scholarly journals The Interaction between Stock Prices and Commodity Prices: East Europe and Central Asia Countries

2015 ◽  
Author(s):  
Mustafa Ildırar ◽  
Erhan İşcan
Keyword(s):  
Stock Prices ◽  
Sharp Increase ◽  
Commodity Prices ◽  
Panel Cointegration ◽  
Commodity Price ◽  
Developed Countries ◽  
Upward Trend ◽  
East Europe ◽  
Long Run ◽  
Panel Cointegration Test

The sharp increase in commodity prices since 2000s has important effects on many economic variables. Especially the upward trend in commodity prices had substantial effects on stock prices. The literature has continuing and growing interest to the dynamics of commodity price and their significant impact on economic and financial developments. There is growing evidence that commodity prices, stock prices moved together, and that the correlations between them have increased. Many studies investigated the interaction between stock prices and real and commodity prices and find strong interaction for developed countries. However, the effect of the commodity prices on stock markets in relatively less investigated for ECA countries. The purpose of this study is to investigate the long-run relationship between commodity prices and stock prices in ECA countries can by using a panel cointegration test.

scholarly journals Do the RMB exchange rate and global commodity prices have asymmetric or symmetric effects on China’s stock prices?

2021 ◽  
Vol 7 (1) ◽  
Author(s):  
Shaobo Long ◽  
Mengxue Zhang ◽  
Keaobo Li ◽  
Shuyu Wu
Keyword(s):  
Exchange Rate ◽  
Stock Prices ◽  
Commodity Prices ◽  
Commodity Price ◽  
Rapid Expansion ◽  
Price Changes ◽  
Rmb Exchange Rate ◽  
Long Run ◽  
Cointegration Relationship ◽  
Nardl Model

AbstractWith the rapid expansion of the RMB exchange rate’s floating range, the effects of the RMB exchange rate and global commodity price changes on China’s stock prices are likely to increase. This study uses both auto regressive distributed lag (ARDL) and nonlinear ARDL (NARDL) approaches to explore the symmetric and asymmetric effects of the RMB exchange rate and global commodity prices on China’s stock prices. Our findings show that without considering the critical variable of global commodity prices, there is no cointegration relationship between the RMB exchange rate and China’s stock prices, and the coefficient of the RMB exchange rate is not statistically significant. However, when we introduce global commodity prices into the NARDL model, the result shows that the RMB exchange rate has a negative effect on China’s stock prices, that there indeed exists a long-run cointegration relationship among the RMB exchange rate, global commodity prices, and stock prices in the NARDL model, and that global commodity price changes have an asymmetric effect on China’s stock prices in the long run. Specifically, China’s stock prices are more sensitive to increases than decreases in global commodity prices. Thus, increases in global commodity prices cause China’s stock prices to decline sharply. In contrast, the same magnitude of decline in global commodity prices induces a smaller increase in China’s stock prices.

scholarly journals Commodity Price Changes and Domestic Inflation in the CEMAC Zone: Evidence from Panel Cointegration

2021 ◽  
Vol 13 (5) ◽  
pp. 93
Author(s):  
Njoupouognigni Moussa ◽  
Ndambendia Houdou
Keyword(s):  
Food Policy ◽  
Consumer Price Index ◽  
Commodity Prices ◽  
Panel Cointegration ◽  
Commodity Price ◽  
Food Prices ◽  
Price Changes ◽  
Long Run ◽  
Pass Through ◽  
Domestic Inflation

In this study, we highlight the issue of the recent rise of food prices and other commodities on domestic inflation in the CEMAC zone. Results show that there is a long-run relationship between consumer price index, commodity prices and traditional determinants of inflation. Indeed, an appreciation of the nominal effective exchange rate and a rise of interest rate reduce domestic inflation while excessive money supply and a surge of commodity prices are potential sources of inflation in the region. Moreover, Pass-through from commodity price changes to domestic inflation in the region is incomplete because of the CFA Franc peg to Euro. An efficient use of the tools of monetary policy and a coordinated food policy on crops are more likely to reduce inflationary pressures in the region.

scholarly journals A Reappraisal of the Prebisch-Singer Hypothesis Using Wavelets Analysis

2021 ◽  
Vol 14 (7) ◽  
pp. 319
Author(s):  
Hany Fahmy
Keyword(s):  
International Trade ◽  
Structural Breaks ◽  
Developing Economies ◽  
Commodity Prices ◽  
Commodity Price ◽  
Data Set ◽  
Price Series ◽  
Long Run ◽  
Starting Point ◽  
The Impact

