composition of
 consumer price index; state of macro econometric models; and young
 demographics, unemployment rate and lack of social security before
 adopting inflation targeting. To modernize the monetary policy framework,
 India could consider introducing regular review of the regional economy;
 instituting a monetary policy committee; and separating debt from monetary
 management, the paper argues.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 17-24 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.992450 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.992450 
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Template-Type: ReDIF-Article 1.0
Author-Name: Helder Ferreira de Mendon&#xe7;a 
Author-X-Name-First: Helder Ferreira 
Author-X-Name-Last: de Mendon&#xe7;a 
Author-Name: Ivando Faria 
Author-X-Name-First: Ivando 
Author-X-Name-Last: Faria 
Title: Brazilian Central Bank communication and interest rate expectations 
Abstract:
 This article presents empirical evidence on the effect of regular Central
 Bank of Brazil (CBB) communication on volatility and the direction of the
 interest rates futures market. The volatility of interest rates in the
 financial market is observed before and after publication of regular CBB
 communication. Moreover, the period without publication (purdah period) is
 also considered. Hence, this article combines, in an original manner, the
 idea presented by Ehrmann and Fratzscher for evaluation of the impact of
 communication on financial market expectation, and the model developed by
 Kuttner, for analysis concerning the expectations hypothesis of the term
 structure of interest rate. The findings support the idea that CBB
 communication has an effect on expectations of changes in the interest
 rates and in the expected direction. Furthermore, CBB communication is
 more effective when made in the periods before meetings of the Monetary
 Policy Committee and publication of the respective minutes.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 25-44 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.948475 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.948475 
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:25-44




Template-Type: ReDIF-Article 1.0
Author-Name: Biru Paksha Paul 
Author-X-Name-First: Biru Paksha 
Author-X-Name-Last: Paul 
Author-Name: Hassan Zaman 
Author-X-Name-First: Hassan 
Author-X-Name-Last: Zaman 
Title: When and why does Bangladesh's inflation differ from India's? 
Abstract:
 India and Bangladesh share a common historical background, geographical
 proximity, institutional similarities and a policy shift towards economic
 liberalization since the early 1990s. Inflation between these countries,
 however, often remains remarkably different, and the series of inflation
 differential between them does not follow any consistent pattern over
 time, suggesting an intriguing area of investigation. Working over the
 1979-2010 period, this study finds support in favour of the Friedman
 hypothesis of the primacy of money supply in determining inflation in a
 country after accounting for supply shocks. In an autoregressive
 distributed lag model, this work shows that Bangladesh experienced higher
 inflation than India whenever Bangladesh's money supply grew faster than
 India's. The same is true for India as well, suggesting that both central
 banks must maintain their restrained stance in money supply if they need
 to lower inflation.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 45-66 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.975140 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.975140 
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Template-Type: ReDIF-Article 1.0
Author-Name: Nidia Ruth Reyes 
Author-X-Name-First: Nidia Ruth 
Author-X-Name-Last: Reyes 
Author-Name: Jos&#xe9; E. G&#xf3;mez-Gonz&#xe1;lez 
Author-X-Name-First: Jos&#xe9; E. 
Author-X-Name-Last: G&#xf3;mez-Gonz&#xe1;lez 
Author-Name: Jair Ojeda-Joya 
Author-X-Name-First: Jair 
Author-X-Name-Last: Ojeda-Joya 
Title: Bank lending, risk taking, and the transmission of monetary policy: new evidence for an emerging economy 
Abstract:
 We study the existence of a monetary policy transmission mechanism through
 banks in Colombia, using monthly banks' balance sheet data for the period
 1996:4 to 2012:12. The results are consistent with the basic postulates of
 the bank lending channel (and the risk-taking channel) literature. The
 impact of short-term interest rates on the growth rate of loans is
 negative, indicating that increases in these rates lead to reductions in
 the growth rate of loans. This impact is stronger for consumer loans than
 for commercial loans. We find important heterogeneity in the monetary
 policy transmission across banks depending on bank-specific
 characteristics.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 67-80 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.930059 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.930059 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:67-80




Template-Type: ReDIF-Article 1.0
Author-Name: Jos&#xe9; R. S&#xe1;nchez-Fung 
Author-X-Name-First: Jos&#xe9; R. 
Author-X-Name-Last: S&#xe1;nchez-Fung 
Title: Exchange rate dynamics, forecasting and the microstructure approach: empirical evidence for an emerging market economy 
Abstract:
 This article investigates exchange rate dynamics and forecasting in an
 emerging market economy by incorporating elements from the market
 microstructure approach. The investigation finds that in the Dominican
 Republic imbalances between purchases and sales in the foreign exchange
 market are significant in explaining exchange rate dynamics over and above
 traditional purchasing power parity (PPP) fundamentals. The investigation
 runs a forecasting competition, and the preferred model beats a battery of
 competitors at the 3-month horizon. But an uncovered interest parity (UIP)
 specification outperforms the otherwise preferred model, a PPP benchmark
 and a first-order autoregression over 6- and 12-month forecast horizons.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 81-89 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.977929 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.977929 
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:81-89




Template-Type: ReDIF-Article 1.0
Author-Name: Dilip Kumar 
Author-X-Name-First: Dilip 
Author-X-Name-Last: Kumar 
Author-Name: S. Maheswaran 
Author-X-Name-First: S. 
Author-X-Name-Last: Maheswaran 
Title: Long memory in Indian exchange rates: an application of power-law scaling analysis 
Abstract:
 This article studies the power-law scaling properties of Indian exchange
 rates relative to US dollar, British pound, Euro and Japanese yen and
 measures the evolution of their long-memory phenomenon. We apply the
 generalized Hurst exponent (GHE) approach for the computation of the
 scaling exponent. This article also tests the accuracy of the GHE approach
 by means of Monte Carlo experiments. The Monte Carlo experiments indicate
 that the GHE approach provides good estimates of the Hurst exponent. We
 also find that the efficiency characteristics of Indian exchange rates and
 their stages of development are dynamic in nature.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 90-107 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.940987 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.940987 
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:90-107




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee 
Author-X-Name-First: Mohsen 
Author-X-Name-Last: Bahmani-Oskooee 
Author-Name: Tsangyao Chang 
Author-X-Name-First: Tsangyao 
Author-X-Name-Last: Chang 
Author-Name: Shu-Ching Cheng 
Author-X-Name-First: Shu-Ching 
Author-X-Name-Last: Cheng 
Author-Name: Tsung-Pao Wu 
Author-X-Name-First: Tsung-Pao 
Author-X-Name-Last: Wu 
Title: Revisiting purchasing power parity in major oil-exporting countries 
Abstract:
 Univariate unit-root tests of the purchasing power parity (PPP) are said
 to suffer from low power. Following the literature, we apply the
 sequential panel selection method combined with a Fourier function to test
 the PPP in six major oil exporting countries. The results support PPP in
 all six countries except Russia. Our results point to the importance of
 proper modelling of structural breaks and non-linearities in the real
 exchange rate series of these countries.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 108-116 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.948473 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.948473 
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Template-Type: ReDIF-Article 1.0
Author-Name: Anubha Dhasmana 
Author-X-Name-First: Anubha 
Author-X-Name-Last: Dhasmana 
Title: Operational currency mismatch and firm level performance: evidence from India 
Abstract:
 This paper looks at the determinants and effects of exchange rate exposure
 using data on 500 Indian firms over the period 1995-2011. Unlike the
 existing papers in the literature, we use a measure of 'operational'
 currency exposure based on foreign currency revenues and costs of firms.
 Among other factors, exchange rate volatility appears as a significant
 determinant of average firm-level exposure with the direction of
 relationship supporting the presence of 'Moral Hazard' in the firm's
 risk-taking behaviour. Further, large 'operational' exposure is associated
 with significantly lower output growth, profitability and capital
 expenditure during episodes of large currency depreciation at the firm
 level. Together, these indicate that the policy-makers must take into
 account the incentive effects of their intervention in foreign exchange
 markets.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 117-137 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2013.847112 
File-URL: http://hdl.handle.net/10.1080/17520843.2013.847112 
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Template-Type: ReDIF-Article 1.0
Author-Name: Saibal Ghosh 
Author-X-Name-First: Saibal 
Author-X-Name-Last: Ghosh 
Title: Macroprudential regulation and bank behaviour: theory and evidence from a quasi-natural experiment 
Abstract:
 The article examines the impact of macroprudential policies on bank credit
 growth. Towards this end, we develop a model of bank behaviour which
 examines the possible impact of such policies. The testable propositions
 of the model are empirically examined using a natural experiment for
 India. The results appear to suggest that macroprudential policies
 interact with bank ownership to moderate the severity of the credit cycle.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 138-159 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.983533 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.983533 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:138-159




Template-Type: ReDIF-Article 1.0
Author-Name: Alisher Akhmedjonov 
Author-X-Name-First: Alisher 
Author-X-Name-Last: Akhmedjonov 
Author-Name: Berna Balci Izgi 
Author-X-Name-First: Berna 
Author-X-Name-Last: Balci Izgi 
Title: If bank capital matters, then how? The effect of bank capital on profitability of Turkish banks during the recent financial crisis 
Abstract:
 The goal of this study is to examine if higher bank capital resulted in
 higher profitability of Turkish banks before and during the recent
 (2008-2009) financial crisis. Using the ordinary least squares, fixed
 effects and generalized method of moment estimator techniques, we find
 that higher bank capital had positive effects on bank profitability at all
 times, and the effect was more pronounced during the financial crisis.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 160-166 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.940988 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.940988 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:160-166




Template-Type: ReDIF-Article 1.0
Author-Name: Sarat Dhal 
Author-X-Name-First: Sarat 
Author-X-Name-Last: Dhal 
Title: The inflation impact of bonds <italic>versus</italic> money financing of fiscal deficits in India: some theoretical and empirical perspectives 
Abstract:
 It is generally believed that Government's fiscal deficits, only when
 financed by central bank's new money creation, will be inflationary in
 nature. In this paper, we demonstrate using a simplified comparative
 static model based on aggregate money supply, accounting that the
 inflation impact of fiscal deficits financed through bonds representing
 commercial banks' credit to the Government can be similar to conventional
 monetized fiscal deficits. Our framework does not require stable money
 multiplier and other simplified assumptions pertaining to base money
 supply. We provide empirical evidence on fiscal deficits significantly
 affecting inverted broad money demand and thereby supporting our
 theoretical perspective. The findings emerging from the paper have
 implications for monetary and fiscal policies.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 167-184 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.975141 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.975141 
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Template-Type: ReDIF-Article 1.0
Author-Name: Terral Mapp 
Author-X-Name-First: Terral 
Author-X-Name-Last: Mapp 
Author-Name: Winston Moore 
Author-X-Name-First: Winston 
Author-X-Name-Last: Moore 
Title: The informal economy and economic volatility 
Abstract:
 The informal economy has traditionally played an important role in most
 Caribbean economies. Indeed, small-family-owned plots supplied a
 considerable domestic demand for agricultural commodities. Most Caribbean
 economies are now primarily service-oriented; however, the informal sector
 still plays a major role in most of their economies. There are
 disadvantages to an over reliance on the informal sector: low-tax yields
 and a focus mainly on the domestic market. This paper argues, nonetheless,
 that the informal sector is a key mechanism for insulating households from
 the effects of large negative economic shocks. The study therefore
 investigates the effects of the size of the informal economy on economic
 volatility in the Caribbean with emphasis on consumption volatility. The
 results are not meant to argue for policies to support the growth and
 penetration of the informal sector, but instead for policies aimed at
 supporting entrepreneurship within the region.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 185-200 
Issue: 1-2 
Volume: 8 
Year: 2015 
Month: 7 
X-DOI: 10.1080/17520843.2014.969291 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.969291 
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Handle: RePEc:taf:macfem:v:8:y:2015:i:1-2:p:185-200




Template-Type: ReDIF-Article 1.0
Author-Name:  Chirinos-Lea&#xf1;ez 
Author-X-Name-First:  
Author-X-Name-Last: Chirinos-Lea&#xf1;ez 
Author-Name: Carolina Pagliacci 
Author-X-Name-First: Carolina 
Author-X-Name-Last: Pagliacci 
Title: Macroeconomic shocks and the forward yield curve: how important is monetary policy? 
Abstract:
 The associations between macroeconomic fluctuations and the yield curve
 tend to be explained by the reactions of the monetary authority. This
 paper evaluates how macroeconomics shocks affect the forward yield curve
 for domestic and foreign debt markets in Venezuela, where monetary policy
 is not the main source of macroeconomic fluctuations. As previous results
 in the literature, macroeconomic shocks affect more strongly the short end
 of the yield curve in the expected direction. Overall, supply shocks
 explain most of the variability of long-term yields, spread and
 volatility. Nonetheless, short-term yield movements can be associated with
 general monetary conditions of the economy and not necessarily with
 monetary policy actions.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 201-223 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2015.1049640 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1049640 
File-Format: text/html
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Handle: RePEc:taf:macfem:v:8:y:2015:i:3:p:201-223




Template-Type: ReDIF-Article 1.0
Author-Name: Moumita Basu 
Author-X-Name-First: Moumita 
Author-X-Name-Last: Basu 
Author-Name:  Nag 
Author-X-Name-First:  
Author-X-Name-Last: Nag 
Title: Asset price dynamics, inflation and sectoral composition of output: a dependent economy model 
Abstract:
 This article develops a dependent economy model that focuses on the
 interactions between inflation and asset price dynamics under a flexible
 exchange rate and rational expectation. We assume that money wage adjusts
 instantaneously to clear the labour market. The asset prices are
 represented by the Tobin's q and exchange rate. Using this framework, we
 will examine implications of monetary policy, fiscal policy, tariff
 liberalization and exogenous capital flows for inflation and asset prices,
 which in turn determine the allocation of labour and the sectoral
 composition of output. The effects of different exogenous and
 policy-induced shocks critically depend on the difference in the speeds of
 adjustment in commodity price and asset prices and multiple cross effects
 generated by changes in these prices.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 224-243 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2015.1049639 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1049639 
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Handle: RePEc:taf:macfem:v:8:y:2015:i:3:p:224-243




Template-Type: ReDIF-Article 1.0
Author-Name: Jamal Bouoiyour 
Author-X-Name-First: Jamal 
Author-X-Name-Last: Bouoiyour 
Author-Name: Refk Selmi 
Author-X-Name-First: Refk 
Author-X-Name-Last: Selmi 
Title: Exchange volatility and trade performance in Morocco and Tunisia: what have we learned so far? 
Abstract:
 This paper attempts to assess two interesting issues for two small open
 economies (Morocco and Tunisia). First, it analyses the historical
 behaviour of nominal exchange rate, differential price and real exchange
 rate uncertainties. Second, it investigates the stability of the
 interaction between exchange volatility and exports in nominal and real
 terms. Our main results reveal that the effect of differential price
 volatility on exports exceeds that of nominal exchange rate by a large
 margin in terms of duration of persistence, ARCH and GARCH effects and
 intensity of shock. The relationship appears complex. In Morocco, it is
 negative and significant in 75.82% (as average) of cases in nominal terms
 and in 77.22% in real terms. This link is stronger in Tunisia with
 averages, respectively, equal to 85.88% and 89.99%. We associate the
 apparently mixed results to the differential price uncertainty itself
 sensitive to ups and down oil price movements, switching regime and
 leverage effects.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 244-274 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2014.880150 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.880150 
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Template-Type: ReDIF-Article 1.0
Author-Name:  Asbeig 
Author-X-Name-First:  
Author-X-Name-Last: Asbeig 
Author-Name:  Kassim 
Author-X-Name-First:  
Author-X-Name-Last: Kassim 
Title: Monetary transmission during low interest rate environment in a dual banking system: evidence from Malaysia 
Abstract:
 This study aims to determine the role of bank loans in the transmission of
 monetary policy in an environment of low interest rate in the context of a
 dual banking system in Malaysia. By adopting a balanced panel data
 approach applied on data covering the period from 2000 to 2011, the study
 finds that changes in the monetary policy have no significant impact on
 the level of financing extended by the Islamic and conventional banks.
 However, bank-specific factors, namely size and liquidity play an
 important role in influencing the lending behaviour of both the Islamic
 and conventional banks, whereas capitalization is relevant only for the
 Islamic banks. Findings of the study provide important input for effective
 monetary policy implementation in countries with increasing presence of
 the Islamic banks.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 275-285 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2015.1060248 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1060248 
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Template-Type: ReDIF-Article 1.0
Author-Name:  Nath 
Author-X-Name-First:  
Author-X-Name-Last: Nath 
Title: Repo market - A tool to manage liquidity in financial institutions 
Abstract:
 Central Bank Repo (Repurchase Agreement) is widely used as an indirect
 instrument of monetary policy and the same is implemented in India by
 institutionalizing a mechanism called Liquidity Adjustment Facility (LAF)
 which allows banks and primary dealers to manage their liquidity
 requirement on day to day basis. Liquidity stress in the market has an
 impact on the short-term interest rate. Entities not having adequate
 securities balances borrow funds from inter-bank uncollateralized call
 market and the call rates are prone to liquidity shocks in the system. The
 spread between call and repo rates is likely to widen when there is
 liquidity stress in the market. The study tried to find the determinant of
 the spread. It found that LAF window activity as well as total money
 market activity has an impact on the spread. In order to understand if the
 spread behaves in a different manner when the system has excess liquidity
 vis-&#xe0;-vis shortage of liquidity, a regime switching model using Goldfeld
 and Quandt's D-method for switching regression was used. The tests found
 that the monetary policy is stable in both the regimes and the
 effectiveness of monetary policy in both the regimes is not statistically
 different.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 286-305 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2015.1049638 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1049638 
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Template-Type: ReDIF-Article 1.0
Author-Name:  Melo-Becerra 
Author-X-Name-First:  
Author-X-Name-Last: Melo-Becerra 
Author-Name:  Ramos-Forero 
Author-X-Name-First:  
Author-X-Name-Last: Ramos-Forero 
Author-Name: Hector Z&#xe1;rate-Solano 
Author-X-Name-First: Hector 
Author-X-Name-Last: Z&#xe1;rate-Solano 
Title: Sovereign bond markets and financial stability in an emerging economy: an application of directed acyclic graphs and SVAR models 
Abstract:
 During the last two decades, domestic government bond markets have
 developed significantly in emerging economies. Although the financial
 sector has benefited accordingly, volatility in this market also has posed
 potential risks in terms of financial stability. This paper uses directed
 acyclic graphs and structural vector-autoregressive models to evaluate the
 impact of different shocks on both the public debt market and financial
 stability. Results suggest that inflation, the policy interest rate and
 indicators of risk perception are the variables that most affect the slope
 of the yield curve. In turn, when the slope increases, there is a positive
 contemporary effect on bank risk indicators.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 306-319 
Issue: 3 
Volume: 8 
Year: 2015 
Month: 11 
X-DOI: 10.1080/17520843.2015.1049641 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1049641 
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Template-Type: ReDIF-Article 1.0
Author-Name: Saurabh Ghosh 
Author-X-Name-First: Saurabh 
Author-X-Name-Last: Ghosh 
Author-Name: Sangita Misra 
Author-X-Name-First: Sangita 
Author-X-Name-Last: Misra 
Title: Quantifying the cyclically adjusted fiscal stance for India 
Abstract:
 Taking cue from recent debate in the literature, we attempt to disentangle
 cyclically adjusted fiscal balance (CAB) for India broadly using the
 methodology recommended by the IMF, an indigenous revenue elasticity for
 India and a range of potential output estimates. Our results indicate that
 after initial success in containing CAB, it increased considerably during
 the crisis period. Notwithstanding a positive output gap in the
 post-crisis period (2009--11) and subsequent increase in inflation, the
 CAB continued to be expansionary, with limited withdrawal of expansionary
 stance, albeit a reduction in fiscal impulse. This calls for further
 reforms and binding framework that can withstand business cycles.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 1-17 
Issue: 1 
Volume: 9 
Year: 2016 
Month: 3 
X-DOI: 10.1080/17520843.2015.1085424 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1085424 
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Template-Type: ReDIF-Article 1.0
Author-Name: Takashi Fukuda 
Author-X-Name-First: Takashi 
Author-X-Name-Last: Fukuda 
Title: South Korea&#x2019;s finance--growth nexus: evidence from VARX analysis with financial crisis and openness 
Abstract:
 South Korea&#x2019;s finance--growth nexus is empirically investigated by
 taking the elements of financial crisis and trade and financial openness
 through the newly developed approach of vector error-correction models
 (ECMs) with weakly exogenous <italic>I</italic>(1) variables (VARX).
 Considering financial development as a more complex phenomenon, we take
 into estimation two aspects of financial deepening that are measured by
 its size (private credit to GDP) and efficiency (private credit to total
 domestic deposits). The main findings are (1) financial efficiency
 contributes to accelerating economic growth; (2) the causality between
 economic growth and financial size is bilateral and negative; and (3)
 financial crisis is negative to both economic growth and financial
 development, whereas the growth-promoting effects of trade and financial
 openness are confirmed.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 18-33 
Issue: 1 
Volume: 9 
Year: 2016 
Month: 3 
X-DOI: 10.1080/17520843.2015.1085425 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1085425 
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Template-Type: ReDIF-Article 1.0
Author-Name: Junior A. Ojeda Cunya 
Author-X-Name-First: Junior A. 
Author-X-Name-Last: Ojeda Cunya 
Author-Name: Gabriel Rodr&#xed;guez 
Author-X-Name-First: Gabriel 
Author-X-Name-Last: Rodr&#xed;guez 
Title: An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns 
Abstract:
 The literature has shown that the volatility of stock and forex rate
 market returns shows the characteristic of long memory. Another fact that
 is shown in the literature is that this feature may be spurious and
 volatility actually consists of a short memory process contaminated with
 random level shifts (RLS). In this paper, we follow recent econometric
 approaches estimating an RLS model to the logarithm of the absolute value
 of stock and forex returns. The model consists of the sum of a short-term
 memory component and a component of level shifts. The second component is
 specified as the cumulative sum of a process that is zero with probability
 &#x2018;1-alpha&#x2019; and is a random variable with probability
 &#x2018;alpha&#x2019;. The results show that there are level shifts that
 are rare, but once they are taken into account, the characteristic or
 property of long memory disappears. Also, the presence of General
 Autoregressive Conditional Heteroscedasticity (GARCH) effects is
 eliminated when included or deducted level shifts. An exercise of
 out-of-sample forecasting shows that the RLS model has better performance
 than traditional models for modelling long memory such as the models
 ARFIMA (<italic>p</italic>,<italic>d</italic>,<italic>q</italic>).
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 34-55 
Issue: 1 
Volume: 9 
Year: 2016 
Month: 3 
X-DOI: 10.1080/17520843.2015.1088880 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1088880 
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Template-Type: ReDIF-Article 1.0
Author-Name: Shaista Arshad 
Author-X-Name-First: Shaista 
Author-X-Name-Last: Arshad 
Title: The vicissitudes of stock markets and business cycles: focusing on the OIC region 
Abstract:
 The tremendous growth of emerging and developing markets brings forth new
 arenas of research. One untouched region is the study of business cycle
 comovements with stock market volatility within the Organization of
 Islamic Cooperation (OIC) member countries. The OIC comprises of several
 rapidly growing industries attracting several Foreign Direct Investments.
 The emerging nature of the markets and the rapid influx of Foreign Direct
 Investment bring about the question of how business cycles in the OIC
 member countries react to variations in the stock market. Taking 11 OIC
 member countries, we first derive their business cycle using the
 Christiano--Fitzgerald filter and then compare this to the decomposed
 (using wavelet) stock market volatility (using exponential generalized
 autoregressive conditional heteroscedasticity (EGARCH)) representing two
 timescales, short-term and long-term, to see the impact of business cycle
 phases on short-term and long-term traders. We find for several of our
 countries that stock markets remain volatile during economic growth and
 increase in volatility during recession periods.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 56-74 
Issue: 1 
Volume: 9 
Year: 2016 
Month: 3  
X-DOI: 10.1080/17520843.2014.989247 
File-URL: http://hdl.handle.net/10.1080/17520843.2014.989247 
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Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad Shahbaz 
Author-X-Name-First: Muhammad 
Author-X-Name-Last: Shahbaz 
Author-Name: Ijaz Ur Rehman 
Author-X-Name-First: Ijaz Ur 
Author-X-Name-Last: Rehman 
Author-Name: Talat Afza 
Author-X-Name-First: Talat 
Author-X-Name-Last: Afza 
Title: Macroeconomic determinants of stock market capitalization in an emerging market: fresh evidence from cointegration with unknown structural breaks 
Abstract:
 This article explores the macroeconomic determinants of stock market
 development in an emerging market (Pakistan) over the period of
 1974--2010. We have applied Zivot--Andrews unit root test for integrating
 properties of the variables and the autoregressive distributed lag bounds
 testing for cointegration. The direction of causality between the
 variables is investigated by applying the vector error-correction model
 Granger causality approach. Our results revealed that variables are
 cointegrated for long run relationship. Economic growth, inflation,
 financial development and investment increase stock market development,
 but trade openness decreases it. The causality analysis confirms that
 stock market development is a Granger cause of economic growth, inflation,
 financial development, investment and trade openness. This article
 indicates the importance of trade openness while formulating a
 comprehensive financial policy.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 75-99 
Issue: 1 
Volume: 9 
Year: 2016 
Month: 3 
X-DOI: 10.1080/17520843.2015.1053820 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1053820 
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal 
Author-X-Name-First: Ashima 
Author-X-Name-Last: Goyal 
Title: Unconventional monetary policy in emerging markets 
Abstract:
 Channels of monetary transmission likely to work in an emerging market
 (EM) are presented. The Indian accommodative policy cycle, and the papers
 in this special issue, is used to analyse unconventional aspects of EM
 monetary policy. It is argued that conditions used to justify
 unconventional monetary policy in advanced economies routinely hold in
 EMs.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 101-108 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2016.1180835 
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1180835 
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Template-Type: ReDIF-Article 1.0
Author-Name: Rudra Sensarma 
Author-X-Name-First: Rudra 
Author-X-Name-Last: Sensarma 
Author-Name: Indranil Bhattacharyya 
Author-X-Name-First: Indranil 
Author-X-Name-Last: Bhattacharyya 
Title: Measuring monetary policy and its impact on the bond market of an emerging economy 
Abstract:
 In view of multiple instruments used by many central banks in emerging
 market economies (EMEs), we derive a composite measure of monetary policy
 for India and assess its impact on the yield curve. Our results show that
 while monetary policy has the dominant impact among macroeconomic
 variables on the entire term structure, it is particularly strong at the
 shorter end and on credit spreads. Shifts in the level of the government
 yield curve and credit spreads also lead to changes in monetary policy. In
 terms of robustness, our measure performs better than a narrative-based
 measure of monetary policy available in the literature.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 109-130 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2015.1123743 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1123743 
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Template-Type: ReDIF-Article 1.0
Author-Name: Ewe Ghee Lim 
Author-X-Name-First: Ewe Ghee 
Author-X-Name-Last: Lim 
Author-Name: Soo Khoon Goh 
Author-X-Name-First: Soo Khoon 
Author-X-Name-Last: Goh 
Title: Is Malaysia exempted from the impossible trinity? An empirical analysis for an emerging market 
Abstract:
 This paper estimates offset and sterilization coefficients in Malaysia
 with the objective to assess the relevance of the Impossible Trinity for
 policy. The paper finds that Malaysia had scope for independent monetary
 policy in the short run; but in the longer run only under managed floating
 or capital controls. The loss of long-run monetary autonomy under peg/open
 capital was in line with the trinity, and may be one reason the peg was
 eventually abandoned for managed floating in year 2005. The results
 suggest that managed floating with sterilizations could be a viable
 monetary strategy for emerging markets facing volatile capital flows.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 131-147 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2016.1151907 
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1151907 
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Template-Type: ReDIF-Article 1.0
Author-Name: Nana Kwame Akosah 
Author-X-Name-First: Nana Kwame 
Author-X-Name-Last: Akosah 
Author-Name: Julius Berry Dasah 
Author-X-Name-First: Julius Berry 
Author-X-Name-Last: Dasah 
Title: Is monetary policy effective in dampening fiscally induced exchange market pressures? Evidence from Ghana 
Abstract:
 Episodes of currency crises in Ghana over the recent past were examined.
 We also address two fundamental questions using VAR framework. First, how
 does fiscal policy relate to exchange market pressures (EMPs) in Ghana?
 Second, whether persistent fiscal slippages hinder the effective use of
 interest rate as monetary policy tool to influence undesirable exchange
 rate fluctuations? We found sterilization interventions to be more
 effective than interest rate as a monetary policy tool in moderating
 tensions in foreign exchange market. Higher recurrent expenditure was
 generally associated with higher EMP, while capital expenditures tend to
 assuage EMP. We recommend strong policy coordination between the fiscal
 and monetary authorities to ensure macroeconomic stability.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 148-166 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2015.1077874 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1077874 
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Handle: RePEc:taf:macfem:v:9:y:2016:i:2:p:148-166




