1,720,972 research outputs found
An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange
Full text linkBackground: In light of the latest global financial crisis and the ongoing sovereign debt crisis, accurate measuring of market losses has become a very current issue. One of the most popular risk measures is Value-at-Risk (VaR). Objectives: Our paper has two main purposes. The first is to test the relative performance of selected GARCH-type models in terms of their ability of delivering volatility estimates. The second one is to contribute to extend the very scarce empirical research on VaR estimation in emerging financial markets. Methods/Approach: Using the daily returns of the Macedonian stock exchange index-MBI 10, we have tested the performance of the symmetric GARCH (1,1) and the GARCH-M model as well as of the asymmetric EGARCH (1,1) model, the GARCH-GJR model and the APARCH (1,1) model with different residual distributions. Results: The most adequate GARCH family models for estimating volatility in the Macedonian stock market are the asymmetric EGARCH model with Student’s t-distribution, the EGARCH model with normal distribution and the GARCH-GJR model. Conclusion: The econometric estimation of VaR is related to the chosen GARCH model. The obtained findings bear important implications regarding VaR estimation in turbulent times that have to be addressed by investors in emerging capital markets
Testing the Twin Deficit Hypothesis: Evidence from the Republic of North Macedonia
Full text linkBackground: An econometric analysis of the twin deficit hypothesis is of special importance for the Republic of North Macedonia in view of its perspective membership in the European Union and from the point of view of its macroeconomic stability in the long run. Objectives: The objective of this paper is to test empirically the validity of the twin deficit hypothesis in the Republic of North Macedonia. Methods/Approach: To achieve this objective, we used actual quarterly data on Macedonia’s budget and the current account deficit in the period from the first quarter of 2005 until the fourth quarter of 2017 and applied several econometrics methods: the Granger causality, a vector autoregressive (VAR) and a vector error correction model (VECM). Results: These findings point to the conclusion that efforts focused on improving the current account imbalances through fiscal policy will be inefficient in the short run. Conclusions: However, the existence of a long run relationship between the budget deficit and the current account deficit indicates the necessity of policy initiatives focused not only on reducing the budget deficit, but also on improving the external position of the country though export promotio
An anaylsis of financial crisis by an early warning system model: The Case of the EU candidate countries
Full text linkThe objective of this paper is to estimate the relative contribution of a wide array of determinants
to outbreak of financial crises in the EU candidate countries (Croatia, Macedonia and Turkey)
and to identify the best-performing early warning indicators of financial crises. We have
estimated a binomial logit model of the three EU candidate countries for the period 2005Q1 to
2009Q4 using actual quarterly data. It has been found that the capital account indicators (gross
external debt relative to export) and the financial sector variables (the domestic loans and the
total bank deposits in relation to GDP) have the highest contribution of all early warning
indicators, which is in line with the previous studies of financial shocks in emerging markets. The
obtained empirical results give support to the thesis that financial crises in the EU candidate
countries can not be solely explained and predicted by only one group of variables, but by a
number of different types of indicators. Based on our empirical findings, the EU candidate
countries are strongly suggested to decrease their stock of external debt to GNP and to
continually analyze and close monitor the financial deepening processes in their countries
Currency crises in EU candidate countries: An early warning system approach
No full textThe purpose of this paper is to develop an econometric model of early warning
system (EWS) for predicting currency crises in EU candidate countries. Using
actual quarterly panel data for three EU candidate countries (Croatia,
Macedonia and Turkey) in the period January 2005 - June 2010, we estimate a
binomial logit model, which accurately predicts potential episodes of
outbreak of currency crisis. In addition, we find that real GDP growth rate,
participation in an IMF loan program, current account and fiscal balance and
short-term external indebtedness are the most significant common predictors
of currency crises across EU candidate countries. These results imply
implementing policy measures aimed at raising the growth potential of the
domestic economies of EU candidate countries, monitoring their short-term
