scholarly journals Multidimensional Scaling Analysis of the Dynamics of a Country Economy

2013 ◽  
Vol 2013 ◽  
pp. 1-15 ◽  
Author(s):  
J. A. Tenreiro Machado ◽  
Maria Eugénia Mata
Keyword(s):  
Multidimensional Scaling ◽  
Global Financial Crisis ◽  
Scaling Analysis ◽  
Multidimensional Scaling Analysis ◽  
The Great Depression ◽  
Long Run ◽  
Numerical Assessment ◽  
Short Run ◽  
The Impact ◽  
Historical Periods

This paper analyzes the Portuguese short-run business cycles over the last 150 years and presents the multidimensional scaling (MDS) for visualizing the results. The analytical and numerical assessment of this long-run perspective reveals periods with close connections between the macroeconomic variables related to government accounts equilibrium, balance of payments equilibrium, and economic growth. The MDS method is adopted for a quantitative statistical analysis. In this way, similarity clusters of several historical periods emerge in the MDS maps, namely, in identifying similarities and dissimilarities that identify periods of prosperity and crises, growth, and stagnation. Such features are major aspects of collective national achievement, to which can be associated the impact of international problems such as the World Wars, the Great Depression, or the current global financial crisis, as well as national events in the context of broad political blueprints for the Portuguese society in the rising globalization process.

scholarly journals THE IMPACT OF MONEY ON OUTPUT IN CZECH REPUBLIC AND ROMANIA

2018 ◽  
Vol 19 (1) ◽  
pp. 20-41 ◽  
Author(s):  
Mihaela SIMIONESCU ◽  
Adam P. BALCERZAK ◽  
Yuriy BILAN ◽  
Anna KOTÁSKOVÁ
Keyword(s):  
Czech Republic ◽  
Global Financial Crisis ◽  
Causality Test ◽  
Developed Country ◽  
Developed Economies ◽  
Long Run ◽  
Short Run ◽  
Almost All ◽  
Vector Error Correction Models ◽  
The Impact

The problem of relationship between output and money has become again a subject of special interests of economists after the most recent global financial crisis and monetary stabilization policies applied by central banks of almost all developed economies. In this context, the main aim of this paper is to assess the relation between GDP and the most important monetary variables in two countries: Romania and Czech Republic over the period of 1995:Q1 – 2015:Q4. The choice of these economies was deliberate. The selected countries are different from the viewpoint of rate and results of transformation from the centrally planned to market economy, which have influenced their current economic environment stability. Czech Republic is currently classified as middle or even developed country, whereas Romania is still considered as a developing economy. Thus, differences between these two countries make them interesting in the case of comparative studies. In the empirical part of our research the vector error correction models (VECM) were applied. The main findings of the article are the following: in Romania, there is a short-run causality from money supply (M3) to GDP and a long-run relationship between GDP, internal credit and M3. According to Granger causality test, the rate of M3 in Romania was a cause for economic. In Czech Republic, there is a short-run causality from M3 to GDP and a long-run causality between GDP, internal credit and M3. Thus, the results contradict the money neutrality hypothesis in post-transformation Central European economies.

scholarly journals Pooled Mean Group Approach to Test the Determinants of Financial Integration: Evidence From OECD and G20 Countries

2019 ◽  
Vol 10 (3) ◽  
pp. 366
Author(s):  
Ahliman Abbasov
Keyword(s):  
Economic Growth ◽  
Financial Crisis ◽  
Financial Integration ◽  
Financial Liberalization ◽  
Global Financial Crisis ◽  
Positive Impact ◽  
Trade Integration ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study investigates the role of financial liberalization, trade integration, economic growth and global financial crisis on financial integration level of selected OECD and G20 countries during the period of 2000-2016. PMG technique has been implemented to estimate the ARDL model. Regression results suggest a statistically significant long run co-integration relationship between financial integration and independent variables. Analysis also concludes that there are both long run and short run positive impact of trade integration level on financial integration level. The study also concludes that the global financial crisis has had a negative influence on global financial integration both in the short run and long run. But according to the regression results the impact of financial liberalization on the actual financial integration level of the countries only appears in the long run. Results also indicate that positive impact of economic growth on financial globalization level appears only in the long run.

Volatility of Malaysian conventional and Islamic indices: does financial crisis matter?