Template-Type: ReDIF-Article 1.0
Author-Name: Michael Debabrata Patra 
Author-X-Name-First: Michael Debabrata 
Author-X-Name-Last: Patra 
Author-Name: Jeevan Kumar Khundrakpam 
Author-X-Name-First: Jeevan Kumar 
Author-X-Name-Last: Khundrakpam 
Author-Name: S Gangadaran 
Author-X-Name-First: S 
Author-X-Name-Last: Gangadaran 
Author-Name: Rajesh Kavediya 
Author-X-Name-First: Rajesh 
Author-X-Name-Last: Kavediya 
Author-Name: Jessica M. Anthony 
Author-X-Name-First: Jessica M. 
Author-X-Name-Last: Anthony 
Title: Responding to QE taper from the receiving end 
Abstract:
 This paper analyses the spillovers of quantitative easing (QE) and their
 taper in India, as there could be country-specific nuances that qualify
 the inferences thrown up by cross-country studies, and therefore, can
 enrich and empower the on-going debate. Using a combination of event study
 analyses, generalized method of moments and VAR estimates, it finds that
 QEs have significantly altered monetary conditions in India. Among the
 QEs, QE1 had the largest impact and taper announcement had a strong
 negative impact, with the spillovers working mainly through the portfolio
 rebalancing channel, followed by the liquidity channel. Going forward,
 emerging economies are likely to take into account these spillovers in the
 conduct of monetary policy, with implications for both policy autonomy and
 global welfare.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 167-189 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2016.1148755 
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1148755 
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Template-Type: ReDIF-Article 1.0
Author-Name: Taufeeq Ajaz 
Author-X-Name-First: Taufeeq 
Author-X-Name-Last: Ajaz 
Author-Name: Md Zulquar Nain 
Author-X-Name-First: Md Zulquar 
Author-X-Name-Last: Nain 
Author-Name: Bandi Kamaiah 
Author-X-Name-First: Bandi 
Author-X-Name-Last: Kamaiah 
Title: Inflation and openness in India: an asymmetric approach 
Abstract:
 This paper examines the dynamic relationship between inflation and
 openness from 1970 to 2014 in the Indian context. In the first of its
 kind, this paper investigates the relationship within a nonlinear
 framework by employing NARDL cointegration test due to Shin, Yu, and
 Greenwood Nimmo (2014). The empirical results show that there is asymmetry
 in the relationship between openness and inflation both in short-run as
 well as in long-run. However, overall a positive relation (though weak)
 holds between inflation and openness and hence refutes well known Romer
 (1993) hypothesis that inflation falls with openness. The results further
 showed a positive relation between inflation and other variables in the
 study. The overall response of inflation towards the positive and negative
 changes in explanatory variables differed significantly.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 190-203 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2016.1162825 
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1162825 
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Handle: RePEc:taf:macfem:v:9:y:2016:i:2:p:190-203




Template-Type: ReDIF-Article 1.0
Author-Name: Abhishek Das 
Author-X-Name-First: Abhishek 
Author-X-Name-Last: Das 
Author-Name: Arpita Ghose 
Author-X-Name-First: Arpita 
Author-X-Name-Last: Ghose 
Author-Name: Gautam Gupta 
Author-X-Name-First: Gautam 
Author-X-Name-Last: Gupta 
Title: Role of monetary policy in a New Keynesian economy: a note from a laboratory experiment 
Abstract:
 This paper discusses an experimental study on the role of monetary policy
 within a New Keynesian macroeconomic framework. The novelty of this
 article is that each subject was asked to forecast both the inflation rate
 and output gap at the same time one period ahead, which is an improvement
 over the existing literature. We find that if both the expected inflation
 rate and expected output gap is incorporated in the monetary policy rule
 then inflation can be anchored and stabilized more efficiently.
Journal: Macroeconomics and Finance in Emerging Market Economies 
Pages: 204-216 
Issue: 2 
Volume: 9 
Year: 2016 
Month: 7 
X-DOI: 10.1080/17520843.2015.1103767 
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1103767 
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Template-Type: ReDIF-Article 1.0
Author-Name: Tarek Ibrahim Eldomiaty
Author-X-Name-First: Tarek Ibrahim
Author-X-Name-Last: Eldomiaty
Author-Name: Tariq Bin Faisal Al Qassemi
Author-X-Name-First: Tariq Bin Faisal
Author-X-Name-Last: Al Qassemi
Author-Name: Ahmed Fikri Mabrouk
Author-X-Name-First: Ahmed Fikri
Author-X-Name-Last: Mabrouk
Author-Name: Lamia Soliman Abdelghany
Author-X-Name-First: Lamia Soliman
Author-X-Name-Last: Abdelghany
Title: Institutional quality, economic freedom and stock market volatility in the MENA region
Abstract: 
 How can a government help secure low-cost equity financing? This study offers an answer that a government can secure sustainable economic progress when policies of economic freedom are well institutionalized in a way that results in low equity volatility, thus low-cost equity financing. This study examines the quantitative and empirical associations between elements of Economic Freedom Index (being treated in this study as a proxy for institutional quality) and stock market volatility. The authors classify the institutional quality into three levels: high, medium and low. The data cover the years 1996–2014 for the MENA countries. The statistical tests include fixed and random effects, linearity versus non-linearity. The results show that stock market volatility can be mitigated and reduced when economic freedom is associated with an effective enforcement of law and efficient regulations. Nevertheless, the high freedom from corruption results in active equity trading which is associated with high volatility that leads in turn to high cost of equity financing. The study contributes to the literature in terms of offering practical insights on the pillars of economic freedom that policymakers must improve in order to mitigate or reduce equity volatility, therefore cost of equity financing.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 262-283
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2015.1093011
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1093011
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Template-Type: ReDIF-Article 1.0
Author-Name: Jorge Mario Uribe
Author-X-Name-First: Jorge Mario
Author-X-Name-Last: Uribe
Author-Name: Stephanía Mosquera
Author-X-Name-First: Stephanía
Author-X-Name-Last: Mosquera
Title: A comparative analysis of stock market cycles
Abstract: 
 In this article, we date the ‘recession’ and ‘expansion’ phases of 46 stock markets around the world from December 1994 to September 2013. We use the Harding and Pagan methodology to identify peaks and troughs in these stock market indices. This approach enables us to establish periods of synchronization between the markets based on the timing of peaks and troughs and to measure this synchronization by means of the Harding and Pagan statistic. We find that several recent world crisis episodes and simultaneous recoveries can be identified with this method. We also present evidence demonstrating an increase in the pro-cyclicality of stock markets around the world.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 241-261
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2015.1123744
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1123744
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Template-Type: ReDIF-Article 1.0
Author-Name: Sudipta Das
Author-X-Name-First: Sudipta
Author-X-Name-Last: Das
Author-Name: Parama Barai
Author-X-Name-First: Parama
Author-X-Name-Last: Barai
Title: Size, value and momentum in stock returns: evidence from India
Abstract: 
 This paper examines the effects of size, value and momentum on the cross-sectional relation between expected returns and risk in the Indian stock market. We find that the conditional Carhart four-factor model empirically describes the variation of cross-section of return better than the unconditional model. When size, book-to-market and momentum effects are controlled in the conditional model, the positive relation of market beta, book-to-market and momentum with expected returns remains economically and statistically significant. However, this evidence is found to be subject to characteristics of test portfolios. The expected returns are sensitive to changes in predictive macroeconomic variables.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 284-302
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2016.1148754
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1148754
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Template-Type: ReDIF-Article 1.0
Author-Name: Pami Dua
Author-X-Name-First: Pami
Author-X-Name-Last: Dua
Author-Name: Divya Tuteja
Author-X-Name-First: Divya
Author-X-Name-Last: Tuteja
Title: Linkages between Indian and US financial markets: impact of global financial crisis and Eurozone debt crisis
Abstract: 
 This paper examines inter-linkages between Indian and US equity, foreign exchange and money markets using the vector autoregressive-multivariate GARCH-BEKK framework. We investigate the impact of global financial crisis (GFC) and Eurozone debt crisis (EZDC) on the conditional volatility and conditional correlation estimates derived from the multivariate GARCH model for Indian and US financial markets. Our results indicate that there is significant bidirectional causality-in-mean between the Indian stock market returns and the Rs./USD market returns, and significant unidirectional causality-in-mean from the US stock market returns to the Indian stock market returns. As regards volatility spillovers, we find that volatility in the Indian stock market rises in response to domestic as well as US financial market shocks but Indian financial market shocks do not impact the US markets. Further, impact of the recent crisis episodes on the covariance matrix is found to be significant. We find that volatility in the Indian and US financial markets significantly amplified during GFC. The conditional correlations across asset markets were significantly accentuated in the wake of the two crisis episodes. The impact of GFC on cross-market conditional correlations is higher for majority of the asset market pairs in comparison to the EZDC.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 217-240
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2016.1166144
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1166144
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Template-Type: ReDIF-Article 1.0
Author-Name: Muhamed Zulkhibri
Author-X-Name-First: Muhamed
Author-X-Name-Last: Zulkhibri
Title: Financial inclusion, financial inclusion policy and Islamic finance
Abstract: 
 Using a qualitative analysis, the paper examines the links between financial inclusion and the Islamic financial services industry in Muslim countries. The findings show that, despite growth in the financial sector in many Muslim countries over the past few decades, many individuals and firms are still financially excluded. An analysis of the use of and access to financial services by adults and firms also shows that most Muslim countries lag behind other emerging economies in both respects, with a rate of financial inclusion of only 27%. Cost, distance, documentation, trust, and religious requirements are among the important obstacles. In addition, not surprisingly, the extent of Islamic microfinance is very limited, small by international standards; it accounts for a small proportion of microfinance, about 0.5% of global microfinance, and lacks a cost-efficient service model. This study suggests that Islamic instruments for redistributing income such as awqaf, qard-al-hassan, sadaqa, and zakah, can play a role in bringing more than 40 million people, who are financially excluded for religious reasons, into the formal financial system. The Islamic financial services industry has a long way to go in improving financial inclusion in many Muslim countries due to the scale needed and its relatively weak infrastructure.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 303-320
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2016.1173716
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1173716
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Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: List of referees: Volume 9
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 321-321
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2016.1215460
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1215460
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Handle: RePEc:taf:macfem:v:9:y:2016:i:3:p:321-321




Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Editorial Board
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: ebi-ebi
Issue: 3
Volume: 9
Year: 2016
Month: 9
X-DOI: 10.1080/17520843.2016.1237391
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1237391
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Template-Type: ReDIF-Article 1.0
Author-Name: Bernard Njindan Iyke
Author-X-Name-First: Bernard
Author-X-Name-Last: Njindan Iyke
Author-Name: Nicholas M. Odhiambo
Author-X-Name-First: Nicholas M.
Author-X-Name-Last: Odhiambo
Title: Modelling long-run equilibrium exchange rate in Botswana
Abstract: 
 The paper estimates the equilibrium real exchange rate for Botswana. It also reviews the country’s exchange rate regimes. Botswana operated a fixed exchange – without adjustable pegs from 1966 to 1976; with adjustable pegs from 1976 to 1980; and with a currency basket from 1980 to date. Using the autoregressive distributed lag bounds testing procedure, the paper found terms of trade and trade openness to determine the equilibrium real exchange rate. The actual real exchange rate has deviated significantly from the equilibrium exchange rate. The estimated speed of adjustment is very slow, which calls for policies that could raise it in order to avoid excess misalignments.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 268-285
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2016.1244094
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1244094
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Template-Type: ReDIF-Article 1.0
Author-Name: Mohamed Aseel Shokr
Author-X-Name-First: Mohamed Aseel
Author-X-Name-Last: Shokr
Author-Name: Zulkefly Abdul Karim
Author-X-Name-First: Zulkefly
Author-X-Name-Last: Abdul Karim
Author-Name: Mohd Azlan Shah Zaidi
Author-X-Name-First: Mohd Azlan Shah
Author-X-Name-Last: Zaidi
Title: The balance sheet channel of monetary policy: the panel evidence of Egypt
Abstract: 
 This paper examines the effects of monetary policy on firms’ investments in Egypt using disaggregated data and generalized method of moments (GMM) technique. It develops the neoclassical investment model by adding the interaction between user cost of capital and cash flow (CF). Therefore, monetary policy affects investment through three effects: user cost of capital, CF and interaction between them. Using a sample of 124 firms, the empirical finding supports the relevance of balance sheet channel (BSC) and the heterogeneous effect of monetary policy on investment. This finding signals that monetary authority should take cognizance of the stability of interest rate to stabilize firm-level investment.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 286-305
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2016.1252409
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1252409
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Template-Type: ReDIF-Article 1.0
Author-Name: José R. Sánchez-Fung
Author-X-Name-First: José R.
Author-X-Name-Last: Sánchez-Fung
Title: Estimating the impact of monetary policy on income inequality in China
Abstract: 
 The article estimates the impact of monetary policy on income inequality in China. The empirical time series analysis finds that a battery of monetary indicators and the change in the unemployment rate lead to increases in the Gini coefficient. But only unemployment is statistically significant. The lack of significance of the monetary indicators is robust to running different econometric models using nominal output as an alternative to unemployment. Unemployment’s impact on income inequality is robust to considering a fiscal policy proxy alongside inflation in the benchmark equation.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 260-267
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2016.1254665
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1254665
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Template-Type: ReDIF-Article 1.0
Author-Name: Fabia A. Carvalho
Author-X-Name-First: Fabia A.
Author-X-Name-Last: Carvalho
Author-Name: Marcos R. Castro
Author-X-Name-First: Marcos R.
Author-X-Name-Last: Castro
Title: Macroprudential policy transmission and interaction with fiscal and monetary policy in an emerging economy: a DSGE model for Brazil
Abstract: 
 We investigate the transmission of macroprudential (MaP) instruments in a dynamic stochastic general equilibrium model where foreign capital flows interact with financial frictions and banks are exposed to different sources of credit default risk. The model is estimated for Brazil with Bayesian techniques. We compute optimal combinations of simple MaP, fiscal and monetary policy rules that can react to the business and/or the financial cycle. We find that the gains from implementing a cyclical fiscal policy are only significant if MaP policy countercyclically reacts to the financial cycle. Optimal fiscal policy is countercyclical in the business cycle.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 215-259
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2016.1270982
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1270982
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Template-Type: ReDIF-Article 1.0
Author-Name: Ikhlaas Gurrib
Author-X-Name-First: Ikhlaas
Author-X-Name-Last: Gurrib
Title: An assessment of the potential VAT revenue collection for the United Arab Emirates
Abstract: 
 This study analyses the effect of a 5% VAT in the UAE for the period 2018–2022. The methodology includes collection efficiency, standard tax rate and the final consumption expenditure (FCE). Various scenarios are analysed, including a constant 5% VAT for 2018–2022; increasing it by 2.39% yearly; increasing it to reach the maximum 2014 country tax rate of 27%; or increasing it to reach an average tax rate of 19.1%. The collection efficiency values of 0.4–0.7 result in a 2018–22 tax revenue to GDP range of between 1.75 and 7.84%.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 306-321
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2017.1321028
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1321028
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Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: List of referees: Volume 10
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 322-322
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2017.1402160
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1402160
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Handle: RePEc:taf:macfem:v:10:y:2017:i:3:p:322-322




Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Editorial Board
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: ebi-ebi
Issue: 3
Volume: 10
Year: 2017
Month: 9
X-DOI: 10.1080/17520843.2017.1402428
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1402428
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Template-Type: ReDIF-Article 1.0
Author-Name: Gourishankar S. Hiremath
Author-X-Name-First: Gourishankar S.
Author-X-Name-Last: Hiremath
Author-Name: Kritarth Jha
Author-X-Name-First: Kritarth
Author-X-Name-Last: Jha
Author-Name: Ankur Agarwal
Author-X-Name-First: Ankur
Author-X-Name-Last: Agarwal
Title: Scaling behaviour of Treasury rates in India
Abstract: 
 This study finds that the scaling properties of India’s nominal and real Treasury rates are time varying, as is their multiscaling behaviour. We observe an association between the scaling behaviour of interest rates and the stages of development of the bill market. Interest rate behaviour is influenced by structural reforms, microstructure changes, and improvement in the operational efficiency of the Treasury market. Our findings suggest that monetary policy shocks have a persistent effect, but rates eventually revert to the mean. We show that the adaptive market hypothesis helps to delineate the dynamics of an emerging market undergoing a series of institutional and structural changes.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-23
Issue: 1
Volume: 12
Year: 2019
Month: 1
X-DOI: 10.1080/17520843.2017.1358757
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1358757
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Template-Type: ReDIF-Article 1.0
Author-Name: Aleksandar Vasilev
Author-X-Name-First: Aleksandar
Author-X-Name-Last: Vasilev
Title: Optimal fiscal policy with environmental tax and pollution abatement spending in a model with utility-enhancing environmental quality: lessons from Bulgaria
Abstract: 
 This paper characterized optimal fiscal policy in the presence of pollution, and evaluated it relative to the observed one in Bulgaria. To this end, a dynamic general-equilibrium model is calibrated to Bulgarian data. The main findings are: (i) The optimal steady-state income tax rate is zero; (ii) the benevolent Ramsey planner provides 20% higher utility-enhancing environmental quality; (iii) the optimal level of carbon taxes is almost three times higher, and the optimal level of abatement spending is six times higher; (iv) the optimal steady-state consumption tax is twice lower.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 24-35
Issue: 1
Volume: 12
Year: 2019
Month: 1
X-DOI: 10.1080/17520843.2018.1522360
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1522360
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Template-Type: ReDIF-Article 1.0
Author-Name: Nesrine Ammar
Author-X-Name-First: Nesrine
Author-X-Name-Last: Ammar
Author-Name: Adel Boughrara
Author-X-Name-First: Adel
Author-X-Name-Last: Boughrara
Title: The impact of revenue diversification on bank profitability and risk: evidence from MENA banking industry
Abstract: 
 The aim of this paper is to investigate the effects of revenue diversification on bank performance while shedding light on the impact of the shift towards non-interest income sources. To this end, we use a sample of 275 banks from fourteen MENA countries over 1990–2011. The model estimation using the GMM system reveals that diversification, when taken as a whole, improves bank profitability. We also split the non-interest income and we find that trading-generating business lines contribute the most to boosting profitability and stability. Engaging in non-interest-related activities worsens the benefit-cost trade-off of diversification, induced by the increased insolvency risk.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 36-70
Issue: 1
Volume: 12
Year: 2019
Month: 1
X-DOI: 10.1080/17520843.2018.1535513
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1535513
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Template-Type: ReDIF-Article 1.0
Author-Name: Vikas Chitre
Author-X-Name-First: Vikas
Author-X-Name-Last: Chitre
Title: The quest for monetary and financial stability: a review of professor Dilip M. Nachane, critique of the new consensus macroeconomics and implications for India
Abstract: 
 We review Professor Nachane’s book on New Consensus Macroeconomics. The Review argues that such a consensus is possible not at theoretical level, but at policy level, clarifies the link of Keynes’s General Theory to his Treatise, introduced in the book, brings out contributions of Wicksell, Clower, and Schumpeter, missed out in the book, and evaluates the discussion of issues in central banking/financial sector reforms. The book emphasizes monetary/financial stability. We recommend applying a proposal for regulatory veto to securitized bundles of loans issued by different lenders. These represent business or gambling bets rather than theoretically possible aggregation of risks.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 95-104
Issue: 1
Volume: 12
Year: 2019
Month: 1
X-DOI: 10.1080/17520843.2019.1566157
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1566157
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Template-Type: ReDIF-Article 1.0
Author-Name: Imtiaz Mohammad Sifat
Author-X-Name-First: Imtiaz Mohammad
Author-X-Name-Last: Sifat
Author-Name: Azhar Mohamad
Author-X-Name-First: Azhar
Author-X-Name-Last: Mohamad
Author-Name: Zarinah Hamid
Author-X-Name-First: Zarinah
Author-X-Name-Last: Hamid
Title: Aberrant investor participation amid substantial price swings: high-frequency evidence of magnet-repellent effect from Malaysia
Abstract: 
 Price limits have skirted controversy since inception. Regulators claim limits curb volatility, allay stressed markets, and encourage reflection on information to trade rationally. Opponents contend saying limits delay the inevitable by postponing volatility, deferring equilibrium price discovery, and obtrude investors’ trading plans. While these undesired effects are all ex-post in nature, some argue that limits – by very existence – threaten to invite trading activities towards themselves and govern trade-flow such that the limit’s prophecy is fulfilled. This is known as magnet effect. Theoretical development of this ex-ante effect has been in hibernation since the 1990s. Thus, empirical attempts have been made to test its existence – mostly in East-Asian exchanges with tight limits. Bursa Malaysia, however, defends its ±30% limit for ~30 years based on internal (unpublished) studies. This paper employs a battery of tests to examine the existence and magnitude of magnet effect and – its counterpart – repellent effect in Malaysia. Our findings suggest a weak form of magnet effect and comparable degrees of repellent effect. Moreover, we report price acceleration beyond a threshold point unsupported by order aggression or volume support necessary to constitute a magnet effect. We discuss policy import of our findings and recommend future research avenues worthy of pursuit. Price limits’ opponents argue that limits can threaten to invite trading activities towards themselves such that the limit’s prophecy is fulfilled. Existence of this phenomenon—the magnet effect—has been tested mostly in exchanges with tight limits. This paper employs a battery of tests to examine the existence and magnitude of magnet effect in Bursa Malaysia, which employs a wide price limit. Our findings suggest a weak form of magnet effect and comparable degrees of repellent effect. Moreover, we report price acceleration beyond a threshold point unsupported by order aggression or volume support necessary to constitute magnet effect.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 71-94
Issue: 1
Volume: 12
Year: 2019
Month: 1
X-DOI: 10.1080/17520843.2019.1567567
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1567567
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Template-Type: ReDIF-Article 1.0
Author-Name: Tidiane Kinda
Author-X-Name-First: Tidiane
Author-X-Name-Last: Kinda
Title: The quest for non-resource-based FDI: Do taxes matter?
Abstract: 
 Using manufacturing and services firm-level data for 30 African countries, we show that taxation is not a significant driver for the location of foreign firms in Africa, while other investment climate factors, such as infrastructure, human capital, and institutions, are. By analysing disaggregated foreign direct investment (FDI) data, we establish that, while there is considerable contrast in behaviour between vertical FDI and horizontal FDI, taxation is not a key determinant for either type of FDI. Horizontal FDI is affected more by financing and human capital constraints, and less by infrastructure and institutional constraints, than is vertical FDI.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-18
Issue: 1
Volume: 11
Year: 2018
Month: 1
X-DOI: 10.1080/17520843.2016.1244095
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1244095
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Template-Type: ReDIF-Article 1.0
Author-Name: Meng-Horng Lee
Author-X-Name-First: Meng-Horng
Author-X-Name-Last: Lee
Author-Name: Chee-Wooi Hooy
Author-X-Name-First: Chee-Wooi
Author-X-Name-Last: Hooy
Author-Name: Terence Tai-Leung Chong
Author-X-Name-First: Terence Tai-Leung
Author-X-Name-Last: Chong
Title: The sources of country and industry variations in ASEAN
Abstract: 
 This paper examines the possible determinants for the sources of country and industry variations in Association of Southeast Asian Nations (ASEAN) stock returns across financial crises. Using 4043 firms from 6 ASEAN countries and 40 industries, from 1990 to 2010, we found that lagged country return and concentration are among the determinants that explain the country factors in the region, while size proved to be the determinant of industry factors for both tradable and non-tradable industries. In general, a higher previous return and lower industrial concentration would increase the country factor. We documented the loss of explanatory power of these determinants in the presence of crisis effects.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 19-35
Issue: 1
Volume: 11
Year: 2018
Month: 1
X-DOI: 10.1080/17520843.2016.1270983
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1270983
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Template-Type: ReDIF-Article 1.0
Author-Name: Casto Martín Montero Kuscevic
Author-X-Name-First: Casto Martín
Author-X-Name-Last: Montero Kuscevic
Author-Name: Marco Antonio del Río Rivera
Author-X-Name-First: Marco Antonio
Author-X-Name-Last: del Río Rivera
Author-Name: J. Sebastian Leguizamon
Author-X-Name-First: J. Sebastian
Author-X-Name-Last: Leguizamon
Title: Inflation volatility and economic growth in Bolivia: a regional analysis
Abstract: 
 This paper analyses the effects of inflation and its volatility on Gross Domestic Product (GDP) per capita for the regions of Bolivia over the period 1989–2011. Results show the existence of a positive relationship with inflation but a negative one with respect to volatility. Moreover, we identify a threshold for volatility and inflation. Our conclusions imply that economic agents are more tolerant to relatively high levels of inflation than to high inflation volatility.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 36-46
Issue: 1
Volume: 11
Year: 2018
Month: 1
X-DOI: 10.1080/17520843.2017.1297324
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1297324
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Template-Type: ReDIF-Article 1.0
Author-Name: Golak Nath
Author-X-Name-First: Golak
Author-X-Name-Last: Nath
Author-Name: Manoel Pacheco
Author-X-Name-First: Manoel
Author-X-Name-Last: Pacheco
Title: Currency futures market in India: an empirical analysis of market efficiency and volatility
Abstract: 
 As the Indian currency futures market has been in existence for over 7 years, this paper analyses the effectiveness of the 1-month USD/INR currency futures rates in predicting the expected spot rate. The volatility of the USD/INR spot returns was also analysed. Modelling volatility of the USD/INR spot rate using a generalized autoregressive conditional heteroskedasticity (GARCH) and exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model indicated the presence of volatility clustering. Using multivariate GARCH models such as the constant conditional correlation and dynamic conditional correlation, signs of a volatility spillover between the USD/INR spot and currency futures market were also observed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 47-84
Issue: 1
Volume: 11
Year: 2018
Month: 1
X-DOI: 10.1080/17520843.2017.1331929
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1331929
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Handle: RePEc:taf:macfem:v:11:y:2018:i:1:p:47-84




Template-Type: ReDIF-Article 1.0
Author-Name: Friday K. Ohuche
Author-X-Name-First: Friday K.
Author-X-Name-Last: Ohuche
Author-Name: Joseph Nnanna
Author-X-Name-First: Joseph
Author-X-Name-Last: Nnanna
Title: An evaluation of alternative approaches to the application of cash reserve requirements in Nigeria
Abstract: 
 This article evaluated ‘o-size-fits-all’ approach to cash reserve requirement implementation in Nigeria using the Vector Autoregressive methodology and scenario analysis. The central thrust was to ascertain if a one-size-fits-all approach would produce a better outcome or perhaps utilizing a differentiated approach would provide a better outcome. To that effect, our results eloquently provides various scenarios for consideration.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 85-106
Issue: 1
Volume: 11
Year: 2018
Month: 1
X-DOI: 10.1080/17520843.2017.1376698
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1376698
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Template-Type: ReDIF-Article 1.0
Author-Name: Dilip Nachane
Author-X-Name-First: Dilip
Author-X-Name-Last: Nachane
Title: Dynamic stochastic general equilibrium (DSGE) modelling in practice: identification, estimation and evaluation
Abstract: 
 In recent years, dynamic stochastic general equilibrium (DSGE) models have come to play an increasing role in central banks, as an aid in the formulation of monetary policy (and increasingly after the global crisis, for maintaining financial stability). DSGE models, compared to other widely prevalent econometric models (such as vector autoregressive or large-scale econometric models), are less a-theoretic and with secure micro-foundations based on the optimizing behaviour of rational economic agents. Additionally, the models in spite of being strongly tied to theory, can be ‘taken to the data’ in a meaningful way. A major feature of these models is that their theoretical underpinnings lie in what has now come to be called as the New Consensus Macroeconomics (NCM). This paper concentrates on the econometric structure underpinning such models. Identification, estimation and evaluation issues are discussed at length with a special emphasis on the role of Bayesian maximum likelihood methods.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 107-134
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1213759
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1213759
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Template-Type: ReDIF-Article 1.0
Author-Name: Manuchehr Irandoust
Author-X-Name-First: Manuchehr
Author-X-Name-Last: Irandoust
Title: Saving behaviour under terms-of-trade uncertainty: evidence from hidden cointegration approach
Abstract: 
 There are very few studies on the asymmetric relationship between private saving (PS) and terms-of-trade uncertainty. This paper examines the extent to which terms-of-trade shocks have an asymmetric effect on PSs in 18 Latin American countries (LACs) over the period 1970–2012. By using the recently developed hidden cointegration analysis within a likelihood-based panel framework and panel-error–correction technique, the results indicate that there exists a long-run relationship between PS and terms-of-trade volatility. It has found some support for the view that the PS ratios have responded asymmetrically to the terms-of-trade variability as an indicator of risk and income uncertainty. The findings of this study confirm that behavioural factors, particularly loss aversion as developed through prospect theory, influence PS patterns.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 135-150
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1223729
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1223729
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Handle: RePEc:taf:macfem:v:10:y:2017:i:2:p:135-150




Template-Type: ReDIF-Article 1.0
Author-Name: Mostafa Saidur Rahim Khan
Author-X-Name-First: Mostafa Saidur Rahim
Author-X-Name-Last: Khan
Author-Name: Naheed Rabbani
Author-X-Name-First: Naheed
Author-X-Name-Last: Rabbani
Title: Momentum in stock returns: evidence from an emerging stock market
Abstract: 
 This study examines the presence and sources of momentum profits in the Dhaka stock exchange (DSE). Although the short-term reversal and intermediate-term momentum are found to be evident, short-term reversal is not as consistent and significant as intermediate-term momentum. Further examination shows that momentum profits in the DSE cannot be explained by the rational source like market factor but can be explained by the size factor. We argue that presence of large number of small stocks and lack of arbitrage opportunity could be the possible causes of momentum effect in the DSE.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 191-204
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1223730
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1223730
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Handle: RePEc:taf:macfem:v:10:y:2017:i:2:p:191-204




Template-Type: ReDIF-Article 1.0
Author-Name: Manika Jain
Author-X-Name-First: Manika
Author-X-Name-Last: Jain
Author-Name: Kakali Kanjilal
Author-X-Name-First: Kakali
Author-X-Name-Last: Kanjilal
Title: Non-linear dynamics of hot and cold cycles in Indian IPO markets: evidence from Markov regime-switching vector autoregressive model
Abstract: 
 The study aims to examine non-linear relationship between initial public offering (IPO) volume and average monthly initial returns for ‘hot’ and ‘cold’ issuing cycles in the Indian IPO markets using a two-state Markov regime-switching vector autoregressive model. The sample considers 557 IPOs during the period 2004–2014. The study establishes the presence of hot and cold states in Indian IPO markets. It finds bidirectional causality between IPO volume and initial returns for ‘hot’ issuing periods. The empirical findings suggest that the market possesses valuable information content in terms of the past issuing activity which has the potential to increase the predictability of future market behaviour.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 172-190
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1244093
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1244093
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Template-Type: ReDIF-Article 1.0
Author-Name: Rudra P. Pradhan
Author-X-Name-First: Rudra P.
Author-X-Name-Last: Pradhan
Author-Name: Mak B. Arvin
Author-X-Name-First: Mak B.
Author-X-Name-Last: Arvin
Author-Name: Sahar Bahmani
Author-X-Name-First: Sahar
Author-X-Name-Last: Bahmani
Author-Name: Sara E. Bennett
Author-X-Name-First: Sara E.
Author-X-Name-Last: Bennett
Title: Broadband penetration, financial development, and economic growth nexus: evidence from the Arab League countries
Abstract: 
 This paper examines the mutual relationship between broadband penetration, financial development, and economic growth in the 22 Arab League countries for the period between 2001 and 2013. Financial development (represented by broad money supply, claims on the private sector, domestic credit to the private sector, domestic credit provided by the banking sector, market capitalization, turnover ratio, and traded stocks) is assessed both individually, and by a composite index. Our results reveal that there is a long-run equilibrium relationship between broadband penetration, financial development, and economic growth. Additionally, we use a panel vector autoregression model to reveal the nature of Granger causality between the covariates. The most important insight of this study is the presence of bidirectional causality from economic growth to broadband penetration in the long run. In addition, we find that financial development together with broadband penetration Granger-cause economic growth in the long run.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 151-171
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1250800
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1250800
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Template-Type: ReDIF-Article 1.0
Author-Name: Ganti Subrahmanyam
Author-X-Name-First: Ganti
Author-X-Name-Last: Subrahmanyam
Author-Name: Ramesh Jangili
Author-X-Name-First: Ramesh
Author-X-Name-Last: Jangili
Title: Can CRR, CAR and SLR policy tools perform perversely?
Abstract: 
 A simple theoretical model is developed from the bank balance sheet identity to understand the effects of cash reserve ratio (CRR) on deposit multiplier. It is found that the deposit multiplier can behave perversely, depending on the loan demand and deposit supply parameters. Thus, CRR can work counter-factually and counter-intuitively, as a monetary policy tool. Further, it is found that the capital adequacy ratio – the Basel policy tool – can also work counter-intuitively. The statutory liquidity ratio tool almost mimics the CRR in performance.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 205-213
Issue: 2
Volume: 10
Year: 2017
Month: 5
X-DOI: 10.1080/17520843.2016.1270984
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1270984
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Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee
Author-X-Name-First: Mohsen
Author-X-Name-Last: Bahmani-Oskooee
Author-Name: Hanafiah Harvey
Author-X-Name-First: Hanafiah
Author-X-Name-Last: Harvey
Title: Exchange rate sensitivity of commodity flows between the Philippines and the US
Abstract: 
 Previous studies that tried to assess the impact of exchange rate changes on the inpayments and outpayments of a country used aggregate trade flows between two countries. They are said to suffer from aggregation bias, and disaggregation by industry is recommended. In this paper, we consider response to exchange rate changes of export earnings (inpayments) of 133 industries that export from the US to the Philippines (Philippines’ importing industries) and outpayments of 65 US industries (Philippines exporting industries) that import from the Philippines using annual data over the period 1973–2012. While in most industries exchange rate changes had significant effects in the short run, the short-run effects did not last into the long run in most industries. Economic activity played more role in the long run than the exchange rate.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 39-67
Issue: 1
Volume: 10
Year: 2017
Month: 1
X-DOI: 10.1080/17520843.2015.1089302
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1089302
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Template-Type: ReDIF-Article 1.0
Author-Name: Wee Chian Koh
Author-X-Name-First: Wee Chian
Author-X-Name-Last: Koh
Title: How do oil supply and demand shocks affect Asian stock markets?
Abstract: 
 This paper examines how oil market shocks affect Asian stock prices using the structural vector autoregression (VAR) approach. Global oil supply and demand shocks are disentangled using sign restrictions and elasticity bounds. Oil price increases are bad news only if the source is from oil-market-specific demand shifts. Northeast Asian stock markets are more resilient as investors’ expectation of continued economic growth outweighs the adverse effect of higher oil prices. Increased global economic activity also stimulates stock prices. Global oil shocks are more important in explaining variability in Asian stock returns compared with the United States, suggesting different dynamics in Asia.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-18
Issue: 1
Volume: 10
Year: 2017
Month: 1
X-DOI: 10.1080/17520843.2015.1135819
File-URL: http://hdl.handle.net/10.1080/17520843.2015.1135819
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Template-Type: ReDIF-Article 1.0
Author-Name: Anuradha Guru
Author-X-Name-First: Anuradha
Author-X-Name-Last: Guru
Author-Name: Mandira Sarma
Author-X-Name-First: Mandira
Author-X-Name-Last: Sarma
Title: Exchange market pressure in India
Abstract: 
 We empirically investigate episodes of currency market stress in India during the period January 1992–August 2014 with the help of a monthly EMP index for India constructed for this period. We analyse the distribution of the extreme values of the EMP index by using Extreme Value Theory (EVT) and utilize the knowledge of the extreme values of our EMP index to identify currency market stress in India during this period. We analyse these stress episodes in the context of the prevailing economic situation. We also present a decomposition of the contribution of different factors towards exchange market pressure.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 68-87
Issue: 1
Volume: 10
Year: 2017
Month: 1
X-DOI: 10.1080/17520843.2016.1176583
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1176583
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Template-Type: ReDIF-Article 1.0
Author-Name: Barendra Kumar Bhoi
Author-X-Name-First: Barendra Kumar
Author-X-Name-Last: Bhoi
Author-Name: Arghya Kusum Mitra
Author-X-Name-First: Arghya Kusum
Author-X-Name-Last: Mitra
Author-Name: Jang Bahadur Singh
Author-X-Name-First: Jang Bahadur
Author-X-Name-Last: Singh
Author-Name: Gangadaran Sivaramakrishnan
Author-X-Name-First: Gangadaran
Author-X-Name-Last: Sivaramakrishnan
Title: Effectiveness of alternative channels of monetary policy transmission: some evidence for India
Abstract: 
 In this article, we have employed ‘shutdown’ methodology, not used before in the Indian context, to study the relative importance of alternative channels of monetary policy transmission. We have, for the first time, studied the impact of monetary policy on consumer price index (CPI) inflation. In response to a shock to the operating target, the maximum decline in gross domestic product growth occurs with a lag of two to three quarters, while the impact on inflation (both CPI and wholesale price index) is felt with a lag of three to four quarters. The interest rate channel is found to be the most dominant channel of monetary policy transmission in India.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 19-38
Issue: 1
Volume: 10
Year: 2017
Month: 1
X-DOI: 10.1080/17520843.2016.1188837
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1188837
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Template-Type: ReDIF-Article 1.0
Author-Name: Geoffrey Ngene
Author-X-Name-First: Geoffrey
Author-X-Name-Last: Ngene
Author-Name: Kenneth A. Tah
Author-X-Name-First: Kenneth A.
Author-X-Name-Last: Tah
Author-Name: Ali F. Darrat
Author-X-Name-First: Ali F.
Author-X-Name-Last: Darrat
Title: The random-walk hypothesis revisited: new evidence on multiple structural breaks in emerging markets
Abstract: 
 We examine whether stock prices in 18 emerging markets follow random-walk or mean-reversion processes in the presence of sudden and gradual multiple structural breaks. Our tests endogenously determined the structural shifts and are more powerful than either the traditional random-walk (unit root) tests or the single structural break tests. In all emerging markets, we find strong evidence for multiple structural breaks. When we use single break tests, the random-walk hypothesis is rejected. However, when we use tests of double level shifts in the mean and make due allowance for multiple structural breaks, the results are consistent with the random-walk hypothesis in the vast majority of the sampled markets. The evidence proves robust to using price indexes whether denominated in U.S. dollars, in local currencies or in real terms, and also to using fractional integration tests. Our results contradict some previous studies for emerging markets which restrict structural breaks to only one-time shift.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 88-106
Issue: 1
Volume: 10
Year: 2017
Month: 1
X-DOI: 10.1080/17520843.2016.1210189
File-URL: http://hdl.handle.net/10.1080/17520843.2016.1210189
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Handle: RePEc:taf:macfem:v:10:y:2017:i:1:p:88-106




