Bulletin of Monetary Economics and Banking (BMEB) / Buletin Ekonomi Moneter dan Perbankan
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Impact of Geopolitical Risk and Crude Oil Prices on Stock Return
Full text linkThis study examines the impact of oil prices and geopolitical risks (GPR) on sectoral stock returns in Australia, Japan, USA, and India. Using data from September 13, 2017 to May 30, 2023 and Westerlund and Narayan\u27s method, the study finds oil prices positively affect pharma and commodity stocks, while GPR benefits commodity stocks, excluding banking in Australia. Further, GPR negatively impacts only banking stocks due to increased uncertainty and risk aversion in USA. Similarly, GPR adversely affects banking stocks in India that leads capital outflows and economic instability, while oil prices positively influence pharma and commodity stocks. Policymakers are advised to stabilize the banking sectors to mitigate the impact of GPR, and investors need to take GPR into account while making investment decisions in banking sector
Whether The Crypto Market Is Efficient? Evidence From Testing The Validity Of The Efficient Market Hypothesis
Full text linkThis study examines the validity of the efficient market hypothesis for the cryptocurrency market. We have used the Exponential Generalized Autoregressive Conditional Heteroscedastic approach to examine the presence of different calendar anomalies i.e., the Halloween effect, day-of-the-week (DOW) effect, and month-of-the-year effect in the case of Bitcoin, Ethereum, XRP, Tether, and USD Coin. The findings show that there is no strong evidence of the Halloween effect. We find only robust Thursday and Saturday effects in the mean equation. In the case of the month-of-the-year effect, there is only a reverse January effect. More specifically, we note that April and February are statistically significant in the case of Bitcoin and Ethereum, respectively. Results obtained from the variance equations imply that September and October are the least risky months for investors
Promoting Financial Inclusivity, a Route to Economic Growth: An Empirical Analysis from Sub-Saharan African Countries
Full text linkThe present study deep dives into the relationship between financial inclusion and per capita income growth of 42 sub-Saharan African countries from 2007 to 2020. With the help of the generalized method of moments (GMM) modeling framework, the study discloses that a rise in the number of bank branches, automated teller machines, and savings stimulates per capita economic growth. Conversely, an elevated number of credit provisions to the private sector and high growth of population hinder per capita economic growth. The policy recommendation is for banking authorities to expand their services to underserved areas, raise interest rates on deposits, and decrease credit provision to the private secto
Capital Expenditure Dynamics in ASEAN: Unveiling Determinants and The Impact of The COVID-19 Pandemic on Non-Financial Corporations
Full text linkThis study investigates the intricate determinants influencing the capital expenditure behavior of Non-Financial Corporations (NFCs) in major ASEAN countries over the past decade. Employing a fixed effect panel analysis encompassing 1,488 NFCs in Indonesia, Malaysia, Thailand, and the Philippines, our study unveils a robust and statistically significant relationship between corporate financial performance and capital expenditure. Notably, indicators such as profitability, market value, and cash flow rate demonstrate a positive association with heightened capital expenditure. Furthermore, macroeconomic conditions and policy-related variables emerge as influential factors affecting capital expenditure decisions. Stringent financial conditions tend to hamper firm investment decisions, whilst interest rate tends to exhibit limited efficacy in eliciting the anticipated impact on NFCs capex level. We also report that during the COVID-19 pandemic, most of our earlier findings remain consistent
Central Bank Digital Currency, Monetary Policy, And Macroeconomy: Evidence From Indonesia
Full text linkThis paper studies the impact of a universally accessible interest-bearing Central Bank Digital Currency (CBDC) on macroeconomic stability and monetary policy in Indonesia. For this end, we construct a simple reduced-form New Keynesian model calibrated corresponding to the monthly data for Indonesia from July 2005 to February 2022. We find that the CBDC regime significantly improves macroeconomic stability in Indonesia. In this regard, the CBDC rate, as the additional monetary policy instrument, responsively reacts to macroeconomic fluctuations and gives a significant impact on the demand side. Our results also suggest that monetary policy is more effective under the CBDC regime than in the non-CBD