The Prebisch-Singer (PS) hypothesis, which postulates the presence of a downward secular trend in the price of primary commodities relative to manufacturers, remains at the core of a continuing debate among international trade economists. The reason is that the results of testing the PS hypothesis depend on the starting point of the technical analysis, i.e., stationarity, nonlinearity, and the existence of structural breaks. The objective of this paper is to appraise the PS hypothesis in the short- and long-run by employing a novel multiresolution wavelets decomposition to a unique data set of commodity prices. The paper also seeks to assess the impact of the terms of trade (also known as Incoterms) on the test results. The analysis reveals that the PS hypothesis is not supported in the long run for the aggregate commodity price index and for most of the individual commodity price series forming it. Furthermore, in addition to the starting point of the analysis, the results show that the PS test depends on the term of trade classification of commodity prices. These findings are of particular significance to international trade regulators and policymakers of developing economies that depend mainly on primary commodities in their exports.

scholarly journals Revisiting Banking Stability Using a New Panel Cointegration Test

2021 ◽  
Vol 9 (2) ◽  
pp. 21
Author(s):  
Hassan B. Ghassan ◽  
Zakaria Boulanouar ◽  
Kabir M. Hassan
Keyword(s):  
Cross Section ◽  
Serial Correlation ◽  
Panel Cointegration ◽  
Cointegration Test ◽  
Current Version ◽  
Medium Term ◽  
Long Run ◽  
Panel Cointegration Test ◽  
Banking Stability ◽  
Score Index

Using a new panel cointegration test that considers serial correlation and cross-section dependence on a mixed and heterogenous sample of Saudi banks, we revisit the cointegrating equation of the z-score index of banking stability. Our results show that even when we consider the cross-section dependency and serial correlation of the errors, there is a possibility of a long-run relationship, which holds in our sample of banks. Furthermore, in the medium term, we found some banks to be integrated, whereas others were non-cointegrated. We interpret this to suggest that some banks contribute to banking stability, whereas others do not. In other words, there exists at least one bank that acts as a destabilizer and the challenge for financial regulators is to identify which banks these are. However, the current version of the Hadri et al. test does not allow for the identification of the non-cointegrated banks. If the test was able to do that, the regulatory authorities would be able to develop corrective policies/measures specifically tailored to the non-cointegrated units.

scholarly journals An Empirical Analysis of Macroeconomic Variability on the Ghanaian Stock Market: A Vector Autoregression Approach

2016 ◽  
Vol 3 (2) ◽  
pp. 49
Author(s):  
Beverly Acquah
Keyword(s):  
Stock Market ◽  
Interest Rates ◽  
Stock Prices ◽  
Economic Activity ◽  
Price Index ◽  
Vector Autoregression ◽  
Negative Relationship ◽  
Commodity Prices ◽  
Commodity Price ◽  
Macroeconomic Indicators

This study investigates the dynamic interrelationships among stock prices and selected macroeconomic indicators namely; economic activity, global commodity price index, inflation and interest rates in Ghana. By employing a Vector Autoregression (VAR) Model, the empirical results reveal that stock prices depreciate with an increase in global commodity prices and interest rates indicating a negative relationship. On the other hand, stock prices appreciate with an increase in inflation and economic activity indicating a positive relationship. Examining stock market variability on the selected macroeconomic variables also showed that inflation and interest rates respond negatively to changes in asset prices while the stock market itself is not found to be a leading indicator for economic activity. The evidence suggests that the listed equities on the GSE are a hedge against inflation in Ghana. Increasing economic activity over time is advantageous for the Ghanaian stock market.

Panel Data Analysis of Financial Development, Trade Openness, and Economic Growth: Evidence from BRICS Countries

2018 ◽  
Vol 4 (1) ◽  
pp. 1-18 ◽  
Author(s):  
Ritu Rani ◽  
Naresh Kumar
Keyword(s):  
Economic Growth ◽  
Trade Openness ◽  
Panel Cointegration ◽  
Least Square ◽  
Cointegration Test ◽  
Ordinary Least Square ◽  
Brics Countries ◽  
Long Run ◽  
Panel Granger Causality ◽  
Panel Cointegration Test

The purpose of this article is to investigate the possible cointegration and direction of causality between foreign direct investment (FDI) inflow, trade openness, and economic growth in BRICS countries using panel data from 1993 to 2015. Besides these variables, money supply and domestic credit (DC) to private players are also added in the model to examine the impact of financial openness on economic growth. The Pedroni’s panel cointegration test is used to examine the existence of long-run relationship, and coefficients of cointegration are examined by fully modified ordinary least square (FMOLS) and dynamic ordinary least square (DOLS). Further panel Granger causality test is used to examine the direction of causality among the competing variables. The results of Pedroni’s panel cointegration test indicate that there exists a long-run relationship among the variables under considerations in BRICS countries. The coefficient of FMOLS and DOLS indicates that trade openness has a positive impact on economic growth in BRICS countries while FDI inflow has a negative impact in these nations. In addition, the results of panel Granger causality confirmed bidirectional causality between FDI inflow and economic growth in the short run. The study recommends that BRICS countries should liberalize trade openness as it strengthens the position of member countries in the world economy.