external indebtedness, improving their external competitiveness, cutting
public spending and increasing the confidence of residents and non-residents
in their domestic banking sectors
IMPACT OF REMITTANCES ON ECONOMIC GROWTH: EMPIRICAL EVIDENCE FROM SOUTH-EAST EUROPEAN COUNTRIES
Full text linkSouth-East European (SEE) countries are experiencing high emigration, resulting in a significant increase in remittance inflows, exceeding FDI flows. Today the most important challenge facing SEE countries is how to grow at a higher speed to achieve faster economic convergence with the EU. The objective of the paper is to empirically examine the relevance of remittances as a factor of economic growth, using quarterly balanced panel data set of six SEE countries: Albania, Bosnia and Herzegovina, Croatia, Montenegro, the Republic of North Macedonia, and Serbia (SEE6) over 2008q1-2020q2. Panel regression with the fixed-effects model is employed to account for potential cross-section heterogeneity. This study provides original econometric evi- dence that remittances have a significant positive impact on economic growth in our panel of SEE6. Those results will be useful both to scholars and policymakers in the process of the creation of policies that will direct remittances into investments in the economy
The impact of FDI on export performance: Empirical evidence
Full text linkThe objective of this paper is to investigate empirically the impact of the FDI inflows on export performance of Macedonia and Turkey. To achieve this objective we use a popular model of export and estimate two models. The first (benchmark) model includes the real effective exchange rate, the potential GDP, trade liberalization and export in the previous year. Along with these explanatory variables, in the second model we include the FDI inflows variable. The results of the benchmark model indicate that trade liberalization has a positive and significant impact on export. The export performance is positively and significantly affected by the last year's exports. The estimated coefficient of real effective exchange rate is not statistically significant. The potential output has a positive impact on the increase of export but it is also statistically not significant. The results of the second model indicate that FDI have a positive impact on export performance of Macedonia and Turkey, but not significant
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
Event study on the reaction of the Balkan stock markets to the conflict between Russia and Ukraine
No full textThe aim of this paper is to examine the reaction of South Eastern European stock markets to the armed conflict between Russia and Ukraine. With a sample of seven stock market indices, the event study methodology is applied to examine the influence of the conflict between two countries on European ground over stock indices of emerging markets in South Eastern Europe. Results indicate that beginning of the conflict in late February brought a very strong significant price correction and stock markets in the examined countries became maximum oscillatory and subjected to light and rapid changes on a daily level. The findings contribute to the research on economic impact of the armed conflict by providing empirical evidence that conflict between two European (Non-European Union members) countries has spill-over effects on stock markets on other European (European Union members and Non-European Union members) countries. The findings have important implications for portfolio diversification and thus can serve in the asset allocation decision of investment managers
THE ROLE OF REMITTANCES IN FINANCIAL CRISIS: EMPIRICAL EVIDENCE FROM MACEDONIA
Full text linkNedavna globalna financijska kriza je ugrijala raspravu među ekonomistima u vezi uloge inozemnig doznaka radnika u vrijeme financijske krize: Jesu li oni amortizer ili odašiljač šoka? Cilj ovog rada je utvrditi da li doznake poslane u Makedoniju imaju stabilizirajući ili destabilizirajući učinak. Određivanjem vektorskog modela s korekcijom odstupanja (VEC), nalazimo dokaze da realne doznake imaju destabilizirajući učinak na ekonomije obe zemlje: zemlja porekla (Makedonija) i zemlja krajnjeg odredišta (Njemačka). Stoga, ni ne mogu ublažiti velike fluktuacije u makedonske proizvodnje u fazi gospodarske krize.The recent global financial crisis has heated the debate among economists on the role of migrant workers’ remittances in times of financial crisis: Are they a shock absorber or a shock transmitter? The objective of this paper is to find out whether the remittances sent to Macedonia have a stabilizing or destabilizing effect. By specifying a vector error correction (VEC) model, we find evidence that real remittances have a destabilizing effect on the output both of the home country (Macedonia) and the host country (Germany). Consequently, they could not cushion large fluctuations in Macedonian output in stage of economic downturn
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