Changing Contours of Policy Communications in India
Full text linkUsing the keyword frequencies in the headlines of press releases issued by the Ministry of Commerce and Industry, this article quantifies the shifting focus of India\u27s public policy communications. Our analysis suggests that in the aftermath of the 2008–09 Global Financial Crisis, India\u27s public policy communications shifted from international trade to innovation and competitiveness, while the emphasis on large infrastructure development, employment, investment, and policy incentives remained. A similar analysis using newspaper headlines from India\u27s three leading newspapers and Google search intensity using data from Google Trends indicates that the discussion about international trade and the institutions that promote it has broadly followed the trends of ministry communication, both in newspaper communication and in public discourse. However, there was a growing trend in media articles about innovations and competitiveness around three years before there was a similar trend in communications from the ministry. Comparatively, the public dialogue on innovations, as measured by Google Trends data, lagged ministry communications by almost two years. Therefore, this article suggests that ministry communications aimed at guiding economic agents\u27 decisions towards certain specific developmental goals are in line with the flow of thoughts in the media and public in India
A MACHINE LEARNING APPROACH TO GDP NOWCASTING:AN EMERGING MARKET EXPERIENCE
Full text linkThe growth rate of real Gross Domestic Product (GDP), as measured by the National Statistical Office of India, is an important metric for monetary policy making. Because GDP is released with a significant lag, particularly for the emerging market economies, this article presents various methodologies for nowcasting and forecasting GDP, using both traditional time series and machine learning methods. Further, considering the importance of forward-looking information, our nowcasting model incorporates financial market data and an economic uncertainty index, in addition to high-frequency traditional macroeconomic indicators. Our findings suggest an improvement in the performance of nowcasting using a hybrid of machine learning and conventional time series methods
How Global Value Chains Affect Economic Output and Unemployment: An Empirical Evidence from ASEAN Countries
No full textThis paper examines the effects of Global Value Chains on economic output and unemployment in ten ASEAN countries from 1999 to 2018. This study provides estimation using the system GMM and panel causality test to determine the effect of GVC thoroughly. The results indicate a positive and significant effect of global value chains on economic output in ASEAN countries. However, the findings also show that global value chains increase unemployment during the observation period. Heterogenous panel non-causality findings suggest that economic output does not affect the level of participation of GVC, but unemployment affects the level of participation in ten members of ASEAN countries
EFFICIENCY, PRODUCTIVITY, AND OPENNESS: EMPIRICAL EVIDENCE FROM ASEAN PLUS THREE ECONOMIES
No full textThis paper investigates the impact of openness variables, i.e., Foreign Direct Investment (FDI), exports, and imports, on productivity and efficiency. By employing annual data from the 13 countries from 2001 to 2018, this study confirms that openness variables affect countries’ productivity and efficiency. Productivity will improve when FDI interacts with human capital and intra- and inter-region exports, as well as when inter-region imports interact with human capital. Meanwhile, efficiency will enhance along with the enhancement of FDI, human capital, and intra-region imports. This study emphasises the importance of minimising underutilised capital and optimising production cost and managerial expertis
FORECASTING EXCHANGE RATE VOLATILITY IN INDIA UNDER UNIVARIATE AND MULTIVARIATE ANALYSIS
No full textThis paper addresses the issue of variation in the exchange rate of the Indian Rupee (IR) against the US Dollar (USD) under a flexible exchange rate regime using monthly data spanning January 2005 to December 2020. We find that exchange rate volatility is largely affected by its lag value rather than the inflation rate and the interest rate differential. The results of forecast accuracy suggest that the prediction performance of the ARIMA model is better than the VAR model. We also find that apart from other factors, the sharp changes in the exchange rate should be controlled by the economy because its effect will be reflected in the next period and thus creating a chain event to bring further instability in the exchange rat