scholarly journals The Corruption-Terrorism Nexus: A Panel Data Approach

2016 ◽  
Vol 8 (11) ◽  
pp. 111 ◽  
Author(s):  
Nahil Boussiga ◽  
Malek Ghdamsi
Keyword(s):  
Panel Cointegration ◽  
Political Stability ◽  
Cointegration Test ◽  
Correction Model ◽  
Major Threat ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
The Relationship ◽  
Control Of Corruption

<p>Corruption has been increasingly recognized as the major threat to economic development, political stability and peace. It is also acknowledged by international community as the breeding ground for terrorism. This paper examines the relationship between corruption and terrorism in the long run. Previous studies examining the link between these two phenomena used only time series cointegration tests. In this paper, we make use of a dataset for a panel of 123 developed and developing countries over the period 2003-2014. We use Pedroni’s residual-based panel cointegration test and the error correction model-based panel cointegration test developed by Westerlund. In order to obtain more robust results, we use two different measures of corruption which are Corruption Perceptions Index (CPI) and Worldwide Control of Corruption Indicator (CC). The results of both tests reject the null hypothesis of no cointegration. we conclude that corruption and terrorism converge. Our findings corroborate results of previous studies.</p>

scholarly journals On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

2009 ◽  
Vol 41 (2) ◽  
pp. 521-528 ◽  
Author(s):  
Jungho Baek ◽  
Won W. Koo
Keyword(s):  
Interest Rates ◽  
Commodity Prices ◽  
Commodity Price ◽  
Farm Income ◽  
Agricultural Commodity ◽  
Macroeconomic Variables ◽  
Distributed Lag ◽  
Dynamic Relationship ◽  
Long Run ◽  
Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

scholarly journals Testing monetary exchange rate models with the Westerlund panel cointegration test

Economica ◽  
2020 ◽  
Vol 7 (2) ◽  
pp. 172-179
Author(s):  
Andrea Szabó
Keyword(s):  
Time Series ◽  
Exchange Rate ◽  
Empirical Support ◽  
Panel Cointegration ◽  
Empirical Literature ◽  
Long Run ◽  
Cointegration Tests ◽  
Panel Cointegration Test ◽  
Exchange Rate Models ◽  
Monetary Models

Time series testing of long-run monetary models of exchange rate determination in most cases fails to support the conjectures of the theory. The empirical literature increasingly uses the panel technique when testing monetary exchange rate models because the power of the panel unit root and panel cointegration tests seems higher than the pure time series tests. In this paper we examine the validity of the monetary exchange rate models over the period 1996Q1-2011Q4 for US dollar exchange rates of 15 OECD countries using Westerlund’s 2007 panel cointegration tests. We found moderate empirical support for monetary exchange rate models.

scholarly journals Утицај показатеља пословање компанија на цијене акција на берзама у Босни и Херцеговини // Impact of Business Performance Indicators on Share Prices on Stock Exchanges in Bosnia and Herzegovina

2013 ◽  
Vol 11 (18) ◽  
pp. 253
Author(s):  
Џафер Алибеговић
Keyword(s):  
Bosnia And Herzegovina ◽  
Performance Indicators ◽  
Stock Prices ◽  
Business Performance ◽  
Market Price ◽  
Developed Countries ◽  
Stock Exchanges ◽  
Investment Strategies ◽  
Share Prices ◽  
Long Run

Резиме: Показатељи пословањa компаније који се добију прорачуном коефицијената рацио анализе, једна су од кључних референтних тачака инвестиционе анализе на тржиштима капитала како развијених земаља, тако и земаља са тржиштем капитала у развоју. Директна и позитивна релација показатеља пословања компанија и цијена њихових акција на берзама у овим земљама је доказана, као што је доказана и могућност употребе показатеља пословања за процјену будућег кретања цијена акција и будућих приноса на инвестицију. Насупрот, на берзама у Босни и Херцеговини директне релације између показатеља пословања компанија и тржишних цијена акција нема, те стога показатељи пословања не могу бити кориштени у процјени инвестиција на тржишту капитала, осим у посебним стратегијама и на дуги рок.Summary: Business performance indicators resulting from ratio analysis are one of the key benchmarks of investment analysis on capital markets, both developed countries and countries with emerging markets. Direct and positive relations between business performance and share prices on the stock exchanges of these countries has been demonstrated, along with the possibility of using performance indicators to predict future trends in stock prices and future returns on investment. In contrast, direct relationship between business performance and market price of the shares in the stock market in Bosnia and Herzegovina does not exists, therefore, business performance indicators cannot be used in an appraisal of the investment in the capital market instruments, except in special investment strategies and on the long run.

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