Turkish Economic Review
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Volatility stylized facts in the Moroccan stock market: Evidence from both aggregate and disaggregate data
Get PDFAbstract. Financial markets in emerging countries are generating considerable literature, aiming to understand their organization, perspective, and performance. In this context, few studies have expressed interest in the Moroccan financial market and even fewer researches have addressed the issue of the Moroccan financial market volatility. In this paper, we investigate variety of common properties, labelled as “stylized facts. Our results show that global and sectoral indices of Moroccan Stock Market share the majority of stylized facts. In fact, absolute returns correlation coefficients are positive and tends to decay at a much slower pace. Hence, volatility of Moroccan Stock Market captures the properties of volatility clustering and long memory. We also find evidence of volatility asymmetry. Yet, the level is not statistically significant for most of the indices. More interestingly, the Omori law indicates that Moroccan Stock market is relatively stable after financial shocks.Keywords. Asymmetry, long memory, multifractality Omori Law, Stylized facts, Volatility.JEL. G11, G17, C53, C58
Impact of COVID 19 on international trade and China’s trade
Get PDFAbstract. As COVID-19 emerged from China and spread around the world like a pandemic, it was not just a health disease threat perhaps it could affect the world economically, politically, socially and educationally so, this research is conducted to find the impact of COVID-19 on international trade and China’s trade. To determine the effects of COVID-19 on global trade, a comprehensive analysis was conducted on forty-two countries using computable general equilibrium (CGE) model. These components comprise things such as industries, governments, importers and exporters, investors, and households. The results were obtained by using 2018 data from the Asian Development Bank and the International Monetary Fund.The impact of Covid-19 on GDP has been predicted under two scenarios. These are the short and long containment scenarios. Under the short containment scenario, global trade will be cut by about 905 billion US Dollars. Global trade will be cut by 2,095 billion US Dollars under the long containment scenario. From the simulation, growth in GDP will fall by 5.4 percent under the short containment scenario growth in GDP will fall by 3.7 percent in Asia and by 2.8 percent in the world, Asia is expected to contribute the most to the general decline in global output by a figure of 48 percent. Covid-19 will impact wage income most in the EU, UK, and the US. On a global scale, labor income will fall by 535 billion US Dollars under the short containment scenario. Labor income will fall by 1053 billion US Dollars under the long containment scenario. China is the core of export and import in Asia and COVID-19 could affect the Asia negatively so it could be concluded that COVID-19 could affect the China’s trade indirectly during the COVID-19.Keywords. COVID-19, International trade, China’s trade.JEL. F17, F14, F02
The path ahead for Bulgaria: Through the eyes of Steve Hanke
Get PDFThe path ahead for Bulgaria: Through the eyes of Steve Hanke-Intervie
The relationship between the GDP, FDI, and non-oil exports in the Saudi economy - 1970-2019: Evidence from (VECM) and (ARDL) assessment - according to Vision 2030
Get PDFAbstract. This study examines the long-term and short-term balance relationship of GDP, Foreign Direct Investment to the performance of nonoil exports in KSA within the framework of the export-led growth (ELG) hypothesis: Evidence from ARDL, VECM and a smaller evaluation according to Vision 2030. We performed an analysis for the period from 1970 to 2019 by an autoregressive distributed lag (ARDL) model and checked the robustness of the results in the vector error correction (VECM) model. The co-integration and Toda - Yamamoto causality analysis are conducted by using two techniques of vector error correction model (VECM) and autoregressive distributed lag (ARDL). The main findings are: Foreign direct investment can increase GDP growth rates by increasing non-oil exports in the Saudi economy according to the results of the Toda - Yamamoto Causality Test; and the GDP in the Saudi economy are affected by FDI and the rates of non-oil exports, in the long and short term, and the reason is the strength of the reserves of the Saudi economy. The contribution of this research is that the outcomes found by means of econometric models can be used for predicting and measuring GDP in upcoming years, can get a guideline from this research To the economic policy makers in Saudi Arabia. Also, the dynamic interaction among FDI, non-oil exports, and economic growth is investigated using the ARDL. The ARDL co-integration results showed that GDP, FDI and non-oil exports are co-integrated, indicating the presence of a long-run equilibrium relationship between them. Besides, the results for the relationship between GDP, FDI and Non-Oil Exports are interesting and indicate that there is no significant from variables and vice-versa using Toda-Yamamoto causality.Keywords. GDP, FDI, Non-oil exports, Stationary, Toda-Yamamoto Test, VECM, ARDL.JEL. D42, D43, H21, L12, L13
Value creation by Indian companies: A comparative study over two time periods