2020 ◽  
Vol 11 (1) ◽  
pp. 1-11 ◽  
Author(s):  
Muhamad Abduh
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Stock Exchange ◽  
Composite Index ◽  
Least Square ◽  
Content Type ◽  
Long Run ◽  
Short Run ◽  
The Global Financial Crisis ◽  
The Impact

Purpose This study aims to investigate the volatility of conventional and Islamic indices and to explore the impact of the global financial crisis toward the volatility of both markets in Malaysia. Design/methodology/approach The data consist of financial times stock exchange group (FTSE) Bursa Malaysia Kuala Lumpur Composite Index and FTSE Bursa Malaysia Hijrah-Shari‘ah Index covering the period January 2008-October 2014. Generalized autoregressive conditional heteroskedasticity is used to find the volatility of the two markets and an ordinary least square model is then used to investigate the impact of the crisis toward the volatility of those markets. Findings Interestingly, the result shows that Islamic index is less volatile during the crisis compared to the conventional index. Furthermore, the crisis is proven to significantly affect the volatility of conventional index in the short run and Islamic index in the long run. Originality/value This study explores the volatility–financial crisis nexus, especially for the Islamic financial markets, which to the best of the author’s knowledge, is still lacking empirical research which may improve the understanding upon this issue.

scholarly journals THE EXCHANGE RATE VOLATILITY AND EXPORT PERFORMANCE: THE CASE OF INDONESIA'S EXPORTS TO JAPAN AND THE US

2017 ◽  
Vol 20 (1) ◽  
pp. 49-70
Author(s):  
Shinta Fitrianti
Keyword(s):  
Exchange Rate ◽  
Global Financial Crisis ◽  
Export Performance ◽  
Exchange Rate Volatility ◽  
Commodity Price ◽  
Long Run ◽  
The Us ◽  
Short Run ◽  
The Exchange Rate ◽  
The Impact

This paper investigates the long-run and short-run impacts of the exchange rate volatility onIndonesia’s real exports to its major trading partners; Japan and US. The study uses monthly data from January 1998 to October 2015 in order to capture the structural break period of the Global Financial Crisis 2008. In addition, commodity price is included as an explanatory variable. The index of exchange rate volatility is generated using moving sample standard deviation of the growth of the real exchange rate. This paper estimates the long-run cointegration using Autoregressive Distributed Lag (ARDL) bounds testing, while for the short-run dynamic this paper use error-correction-model (ECM). The findings suggest rupiah volatility against the Japanese yen reduces Indonesia’s export to Japan, both in the short and the long-run. Fluctuation of rupiah against the US dollar helps Indonesia’s export to the US in the short run, but the impact is not carried out to the long-run. On the other hand, the impact of commodity price shock is negligible, except for the long-run export to Japan.

scholarly journals Housing Price, Mortgage Interest Rate and Immigration

2020 ◽  
Vol 28 (3) ◽  
pp. 36-44
Author(s):  
Fennee Chong
Keyword(s):  
Interest Rate ◽  
Global Financial Crisis ◽  
Housing Prices ◽  
Housing Price ◽  
Mortgage Interest ◽  
Long Run ◽  
Mortgage Interest Rate ◽  
Short Run ◽  
The Global Financial Crisis ◽  
The Impact

AbstractHousing price in New Zealand has appreciated substantially after the Global Financial Crisis, resulting in an affordability problem for first home buyers. This paper studies whether changes in immigration activity and mortgage interest rate influence housing price. Empirical findings derived using VECM confirm the impact of immigration and mortgage interest rate on housing property price. Both variables explain 11.4 percent of the variation of Housing Index. An increase of 1 percent in mortgage interest rate would reduce the housing index movement by 1.44 percent whilst a 1 percent increase in immigrants would increase the housing index by 0.30 percent. In addition, about 2 percent of the short-run deviations of housing prices are adjusted towards the long-run equilibrium each month.

