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Volatility Modeling for Currency Pairs and Stock Indices by Means of Complex Networks
Full text link Financial markets are complex systems. Network analysis is an innovative method for improving data sharing and knowledge discovery in financial data. Oriented weighted networks were created for the Shanghai Composite, S&P500, DAX30, CAC40, Nikkei225, FTSE100, IBEX35 indexes, for CNY-JPY, EUR-USD, GBP-EUR, RUB-CNY and for cryptocurrency BTC-USD. We considered data since January 6, 2006 to September 6, 2019. The complex networks had a similar structure for both types of markets, which was divided into the central part (core) and the outer one (loops). The emergence of such a structure reflects the fact that, for the most part, the stock and currency markets develop around some significant state of volatility, but occasionally anomalies occur when the states of volatility deviate from the core. Comparing the topology of evolutionary networks and the differences found for the stock and currency markets networks, we can conclude that stock markets are characterized by a greater variety of volatility patterns than currency ones. At the same time, the cryptocurrency market network showed a special mechanism of volatility evolution compared to the currency and stock market networks
An Assessment of House Loans Cointegration with Macro Variables in Selected Euro Zone Countries
Full text linkThis paper performs an empirical study on house loans, interest rates, unemployment, and house rent prices relationship in Germany, France, Spain and Italy from the year 2003 to 2018. We look for the cointegration and causality relationship between the house loans and macro variables with the help of the Vector error correction model (VECM) and Granger causality methods. We investigate whether variables with monthly data explain better the relationship and causal effects between the variables. We find a long term cointegrating relationship between the real house loans and interest rates, unemployment and house rent prices for France, Spain, and Italy, but not for Germany. On average the equilibrium in house loan development is reached from 4 to 8 years, meaning that long term equilibrium exists, but the variables reach it in a rather long time period. The ECB deposit facility rate included as an exogenous variable in four countries gained no significant power in explaining the short term changes of house loans in any of the country. We reveal a complex interaction between the bank’s credits and unemployment, interest rates, house rental prices in the paper. 
To Work or not to Work: Factors Affecting Bridge Employment Beyond Retirement, Case of Lithuania
Full text linkThis paper investigates bridge employment beyond retirement, as nowadays it is one of solutions often mentioned to stabilize pension systems in the context of an aging population. The aim of this paper is to identify individual, financial, and other factors that influence retirees to work beyond retirement in Lithuania. This research was done using unique administrative Lithuanian data, allowing to analyze post-retirement employment in Lithuania for the first time. The sample consists of 26,000 new old-age pension recipients from 2015 to 2017. By applying binary models of the probability of being employed beyond retirement, it is found out that a greater acquired retirement record, a higher average wage before retirement, and living in a bigger city with a higher employment rate were positively associated with accepting bridge employment, while a higher sickness rate, higher old-age pension, and earlier receipt of an unemployment benefit were inversely related to accepting such employment. Moreover, being a professional or manager increases the likelihood of bridge employment in comparison to unskilled workers. This probability increases even more if a person works in the public sector. Finally, some social groups were excluded, finding that widows with disabilities or widowed women with worse health are not likely to work beyond retirement and are consequently under a bigger risk of poverty. To sum up, retirees who should stay in the labor market in their old age because of their bad financial situation are less likely to do it. This suggests that persons with bigger needs, lower-skilled workers, and women deserve particular attention in labor market reforms
The Evaluation of the Impact of Macroeconomic Indicators on the Performance of Listed Real Estate Companies and Reits
Full text linkUsing quarterly data from 2006:Q1 to 2019:Q3 (55 observations), this paper examines 18 Eurozone macroeconomic variables that represent monetary policy, external and construction sectors’ performance, economic growth, investment, households’ earnings, inflation and assesses their impact on the performance of the European listed real estate companies and REITs. Empirical results demonstrate that the European listed real estate market is strongly influenced by the supply side: the construction sector and the inflation of producers’ prices; while the demand side is strongly affected by the expansionary monetary policy of ECB. Furthermore, some primary findings propose that US expansionary monetary policy shocks have an effect on the European listed real estate market. This conclusion demands further thorough research
Exploring the Tourism-Poverty Alleviation Nexus in the Brics Groupof Nations
Full text linkThe tourism-poverty alleviation nexus is becoming an increasingly significant subject of academic inquiry within the tourism economics discourse. Using time series data from the World Bank (1995–2017) in a P-ARDL model, the present study explores the relationship between tourism (receipts from exports, the travel subsector, hospitality and accommodation subsector) and poverty alleviation (final household consumption) with tourism arrivals as the control variable within the context of the BRICS group. The results suggest that receipts from the travel subsector and exports met the a priori expectation – positively influencing poverty alleviation within BRICS nations in the long run. Contrastingly, receipts from the hospitality and accommodation subsector did not meet the a priori expectation of a positive sign, with the results indicating statistical insignificance in the long run. However, receipts from the hospitality and accommodation were found to only influence poverty alleviation in the short run. Relatedly, the results suggest that increases in consumption associated with growth in tourism arrivals did not influence poverty in the BRICS. The results point to the heterogeneity of the influence of tourism on poverty alleviation, whereby certain dimensions of tourism contribute to poverty alleviation in the long run and others do so in the short run. Based on these findings it is recommended that BRICS countries harness their tourism potential and promote intra-BRICS tourism to maximise the positive impact of travel and tourism export receipts on household consumption, which catalyses poverty alleviation