Template-Type: ReDIF-Article 1.0
Author-Name: Manjusha Senapati
Author-X-Name-First: Manjusha
Author-X-Name-Last: Senapati
Author-Name: Pushpa Trivedi
Author-X-Name-First: Pushpa
Author-X-Name-Last: Trivedi
Title: Relationship between inflation and relative price variability in India
Abstract: 
 The paper attempts to investigate the relationship between relative price variability (RPV) and aggregate inflation rate through parametric and semi-parametric methods (kernel regression method). Monthly data of wholesale price index is used for the period from February 1995 to March 2014 for this purpose. Both the parametric and semi-parametric methods lead us to the non-monotonic relationship between RPV and inflation. An attempt has also been made to determine the optimal inflation rate that would minimize RPV.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 107-123
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2017.1296879
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1296879
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Template-Type: ReDIF-Article 1.0
Author-Name: Elena Deryugina
Author-X-Name-First: Elena
Author-X-Name-Last: Deryugina
Author-Name: Alexey Ponomarenko
Author-X-Name-First: Alexey
Author-X-Name-Last: Ponomarenko
Author-Name: Andrey Sinyakov
Author-X-Name-First: Andrey
Author-X-Name-Last: Sinyakov
Author-Name: Constantine Sorokin
Author-X-Name-First: Constantine
Author-X-Name-Last: Sorokin
Title: Evaluating underlying inflation measures for Russia
Abstract: 
 We apply several tests to the underlying inflation measures used in practice by central banks and/or proposed in the academic literature in an attempt to find the best-performing indicators. We find that although there is no single best measure of underlying inflation, indicators calculated on the basis of dynamic factor models are generally among the best performers. These best performers not only outdid the simpler traditional underlying indicators (trimmed and exclusion-based measures) but also proved to be economically meaningful and interpretable.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 124-145
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2017.1301511
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1301511
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Handle: RePEc:taf:macfem:v:11:y:2018:i:2:p:124-145




Template-Type: ReDIF-Article 1.0
Author-Name: Rudrani Bhattacharya
Author-X-Name-First: Rudrani
Author-X-Name-Last: Bhattacharya
Author-Name: Abhijit Sen Gupta
Author-X-Name-First: Abhijit
Author-X-Name-Last: Sen Gupta
Title: Drivers and impact of food inflation in India
Abstract: 
 Average food inflation in India during 2006&#x2013;2013 was one of the highest among emerging market economies, and nearly double the inflation witnessed in India during the previous decade. In this paper, we analyse the behaviour and determinants of food inflation over the recent past. Our main findings include that recent surge in food inflation in India is a result of various factors. On the cost side, agricultural wage inflation is found to be a universal driver of food commodities inflation, as well as the aggregate food inflation. The contribution of agricultural wages has increased significantly in the post Mahatma Gandhi National Rural Employment Act era. Fuel inflation has a moderate impact on food inflation and the effects vary across commodities. Our analysis indicates limited role of fuel and international prices, except for in tradeables. Finally, results suggest significant pass-through effects from food to non-food and to the headline inflation.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 146-168
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2017.1351461
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1351461
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Handle: RePEc:taf:macfem:v:11:y:2018:i:2:p:146-168




Template-Type: ReDIF-Article 1.0
Author-Name: Saibal Ghosh
Author-X-Name-First: Saibal
Author-X-Name-Last: Ghosh
Title: Ownership, evergreening and crisis: an analysis of bank&#x2013;firm relationships in India
Abstract: 
 Employing data on publicly listed firms for 1995&#x2013;2012, the article examines the behaviour of bank lending and interest cost and how it evolved during the crisis. The evidence suggests that high-Non-performing Loans (NPL) main banks raised their lending and lowered lending rates during the crisis, especially to risky, low-profit firms, indicative of a flight from quality. A disaggregation of the possible reasons for the flight from quality provides evidence in favour of short-termism behaviour by banks. The analysis also provides evidence in support of tunnelling by risky firms, which became amplified during the crisis. The net effect of these developments was a perceptible reduction in overall employment.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 169-194
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2017.1313753
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1313753
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Handle: RePEc:taf:macfem:v:11:y:2018:i:2:p:169-194




Template-Type: ReDIF-Article 1.0
Author-Name: Lucas Bretschger
Author-X-Name-First: Lucas
Author-X-Name-Last: Bretschger
Author-Name: Filippo Lechthaler
Author-X-Name-First: Filippo
Author-X-Name-Last: Lechthaler
Title: Stock performance and economic growth: lessons from the Japanese case
Abstract: 
 This study examines the rise of the Japanese financial market during the last 30&#xA0;years with a focus on its changing macroeconomic environment. In particular, we relate the standard factor pricing models to growth expectations by testing for structural instability during economic transition (from the growth period to the stagnation period) and by linking the profitability of the standard return-based risk factors to economic growth. We find that the historic excess return of value stocks over growth stocks (HML-factor) and the premium on winner minus loser stocks (WML-factor) are statistically associated with economic growth. Accordingly, the description of stock returns by the usual risk factors is improved considerably when the estimations are conducted for subsamples representing different growth regimes, which particularly applies to the momentum strategy. The Japanese case illustrates the necessity of considering the structural instability in relation to growth expectations. This is particularly, relevant for emerging economies which typically experience accelerated macroeconomic transition.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 195-217
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2017.1356343
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1356343
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Handle: RePEc:taf:macfem:v:11:y:2018:i:2:p:195-217




Template-Type: ReDIF-Article 1.0
Author-Name: Viral V. Acharya
Author-X-Name-First: Viral V.
Author-X-Name-Last: Acharya
Title: Understanding and managing interest rate risk at banks
Abstract: 
 Banks in many countries hold significant quantity of bonds issued by their sovereign. This nexus of bank balance sheets with the sovereign debt can amplify in a two-way loop the effect of a rise in sovereign debt yields on banks and vice-versa. The rise in sovereign debt yields tends to be episodic, exhibiting conditional volatility, and banks need to manage this risk proactively to dampen the two-way loop. Lessons are drawn from this perspective for understanding and managing of interest rate (or &#x2018;duration&#x2019;) risk at Indian banks from their holdings of government securities. Moral hazard implications of regulatory forbearance policies when the two-way loop materializes are also discussed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 218-231
Issue: 2
Volume: 11
Year: 2018
Month: 5
X-DOI: 10.1080/17520843.2018.1473458
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1473458
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Template-Type: ReDIF-Article 1.0
Author-Name: Ganti Subrahmanyam
Author-X-Name-First: Ganti
Author-X-Name-Last: Subrahmanyam
Author-Name: Kalluru Shiva Reddy
Author-X-Name-First: Kalluru Shiva
Author-X-Name-Last: Reddy
Title: Gaps galore in the monetary approach to the purchasing power parity: a theoretical note
Abstract: 
 Purchasing Power Parity (PPP) is one of the most tested theories of international economics. Even sophisticated statistical tests mostly threw up evidence against the PPP for many countries. Except for the run-of-the-mill criticisms, there has been no theoretical attempt made so far to explain the deviations from the PPP. This note is to show theoretically that besides the standard money supply growth rate differences, there are, at least, seven other factors that can cause differences in inflation rates that in turn cause the PPP deviations. The standard macro-money demand function alone provides us with the theoretical framework for our study.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 197-204
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1620820
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1620820
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Handle: RePEc:taf:macfem:v:12:y:2019:i:3:p:197-204




Template-Type: ReDIF-Article 1.0
Author-Name: Rudrani Bhattacharya
Author-X-Name-First: Rudrani
Author-X-Name-Last: Bhattacharya
Author-Name: Parma Chakravartti
Author-X-Name-First: Parma
Author-X-Name-Last: Chakravartti
Author-Name: Sudipto Mundle
Author-X-Name-First: Sudipto
Author-X-Name-Last: Mundle
Title: Forecasting India’s economic growth: a time-varying parameter regression approach
Abstract: 
 Forecasting GDP growth is essential for effective and timely implementation of macroeconomic policies. This paper uses a principal component augmented Time Varying Parameter Regression (TVPR) approach to forecast real aggregate and sectoral growth rates for India. We estimate the model using a mix of fiscal, monetary, trade and production side-specific variables. To assess the importance of different growth drivers, three variants of the model are tried, namely, Demand-side, Supply-side and Combined models. We also find that TVPR model consistently outperforms constant parameter principal component augmented regression model and Dynamic Factor Model in terms of forecasting performance for all the three specifications.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 205-228
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1603169
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1603169
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Template-Type: ReDIF-Article 1.0
Author-Name: Motilal Bicchal
Author-X-Name-First: Motilal
Author-X-Name-Last: Bicchal
Author-Name: S. Raja Sethu Durai
Author-X-Name-First: S.
Author-X-Name-Last: Raja Sethu Durai
Title: Rationality of inﬂation expectations: an interpretation of Google Trends data
Abstract: 
 This study derives inflation expectations from the internet search query data of Google Trends and validates the rationality criteria for India. The empirical analysis is carried out with proper consideration of persistence characteristics of the data for the period from January 2006 to April 2018. The results indicate the derived inflation expectations fulfil the properties of rationality. The results have far-reaching policy implications for the better conduct of monetary policy in favour of using real-time internet search data as an indicator of inflation expectations.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 229-239
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1599980
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1599980
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Template-Type: ReDIF-Article 1.0
Author-Name: Golak Nath
Author-X-Name-First: Golak
Author-X-Name-Last: Nath
Author-Name: Manoj Dalvi
Author-X-Name-First: Manoj
Author-X-Name-Last: Dalvi
Author-Name: Vardhana Pawaskar
Author-X-Name-First: Vardhana
Author-X-Name-Last: Pawaskar
Author-Name: Sahana Rajaram
Author-X-Name-First: Sahana
Author-X-Name-Last: Rajaram
Author-Name: Manoel Pacheco
Author-X-Name-First: Manoel
Author-X-Name-Last: Pacheco
Title: An empirical analysis of efficiency in the Indian gold futures market
Abstract: 
 The paper studies the efficiency and price discovery in the Indian gold futures market. The relationship of domestic and international spot prices with the gold futures prices is examined to determine the direction of information flow between these markets. Market microstructure and impact of various policy changes on India’s gold market is analysed. A long run cointegration relationship exists between the futures and domestic spot market. We find that the daily price discovery takes place in the futures market but not the spot market. The futures do not serve as an efficient hedge for the domestic spot price.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 240-269
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1604556
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1604556
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Handle: RePEc:taf:macfem:v:12:y:2019:i:3:p:240-269




Template-Type: ReDIF-Article 1.0
Author-Name: Kamoto Banda
Author-X-Name-First: Kamoto
Author-X-Name-Last: Banda
Author-Name: John Henry Hall
Author-X-Name-First: John Henry
Author-X-Name-Last: Hall
Author-Name: Rudra P. Pradhan
Author-X-Name-First: Rudra P.
Author-X-Name-Last: Pradhan
Title: The impact of macroeconomic variables on industrial shares listed on the Johannesburg Stock Exchange
Abstract: 
 This paper aims to address the absence of research on the relationship between macroeconomic variables (aggregate economic output, inflation, interest rates and exchange rates) and industrial shares in developing countries. The Industrial Index (INDI 25) on the Johannesburg Stock Exchange (JSE) was analysed using data from 1995 to 2017. The results show that inflation has a significant positive relationship with stock prices. However, a negative relationship was found between interest rates and stock prices. In this period, exchange rates had a positive effect on industrial shares, but no relationship was identified between industrial shares and the gross domestic product (GDP).
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 270-292
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1599034
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1599034
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Template-Type: ReDIF-Article 1.0
Author-Name: Barendra Kumar Bhoi
Author-X-Name-First: Barendra Kumar
Author-X-Name-Last: Bhoi
Title: Can BRICS countries escape the middle-income trap?
Abstract: 
 BRICS countries were expected to redraw the economic landscape of the world in the twenty-first century. However, they seem to have stagnated during the recent period. Hartmut Elsenhans and Salvatore Babones, in their book ‘BRICS or Bust? Escaping the Middle-Income Trap’, take a hard look at the underlying reasons behind the recent slowdown of BRICS nations and suggest suitable policy measures to escape from the middle-income trap.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 293-296
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1615970
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1615970
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Title: Referee Award - Volume 12
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 297-297
Issue: 3
Volume: 12
Year: 2019
Month: 9
X-DOI: 10.1080/17520843.2019.1672958
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1672958
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Handle: RePEc:taf:macfem:v:12:y:2019:i:3:p:297-297




Template-Type: ReDIF-Article 1.0
Author-Name: Sanchit Arora
Author-X-Name-First: Sanchit
Author-X-Name-Last: Arora
Title: Monetary versus fiscal policy in India: an SVAR analysis
Abstract: 
 Conventionally, the policymakers relied on three policy alternatives to manage business cycles – debt-financed government spending, debt-financed tax rebate and interest rate. While the first two are fiscal policy instruments, the latter is a monetary policy instrument. This paper aims to capture interactions among Indian monetary and fiscal policy actions, and the impact of such policy actions on select macroeconomic variables for the period 1990Q1–2011Q4. The policy actions are identified using the sign restrictions approach combined with magnitude restrictions in a Structural Vector Autoregression framework, and interpreted using impulse responses and variance decomposition. The results show that Indian monetary policy responds to tax rebate shocks and spending shocks differently. In the case of a tax rebate shock, Indian monetary policy responds by reducing interest rates thereby accommodating fiscal expansion. On the opposite, monetary policy seems not to accommodate expenditure shocks. Interestingly, the monetary policy shock is accompanied by a fiscal expansion that threatens the credibility of the central bank actions, thus indicating fiscal policy dominance. A comparison of the efficacy of the policies suggests that the interest rate is more effective in stimulating output. Out of the two fiscal policy instruments analysed, the tax rebate seems to be the better option for stimulating output considering the output-debt trade-off.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 250-274
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2017.1297325
File-URL: http://hdl.handle.net/10.1080/17520843.2017.1297325
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Template-Type: ReDIF-Article 1.0
Author-Name: Helen Ghebrezghi
Author-X-Name-First: Helen
Author-X-Name-Last: Ghebrezghi
Title: Liquidity operations during the financial crisis 2008/09: evidence from the relations between Korean won onshore and offshore markets
Abstract: 
 This paper addresses the interrelation of onshore and offshore markets before and after the Bank of Korea intervened in 2008/09. During the financial crisis, Korea faced a liquidity crunch and leveraged its high level of reserves to conduct swap agreements in late 2008. To analyse how the reforms affected the mean and volatility spillover in between the spot and NDF markets, an extended GARCH model is used. The main findings of this paper are that prior to the financial crisis, the spot market dominated the offshore market. This changed after South Korea addressed the won’s liquidity crunch at the height of the crisis. Mean and volatility spillover between the markets diminished and the price gap narrowed. In addition to the empirical results, the paper also underlines the significance of liquidity and robust capital requirements for central banks.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 275-289
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2018.1446993
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1446993
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Template-Type: ReDIF-Article 1.0
Author-Name: Tomoya Suzuki
Author-X-Name-First: Tomoya
Author-X-Name-Last: Suzuki
Title: Permanent productivity shocks, migration and the labour wedge: business cycles in South Africa
Abstract: 
 The findings of this study are as follows. First, permanent productivity shocks play a dominant role in South African business cycles. Second, the migration outflow has a negative effect on permanent productivity shocks. Third, a labour wedge that represents labour market inefficiency is significant in South Africa. Fourth, the labour wedge has a positive effect on the migration outflow. These findings are consistent with the hypothesis that labour market inefficiency in South Africa pushes workers out of the country and permanently influences the country’s labour effectiveness, thereby driving South African business cycles.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 290-303
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2018.1451352
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1451352
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Handle: RePEc:taf:macfem:v:11:y:2018:i:3:p:290-303




Template-Type: ReDIF-Article 1.0
Author-Name: Qaiser Munir
Author-X-Name-First: Qaiser
Author-X-Name-Last: Munir
Author-Name: Sook Ching Kok
Author-X-Name-First: Sook Ching
Author-X-Name-Last: Kok
Author-Name: Hooi Hooi Lean
Author-X-Name-First: Hooi Hooi
Author-X-Name-Last: Lean
Author-Name: Tamara Teplova
Author-X-Name-First: Tamara
Author-X-Name-Last: Teplova
Title: Purchasing power parity in ASEAN-5 countries: revisit with cross-sectional dependence and structural breaks
Abstract: 
 This paper re-examines the purchasing power parity (PPP) hypothesis for a panel of ASEAN-5 countries. The panel unit root and cointegration tests, which incorporate cross-sectional dependence and multiple structural breaks, are innovatively used for testing the PPP hypothesis. We could not find evidence that supports the existence of a long-run equilibrium between the relative price ratio and the nominal exchange rate for the whole period. Nevertheless, there is evidence of a cointegrating relationship for the post-crisis period. Our finding implies that a flexible exchange rate regime is suitable for the individual ASEAN countries.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 233-249
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2018.1505760
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1505760
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Handle: RePEc:taf:macfem:v:11:y:2018:i:3:p:233-249




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Title: Evaluating India’s exchange rate regime under global shocks
Abstract: 
 The paper assesses the performance of India’s managed float with respect to maintaining a real competitive exchange rate, its impact on trade, on stability of currency and financial markets, and on inflation. It also derives the current range that balances these three effects.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 304-321
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2018.1513410
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1513410
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Handle: RePEc:taf:macfem:v:11:y:2018:i:3:p:304-321




Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: List of referees - Volume 11
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 322-322
Issue: 3
Volume: 11
Year: 2018
Month: 9
X-DOI: 10.1080/17520843.2018.1527505
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1527505
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Handle: RePEc:taf:macfem:v:11:y:2018:i:3:p:322-322




Template-Type: ReDIF-Article 1.0
Author-Name: Sudarsana Sahoo
Author-X-Name-First: Sudarsana
Author-X-Name-Last: Sahoo
Author-Name: Harendra Behera
Author-X-Name-First: Harendra
Author-X-Name-Last: Behera
Author-Name: Pushpa Trivedi
Author-X-Name-First: Pushpa
Author-X-Name-Last: Trivedi
Title: Return and volatility spillovers between currency and bond markets in India
Abstract: 
 This paper examines the return and volatility spillovers between the foreign exchange and bond markets of India using a bivariate asymmetric BEKK-GARCH (1,1) model for the period 4 April 2005 to 31 March 2017. We find the evidence of bidirectional return and volatility spillovers with asymmetric effects between these two markets. The spillovers are evidenced even during the periods when foreign portfolio investments in the Indian bond markets were relatively low suggests the existence of strong inter-linkages between both the markets.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 155-173
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2018.1512509
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1512509
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:155-173




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee
Author-X-Name-First: Mohsen
Author-X-Name-Last: Bahmani-Oskooee
Author-Name: Mir Obaidur Rahman
Author-X-Name-First: Mir Obaidur
Author-X-Name-Last: Rahman
Author-Name: Mohammad Abdul Kashem
Author-X-Name-First: Mohammad
Author-X-Name-Last: Abdul Kashem
Title: Bangladesh’s trade partners and the J-curve: an asymmetry analysis
Abstract: 
 Separating currency appreciations from depreciations and using non-linear models in recent literature have improved discovering significant link between the trade balance and the exchange rate. We add to this growing literature by considering the experience of Bangladesh with 11 trading partners. When a linear model was used, support for the J-curve effect was present only with one small partner. However, when a non-linear model was used, support increased to three countries including the largest partner, the United States, which accounts for more than 12% of Bangladesh’s trade. Furthermore, the non-linear models supported short-run asymmetry adjustment as well as short-run asymmetry effects of exchange rate changes in most cases. However, long-run asymmetric effects were limited to a few.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 174-189
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2018.1534873
File-URL: http://hdl.handle.net/10.1080/17520843.2018.1534873
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:174-189




Template-Type: ReDIF-Article 1.0
Author-Name: Ikhlaas Gurrib
Author-X-Name-First: Ikhlaas
Author-X-Name-Last: Gurrib
Author-Name: Firuz Kamalov
Author-X-Name-First: Firuz
Author-X-Name-Last: Kamalov
Title: The implementation of an adjusted relative strength index model in foreign currency and energy markets of emerging and developed economies
Abstract: 
 This study proposes refinements to some weaknesses in the Relative Strength Index (RSI) model and tests its predictability over pre and post crisis periods for the most active USD based currency pairs, including two energy markets. A new model (AdRSI) is tested using daily data over 2001–2015. Benchmarked against RSI and buy-and-hold models, findings support an inverse relationship between energy and currency markets. While energy markets had relatively higher risk, Chinese yuan had the lowest annualized risk. AdRSI produced higher annualized returns, lower number of trades and higher annualized risk. Overall, the buy-and-hold model was superior with higher reward-to-volatility.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 105-123
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2019.1574852
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1574852
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:105-123




Template-Type: ReDIF-Article 1.0
Author-Name: Anupam Naskar
Author-X-Name-First: Anupam
Author-X-Name-Last: Naskar
Author-Name: Rajendra Vaidya
Author-X-Name-First: Rajendra
Author-X-Name-Last: Vaidya
Title: Inter-corporate loans: the Indian experience
Abstract: 
 We examine transactions of inter-corporate loans among Indian non-financial firms during 1999–2014. We find that the consolidated amount of these loans is not small and comparable to total short-term bank loans transacted in a year. Over the years, a number of such loan providers/receivers has increased. Both group and stand-alone firms across different industries receive and provide inter-corporate loans and these transactions are not one-off events. Larger and older firms grant these loans to smaller and younger firms. Loan receivers report higher leverage, accounts payable and lower cash balance than non-receivers and about thirty percent of loan receivers are financially distressed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 134-154
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2019.1574853
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1574853
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:134-154