Get PDFAbstract. The objective of this paper is to derive economic profit generated by Indian companies over two time periods and see whether there has been any fundamental change in the performance of companies and the sectors within which they belong. We focus on non-finance companies. The purpose is two-fold. First, to get an idea about how Indian companies have fared over the two time periods and whether there has been any structural change. Second, to help companies decide on their next strategic move and allocate funds for the purpose. The study also focusses on the relationship between size and economic profit, where invested capital and market capitalization represents size. The methodology presented in the paper enables us to understand the performance of Indian companies and also the sectors within which they belong.Keywords. Economic profit, Invested capital, Quintile distribution, Market capitalization, Sector.JEL. G11, G14, G32, L25, E22
Intra-regional trade facilitation: A comparative analysis between ECCAS and ECOWAS
Get PDFAbstract. Since the advent of the Abuja Treaty, Economic Community of Central African States (ECCAS) recorded poor intra-regional trade performance while Economic Community of West African States (ECWAS) performed better. The objective of this paper is to comparatively analyse the impact of trade facilitation measures on intra-regional trade between those two Communities, focusing on the role of Information and Communication Technology and custom environment indicators. Using data from United Nations Conference on Trade and Development, Geodist of Centre d’Etudes Prospectives et d’Informations Internationales and World Bank, our augmented gravity model results showed that internet has a positive and significant impact on the intra-ECCAS trade and no impact on intra-ECOWAS trade. Mobile phone has a positive and significant impact on the intra-regional trade in both zones. The number of days for export has a negative and significant impact on intra-regional trade in both zones, while the result of the number of document is ambiguous. The impact of the increase in these two indicators reduced trade more in ECCAS than in ECOWAS.Keywords. Trade facilitation, ICT, ECCAS, ECOWAS, Augmented gravity model.JEL. C23, H54, O24, R58
A financial option perspective on OPEC strategy
Get PDFAbstract. The article examines the use of discretionary production by key OPEC members to protect the long-term value of their reserves. Although interpretations vary on its behaviour and market power, the organisation sees its role as promoting the security of supply through stabilising markets while protecting market share and ensuring a fair return to capital. Given the new and perennial challenges facing its members, there are diverse views on how these policy objectives may be promoted. Using option theory, we argue that the market stabilisation policy of OPEC in effect, provides free risk management to the global market and conflicts fundamentally with its long-term objective of protecting market share through discouraging high-cost marginal producers. Abandoning this policy, the returns to marginal producers, adjusted for risk, would be reduced. As implications of our research, rather than creating a social good through mitigating price risk, OPEC should allow markets to be volatile and even consider using its discretionary buffer in a pro-cyclic manner, to protect the long-term value of its reserves.Keywords. OPEC, Risk Management, Shale Petroleum.JEL. Q02, Q43, Q48, Q58
Regional trade and macroeconomic indicators in Pakistan: A cointegration analysis
Get PDFAbstract. This paper empirically estimates the relationship among selected variables trade, agricultural value-added foreign direct investments, domestic credit to private sectors, official exchange rate and gross capital formation, and population, for the particular Southeast Asian economies including Pakistan, China, Malaysia, India, and South Korea during 1985-2016. Using autoregressive distributed lag model (ARDL) approach, this study statistically proved the presence of long time association among national credit to private zones, foreign direct investment, population, in addition to gross capital formation for the selected Southeast Asian countries. This study further shows gross capital formation significantly contributes during the long and short period towards trade. Albeit, national credit to private sectors, overseas direct investment, and population maintain a supportive relationship with trade but they are not found to be significant. Furthermore, agricultural value-added and the official exchange rate uphold a non-supportive relationship with the trade. The official exchange rate has a negative but insignificant relationship during the long period however all through the short period has an encouraging and significant association with trade. Whereas agricultural value-added maintains significant negative undesirable relationship through the trade throughout the long and short-run. The strategy implication is that selected countries need to focus on outlays on the addition of fixed assets that consist of machinery, land improvement, structure of roads, railways and drains, stable and profitable industrial buildings, schools, hospitals, universities and work in progress that would help in attracting the FDI in economies to boost the trade.Keywords. Trade, Cointegration, Variables, Growth, Short and long-run.JEL. F35, G10, G11, G15
The effects of monetary policy on housing prices
Get PDFAbstract. Many factors have an impact on housing prices. Among these factors, short term interest rates have significant importance. It is because changes in short term interests are important indicators of the efficiency of the monetary policy and the functioning of the housing prices channel is an important tool for the monetary authority to have an impact on economic activities. The purpose of this paper is to study the efficiency of the housing prices channel in Turkey. In our study, we used VAR method based on data from 2007-2019. As a result of the analysis, we found out that interest rates and the housing credit index directly affect housing prices in Turkey.Keywords. Housing prices, Monetary transmission mechanism, Housing price channel, VAR analysis.JEL. E20, E40, E50