The Impact of Excise Tax Increases on Ethyl Alcohol Sales in Lithuania
Full text linkThis article provides empirical evidence that the demand for ethyl alcohol in Lithuania is price elastic and the root cause of this elasticity is the competition between Lithuanian and Polish sellers. The basis for the emergence of competition lies in the price differences between the countries, which arise as a direct consequence of the Lithuanian government’s policy in the alcohol sector, which is directed towards reckless increases in excise duties. The increase in Lithuanian excise duties leads to a wider price gap between countries and in the first months after the increase results increases in prices. In subsequent months, Lithuanian importers and manufacturers tend to revise the assortment and costs, replacing more expensive goods with cheaper ones or slightly alter the markups. These changes are the main reason why demand in the domestic market gradually recovers. The price elasticity of demand predetermines the gradual recovery of the ethyl alcohol market, but each increase in excise duty reduces the manufacturers’ markups and (or) leads to the changes in product range, where higher-costs products are displaced by lower-cost products
Effects of Energy Consumption on GDP: New Evidence of 24 Countries on Their Natural Resources and Production of Electricity
Full text linkBecause of rapid economic expansion, China, the USA, and India have become the largest energy producers and sources of CO2 emissions in the world. They burned over 45% of global fuels in 2016. Meanwhile, the developing strategies of 24 polluted states to decrease fossil energy consumption without additional economic output. This paper explores the effect of world top polluted countries’ CO2 emission, their GDP and production of electricity by potential indicators and identifies the basic factors that contribute to changes in an environment where petroleum, natural gas, coal, nuclear, biomass, and other renewable energy and hydroelectric sources are examined with GDP per capita. We estimate our data for the period from 1968 to 2017 and use the GLM model. The results show that more production of electricity is causing abnormal CO2 emissions. The Granger causality test shows that there is a unidirectional relationship between energy consumption and economic advancement. Also, there is a short-run bidirectional causality that exists among the energy indicators. We find a unilateral causality between energy consumption and economic growth. Therefore, the consumption of energy might be conductive of 24 (polluted) countries and better economic development; the consumption of energy may be failsafe and guaranteed, while we should limit the resources of countries
The Model of a Second-Hand Goods Resale Exchange under Transactional Pricing Strategy
No full textA modern effective business model involves the use of an appropriate pricing strategy. However, not only a short-term profitability matters but also long-term clients’ loyalty. The main purpose of this paper is to present a specific transactional pricing strategy for a second-hand goods resale exchange platform, which allows to avoid possible negative outcomes of being associated with consumer discrimination. Using simulation modeling approach, it was shown how customer segmentation combined with transactional pricing can help to gain higher profitability. The model is based on the work of intelligent agents that recreate the full product lifecycle. Changing the input parameters of the model, it is possible to simulate different scenarios of a company’s activity and market conditions. The model supports the inclusion of any number of products, while its intelligent agents’ methods are still flexible to replace with other techniques. The simulation model has shown that the use of transactional pricing can increase the profitability of a business, while keeping its clients loyal
Employment at 55+: Do We Want to Work Longer in Lithuania?
Full text link The Lithuanian population is aging, and it causes many difficulties for public finances by increasing expenditures on health care, long-term care, and pensions, and also for the labor market by creating labor shortages. One of the ways to cope with demographic aging is to rise the employment rate of older people. According to Eurostat, the employment rate of the elderly aged 55–64 years increased from 49.6 percent in 2005 to 68.5 percent in 2018 in Lithuania and it is higher than the average employment rate of older workers in European Union, which was 58.7 percent in 2018. This paper focuses on older people in Lithuania, aged 55 and over, trying to answer a question whether the elderly in Lithuania willingly work or try to find alternatives such as receiving long-term social insurance benefits. The research findings show that the activity of older people in the labor market grows, and even the share of people with disabilities staying in the labor market increases. However, this analysis also shows that older people are more under risk to lose their job during an economic crisis, and this suggests that trying to find work alternatives can be closely related to one’s economic situation. Moreover, health problems remain one of the main factors limiting the activity of older people in the labor market. It is also noticeable that some labor force reserves exist among people with disabilities and this supposes that creating better adapted working conditions for older and disabled workers in Lithuania could probably contribute to meeting the needs of an aging workforce