Template-Type: ReDIF-Article 1.0
Author-Name: José R. Sánchez-Fung
Author-X-Name-First: José R.
Author-X-Name-Last: Sánchez-Fung
Title: Interest rates, inflation, and the Fisher effect in China
Abstract: 
 The paper estimates the relationship between the nominal Treasuries rate and inflation in China. The dynamic econometric analysis yields a preferred, automatically reduced, empirical model revealing a Fisher effect. But the results are sensitive to using different sub-samples encompassed in the decade-and-a-half period following the disassociation of Treasuries from the People’s Bank of China administered interest rates at the end of the 1990s.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 124-133
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2019.1592206
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1592206
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:124-133




Template-Type: ReDIF-Article 1.0
Author-Name: Romar Correa
Author-X-Name-First: Romar
Author-X-Name-Last: Correa
Title: Macroeconomics from a higher standpoint
Abstract: 
 Dr A Vasudevan and Prof P Ray are scholars and teachers of monetary theory as well as practitioners of the art of monetary policy. The short message of the slim volume under review is that the weights attached to the two domains are variable. Thus, politics matters with the finitude of power in office. In practice, discretion scores over rules. The Phillips curve is askew and the problem of adding financial stability to the tradeoff or tradein might not be an unsolvable problem. The authors make a case for the revival of planning complete with sectoral distinctions and with government choice of green techniques and long-term finance. They ruminate on the unravelling of the “impossible trinity” and resurrect Keynes’ plan for an International Clearing Union. In sum, a “philosophy of development” trumps the Theil-Tinbergen theorem on instruments and targets.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 190-195
Issue: 2
Volume: 12
Year: 2019
Month: 5
X-DOI: 10.1080/17520843.2019.1596964
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1596964
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Handle: RePEc:taf:macfem:v:12:y:2019:i:2:p:190-195




Template-Type: ReDIF-Article 1.0
Author-Name: Adugna Olani
Author-X-Name-First: Adugna
Author-X-Name-Last: Olani
Title: Dynamic effects of macroeconomic policies on categories of emerging markets’ capital inflows
Abstract: 
 Using panel and country-specific structural vector autoregressions, this paper analyzes the dynamic and size effects of the US monetary policy shock as well as domestic monetary and exchange rate shocks on gross foreign direct and portfolio investment inflows to emerging markets. While the effects of macroeconomic policy shocks are heterogeneous across countries, foreign direct investment inflow’s response to macroeconomic policy shocks is weak in contrast to the strong and on impact response of foreign portfolio investment. Structural vector autoregressions provide richer dynamic structure and a clearer comparison of ‘push’ and ‘pull’ factors in financial flows via forecast error variance decomposition. This paper does not find evidence for ‘push’ factors’ dominance in either capital inflow type or across the countries.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-28
Issue: 1
Volume: 13
Year: 2020
Month: 1
X-DOI: 10.1080/17520843.2019.1699133
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1699133
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Author-Name: Abhishek Kumar
Author-X-Name-First: Abhishek
Author-X-Name-Last: Kumar
Title: Indian growth is not overestimated: Mr. Subramanian you got it wrong
Abstract: 
 Arvind Subramanian argues indicators like growth in export, import and private credit predict India’s growth before 2011 but fail to do so after the 2011 change in GDP estimation methodology, implying growth was overestimated post 2011. We find, however, these indicators underestimate growth before 2011 too, and also either overestimate or underestimate growth in a large number of countries. His empirical design is therefore flawed. His regressions cannot be used for predicting growth or for concluding growth is overestimated or for pointing to problems in the GDP estimation methodology. His subsequent more heuristic defence against widespread criticisms is also flawed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 29-52
Issue: 1
Volume: 13
Year: 2020
Month: 1
X-DOI: 10.1080/17520843.2019.1660390
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1660390
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Template-Type: ReDIF-Article 1.0
Author-Name: Dinabandhu Sethi
Author-X-Name-First: Dinabandhu
Author-X-Name-Last: Sethi
Author-Name: Asit Ranjan Mohanty
Author-X-Name-First: Asit Ranjan
Author-X-Name-Last: Mohanty
Author-Name: Avipsa Mohanty
Author-X-Name-First: Avipsa
Author-X-Name-Last: Mohanty
Title: Has FRBM rule influenced fiscal deficit-growth nexus differently in India?
Abstract: 
 This paper examines the link between economic growth and fiscal deficit in India for the periods between 1970–71 to 2016–17 and 1970–71 to 2003–04. The study uses an autoregressive distributed lag (ARDL) bound testing model. To check for robustness, a fully modified ordinary least square is also used. The ARDL bound test confirms both long-run relationship between fiscal deficit and economic growth after accounting for capital formation, electricity consumption and inflation. We find that the fiscal deficit has an adverse impact on growth over both the periods. Therefore, implementation of FRBM Act, 2003 has not impacted fiscal deficit-growth nexus differently.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 53-66
Issue: 1
Volume: 13
Year: 2020
Month: 1
X-DOI: 10.1080/17520843.2019.1677736
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1677736
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Handle: RePEc:taf:macfem:v:13:y:2020:i:1:p:53-66




Template-Type: ReDIF-Article 1.0
Author-Name: Ur Koumba
Author-X-Name-First: Ur
Author-X-Name-Last: Koumba
Author-Name: Calvin Mudzingiri
Author-X-Name-First: Calvin
Author-X-Name-Last: Mudzingiri
Author-Name: Jules Mba
Author-X-Name-First: Jules
Author-X-Name-Last: Mba
Title: Does uncertainty predict cryptocurrency returns? A copula-based approach
Abstract: 
 This study is confined in analysing how the economic policy uncertainty (EPU) effects affect exchange rates on cryptocurrency assets in times of financial turbulence characterized by low confidence in the financial stock markets, and tranquil periods where the financial stock markets behave smoothly. Our research employs the D-Vine pair-copula method on daily selected cryptocurrency (Bitcoin, Ethereum and Ripple) prices within the period of the 10 August 2016 to the 23 February 2018. Our findings document the presence of the dependence between the US EPU and cryptocurrencies and indicate a significant correlation with Ethereum which exhibits a much better return.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 67-88
Issue: 1
Volume: 13
Year: 2020
Month: 1
X-DOI: 10.1080/17520843.2019.1650090
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1650090
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Handle: RePEc:taf:macfem:v:13:y:2020:i:1:p:67-88




Template-Type: ReDIF-Article 1.0
Author-Name: Narayan Parab
Author-X-Name-First: Narayan
Author-X-Name-Last: Parab
Author-Name: Y. V. Reddy
Author-X-Name-First: Y. V.
Author-X-Name-Last: Reddy
Title: The dynamics of macroeconomic variables in Indian stock market: a Bai–Perron approach
Abstract: 
 The stock market is dynamic, so also the economic conditions. Structural breaks are unexpected shifts which occur in a time-series data which may deteriorate the results. The study deals this situation using the Bai–Perron test and examines the impact of select macroeconomic variables on stock market returns and thereafter investigates the causal relations. The study evidenced a significant impact of macroeconomic variables on stock market returns, and such impact was found to be varying across structural periods. The results are aimed to contribute significantly to finance literature and assist market participants and research analysts in evaluating Indian stock market.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 89-113
Issue: 1
Volume: 13
Year: 2020
Month: 1
X-DOI: 10.1080/17520843.2019.1641533
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1641533
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Handle: RePEc:taf:macfem:v:13:y:2020:i:1:p:89-113




Template-Type: ReDIF-Article 1.0
Author-Name: Moncef Guizani
Author-X-Name-First: Moncef
Author-X-Name-Last: Guizani
Title: Investment-cash flow sensitivity: a macroeconomic approach
Abstract: 
 The purpose of this paper is to examine whether the investment-cash flow sensitivities vary with macroeconomic applying data from a sample of 84 non-financial firms listed on Saudi stock market. The results show that the ICF sensitivity is positive, and is a lot larger for more constrained firms. The evidence also shows that contractionary monetary policy, poor financial development and liquidity crisis strengthen the dependence of firms on internally generated funds when undertaking new investment projects. Taken together, the financial development effect becomes insignificant suggesting that this effect may be caused by either the monetary policy or the financial crisis.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 115-139
Issue: 2
Volume: 13
Year: 2020
Month: 5
X-DOI: 10.1080/17520843.2020.1717570
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1717570
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Handle: RePEc:taf:macfem:v:13:y:2020:i:2:p:115-139




Template-Type: ReDIF-Article 1.0
Author-Name: Parul Bhardwaj
Author-X-Name-First: Parul
Author-X-Name-Last: Bhardwaj
Author-Name: Abhishek Kumar
Author-X-Name-First: Abhishek
Author-X-Name-Last: Kumar
Title: Determinants of firm-level investment in India: does size matter?
Abstract: 
 The study estimates the dynamic panel version of augmented neoclassical investment model using ARDL specification. There are evidence in support of interest rate and credit channels of monetary transmission. Our evidence of interest rate channel is robust and is not driven by outliers on the basis of size, investment to capital and cash flow to capital ratio. We also correct for the presence of financially distressed and constrained firms. The heterogeneous impact of cash flow to capital stock ratio on investment spending of small and large firms provides further evidence in favour of working of credit channel.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 140-160
Issue: 2
Volume: 13
Year: 2020
Month: 5
X-DOI: 10.1080/17520843.2019.1667848
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1667848
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Handle: RePEc:taf:macfem:v:13:y:2020:i:2:p:140-160




Template-Type: ReDIF-Article 1.0
Author-Name: Francis Leni Anguyo
Author-X-Name-First: Francis Leni
Author-X-Name-Last: Anguyo
Author-Name: Rangan Gupta
Author-X-Name-First: Rangan
Author-X-Name-Last: Gupta
Author-Name: Kevin Kotzé
Author-X-Name-First: Kevin
Author-X-Name-Last: Kotzé
Title: Inflation dynamics in Uganda: a quantile regression approach
Abstract: 
 This paper considers the measurement of inflation persistence in Uganda and how this has changed over time within different quantiles. The measures of inflation include headline inflation and two measures of core inflation. The results suggest that while a unit root is found in many of the upper quantiles of headline inflation, there is evidence of mean reversion within the lower quantiles, which implies that large positive deviations influence the permanent behaviour of inflation. In addition, we find higher levels of persistence after 2006 and during the inflation-targeting period, where potential structural changes may have arisen within the regression quantiles.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 161-187
Issue: 2
Volume: 13
Year: 2020
Month: 5
X-DOI: 10.1080/17520843.2019.1596963
File-URL: http://hdl.handle.net/10.1080/17520843.2019.1596963
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Handle: RePEc:taf:macfem:v:13:y:2020:i:2:p:161-187




Template-Type: ReDIF-Article 1.0
Author-Name: Chandralekha Paike
Author-X-Name-First: Chandralekha
Author-X-Name-Last: Paike
Author-Name: Rama Pal
Author-X-Name-First: Rama
Author-X-Name-Last: Pal
Title: Economic and political determinants of social sector expenditures: evidence from Indian states
Abstract: 
 Political parties aim at getting re-elected and their actions are often in conflict with the economic and welfare objectives of the government. In this context, the paper endeavours to study the economic and political determinants of social sector spending in India and understand their relative importance. For this state-level panel analysis from 2001 to 2013, the states are classified into less developed and developed states. The findings show that both economic and political factors determine the social sector expenditure; however, the Shapley decomposition analysis indicates that the relative contribution of economic factors is much higher as compared to political variables.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 188-204
Issue: 2
Volume: 13
Year: 2020
Month: 5
X-DOI: 10.1080/17520843.2020.1727546
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1727546
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Handle: RePEc:taf:macfem:v:13:y:2020:i:2:p:188-204




Template-Type: ReDIF-Article 1.0
Author-Name: Anirudh Tagat
Author-X-Name-First: Anirudh
Author-X-Name-Last: Tagat
Author-Name: Pushpa L. Trivedi
Author-X-Name-First: Pushpa L.
Author-X-Name-Last: Trivedi
Title: Demand for cash: an econometric model of currency demand in India
Abstract: 
 In 2016, two high-value currency notes were withdrawn from circulation in India (popularly known as the ‘demonetization’ policy). Data from the Reserve Bank of India shows that currency in circulation has not only returned to pre-demonetization levels but has exceeded it. Despite the recent increase in use of non-cash substitutes, cash usage in India persists. We present new evidence on the association between the shadow economy, informality, and currency in circulation using annual data between 1970 and 2016. We find that high-value currency in circulation is inelastic to growth of alternate payment instruments. Implications for currency management policies are discussed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 205-222
Issue: 2
Volume: 13
Year: 2020
Month: 5
X-DOI: 10.1080/17520843.2020.1722193
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1722193
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Handle: RePEc:taf:macfem:v:13:y:2020:i:2:p:205-222




Template-Type: ReDIF-Article 1.0
Author-Name: Balaga Mohana Rao
Author-X-Name-First: Balaga Mohana
Author-X-Name-Last: Rao
Author-Name: Puja Padhi
Author-X-Name-First: Puja
Author-X-Name-Last: Padhi
Title: Macroeconomic costs of currency crises in BRICS: an empirical analysis
Abstract: 
 The present study examines the behaviour of macroeconomic indicators during the currency crises in BRICS from 1996:Q1 through 2015:Q4. We identify 22 crisis episodes based on EMP index. Our primary results suggest that output, foreign reserves, broad money growth and REER see a steep decline due to crisis episodes. Whereas inflation, current account deficit, unemployment and real interest rate experience a sharp rise due to crises. The results from Panel VAR show that output declines due to currency crises apart from supporting the primary results. The results from the Fixed Effects methods also show that currency crises negatively affect output.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 223-243
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1749103
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1749103
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:223-243




Template-Type: ReDIF-Article 1.0
Author-Name: Sitikantha Pattanaik
Author-X-Name-First: Sitikantha
Author-X-Name-Last: Pattanaik
Author-Name: Silu Muduli
Author-X-Name-First: Silu
Author-X-Name-Last: Muduli
Author-Name: Soumyajit Ray
Author-X-Name-First: Soumyajit
Author-X-Name-Last: Ray
Title: Inflation expectations of households: do they influence wage-price dynamics in India?
Abstract: 
 This paper examines the usefulness of survey-based measures of inflation expectations to predict inflation using hybrid versions of New Keynesian Phillips Curve (NKPC). While both 3 months ahead and 1-year ahead inflation expectations of households emerge statistically significant in explaining and predicting inflation in India, effectively they work as substitutes of backward looking expectations given that household expectations are found to be largely adaptive. Unlike in other countries, this paper does not find much evidence on flattening of the Phillips curve. Also, no robust evidence is found on expectations induced wage pressures influencing CPI inflation.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 244-263
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1720264
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1720264
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:244-263




Template-Type: ReDIF-Article 1.0
Author-Name: Hafsal K
Author-X-Name-First: Hafsal
Author-X-Name-Last: K
Author-Name: S. Raja Sethu Durai
Author-X-Name-First: S.
Author-X-Name-Last: Raja Sethu Durai
Title: Fundamental beta and portfolio performance: evidence from an emerging market
Abstract: 
 The market beta is decomposed into fundamental and bubble beta to assess their effectiveness in the portfolio performance in both static and dynamic time-varying frameworks. The empirical results from India on 12 sectoral indices with NIFTY 500 as the market index establish that the portfolio constructed using the fundamental beta proportions performs better than the naïve, Markowitz mean-variance, market, and bubble beta portfolios with larger Sharpe ratio in both the static and dynamic time-varying estimates. These results open up far-reaching implications for investment analysis and contribute to the recent literature that combines fundamental analysis in the construction of portfolios.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 264-275
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1760913
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1760913
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:264-275




Template-Type: ReDIF-Article 1.0
Author-Name: Luisa Herck Giaquinto
Author-X-Name-First: Luisa
Author-X-Name-Last: Herck Giaquinto
Author-Name: Adriana Bruscato Bortoluzzo
Author-X-Name-First: Adriana Bruscato
Author-X-Name-Last: Bortoluzzo
Title: Angel investors, seed-stage investors and founders influence on FinTech funding: an emerging market context
Abstract: 
 This study examines the difference between the FinTechs that received private equity and venture capital funds and those that did not. We test this with a sample of 2,524 companies across 76 countries over 2008–2018. We show a positive relationship between having received an angel and a seed round with follow-on financing, and a negative relationship with having a single founder. The impact of the seed financing and the single founder is weaker in an emerging market. Furthermore, companies in financing and payments categories are more likely to receive funding.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 276-294
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1737169
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1737169
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:276-294




Template-Type: ReDIF-Article 1.0
Author-Name: Syed Manzur Quader
Author-X-Name-First: Syed Manzur
Author-X-Name-Last: Quader
Author-Name: Nahin Israt Shamsi
Author-X-Name-First: Nahin Israt
Author-X-Name-Last: Shamsi
Author-Name: Mohammad Nayeem Abdullah
Author-X-Name-First: Mohammad Nayeem
Author-X-Name-Last: Abdullah
Title: Expansion and profitability of bank branches: a study on selected rural branches of Bangladesh
Abstract: 
 Using probit regression model on primary data, this study reveals that level of educational qualification, value of asset owned and individual’s monthly income, and being married have a positive and significant impact on account opening decision, whereas the value of asset owned, monthly income, number of earning members in the family, and being male and married have a positive and significant impact on the frequency of using banking services in rural area of Bangladesh. Furthermore, fixed effect estimation results on branch-level monthly panel data reveal that branch size, deposit and remittances positively and significantly affects profitability, whereas expense management affects negatively.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 295-315
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1746679
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1746679
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:295-315




Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Referee Award - Volume 13
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 316-316
Issue: 3
Volume: 13
Year: 2020
Month: 09
X-DOI: 10.1080/17520843.2020.1820159
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1820159
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Handle: RePEc:taf:macfem:v:13:y:2020:i:3:p:316-316




Template-Type: ReDIF-Article 1.0
Author-Name: Habib Ben Cheikh
Author-X-Name-First: Habib
Author-X-Name-Last: Ben Cheikh
Author-Name: Aymen Ben Rejeb
Author-X-Name-First: Aymen
Author-X-Name-Last: Ben Rejeb
Title: Does the IFRS adoption promote emerging stock markets development and performance?
Abstract: 
 Recent accounting and financial researches suggest that the IFRS adoption leads to high-quality financial information characterized by their honesty. The purpose of this paper is to analyse the impact of IAS/IFRS adoption on key aspects of investment decision-making in emerging stock markets. The paper uses a state-space model combined with a standard GARCH specification and a multidimensional panel data model. The results of our empirical investigation show that the IFRS adoption contributed to improving development and performance of emerging markets. It leads to considerable development, reduced volatility, and prompt convergence towards information efficiency.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-23
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1773891
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1773891
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:1-23




Template-Type: ReDIF-Article 1.0
Author-Name: Sayantan Bandhu Majumder
Author-X-Name-First: Sayantan Bandhu
Author-X-Name-Last: Majumder
Author-Name: Ranjanendra Narayan Nag
Author-X-Name-First: Ranjanendra Narayan
Author-X-Name-Last: Nag
Title: India facing the macroeconomic policy trade-off – is it dilemma, trilemma or quadrilemma?
Abstract: 
 Understanding the modern manifestation of policy trilemma in the backdrop of the evolving global financial architecture is critical for an emerging economy like India which has embarked on the path of financial integration with the rest of the world over the last few decades. The paper seeks to understand whether Indian economy is facing the macroeconomic policy trade-off as proposed by the impossible trinity or the trade-off has morphed into the policy dilemma or quadrilemma? We find that trilemma constraint is binding and Indian economy is actually facing the quadrilemma rather than the policy dilemma.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 24-44
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1786426
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1786426
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:24-44




Template-Type: ReDIF-Article 1.0
Author-Name: Kakali Kanjilal
Author-X-Name-First: Kakali
Author-X-Name-Last: Kanjilal
Author-Name: Sajal Ghosh
Author-X-Name-First: Sajal
Author-X-Name-Last: Ghosh
Title: Asymmetric and regime switching behaviour of GDP and energy nexus in India: new evidences
Abstract: 
 This study revisits the relationship between energy and electricity consumption with economic activity for India applying threshold vector error correction model and non-linear ARDL methods to explore their regime-driven and asymmetric dynamics for the period 1971 to 2014. The presence of threshold cointegration in the underlying relationship indicates that the nonlinear dynamics are divided into ‘normal’ and ‘extreme’ regimes. A normal regime advocates the validity of growth and feedback hypothesis for economic activity with energy and electricity consumption, respectively. But an extreme regime supports the conservation hypothesis. An asymmetric cointegrating relationship further corroborates the findings. Finally, the study proposes some actionable policy prescriptions.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 45-65
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1751670
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1751670
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:45-65




Template-Type: ReDIF-Article 1.0
Author-Name: Mohsen Bahmani-Oskooee
Author-X-Name-First: Mohsen
Author-X-Name-Last: Bahmani-Oskooee
Author-Name: Sujata Saha
Author-X-Name-First: Sujata
Author-X-Name-Last: Saha
Title: On the asymmetric effects of exchange rate volatility on the trade flows of India with each of its fourteen partners
Abstract: 
 In this paper, we assess the impact of exchange rate volatility on India’s exports to and imports from each of its 14 largest trading partners. We find evidence of short-run asymmetric effects in almost all cases that translate into long-run asymmetric effects in almost half of the sample. The findings are partner specific. For the largest trading partner, China with 11.17% of trade share, we found that increase in real rupee–yuan volatility has significantly positive effects on India’s exports to China but decrease in volatility has no effects. In the case of the second largest partner, the US, with 10.48% share of trade, increase in real rupee–dollar volatility has positive long-run effects on both India’s export to and imports from the US but decrease in volatility has no impact on either.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 66-85
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1765826
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1765826
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:66-85




Template-Type: ReDIF-Article 1.0
Author-Name: Razzaque H. Bhatti
Author-X-Name-First: Razzaque H.
Author-X-Name-Last: Bhatti
Author-Name: Nassar S. Al-Nassar
Author-X-Name-First: Nassar S.
Author-X-Name-Last: Al-Nassar
Title: Price convergence and goods market integration in GCC countries
Abstract: 
 Price convergence and goods market integration are examined between GCC countries and the U.S. by testing the long-run relationship between domestic and exchange rate adjusted foreign prices, as embedded in conventional and ex-ante PPP. The results of cointegration tests confirm the invalidity of conventional PPP in the long run, and the implication that the real exchange rate should be stationary over time is also rejected when tested using a battery of linear and nonlinear tests. In contrast, not only are cointegration tests supportive of ex-ante PPP in all cases but they also do not reject the restrictions it involves.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 86-104
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1784975
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1784975
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:86-104