Lead Lag Relationship between Futures and Spot Prices in Select Nifty Companies

GIS Business ◽  
2017 ◽  
Vol 12 (5) ◽  
pp. 30-48
Author(s):  
Rajani Balakrishna Bhat ◽  
Suresh V. N.
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Global Financial Crisis ◽  
Index Options ◽  
Spot Prices ◽  
Equity Derivatives ◽  
Long Run ◽  
Short Run ◽  
Single Stock Futures ◽  
The Impact

The equity derivatives market in India has undergone remarkable changes in terms of instruments introduced. Introduction of single stock futures, amidst great misgivings, was solely responsible for placing Indian exchanges in the topmost position in the global scenario. Till 2006-07, single stock futures were the most traded instruments in the Indian equity derivative segment. But, post-Global Financial Crisis, there has been a continuous drift in favour of index options from single stock futures. There has been a continuous decline in the share of single stock futures, the gain being that of index options. This is considered as a clear indication towards mature stock market. Even though the inception of derivative trading has significantly influenced the trading volatility in the capital market segment, it is yet to be seen whether the introduction of derivatives has achieved its purpose or not. The present study is an attempt to study the impact of volatility on the stock market after the introduction of derivatives in Indian segment. The study takes into account a period of thirteen years, from 9th November 2001 to 31st March 2014. A bunch of Nifty companies which satisfy the set criteria are selected for the study. The study reveals that there exists causality between the futures and spot prices of these companies. These companies are found to be co-integrated in the long run as well as in the short run.

scholarly journals Foreign Direct Investment and Economic Growth in the Short Run and Long Run: Empirical Evidence from Developing Countries

2019 ◽  
Vol 12 (4) ◽  
pp. 176 ◽  
Author(s):  
Trang Thi-Huyen Dinh ◽  
Duc Hong Vo ◽  
Anh The Vo ◽  
Thang Cong Nguyen
Keyword(s):  
Economic Growth ◽  
Developing Countries ◽  
Foreign Direct Investment ◽  
Private Sector ◽  
Money Supply ◽  
Direct Investment ◽  
Global Financial Crisis ◽  
Long Run ◽  
Short Run ◽  
The Impact

A contribution of foreign direct investment to economic growth is possibly one of the widely examined topics in academic research in the last five decades. However, few studies have examined both the short run and long run impacts of this effect concurrently for developing and emerging markets, in particular during the period of economic turmoil that includes the global financial crisis. As such, this paper examines and provides additional and relevant quantitative evidence on the impact of foreign direct investment (FDI) on economic growth, both in the short run and the long run in developing countries of the lower-middle-income group in 2000–2014. Various econometric methods are employed such as the panel-based unit root test, Johansen cointegration test, Vector Error Correction Model (VECM), and Fully Modified OLS (FMOLS) to ensure the robustness of the findings. The results of this study show that FDI helps stimulate economic growth in the long run, although it has a negative impact in the short run for the countries in this study. Other macroeconomic factors also play an important role in explaining economic growth in these countries. Money supply has a positive effect on growth in the short run while total credit for private sector has a negative effect. In addition, long-run economic growth is driven by money supply, human capital, total domestic investment, and domestic credit for the private sector. Based on these results, recommendations for the governments of these countries have been developed.

Impact of exchange rate and oil price on the yield of sovereign bond and sukuk: Evidence from Malaysian capital market

2017 ◽  
Vol 5 (4) ◽  
pp. 27
Author(s):  
Huda Arshad ◽  
Ruhaini Muda ◽  
Ismah Osman
Keyword(s):  
Exchange Rate ◽  
Capital Market ◽  
Time Series Data ◽  
Oil Prices ◽  
Oil Price ◽  
Series Data ◽  
Sovereign Bond ◽  
Long Run ◽  
Short Run ◽  
The Impact

This study analyses the impact of exchange rate and oil prices on the yield of sovereign bond and sukuk for Malaysian capital market. This study aims to ascertain the effect of weakening Malaysian Ringgit and declining of crude oil price on the fixed income investors in the emerging capital market. This study utilises daily time series data of Malaysian exchange rate, oil price and the yield of Malaysian sovereign bond and sukuk from year 2006 until 2015. The findings show that the weakening of exchange rate and oil prices contribute different impacts in the short and long run. In the short run, the exchange rate and oil prices does not have a direct relation with the yield of sovereign bond and sukuk. However, in the long run, the result reveals that there is a significant relationship between exchange rate and oil prices on the yield of sovereign bond and sukuk. It is evident that only a unidirectional causality relation is present between exchange rate and oil price towards selected yield of Malaysian sovereign bond and sukuk. This study provides numerical and empirical insights on issues relating to capital market that supports public authorities and private institutions on their decision and policymaking process.

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