1,721,068 research outputs found
Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices
Full text linkThis paper examines the dynamic connectedness of return- and volatility spillovers among cryptocurrency index (CRIX), Gold, and uncertainty measures. Apart from traditional uncertainty measures, we also consider two novel uncertainty measures: Cryptocurrency Policy Uncertainty and Cryptocurrency Price Uncertainty indices. We observe that cryptocurrency policy uncertainty is the main transmitter of the return spillovers to other variables. In addition, Gold is a net receiver of both the return and the volatility spillovers. These results are valid under bearish, bullish, and normal market conditions. Our findings contribute to the literature considering the spillover effect between cryptocurrencies and other assets and their determinants
Global supply chain pressure and commodity markets: evidence from multiple wavelet and quantile connectedness analyses
No full textThis paper examines the time-scale impacts of global supply chain pressure on commodity markets under extreme market conditions from January 2000 to July 2022. The paper uses a novel quantile-based connectedness approach and vector wavelet coherence. It shows that the supply chain pressure transmits shocks to commodities at all time horizons. The findings also report that the joined effect of the global supply chain pressure and real global economic activity is more pronounced in the long-run horizon.</p
The role of uncertainty measures on the returns of gold
Full text linkBy utilizing Bayesian Graphical Structural Vector Autoregression model, we show that changes in geopolitical risks and the U.S. real effective exchange rate significantly affect Gold returns. These results are consistent across different frequency bands in short, medium, and long terms.</p
The Role of Economic Uncertainty in Rising Populism in the EU
No full textThis paper examines the impact of economic uncertainty shocks on the populist voting behavior in the panel dataset of 24 European Union (EU) countries for the period from 1980 to 2020. In so doing, we focus on the shares of total populism, right-wing populism, and left-wing populism votes as well as a new indicator of economic uncertainty, so-called, the “World Uncertainty Index (WUI).” Using the fixed-effects, bias-corrected least-squares dummy variable (LSDVC), and Instrumental Variables (IV) estimations, we show that a higher level of the WUI is positively related to total populism and right-wing populist voting behavior. The baseline results remain consistent when we deal with potential issues of endogeneity, to address omitted variable bias, and to exclude the outliers
Panel unit root tests of purchasing power parity hypothesis: Evidence from Turkey
Full text linkIn this paper, we employ some front page panel unit root tests to examine the validity of the purchasing power parity hypothesis in Turkey. Using monthly observations panel data of nine major county’s currency dates January 2003 through April 2010, we find that panel unit root tests are not rejected the mean-reversion of real exchange rates. Thus, the empirical results indicate significant support for the purchasing power parity holds in TurkeyPurchasing Power Parity, Real Exchange Rates, Panel Unit Root Tests, Floating Exchange Rates
THE APPLICATION OF STOCHASTIC PROCESSES IN EXCHANGE RATE FORECASTING: BENCHMARK TEST FOR THE EUR/USD AND THE USD/TRY
No full textThis paper investigates the short-time exchange rate predictability in a developed and in an emerging market, and for this purpose we consider the Euro/United States Dollar (EUR/USD) and the United States Dollar/Turkish Lira (USD/TRY) exchange rates. We apply the benchmark test and compare the results of daily out-of-sample forecasting by Brownian Motion (BM), Geometric Brownian. Motion (GBM), Ornstein-Uhlenbeck Mean-reversion (OUM), Jump Diffusion (JD) stochastic processes, Vector Autoregressive (VAR), Autoregressive Integrated Moving Average (ARIMA) models and Uncovered Interest Rate Parity (UCIP) against the Random Walk (RW). We conclude that none of these models or stochastic processes displays superiority over the RW model in forecasting the USD/TRY exchange rate. However, GBM, BM and OUM processes beat the RW model in forecasting the EUR/USD, exchange rate. Furthermore, we show that these findings are robust and not time-specific. When we separately examine the pre-crisis and the post-crisis periods, results remain unchanged
Panel unit root tests of purchasing power parity hypothesis: Evidence from Turkey
Full text linkIn this paper, we employ some front page panel unit root tests to examine the validity of the
purchasing power parity hypothesis in Turkey. Using monthly observations panel data of nine
major county’s currency dates January 2003 through April 2010, we find that panel unit root
tests are not rejected the mean-reversion of real exchange rates. Thus, the empirical results
indicate significant support for the purchasing power parity holds in Turke
The New Keynesian Phillips Curve in an Inflation Targeting Country: The Case of Turkey
Full text linkThe possible short-run trade-off between the inflation (gap) and the output (gap) remains a critical policy issue for any emerging economy; particularly when an implicit or an explicit inflation targeting monetary policy is considered. The New Keynesian Phillips Curve (NKPC) has recently set up a framework on the trade-off between the inflation (gap) and the difference between the actual output and potential (efficient) output under the assumption of real wage rigidities. In this paper, we estimate the NKPC based on this framework for the Turkish economy over a period of implicit and explicit inflation targeting monetary policy. The results from Generalized Methods of Moments (GMM) estimation suggest that empirical findings are consistent with the theoretical background and the parameter restrictions are satisfied
Global Evidence on the Determinants of Public Trust in Governments during the COVID-19
No full textUsing the Worldwide COVID-19 Attitudes and Beliefs dataset covering 108,918 respondents from 178 countries, the paper examines the determinants of public trust in governments during the COVID-19. It is found that older and healthy people trust more to their governments. Education is negatively related to trust in governments. The results are robust to consider different measures of trust in government as well as including various controls, such as precautionary behaviors, first-order beliefs, second-order beliefs, and the COVID-19 prevalence in the country. The findings are also valid for countries at different stages of economic development as well to varying levels of globalization, institutional quality, and freedom of the press
Globalization, Inequality, and Redistribution:Theory and Evidence
Full text linkThis paper constructs a simple theoretical model to study the implications of globalization for inequality and redistribution. It shows that when globalization increases inequality, a policymaker interested in maximizing the sum of welfares of all agents increases redistribution. Empirically, the paper examines the effects of globalization on inequality and redistribution in a panel data set of 140 countries for the period from 1970 to 2012. It finds that both inequality and redistribution have been increasing with globalization. The results are robust to the inclusion of many different controls and the exclusion of outliers
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