Template-Type: ReDIF-Article 1.0
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Title: Facets of India’s economy and her society: Current state and future prospects, Volumes I and II
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 105-109
Issue: 1
Volume: 14
Year: 2021
Month: 01
X-DOI: 10.1080/17520843.2020.1825101
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1825101
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Handle: RePEc:taf:macfem:v:14:y:2021:i:1:p:105-109




Template-Type: ReDIF-Article 1.0
Author-Name: Saumitra Bhaduri
Author-X-Name-First: Saumitra
Author-X-Name-Last: Bhaduri
Author-Name: Ekta Selarka
Author-X-Name-First: Ekta
Author-X-Name-Last: Selarka
Title: Corporate borrowing exuberance and credit cycles- some insights from an emerging economy, India
Abstract: 
 By developing a novel measure of corporate borrowing exuberance the study finds that such a phenomenon is not only higher but also is pro-cyclical with the periods of credit booms in the Indian economy. The study provides initial evidence on the quality of loans against the quantum of loans made available during credit growth cycles. Our research points towards using a unified framework to identify ex-ante misallocation in bank credit, which eventually appears as non-performing assets ex-post.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 180-199
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1830822
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1830822
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Handle: RePEc:taf:macfem:v:14:y:2021:i:2:p:180-199




Template-Type: ReDIF-Article 1.0
Author-Name: Ahmad Y. Khasawneh
Author-X-Name-First: Ahmad Y.
Author-X-Name-Last: Khasawneh
Title: Leverage and bank’s performance: do type and crises matter?
Abstract: 
 This study investigates the effect of leverage on banking system performance in the Gulf Cooperation Council (GCC) countries considering the business model differences in the banking industry (commercial and Islamic banks) and the role of the financial crises. Empirically there is a negative relationship between debt financing and the performance of banks, which supports the signalling theory and contradicts the agency cost theory. Bank’s business model is among the factors that affect banks’ performance; commercial banks are more profitable than Islamic banks. The 2007/2008 financial crises affect GCC banks’ performance negatively. After two years of its occurrence, two years were needed until the crises were transferred to the GCC banking system.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 111-125
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1830821
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1830821
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Handle: RePEc:taf:macfem:v:14:y:2021:i:2:p:111-125




Template-Type: ReDIF-Article 1.0
Author-Name: Andrew Phiri
Author-X-Name-First: Andrew
Author-X-Name-Last: Phiri
Title: Is Neo-Fisherism ‘alive’ in South Africa? A frequency domain causality approach
Abstract: 
 There is a new wave of monetary thought popularized in industrialized economies going under the banner of Neo-Fisherism. Proponents of this school of thought assume that there exists reverse causality in the conventional Fisher effect in which interest rates cause movements in expected inflation instead of interest rates being driven by inflation expectations. We examine whether the Neo-Fisherian hypothesis holds for the South African economy as an inflation-targeting emerging economy characterized by moderate inflation and policy rates. Using frequency-domain causality tests on quarterly repo rate and inflation expectations data collected between 2002:q3 and 2019:q2, we find evidence of uni-directional causality from repo rates to inflation expectations over the short- and long-run. Policy implications of these findings are discussed.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 142-156
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1796732
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1796732
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Handle: RePEc:taf:macfem:v:14:y:2021:i:2:p:142-156




Template-Type: ReDIF-Article 1.0
Author-Name: Javed Ahmad Bhat
Author-X-Name-First: Javed Ahmad
Author-X-Name-Last: Bhat
Author-Name: Naresh Kumar Sharma
Author-X-Name-First: Naresh Kumar
Author-X-Name-Last: Sharma
Title: Asymmetric fiscal multipliers in India – Evidence from a non-linear cointegration
Abstract: 
 We attempted to scrutinize the efficacy of fiscal policy tools on key macroeconomic variables in case of India. Applying an asymmetric cointegration framework, the impact of public spending hike on output growth is significantly favourable and that of the decrease in it is insignificant. Similarly, effect of tax hikes is more pronouncing than tax cuts. Comparatively, results report more effectiveness of spending hikes than the tax cuts to avoid an economic downturn and tax hikes than spending cuts to cool down a heating economy. Private consumption mimics response of output growth, whereas response of private investment follows the substitutability hypothesis.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 157-179
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1818802
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1818802
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Handle: RePEc:taf:macfem:v:14:y:2021:i:2:p:157-179




Template-Type: ReDIF-Article 1.0
Author-Name: Aleksandar Vasilev
Author-X-Name-First: Aleksandar
Author-X-Name-Last: Vasilev
Title: How quantitatively important is public investment for both business cycle fluctuations and output growth in Bulgaria (1999–2018)?
Abstract: 
 We introduce government investment into a real-business-cycle setup. We calibrate the model to Bulgarian data for the period 1999–2018. We then proceed to quantitatively evaluate the effect of the public capital accumulation channel as a tool for business cycle propagation, as well the importance of public investment spending on output growth. Government investment shocks, in the absence of other technological disturbances, turn out to be unable to account for observed business cycles in Bulgaria. On the other hand, government investment may be able to increase subsequent output growth, but that effect is estimated to be quite small.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 126-141
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1791206
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1791206
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Handle: RePEc:taf:macfem:v:14:y:2021:i:2:p:126-141




Template-Type: ReDIF-Article 1.0
Author-Name: Piotr Bartkiewicz
Author-X-Name-First: Piotr
Author-X-Name-Last: Bartkiewicz
Title: Ebbs and flows: the determinants of local currency bond market liquidity in Poland
Abstract: 
 Liquidity facilitates price discovery, improves market efficiency and lowers transaction costs. We make use of a novel dataset of daily bond fixings on Warsaw Stock Exchange’s official bond trading platform (2005–2018 period). Using bid-ask spreads as a proxy for market liquidity, we investigate its determinants in Poland. We find that liquidity tends to fluctuate, but has generally increased. There is robust evidence of seasonal effects, differences between security types as well as maturity and coupon size impacts. In addition, liquidity is found to be highly correlated with global factors. Findings are relevant for policymakers, public debt management and financial stability.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 200-218
Issue: 2
Volume: 14
Year: 2021
Month: 05
X-DOI: 10.1080/17520843.2020.1790626
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1790626
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Template-Type: ReDIF-Article 1.0
Author-Name: Ashis Kumar Pradhan
Author-X-Name-First: Ashis Kumar
Author-X-Name-Last: Pradhan
Author-Name: Ishan Mittal
Author-X-Name-First: Ishan
Author-X-Name-Last: Mittal
Author-Name: Aviral Kumar Tiwari
Author-X-Name-First: Aviral Kumar
Author-X-Name-Last: Tiwari
Title: Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Abstract: 
 In this paper, we utilize the conditional value-at-risk to quantify the risk exposure and the generalized Pareto distribution copula technique to analyse extreme events which helps in finding out the efficient portfolio selection. The sample data covers nine cryptocurrencies covering the period from September 2016 to August 2018. Our results using the eﬃcient frontier indicate that if a minimum variance portfolio is constructed using chosen cryptocurrencies, investment in Bitcoin is preferred being the least risky currency on the bottom of the efficient frontier. These results find prime importance for investors and risk managers.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 291-307
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2021.1909828
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1909828
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Template-Type: ReDIF-Article 1.0
Author-Name: Amer Mohamad
Author-X-Name-First: Amer
Author-X-Name-Last: Mohamad
Author-Name: Hatice Jenkins
Author-X-Name-First: Hatice
Author-X-Name-Last: Jenkins
Title: Corruption and banks’ non-performing loans: empirical evidence from MENA countries
Abstract: 
 Corruption has long been a serious problem in most countries in the Middle East and North Africa (MENA). This research aims to investigate the impact of country-wide corruption on banks’ credit risk across 16 countries in this region over the period 2011–2019. Applying the interactive fixed effects estimation technique on a model consisting of both macro and bank-specific variables and utilizing data from 197 banks, the results show a positive significant association between corruption and banks non-performing loans (NPL). Corruption was found to have a positive relation with credit risk even in banks with high risk aversion.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 308-321
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2020.1842478
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1842478
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Template-Type: ReDIF-Article 1.0
Author-Name: The Editors
Title: Referee Award - Volume 14
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 322-322
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2021.1990436
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1990436
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Template-Type: ReDIF-Article 1.0
Author-Name: Berna Aydoğan
Author-X-Name-First: Berna
Author-X-Name-Last: Aydoğan
Author-Name: Gülin Vardar
Author-X-Name-First: Gülin
Author-X-Name-Last: Vardar
Author-Name: Tezer Yelkenci
Author-X-Name-First: Tezer
Author-X-Name-Last: Yelkenci
Title: Revisiting portfolio flows – exchange rate nexus in emerging markets: a Markov Regime Switching MGARCH approach
Abstract: 
 This paper focuses on the role of exchange rate uncertainty on the net portfolio flows using a bilateral monthly data for the US vis-à-vis six emerging countries (E-6) (India, Brazil, Mexico, Russia, Indonesia and Turkey) over the period 1993:01–2017:12. Employing Markov Regime Switching CCC GARCH model, the results suggest that exchange rate volatility affects both net bond and net equity flows for whole sample. The correlation evidence between net portfolio flows and exchange rate uncertainty is stronger in the cases of Brazil and Mexico, in terms of supporting these countries’ bond and equity home bias in high volatility regime.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 219-240
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2020.1814376
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1814376
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Handle: RePEc:taf:macfem:v:14:y:2021:i:3:p:219-240




Template-Type: ReDIF-Article 1.0
Author-Name: Abolghasem Tohidinia
Author-X-Name-First: Abolghasem
Author-X-Name-Last: Tohidinia
Author-Name: Ali Reza Oryoie
Author-X-Name-First: Ali Reza
Author-X-Name-Last: Oryoie
Author-Name: Amin Mohseni-Cheraghlou
Author-X-Name-First: Amin
Author-X-Name-Last: Mohseni-Cheraghlou
Title: Benevolent savings and macroeconomic variables: some empirical evidence from Iran
Abstract: 
 Many studies have investigated the impact of savings on macroeconomic variables. However, there is no study on the effect of benevolent saving on macroeconomic variables. In benevolent saving/lending, households save part of their income for lending benevolently at zero interest rates to the needy population. This study applies the Toda-Yamamoto causality test on a novel quarterly time-series data provided by the Central Bank of Iran from 1988 to 2015 to test the relationship between benevolent savings and a few macroeconomic variables. The results show that benevolent savings have short-run positive effects on total consumption and total investment.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 278-290
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2020.1854810
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1854810
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Handle: RePEc:taf:macfem:v:14:y:2021:i:3:p:278-290




Template-Type: ReDIF-Article 1.0
Author-Name: Kerry Liu
Author-X-Name-First: Kerry
Author-X-Name-Last: Liu
Title: China’s policy target rates: a preliminary comparative analysis
Abstract: 
 The People’s Bank of China began to discuss the importance of DR007 (the 7-day repurchase rate by deposit-taking institutions at China’s interbank market) from 2016. This study compares the performance of the fixed DR007 (FDR007) to that of the other popular policy target rate, the FR007 (the fixed 7-day repurchase rate by both deposit-taking institutions and non-deposit-taking institutions). This is the first known study to make this comparison. Using a variety of methodologies, and based on daily datasets for January 2018 – December 2019, this study concludes that the FDR007 outperforms FR007 with respect to policy target rates.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 241-257
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2020.1848897
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1848897
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Template-Type: ReDIF-Article 1.0
Author-Name: Sanjay Kumar Hansda
Author-X-Name-First: Sanjay Kumar
Author-X-Name-Last: Hansda
Author-Name: Dirghau Keshao Raut
Author-X-Name-First: Dirghau Keshao
Author-X-Name-Last: Raut
Author-Name: Bikash Maji
Author-X-Name-First: Bikash
Author-X-Name-Last: Maji
Author-Name: Anoop K. Suresh
Author-X-Name-First: Anoop K.
Author-X-Name-Last: Suresh
Title: Revisiting the Credit-Output Nexus in India: A Macro and Sectoral Analysis
Abstract: 
 The study examines the inter-relationship of credit and output and brings to the fore the critical role of bank credit in financial intermediation. Applying Johansen’s cointegration and vector error correction model (VECM), the study finds long run association between credit and output at the aggregate level during 1997-98:Q1 to 2019-20:Q2 as also at the sectoral level for agriculture and services during 2007-08:Q1 to 2019-20:Q2. The Gregory-Hansen test revealed break in 2013-14:Q2 in the relationship between overall credit and output possibly reflecting the absence of long-run relationship for capital intensive sector such as industry and manufacturing. The coefficient measuring long-run impact of overall credit on output in the economy showed an upward movement after the break – reflecting the combined impact of structural reforms undertaken in the banking system and availability of spare capacity. Thus, notwithstanding hiccups observed sometimes, the underlying relation of credit and output appears strong and sustained.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 258-277
Issue: 3
Volume: 14
Year: 2021
Month: 09
X-DOI: 10.1080/17520843.2020.1822899
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1822899
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Template-Type: ReDIF-Article 1.0
Author-Name: Gurmeet Singh
Author-X-Name-First: Gurmeet
Author-X-Name-Last: Singh
Author-Name: Balasubramanian G
Author-X-Name-First: Balasubramanian
Author-X-Name-Last: G
Title: Short-term market reaction to inflation announcement: evidence from the Indian stock market
Abstract: 
 This study investigates the reaction of stock returns to inflation announcements during the inflation switching regime from 2012 to 2018. In this paper, we have compared the broader market index NIFTY 500 vs. narrower market index NIFTY 50, and closing price vs. opening price. The study also checks if the state of the economy influences the stock market reaction. The finding of the study suggests that there are considerable abnormal returns. From a market efficiency perspective, we observe markets have become more efficient post the IT regime for both the stock market indices and also for both sets of prices.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 86-108
Issue: 1
Volume: 15
Year: 2022
Month: 01
X-DOI: 10.1080/17520843.2020.1828965
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1828965
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Handle: RePEc:taf:macfem:v:15:y:2022:i:1:p:86-108




Template-Type: ReDIF-Article 1.0
Author-Name: Advait Moharir
Author-X-Name-First: Advait
Author-X-Name-Last: Moharir
Title: Fiscal rules and debt dynamics in India
Abstract: 
 Using an accounting framework, I examine the evolution of national and sub-national public debt in India from 1981 to 2017, with reference to the FRBM Review Committee Report, which stipulates the debt targets at 60% and 20%, respectively. I find that a larger share of debt movement is explained by changes in interest rate, growth and inflation, than by accumulation of new debt, for both national and sub-national debt. Simulations show that a strict perusal of the debt targets will force the government to run surpluses, while relaxing the targets generates fiscal space up to 4% of the GDP.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 23-46
Issue: 1
Volume: 15
Year: 2022
Month: 01
X-DOI: 10.1080/17520843.2020.1796733
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1796733
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Template-Type: ReDIF-Article 1.0
Author-Name: Roberto Dell’Anno
Author-X-Name-First: Roberto
Author-X-Name-Last: Dell’Anno
Author-Name: Majid Maddah
Author-X-Name-First: Majid
Author-X-Name-Last: Maddah
Title: Natural resources, rent seeking and economic development. An analysis of the resource curse hypothesis for Iran
Abstract: 
 This paper tests the political economy theory of the resource curse of the Iranian economy over the period 1984–2017. We find that natural resources dependence is harmful to economic development only if rent seeking activities exceed a minimum threshold. Empirical findings – based on Partial Least Square – Structural Equation Modelling approach – validate the hypothesis that institutions are decisive for the resource curse. According to our estimates, since 2012, rent seeking has surpassed this threshold, therefore, the ‘resource curse’ applies.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 47-65
Issue: 1
Volume: 15
Year: 2022
Month: 01
X-DOI: 10.1080/17520843.2020.1806093
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1806093
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Handle: RePEc:taf:macfem:v:15:y:2022:i:1:p:47-65




Template-Type: ReDIF-Article 1.0
Author-Name: Hamza Bouhali
Author-X-Name-First: Hamza
Author-X-Name-Last: Bouhali
Author-Name: Ahmed Dahbani
Author-X-Name-First: Ahmed
Author-X-Name-Last: Dahbani
Author-Name: Brahim Dinar
Author-X-Name-First: Brahim
Author-X-Name-Last: Dinar
Title: Sustainability of basket peg choices in the post-COVID-19 era: new evidence from Morocco & Tunisia
Abstract: 
 This article aims to study the impact of peg structure on volatility behaviour and crisis vulnerability, considering the COVID-19 economic context. We adopt a comparative analysis of volatility behaviour using GARCH family models and the ICSS Algorithm for the cases of Morocco and Tunisia. Our main finding is that peg characteristics aren’t the unique parameters impacting volatility behaviour and the exposition to the crisis. Furthermore, we detect different variations in volatility parameters as a result of the contrasting economic contexts and COVID-19 economic fallouts. Finally, we present some interesting policy implications, and we suggest some leads for future research.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 66-85
Issue: 1
Volume: 15
Year: 2022
Month: 01
X-DOI: 10.1080/17520843.2020.1819846
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1819846
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Template-Type: ReDIF-Article 1.0
Author-Name: Boubekeur Baba
Author-X-Name-First: Boubekeur
Author-X-Name-Last: Baba
Author-Name: Güven Sevil
Author-X-Name-First: Güven
Author-X-Name-Last: Sevil
Title: The foreign capital inflows and the boom in house prices: time-varying evidence from emerging markets
Abstract: 
 This study applies time-varying parameter methods to investigate the association of foreign capital inflows with the occurrence of house price booms in a sample of emerging markets. The time-varying causality tests show evidence of unidirectional as well as bi-directional causality between gross foreign capital inflows and house prices. Furthermore, the upward evolution of the time-varying impact of foreign capital inflows on house prices appears to be mostly related to the distinct episodes of the housing booms as shown by the results of time-varying parameter regression. However, there are instances where the time-varying impact of foreign capital inflows abruptly shifts upward without causing price booms in the housing market. We also find evidence that some components of foreign capital inflows are negatively affecting house prices during the boom episodes.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-22
Issue: 1
Volume: 15
Year: 2022
Month: 01
X-DOI: 10.1080/17520843.2020.1848896
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1848896
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Template-Type: ReDIF-Article 1.0
Author-Name: Sitikantha Pattanaik
Author-X-Name-First: Sitikantha
Author-X-Name-Last: Pattanaik
Author-Name: Harendra Behera
Author-X-Name-First: Harendra
Author-X-Name-Last: Behera
Author-Name: Rajesh Kavediya
Author-X-Name-First: Rajesh
Author-X-Name-Last: Kavediya
Author-Name: Arvind Shrivastava
Author-X-Name-First: Arvind
Author-X-Name-Last: Shrivastava
Title: Investment slowdown in India – an assessment
Abstract: 
 The contraction of investment activity in India in 2019-20 has generated an anxious search for possible drag factors, both cyclical and structural. This paper finds statistically significant sensitivity of investment activity in India to changes in interest rates. It highlights that the extent to which lower interest rates could be ensured through monetary policy to stimulate investment activity is bounded by constraints. Lower interest rates to spur investment activity that involves tolerance of higher inflation relative to the inflation target becomes particularly ineffective and counterproductive.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 109-124
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2020.1865650
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1865650
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Handle: RePEc:taf:macfem:v:15:y:2022:i:2:p:109-124



Template-Type: ReDIF-Article 1.0
Author-Name: Saurav Kumar
Author-X-Name-First: Saurav
Author-X-Name-Last: Kumar
Author-Name: Sujoy Bhattacharya
Author-X-Name-First: Sujoy
Author-X-Name-Last: Bhattacharya
Author-Name: Satrajit Mandal
Author-X-Name-First: Satrajit
Author-X-Name-Last: Mandal
Title: Tail risk optimized portfolio across states in Asia-Pacific markets with higher-order dependence
Abstract: 
 This paper investigates energy commodities’ ability to diversify an equity portfolio across Asia-Pacific Markets. The joint behaviour of the energy commodities and stock index as noted through its shape, changed both temporally and across regime changes. Restricting short selling of stock index by assigning a greater than zero weight on the equity index improved return from the portfolio across regimes. The tail risk optimized portfolio gave the best risk-return trade-off. Though this was the case, one could use VaR and variance as risk measures with higher-order dependence on copulas in the optimization, if there were no constraints on portfolio returns.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 177-195
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2021.1922167
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1922167
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Template-Type: ReDIF-Article 1.0
Author-Name: Irfan Ahmad Shah
Author-X-Name-First: Irfan Ahmad
Author-X-Name-Last: Shah
Author-Name: Ammu Lavanya
Author-X-Name-First: Ammu
Author-X-Name-Last: Lavanya
Title: The openness-inflation puzzle: an asymmetric approach
Abstract: 
 The paper analyzes Inflation Openness (IO) relationship in an asymmetric framework using lag inflation, lag external debt and lag output growth as transition variables. Considering a Panel Smooth Transition Regression (PSTR) model with annual data of 41 developing countries for a period of 45 years from 1972 to 2016, we found a clear negative relationship between inflation and openness. This relationship becomes strong during periods of high inflation, high output growth and low external debt. We argue that though openness reduces inflation, its impact varies depending upon the state of the economy. We conclude that analysing the IO relationship using a linear framework may result in inaccurate and misleading outcomes.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 125-139
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2021.1882106
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1882106
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Template-Type: ReDIF-Article 1.0
Author-Name: Imran Yousaf
Author-X-Name-First: Imran
Author-X-Name-Last: Yousaf
Author-Name: Shoaib Ali
Author-X-Name-First: Shoaib
Author-X-Name-Last: Ali
Author-Name: Faisal Abbas
Author-X-Name-First: Faisal
Author-X-Name-Last: Abbas
Title: Spillovers and portfolio risk management of gold and stock markets: evidence from emerging Latin American markets
Abstract: 
 This study examines the return and volatility transmission between gold and emerging Latin American stock markets during the full sample period, the global financial crisis, and the Chinese Stock market crash. Employing the VAR-AGARCH model to estimate spillovers, the results reveal the substantial return and volatility spillovers between the gold and emerging Latin American stock markets, but these spillovers vary across different gold-stock pairs and two crises. Lastly, we also provide the optimal weights and hedge ratios for all gold-stock pairs during all sample periods. Overall, these findings provide useful insights for portfolio diversification, asset pricing, and risk management.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 160-176
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2021.1875628
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1875628
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Template-Type: ReDIF-Article 1.0
Author-Name: Johnson Worlanyo Ahiadorme
Author-X-Name-First: Johnson Worlanyo
Author-X-Name-Last: Ahiadorme
Title: Inflation, output and unemployment trade-offs in Sub-Saharan Africa countries
Abstract: 
 This paper examines the behaviour of inflation, output, and unemployment in Sub-Saharan Africa (SSA) countries and shows that the predictions of the Phillips curve and Okun’s law are valid in the short run. In the long run however, the Okun’s law coefficient declines greatly and turns positive while the Phillips curve phenomenon gravitates towards the New Keynesian Phillips Curve (NKPC) but with a negative relationship. The evidence echoes Friedman’s proposition of a temporary trade-off between inflation and unemployment but no permanent trade-off. The output-unemployment relationship suggests that the long-term growth revival in SSA was neither inclusive nor pro-poor.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 140-159
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2021.1901347
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Template-Type: ReDIF-Article 1.0
Author-Name: Muhammad Mahmudul Karim
Author-X-Name-First: Muhammad Mahmudul
Author-X-Name-Last: Karim
Author-Name: Mohammad Ashraful Ferdous Chowdhury
Author-X-Name-First: Mohammad Ashraful Ferdous
Author-X-Name-Last: Chowdhury
Author-Name: Mansur Masih
Author-X-Name-First: Mansur
Author-X-Name-Last: Masih
Title: Re-examining oil and BRICS’ stock markets: new evidence from wavelet and MGARCH-DCC
Abstract: 
 This study examines how the relationship between oil and stock market return of BRICS behaves at different investment horizons. Using data ranging from 2006 to 2020, the wavelet and MGARCH-DCC found that the stock markets’ return of Russia, Brazil, and South Africa are comparatively more correlated with oil price return across the investment horizons and more volatile particularly during the Covid-19 period. However, the stock markets’ return of China and India is less correlated with oil price return and less volatile. It is also revealed that oil price return leads the BRICS’ stock markets’ return and both are positively correlated.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 196-214
Issue: 2
Volume: 15
Year: 2022
Month: 05
X-DOI: 10.1080/17520843.2020.1861047
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1861047
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Template-Type: ReDIF-Article 1.0
# input file: REME_A_1957599_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Nikita Singhal
Author-X-Name-First: Nikita
Author-X-Name-Last: Singhal
Author-Name: Shikha Goyal
Author-X-Name-First: Shikha
Author-X-Name-Last: Goyal
Author-Name: Tanmay Singhal
Author-X-Name-First: Tanmay
Author-X-Name-Last: Singhal
Title: The relationship between insurance and economic growth in Asian countries: a regional perspective
Abstract: 
 The purpose of this paper is to quantify the role of various economic, demographic, and institutional characteristics in the insurance market growth in Asia and to evaluate causality between insurance and economic growth. This paper employed the Generalized Method of Moments (GMM) to identify the drivers of insurance market growth and panel Granger causality test to empirically assess causality between insurance and economic growth. For analysis, a sample of 37 Asian countries is considered over 16 years from 2002 to 2017. The study identified that the relationship between insurance market growth and its drivers is different across the Asian regions.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 301-322
Issue: 3
Volume: 15
Year: 2022
Month: 09
X-DOI: 10.1080/17520843.2021.1957599
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1957599
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Template-Type: ReDIF-Article 1.0
# input file: REME_A_1859574_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Saibal Ghosh
Author-X-Name-First: Saibal
Author-X-Name-Last: Ghosh
Title: Does financial interconnectedness affect monetary transmission? Evidence from India
Abstract: 
 We explore the credit and interest rate channel of monetary policy transmission in India in the presence of financial interconnectedness. Accordingly, we construct several high-level measures of such interconnectedness relating to credit exposure and funding dependence, between banks and shadow banks. The findings suggest that interconnectedness impacts lending and has a much more significant impact on lending rates. In addition, there is a differential impact across bank ownership and relatedly, the impact differs during periods of monetary expansion versus contraction. In addition, we find that asset risk and funding cost are the two important channels through which interconnectedness affects transmission.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 273-300
Issue: 3
Volume: 15
Year: 2022
Month: 09
X-DOI: 10.1080/17520843.2020.1859574
File-URL: http://hdl.handle.net/10.1080/17520843.2020.1859574
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# input file: REME_A_1911463_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Ahmad Heri Firdaus
Author-X-Name-First: Ahmad Heri
Author-X-Name-Last: Firdaus
Author-Name: Ely Nurhayati
Author-X-Name-First: Ely
Author-X-Name-Last: Nurhayati
Author-Name: Ariyo Dharma Phala Irhamna
Author-X-Name-First: Ariyo Dharma
Author-X-Name-Last: Phala Irhamna
Title: The impact of trade war on the ASEAN-4 economy
Abstract: 
 The paper analyzes the economic consequences of the US–China trade war on economics in ASEAN-4. The analysis uses the Global Trade Analysis Project (GTAP) model. The simulation scenarios depicted short-run potential effects of manufacturing protection with appropriate retaliation response from China. The results showed escalation of trade wars has an impact on various countries, that is on exports, investment and domestic-sector growth. The US and China trade war has resulted in shifts in US imports by country of origin, Indonesia’s GDP and investments have increased, but are still relatively lower compared to other ASEAN-4 countries (Malaysia, Thailand and Vietnam)
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 231-245
Issue: 3
Volume: 15
Year: 2022
Month: 09
X-DOI: 10.1080/17520843.2021.1911463
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1911463
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# input file: REME_A_1901348_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: José R. Sánchez-Fung
Author-X-Name-First: José R.
Author-X-Name-Last: Sánchez-Fung
Title: Inflation, inflation expectations and central bank communication in emerging markets
Abstract: 
 The paper studies inflation, inflation expectations, and central bank communication in emerging markets from Africa, Asia and Latin America. The analysis shows that superior central bank communication is associated with greater accuracy in the econometric modelling of inflation and inflation expectations using a benchmark univariate unobserved components time series model. The investigation explores the wider applicability of its approach by examining the United States, Norway, the United Kingdom and Switzerland.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 215-230
Issue: 3
Volume: 15
Year: 2022
Month: 09
X-DOI: 10.1080/17520843.2021.1901348
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1901348
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# input file: REME_A_1927128_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Magaly Duarte Urquhart
Author-X-Name-First: Magaly Duarte
Author-X-Name-Last: Urquhart
Title: Public debt, inflation, and the Fiscal Theory of Price Level in emerging markets: the case of Paraguay
Abstract: 
 This paper investigates the link between public debt and inflation considering the Fiscal Theory of Price Level (FTPL) with data from Paraguay. Unlike other studies, the paper also considers this relationship according to the monetary regime. The fiscal policy actions are evaluated in a monetary structural vector autoregressive combined with fiscal variables and interpreted using impulse responses. The results highlight the importance of differentiating the monetary regime while conducting the analysis. In the monetary aggregate regime with an active fiscal policy, higher public debt shocks produce inflationary pressures. Conversely, with the inflation targeting sample estimation, inflation follows its targeted path.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 246-272
Issue: 3
Volume: 15
Year: 2022
Month: 09
X-DOI: 10.1080/17520843.2021.1927128
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1927128
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# input file: REME_A_1918461_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Silu Muduli
Author-X-Name-First: Silu
Author-X-Name-Last: Muduli
Author-Name: Harendra Behera
Author-X-Name-First: Harendra
Author-X-Name-Last: Behera
Title: Bank capital and monetary policy transmission in India
Abstract: 
 This paper examines the role of bank capital in monetary policy transmission in India during the post-global financial crisis period. Empirical results show that banks with higher capital-to-risk-weighted assets ratio (CRAR) raise funds at a lower cost. Additionally, banks with higher CRAR transmit monetary policy impulses smoothly, while stressed assets in the banking sector hinder transmission. Recapitalization to raise CRAR can improve transmission; however, CRAR above a certain threshold level may not help as the sensitivity of loan growth to monetary policy rate reduces for banks with CRAR above the threshold. Therefore, it can be concluded that monetary policy can influence the credit supply of banks depending on their capital position.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 32-56
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1918461
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1918461
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# input file: REME_A_1955455_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Saleh Nawaz Khan
Author-X-Name-First: Saleh Nawaz
Author-X-Name-Last: Khan
Author-Name: Amna Noor
Author-X-Name-First: Amna
Author-X-Name-Last: Noor
Title: Fund governance and flow performance relationship
Abstract: 
 The mutual fund flow–performance relationship remains the interest of academic researchers all the time. It is widely accepted that the flow performance relationship curve is convex in nature. Unfortunately, we have very limited knowledge about the sources behind this convexity. This study posits a new variable, fund governance, that impacts the convexity of the flow performance relationship. The estimation technique applied in this study is the least square regression model with white robust standard error and covariance matrix. The results exhibit that the convexity in the flow performance relationship is positively related to good fund governance practices.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-16
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1955455
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1955455
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# input file: REME_A_1969086_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Renuka Venkataramani
Author-X-Name-First: Renuka
Author-X-Name-Last: Venkataramani
Author-Name: Parthajit Kayal
Author-X-Name-First: Parthajit
Author-X-Name-Last: Kayal
Title: Systematic investment plans vs market-timed investments
Abstract: 
 This paper examines the performance of the Systematic Investment Plan (SIP) and different market timing strategies. The components of the NIFTY50 index are considered for the analysis. The empirical results suggest SIP as a suitable investment strategy for long-term investments and for the stocks belonging to least and moderately volatile. During shocks, absolute momentum investment is a superior short-term investment strategy for highly volatile sectors. Fundamental values also play an important role in deciding the suitable investment strategy. Over the long run, stocks with a higher return on capital employed (ROCE), favours the SIP investment strategy.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 157-176
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1969086
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1969086
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# input file: REME_A_1948171_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Sangita Misra
Author-X-Name-First: Sangita
Author-X-Name-Last: Misra
Author-Name: Kirti Gupta
Author-X-Name-First: Kirti
Author-X-Name-Last: Gupta
Author-Name: Pushpa Trivedi
Author-X-Name-First: Pushpa
Author-X-Name-Last: Trivedi
Title: Sub-national government debt sustainability in India: an empirical analysis
Abstract: 
 Recognizing the increasing precedence of fiscal shocks leading to a deterioration in states’ debt due to the realization of contingent liabilities, this study assesses the debt sustainability of Indian states by employing both conventional and augmented debts, obtained by incorporating information on states’ guarantees. Results indicate that states’ debt is just sustainable with potential signs of unsustainability. Guarantees given by states, if invoked, could certainly pose a potential risk to debt sustainability for Indian states. The study suggests revisiting and reviewing states’ FRLs with the inclusion of debt as a medium-term anchor, and greater transparency with regard to contingent liabilities.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 57-79
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1948171
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1948171
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# input file: REME_A_1983702_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Emine Kaya
Author-X-Name-First: Emine
Author-X-Name-Last: Kaya
Title: Accruals, cash flows and stock returns: evidence from BIST 100
Abstract: 
 The purpose of this study is to determine whether there is a relationship between the accruals, cash flows and stock returns for firms which trade in the BIST 100 index between 2005 and 2017 years. Findings prove that the persistence of the earning is high, and the persistence of cash flows is higher than the persistence of accruals. We find that accruals are negative predictors and cash flows are positive predictors for stock returns. In addition, simultaneously, we conclude that the discount rates and the change in the accruals and cash flows act together.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 137-156
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1983702
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1983702
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# input file: REME_A_1937259_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Aleksandar Vasilev
Author-X-Name-First: Aleksandar
Author-X-Name-Last: Vasilev
Title: A real-business-cycle model with human capital accumulation: lessons for Bulgaria (1999-2018)
Abstract: 
 We introduce human capital accumulation into a real-business-cycle setup. We calibrate the model to Bulgarian data for the period following the introduction of the currency board arrangement (1999–2018). We investigate the quantitative importance of the presence of skill acquisition for cyclical fluctuations in Bulgaria. After subjecting the smodel to a battery of tests, we find the quantitative effect of such a channel – aside from producing a moderate increase in the variability of hours – to be relatively small. In other words, government spending on education turns out to be an ineffective instrument when it comes to smoothing the cycle.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 80-94
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1937259
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1937259
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# input file: REME_A_1928527_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Muhammad Afdi Nizar
Author-X-Name-First: Muhammad Afdi
Author-X-Name-Last: Nizar
Author-Name: Alfan Mansur
Author-X-Name-First: Alfan
Author-X-Name-Last: Mansur
Title: Can the Indonesian banking industry benefit from a risk-based deposit insurance system?
Abstract: 
 A risk-based premium scheme could be a reliable system to determine a fairer deposit insurance premium. This research aimed to assess Indonesian banks’ risk profile, including per size classification and ownership as well as to counterfactually simulate a risk-based deposit insurance system for the individual banks. This research combined analysis of variance (ANOVA) and non-parametric approach applied to 75 banks (2008q1-2019q3). The results showed that big banks did not necessarily posture better risk management compared to small banks. Also, under the risk-based scheme, banks with better risk management could be rewarded, while less prudent banks could be punished.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 177-196
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1928527
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1928527
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# input file: REME_A_2096913_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: José R. Sánchez-Fung
Author-X-Name-First: José R.
Author-X-Name-Last: Sánchez-Fung
Title: Institutions for macroeconomic stability: a review of ‘Monetary policy in low financial development countries’
Abstract: 
 ‘Monetary policy in low financial development countries’ is about a significant and evolving subject. Designing and implementing monetary policy is complex, and considering an economy’s stage of development adds further problems. Theoretical advances are important alongside empirical analyses incorporating an economy’s features. The book shows that the ground remains fertile for research on monetary policy in developing economies -ranging from the international transmission mechanism of monetary policy to central bank behaviour and communication strategies.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 197-201
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2022.2096913
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2096913
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# input file: REME_A_1936110_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Rahul Roy
Author-X-Name-First: Rahul
Author-X-Name-Last: Roy
Title: Is the six-factor asset pricing model discounting the global returns?
Abstract: 
 The study proposed a six-factor asset pricing model to explain global returns. The study employed the global version of the six-factor model, besides Carhart four-factor and Fama–French five-factor models, to test the integrated international asset pricing hypothesis. Fama-MacBeth two-step procedure is used to estimate the parameters of both global and local version models. First the study finds that the six-factor model yields better estimates than the competing models in return predictability. Secondly, the study rejects the integrated international asset pricing hypothesis and argues that the local six-factor model yields better estimates than local competing models and outperforms global version models.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 95-136
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1936110
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1936110
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# input file: REME_A_1957266_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20220907T060133 git hash: 85d61bd949
Author-Name: Fan Yaojun
Author-X-Name-First: Fan
Author-X-Name-Last: Yaojun
Title: Determinants analysis of grain price under financialization
Abstract: 
 In this paper, we theoretically discussed the relationship between financial liquidity, speculation and grain price for the first time. Then we employ the structural vector auto-regression model (SVAR) to explore the impulse response of grain price to the structural shock of world grain production, demand, financial liquidity and speculation. Our empirical results show that the effects of financial liquidity and speculation on the grain price are significant. Meanwhile, grain demand changes caused by the global economy have no significant impact on grain price.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 17-31
Issue: 1
Volume: 16
Year: 2023
Month: 01
X-DOI: 10.1080/17520843.2021.1957266
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1957266
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# input file: REME_A_1974508_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Biagio Bossone
Author-X-Name-First: Biagio
Author-X-Name-Last: Bossone
Title: The portfolio theory of inflation and policy (in)effectiveness: a revisitation
Abstract: 
 This article revisits the Portfolio Theory of Inflation (PTI), with a view to further articulating its findings and implications. The article adds to the micro-foundations of the PTI, framing more rigorously the role of global investors as international allocators of capital resources, and providing richer analysis of their interaction with macroeconomic policies at country level. The article explores how country credibility enters the capital allocation choice process of global investors and how global investor choices shape the space available to country policy making, determining the extent to which the effect of macro-policies dissipates into exchange rate depreciation and higher inflation.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 203-221
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1974508
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1974508
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# input file: REME_A_1983704_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Umer Mushtaq Lone
Author-X-Name-First: Umer Mushtaq
Author-X-Name-Last: Lone
Author-Name: Mushtaq Ahmad Darzi
Author-X-Name-First: Mushtaq Ahmad
Author-X-Name-Last: Darzi
Author-Name: Khalid Ul Islam
Author-X-Name-First: Khalid Ul
Author-X-Name-Last: Islam
Title: Macroeconomic variables and stock market performance: a PMG/ARDL approach for BRICS economies
Abstract: 
 The present study seeks to examine the impact of select macroeconomic variables on stock market performance in the BRICS economies. The study has used monthly data over the period 2011–2021. The study has employed both ARDL bounds testing model and PMG/ARDL model to measure the short and long-run relationships. Both the models provide the confirmatory results regarding short as well as long-run relationships for all the BRICS economies excluding South Africa. Also, the variables have been found to be causally related with each other during the sample period. The study has implications for policymakers, regulators, academia and investors.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 300-325
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1983704
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1983704
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# input file: REME_A_1983703_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ismail Kalash
Author-X-Name-First: Ismail
Author-X-Name-Last: Kalash
Title: How do firms manage liquidity during currency crisis? The case of Turkey
Abstract: 
 This study investigates how the 2018-currency crisis in Turkey, which exacerbated the borrowing costs, has affected the liquidity management of a sample of 186 Turkish listed firms. The results reveal that firms that relied heavily on short-term borrowing before the crisis period have responded to the crisis by reducing short-term borrowing and increasing internal cash. However, investment levels and the use and supply of trade credit have not been changed during the crisis. The results also show that the substitution into internal cash is significantly higher for small firms than for large firms.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 247-263
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1983703
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1983703
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# input file: REME_A_1988671_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ebrahim Rezaei
Author-X-Name-First: Ebrahim
Author-X-Name-Last: Rezaei
Title: The behaviour of the risk based capital adequacy ratio in Iran’s banking system
Abstract: 
 This study was carried out to identify the determinants of the behaviour of public and private banks in determining their risk and capital over 2001–2016 period by considering the banks’ risk and capital simultaneously. The model was estimated using 2SLS-RE and GMM methods. According to the results, the endogeneity of two variables of risk and capital in equations cannot be rejected. It should be noted that this study does not reject a significant relationship between the risk and thecapital to risk (weighted) assets ratio (CRAR) over the study period.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 285-299
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1988671
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1988671
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# input file: REME_A_1952639_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Seema Rehman
Author-X-Name-First: Seema
Author-X-Name-Last: Rehman
Author-Name: Jameel Ahmed Khilji
Author-X-Name-First: Jameel Ahmed
Author-X-Name-Last: Khilji
Author-Name: Saqib Sharif
Author-X-Name-First: Saqib
Author-X-Name-Last: Sharif
Title: Risk vs Upside uncertainty: application of quantile regression in investment analysis
Abstract: 
 This paper examines the implications for risk taking in an emerging stock market, namely, Pakistan Stock Exchange (PSX), using tools that specifically account for the asymmetries. We perform sectoral level price data analysis to infer how investors behaved during various states of stock market such as bullish, bearish, stable etc. Using monthly data over 2005–2020, we estimate the Capital Asset Pricing Model (CAPM) using quantile regression framework, which is robust to distributional assumptions and can estimate the elasticities across the risk spectrum. The empirical findings suggest that the elasticities, namely, betas, are significant across quantiles. It implies that the risk-return relationship behaves differently across the market states and that the investors and policymakers, therefore, should calibrate their decisions accordingly.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 264-284
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1952639
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1952639
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# input file: REME_A_1979328_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Yuwei Du
Author-X-Name-First: Yuwei
Author-X-Name-Last: Du
Author-Name: Yaojun Fan
Author-X-Name-First: Yaojun
Author-X-Name-Last: Fan
Author-Name: Xiang Hu
Author-X-Name-First: Xiang
Author-X-Name-Last: Hu
Title: The efficiency of provincial government health care expenditure after China’s new health care reform
Abstract: 
 By drawing on the panel data of health care inputs and outputs from 31China’s provinces in the period 2004–2020, we apply the Malmquist DEA model to measure the TFP, TC (Technology change), EC (Efficiency change), PEC (Pure efficiency change or pure technical efficiency change) and SEC (Scale efficiency change) of the provincialgovernment’s health care expenditure. We find that the average TFP of China’s 31 provincial health care expenditure was lower than 1. We note this applies irrespective of the implementation of NHCR (New Health Care Reform), and also observe the average TFP was much higher after NHCR was implemented.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 357-372
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1979328
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1979328
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# input file: REME_A_1947614_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ngo Thai Hung
Author-X-Name-First: Ngo Thai
Author-X-Name-Last: Hung
Title: Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam
Abstract: 
 This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 326-356
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1947614
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1947614
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# input file: REME_A_1974507_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Godday Uwawunkonye Ebuh
Author-X-Name-First: Godday Uwawunkonye
Author-X-Name-Last: Ebuh
Author-Name: Afees Salisu
Author-X-Name-First: Afees
Author-X-Name-Last: Salisu
Author-Name: Victor Oboh
Author-X-Name-First: Victor
Author-X-Name-Last: Oboh
Author-Name: Nuruddeen Usman
Author-X-Name-First: Nuruddeen
Author-X-Name-Last: Usman
Title: A test for the contributions of urban and rural inflation to inflation persistence in Nigeria
Abstract: 
 This study tests the contributions of urban and rural inflation to inflation persistence in Nigeria using the fractional cointegration VAR model and the univariate fractional integration approaches. The results indicate a high contribution of urban and rural inflation to the overall inflation persistence in Nigeria albeit with contrasting evidence for the pre-and post-Global Financial Crisis (GFC) periods. While the urban inflation contributed more than the rural inflation to the persistence of the overall inflation during the pre-GFC, the converse holds during the post-GFC. Although, the empirical analysis of the factors underlying this outcome is reserved for future research, bridging the gap between the two inflation subsamples would be a plausible policy action.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 222-246
Issue: 2
Volume: 16
Year: 2023
Month: 05
X-DOI: 10.1080/17520843.2021.1974507
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1974507
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# input file: REME_A_1973787_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Thuy Tien Ho
Author-X-Name-First: Thuy Tien
Author-X-Name-Last: Ho
Author-Name: Van Bon Nguyen
Author-X-Name-First: Van Bon
Author-X-Name-Last: Nguyen
Author-Name: Thi Bao Ngoc Nguyen
Author-X-Name-First: Thi Bao Ngoc
Author-X-Name-Last: Nguyen
Title: The different role of governance in the fiscal deficit – inflation between developed and developing countries
Abstract: 
 Fiscal deficits, the result of the government’s fiscal policy in the direction of promoting economic growth and development, can be inflationary and cause social instability. Does the fiscal deficit – inflation relationship depend on the governance environment? To answer this question, the study uses the two-step difference GMM Arellano-Bond estimator to investigate the effects of fiscal deficit, governance, and their interaction on inflation for a sample of 34 developed countries with good governance environment and a sample of 86 developing countries with bad one from 2002 to 2019. The robustness of estimates is tested by the one-step difference GMM Arellano-Bond estimator. The estimated results show the fiscal deficit – inflation relationship strongly depends on the governance environment. Indeed, fiscal deficit and governance are deflationary in developed countries but inflationary in developing ones. In addition, public debt stimulates inflation in both two groups of countries. These findings suggest some important policy implications for governments in developing countries in reforming and improving the governance environment.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 377-388
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2021.1973787
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1973787
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# input file: REME_A_1998743_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Gamal Haikal
Author-X-Name-First: Gamal
Author-X-Name-Last: Haikal
Author-Name: Islam Abdelbary
Author-X-Name-First: Islam
Author-X-Name-Last: Abdelbary
Author-Name: Dina Samir
Author-X-Name-First: Dina
Author-X-Name-Last: Samir
Title: ‘Lazy banks’: the case of Egypt
Abstract: 
 The past decade has witnessed an acute acceleration of government borrowing in Egypt compared to the preceding thirty years. This was accompanied by a structural change toward more reliance on foreign debt. In the frame of these changes, the paper employs a VECM model to test the Egyptian banking sector for the “Lazy Bank“ hypothesis. The research extends the conventional crowding effect analysis to include households borrowing. The main conclusion is that government and households borrowing from the domestic banks in Egypt led to over one-to-one crowding out of private business credit.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 447-457
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2021.1998743
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1998743
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# input file: REME_A_1975792_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Agyapomaa Gyeke-Dako
Author-X-Name-First: Agyapomaa
Author-X-Name-Last: Gyeke-Dako
Author-Name: Gladys Awinpoak Abindaw Nabieu
Author-X-Name-First: Gladys Awinpoak
Author-X-Name-Last: Abindaw Nabieu
Author-Name: Maryam Kriese
Author-X-Name-First: Maryam
Author-X-Name-Last: Kriese
Author-Name: Baah Aye Kusi
Author-X-Name-First: Baah Aye
Author-X-Name-Last: Kusi
Title: Political business cycle and bank liquidity creation in Ghana: the role of financial sector transparency
Abstract: 
 This study examines how financial sector transparency (FST) administered through credit information sharing helps reduce the BLC growth induced by PBC in an emerging economy in Africa. The study employs twenty-seven 27 banks in Ghana over three (3) different political election cycles between 2006 and 2016. The results are estimated using robust random effect panel models with technological and year effect controls. The results shows that (i) PBC increases liquidity creation by banks, (ii) FST administered through credit information sharing encourages BLC, (iii) the joint term of PBC and FST yields a negative synergetic effect on BLC and (iv) promoting FST dampens the growth in liquidity creation induced by PBC in Ghana. These results imply that bank managers, regulators and policymakers must be mindful of liquidity creation especially during election periods since it can lead to soaring credit defaults and losses. Also, FST can be used as tool for suppressing growth in liquidity creation induced through PBC by help banks screen out bad political dealings and politicians.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 428-446
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2021.1975792
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1975792
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# input file: REME_A_2257431_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Author-Name: Subrata Sarkar
Author-X-Name-First: Subrata
Author-X-Name-Last: Sarkar
Title: Governance, regulation, incentives and outcomes
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 373-376
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2023.2257431
File-URL: http://hdl.handle.net/10.1080/17520843.2023.2257431
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# input file: REME_A_2213943_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Rachita Gulati
Author-X-Name-First: Rachita
Author-X-Name-Last: Gulati
Title: Did regulatory compliance with governance standards really enhance the profit efficiency of Indian banks?
Abstract: 
   This paper examines whether regulatory compliance with governance norms explains the profit efficiency of Indian banks. Using a data envelopment analysis approach, a compliance index is built on 48 governance norms defined on board, audit, risk, remuneration, shareholder relationship, and disclosures. The study also identifies the position of banks on a 2 × 2 matrix based on their governance and profit efficiency levels. The econometric analysis establishes that mere regulatory compliance with governance codes does not necessarily ensure higher profit efficiency. Instead, the panel quantile estimates uncover evidence of a positive externality to governance compliance for banks with low profit efficiency levels.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 458-484
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2023.2213943
File-URL: http://hdl.handle.net/10.1080/17520843.2023.2213943
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# input file: REME_A_2136396_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Retselisitsoe I. Thamae
Author-X-Name-First: Retselisitsoe I.
Author-X-Name-Last: Thamae
Author-Name: Nicholas M. Odhiambo
Author-X-Name-First: Nicholas M.
Author-X-Name-Last: Odhiambo
Title: Bank regulation, supervision and lending: empirical evidence from selected Sub-Saharan African countries
Abstract: 
 This study investigates the impact of bank regulation and supervision on bank credit in 23 Sub-Saharan African (SSA) countries and their low- and middle-income groups from 1995 to 2017. The long-run results indicated that stringent entry barriers and supervisory power reduced lending, but supervisory power mitigated the negative effect of entry barriers. Furthermore, positive shocks to entry barriers impacted negatively on bank credit, while negative shocks to capital requirements had an adverse impact on lending. In the short run, positive shocks to entry barriers, activity restrictions and capital regulations led to increases in bank credit, particularly in low-income SSA economies.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 485-504
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2022.2136396
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2136396
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# input file: REME_A_2170068_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Oli Ahad Thakur
Author-X-Name-First: Oli Ahad
Author-X-Name-Last: Thakur
Author-Name: Bany-Ariffin Amin Noordin
Author-X-Name-First: Bany-Ariffin
Author-X-Name-Last: Amin Noordin
Author-Name: Bolaji Tunde Matemilola
Author-X-Name-First: Bolaji Tunde
Author-X-Name-Last: Matemilola
Author-Name: Md. Kausar Alam
Author-X-Name-First: Md. Kausar
Author-X-Name-Last: Alam
Title: Impact of goodwill on firms capital structure in developed and developing countries: moderating effects of legal system
Abstract: 
 The study investigates the impact of goodwill assets on firms’ capital structure and examines the indirect impact of the legal system on the relationship between goodwill assets and firms’ capital structure (debt ratio). The study uses 4912 firms from 23 developing countries covering the 2010 to 2018 periods. The findings show a robust positive relationship between goodwill assets and firms’ capital structure in developing countries. Moreover, the country’s legal system positively impacts the firms’ capital structure. Furthermore, the impact of goodwill assets on firms’ capital structure is weaker in countries where common law is practiced.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 525-544
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2023.2170068
File-URL: http://hdl.handle.net/10.1080/17520843.2023.2170068
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# input file: REME_A_1976465_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Zoltán Krajcsák
Author-X-Name-First: Zoltán
Author-X-Name-Last: Krajcsák
Author-Name: Hoang Bui
Author-X-Name-First: Hoang
Author-X-Name-Last: Bui
Author-Name: Nicholas Chandler
Author-X-Name-First: Nicholas
Author-X-Name-Last: Chandler
Title: Assessing the impact of corporate governance on financial performance of listed companies in Vietnam
Abstract: 
 The purpose of this paper is to develop an integrated research model and construct research hypotheses based on an extensive review of the published empirical research, theoretical foundations and financial performance measures relating to corporate governance. Literature indicates there is no ‘one size fits all’ governance mechanism. Four elements were found to be suitable for examining corporate governance. For selecting financial performance measures, the most meaningful results could be attained through a combination of ROA/ROE, Tobin’s Q, Company’s share price, alongside the CG Index.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 505-524
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2021.1976465
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1976465
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# input file: REME_A_2050091_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Brajesh Mishra
Author-X-Name-First: Brajesh
Author-X-Name-Last: Mishra
Author-Name: Sajal Ghosh
Author-X-Name-First: Sajal
Author-X-Name-Last: Ghosh
Author-Name: Kakali Kanjilal
Author-X-Name-First: Kakali
Author-X-Name-Last: Kanjilal
Title: Strategizing export promotion in Indian telecom sector: empirical evidence using time and frequency analysis
Abstract: 
 This study evaluates how foreign direct investment (FDI) impact the Indian telecom manufacturing sector and the exports of telecom products between January 2012 and February 2020. It establishes a long-term non-linear relationship among FDI, exports, and industrial production index that exhibits regime shifts, time-varying, and wavelet coherence under exchange rate volatility. The study revealed that telecom sectoral FDI majorly strengthens the service delivery capacity rather than enhancing the production of telecom products. The policy and regulatory initiatives, mainly focused on ‘import substitution’, may not automatically lead to strengthening of domestic manufacturing and increased participation in the global value chain.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 545-568
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2022.2050091
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2050091
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# input file: REME_A_2248780_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Nguyen Viet Hong Anh
Author-X-Name-First: Nguyen
Author-X-Name-Last: Viet Hong Anh
Author-Name: Tran Thi Kim Oanh
Author-X-Name-First: Tran
Author-X-Name-Last: Thi Kim Oanh
Title: Role of institution quality in the impact of government expenditure on economic development: a case study in Vietnamese provinces
Abstract: 
 To examine the impact of fiscal policy through public spending at provincial level in Vietnam, this study uses the combination among different regression methods for panel data of 63 Vietnamese provinces during the period 2010–2020. The Feasible General Least Squares (FGLS) estimator and S-GMM estimator shows that there exists a positive effect of government expenditure on provincial economic growth. Moreover, the contribution of investment expense to supporting economic activity is expected more effective than that of current expenditure in the context of Vietnamese provinces. With techniques for analysing the marginal effects of interactive variables in research model, the role of local institutional quality is confirmed to improve the positive impact of government expenditure on provincial economic growth. In general, some policy implications are suggested based on the results to help local government stimulate the economic development in Vietnam.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 409-427
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2023.2248780
File-URL: http://hdl.handle.net/10.1080/17520843.2023.2248780
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# input file: REME_A_2026035_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20230119T200553 git hash: 724830af20
Author-Name: Md. Qamruzzaman
Author-X-Name-First: Md.
Author-X-Name-Last: Qamruzzaman
Title: Nexus between economic policy uncertainty and institutional quality: evidence from India and Pakistan
Abstract: 
 The motivation of this study is to gauge the asymmetric effects of economic policy uncertainty (EPU) on institutional quality (IQ) in India (Pakistan), spanning the period 2003Q1 to 2019Q4 (2010Q1 to 2019Q4). The study applied DF-GLS and Zivot–Andrew, ARDL bound test, nonlinear ARDL and directional causal with the Toda-Yamamoto causality test. According to the combined cointegration test, the long-run economic policy uncertainty was exposed to adverse association with institutional quality in India and Pakistan. Both long-run and short-run asymmetries were confirmed between EPU and IQ. The causality test revealed the feedback hypothesis in explaining the causality between EPU and IQ.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 389-408
Issue: 3
Volume: 16
Year: 2023
Month: 09
X-DOI: 10.1080/17520843.2022.2026035
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# input file: REME_A_1993653_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Le Thi Minh Huong
Author-X-Name-First: Le Thi Minh
Author-X-Name-Last: Huong
Title: The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic
Abstract: 
 Existing literature does not assess the contagion from emerging Asian stock markets to Vietnam amid the Pandemic. The bivariate VAR and BEKK-GARCH models in this study aim to analyse the return and volatility contagion effects between countries. The main findings reveal Philippine, Singapore, and Thai stocks’ spread on the Vietnam index during the COVID-19 period. The direction from the Vietnam index towards Malaysia and the Philippines is opposite. This conclusion helps investors with more information to diversify their portfolios, minimize risks during the Pandemic.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 78-94
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1993653
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1993653
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# input file: REME_A_2091825_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Mustafa Tevfik Kartal
Author-X-Name-First: Mustafa Tevfik
Author-X-Name-Last: Kartal
Author-Name: Fatih Ayhan
Author-X-Name-First: Fatih
Author-X-Name-Last: Ayhan
Author-Name: Derviş Kirikkaleli
Author-X-Name-First: Derviş
Author-X-Name-Last: Kirikkaleli
Title: Regime-switching effect of COVID-19 pandemic on stock market index: evidence from Turkey as an emerging market example
Abstract: 
 This study investigates the regime-switching effect of the pandemic on the stock market index in Turkey. Daily data from 3 March 2020 to 31 August 2020 is used, four explanatory variables are included and Markov switching regression is applied. The empirical findings indicate that (i) the index has a long-term cointegration with the explanatory variables included; (ii) the new COVID-19 cases, credit default swap (CDS) spreads and foreign exchange (FX) rates are influential in the high-volatility regime, whereas FX rates are not influential in the low-volatility regime and (iii) net buying amounts of foreign investors are not effective in both regimes.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 189-206
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2022.2091825
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2091825
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# input file: REME_A_2211380_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Susovon Jana
Author-X-Name-First: Susovon
Author-X-Name-Last: Jana
Author-Name: Tarak Nath Sahu
Author-X-Name-First: Tarak Nath
Author-X-Name-Last: Sahu
Author-Name: Krishna Dayal Pandey
Author-X-Name-First: Krishna Dayal
Author-X-Name-Last: Pandey
Title: Revisiting the cryptocurrencies role in stock markets: ADCC-GARCH and Wavelet Coherence
Abstract: 
 The current study analyses five major cryptocurrencies and four global stock markets to explore the hedging, safe haven and diversification roles of cryptocurrencies by employing ADCC-GARCH and Wavelet Coherence Technique. The study has found that stock and cryptocurrency markets return have high volatility persistence in the long run and confirms the bi-directional volatility transmission. Also, the hedging capacity of digital currencies varies depending on market choice. Tether operates as the most effective diversifier for all studied stock indices and is a strong safe haven asset during market turmoil. It is also documented that majority of cryptocurrencies cannot offer diversification advantages.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 110-135
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2023.2211380
File-URL: http://hdl.handle.net/10.1080/17520843.2023.2211380
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# input file: REME_A_1997289_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Lumengo Bonga-Bonga
Author-X-Name-First: Lumengo
Author-X-Name-Last: Bonga-Bonga
Author-Name: Muteba John Mwamba
Author-X-Name-First: Muteba John
Author-X-Name-Last: Mwamba
Title: Multivariate models for the prediction of stock returns in an emerging market economy: comparison of parametric and non-parametric models
Abstract: 
 This paper compares the forecasting performance of three structural econometric models, namely the non-parametric, ARIMAX and the Kalman filter models, in predicting stock returns in an emerging market economy using South Africa as a case study. The proposed models have different functional forms. Each of the functional forms accounts for specific characteristics and properties of stock returns in general and in a small open economy in particular. The findings of the paper indicate that the Kalman filter and ARIMAX model both outperform the non-parametric model indicating the dominant characteristics of nonlinearity and Markov properties of stock market returns in South Africa.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 25-41
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1997289
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1997289
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# input file: REME_A_1976944_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Evangelos Vasileiou
Author-X-Name-First: Evangelos
Author-X-Name-Last: Vasileiou
Title: Turn-of-the-month effect, FX influence, and efficient market hypothesis: new perspectives from the Johannesburg stock exchange
Abstract: 
 This paper examines the Turn of the Month (TOM) effect in the highly capitalized emerging South African stock market. We use data from the FTSE/JSE Afr8ica All Shares Index (JALSH) and the USDZAR FX market for the period 31.12.1998-31.12.201. We provide empirical evidence that TOM is present in the S. African stock market, but there is a non-TOM anomaly in the FX market. Thus, the S. African stock market enables us to gain new perspectives on the study of the TOM effect. Specifically, using an optimization algorithm, we are able to identify the optimal intra-month period in the JALSH by examining it in both the local currency (ZAR) and in USD. Moreover, we show that the performance in the USDZAR FX market has an impact: (a) on the domestic stock market’s performance (JALSH in ZAR), and (b) on the TOM effect. Finally, we present some practical investment strategies based on the TOM effect which can outperform the stock market and prove beneficial for investors trading in USD.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 42-58
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1976944
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1976944
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# input file: REME_A_1953865_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Kingstone Nyakurukwa
Author-X-Name-First: Kingstone
Author-X-Name-Last: Nyakurukwa
Title: Revisiting the dynamic stock return–volume relationship in South Africa: a non-parametric causality in quantiles approach
Abstract: 
 The study investigates the dynamic relationship between trading volume and stock returns on the JSE. The results show prima facie evidence of causality from returns to trading volume in the middle quantiles of the conditional distributions in stable periods as well as the full sample, and this causal relationship disappears during the in-crisis and the post-COVID periods. Second, it is observed that the highest impact occurs in the middle of the conditional distribution but not necessarily the median. Third, across all the samples used in the study, no evidence is found of causality from trading volume to return.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 136-152
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1953865
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1953865
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# input file: REME_A_2302692_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Ashima Goyal
Author-X-Name-First: Ashima
Author-X-Name-Last: Goyal
Author-Name: Subrata Sarkar
Author-X-Name-First: Subrata
Author-X-Name-Last: Sarkar
Title: Stock markets: anticipating and diversifying risk or over-reacting?
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 1-4
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2024.2302692
File-URL: http://hdl.handle.net/10.1080/17520843.2024.2302692
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# input file: REME_A_1953864_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Emmanuel Asafo-Adjei
Author-X-Name-First: Emmanuel
Author-X-Name-Last: Asafo-Adjei
Author-Name: Anokye M. Adam
Author-X-Name-First: Anokye M.
Author-X-Name-Last: Adam
Author-Name: Patrick Darkwa
Author-X-Name-First: Patrick
Author-X-Name-Last: Darkwa
Title: Can crude oil price returns drive stock returns of oil producing countries in Africa? Evidence from bivariate and multiple wavelet
Abstract: 
 We examine the time-frequency lead-lag relationships and degree of integration between crude oil price returns and stock returns of six oil-producing countries in Africa – Nigeria, Egypt, Ghana, Tunisia, South Africa and Morocco. The study employs daily data from January 2011 to October 2020, inclusive of the COVID-19 pandemic period, using bivariate and multiple wavelet. Generally, there is low interdependence between crude oil price returns and stock returns. We advocate that in periods of crude oil price shocks on other stock markets, African stocks provide diversification opportunities. Thus, a portfolio with African stocks offers immunity to global oil price shocks.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 59-77
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1953864
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1953864
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# input file: REME_A_2006901_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Rupkatha Das
Author-X-Name-First: Rupkatha
Author-X-Name-Last: Das
Author-Name: Parthajit Kayal
Author-X-Name-First: Parthajit
Author-X-Name-Last: Kayal
Title: Super growth portfolio – a study of Indian stocks
Abstract: 
 Long-term investors aspire to earn extraordinary returns with a minimum risk exposure. This paper examines different strategies and carefully constructs a class of portfolios using constituent stocks of the NIFTY500 index to earn the best risk-adjusted returns for long-term investors. We identify a simple and profound strategy that generated extraordinary returns over more than two decades in the past. Further, we also show that this strategy produces superior performance in different market states and investment periods. Our result highlights the below par performance of value-investment style. This work has direct implications for portfolio managers and retail investors looking to invest in the Indian market.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 95-109
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.2006901
File-URL: http://hdl.handle.net/10.1080/17520843.2021.2006901
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# input file: REME_A_2035522_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Mohammad Sami Ali
Author-X-Name-First: Mohammad Sami
Author-X-Name-Last: Ali
Title: Analyzing the reactions of Amman stock exchange’s investors towards dividends policies and the 2003_American invasion to Iraq
Abstract: 
 This study scrutinized the impacts of dividends and the 2003_Iraqi war in investors’ reactions as represented by the stock market’s performance, over the period Jan/1990-Dec/2017. Thus, through using techniques like the ADF, Johansen co-integration, the single equation of the VECM and the wald ${{\rm{\chi }}^2}$χ2 tests; the findings confirmed that except for the value traded and M/BV, investors’ reactions are significantly influenced by dividends and the American invasion to Iraq, over the long-run. Furthermore, since the capital gains are positively responded to the increase in stocks’ demands; the study induced that investors are following both the relevance and irrelevance dividends’ theories.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 174-188
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2022.2035522
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2035522
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# input file: REME_A_2027619_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Yunana Zumba
Author-X-Name-First: Yunana
Author-X-Name-Last: Zumba
Title: Stock prices and economic activities in Nigeria: sector level evidence
Abstract: 
 Relationship between stock prices and economic activities at primary, secondary and tertiary sectors was missing in the previous literature. We fill this gap using quarterly data spanning 2010Q1–2019Q4 for Nigeria. Our empirical evidence is based on the autoregressive distributed lag model and Toda–Yamamoto Granger causality test with structural break frameworks. We prove that stock prices greatly boost short-run primary sector activities and short- and long-run secondary and tertiary sectors activities. Unidirectional causality is observed from primary sector activities to stock prices and from stock prices to tertiary sector activities while bidirectional causality between stock prices and secondary sector activities is documented.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 5-24
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2022.2027619
File-URL: http://hdl.handle.net/10.1080/17520843.2022.2027619
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# input file: REME_A_1983705_J.xml processed with: repec_from_jats12.xsl darts-xml-transformations-20240209T083504 git hash: db97ba8e3a
Author-Name: Priyanka Naik
Author-X-Name-First: Priyanka
Author-X-Name-Last: Naik
Author-Name: Y.V. Reddy
Author-X-Name-First: Y.V.
Author-X-Name-Last: Reddy
Title: Determinants of stock market liquidity – a macroeconomic perspective
Abstract: 
 This study examines the impact of macroeconomic indicators on the liquidity of the Indian stock market by using the Granger Causality, Vector Auto-Regressive Model, and Impulse Response Functions. Numerous macroeconomic indicators were analysed at monthly and quarterly frequencies for their effect on the liquidity of NIFTY 500 stocks measured across four facets, i.e. depth, breadth, immediacy, and tightness. The study reveals that the tightness facet of liquidity is primarily affected by the indicators and further concludes that higher foreign investment inflows and gold prices impair the aggregate liquidity. In contrast, a surge in money supply strengthens the stock market liquidity.
Journal: Macroeconomics and Finance in Emerging Market Economies
Pages: 153-173
Issue: 1
Volume: 17
Year: 2024
Month: 01
X-DOI: 10.1080/17520843.2021.1983705
File-URL: http://hdl.handle.net/10.1080/17520843.2021.1983705
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Handle: RePEc:taf:macfem:v:17:y:2024:i:1:p:153-173