26 research outputs found
An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange
No full textBackground: 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
THE ROLE OF REMITTANCES IN FINANCIAL CRISIS: EMPIRICAL EVIDENCE FROM MACEDONIA
No full textNedavna 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
Testing the Twin Deficit Hypothesis: Evidence from the Republic of North Macedonia
No full textBackground: 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
The Impact of an Internet-Based Computer Laboratory on Graduate Students' Learning of Econometrics
No full textWith an increased use of modern ICT methodologies in teaching econometrics, additional research is needed to evaluate their effects on students' learning of econometrics. The purpose of this paper is to empirically investigate how the Internet-based computer laboratory at Ss. Cyril and Methodius University in Skopje, Faculty of Economics influenced graduate students' learning of the subject Econometrics. This paper summarizes both teachers' and students' experiences in the teaching-learning process of Econometrics at graduate level in a computer laboratory. Teaching and learning econometrics in a computer lab has advantages and disadvantages for both, teachers and students. However, in this paper we have shown that the benefits of the computer laboratory outweigh its drawbacks and conclude that the computer laboratory at the Faculty of Economics-Skopje has been successfully used both for teaching and learning of Econometrics
ECONOMETRIC ESTIMATION OF THE DETERMINANTS AND IMPACT OF REMITTANCES ON THE MACEDONIAN ECONOMY
No full textAlthough Macedonia is among the top emigration countries in the world, and in spite of the fact that private transfers from abroad have covered more than 50% of the trade deficit in the last ten years, relatively little is known about the determinants of the remittances and their impact on the macroeconomic stability of the Macedonian economy. The purpose of our paper is to offer an econometric estimation of the determinants of remittances to Macedonia and to investigate whether remittances sent to Macedonia have a stabilizing or destabilizing effect on the Macedonian economy, especially in time of financial shocks. To achieve this objective, we estimate a vector autoregressive (VAR) model using the available monthly data on migrant workers’ remittances as a dependent variable and industrial output, gross wages, unemployment rate, consumer price indices, trade deficit, total imports and loans to private sector as independent variables in a long period (January 2005 - December 2012). We find evidence that remittances sent to Macedonia have a procyclical character meaning that they act as a boost to economic activity in times of economic upturns, and as a destabilizing factor to the Macedonian economy in times of economic downturns
E-Commerce and Factors Affecting Its Development: Empirical Evidence from Europe
No full textKako bismo istražili faktore koji pokreću rast e-trgovine u Europi, proveli smo analizu panel podataka koristeći godišnje podatke iz 32 europske zemlje u razdoblju od 12 godina (2010. do 2021.) Primjenom napredne ekonometrijske tehnike procjene potpuno modificiranih običnih najmanjih kvadrata (FMOLS) nalazimo da BDP po glavi stanovnika, korištenje interneta za traženje informacija o robi i uslugama, razina obrazovanja, računalne vještine i pristup internetu pozitivno i značajno utječu na razvoj e-trgovine. Nasuprot tome, korištenje interneta za suradnju s tijelima javne vlasti ne utječe značajno na e-trgovinu, dok korištenje internet bankarstva pokazuje značajan negativan učinak. Naša studija doprinosi postojećoj literaturi analizom većeg i reprezentativnijeg panela tijekom šireg vremenskog razdoblja i istraživanjem nekih relativno nedovoljno istraženih varijabli. Nalazi su ključni za kreatore politike kada razvijaju politike za promicanje e-trgovine kroz inicijative kao što su poboljšanje digitalne infrastrukture i osiguravanje širokopojasnog pristupa internetu.To investigate the factors that drive e-commerce growth in Europe, we performed a panel data analysis utilizing annual data from 32 European nations spanning a 12-year timeframe (2010 to 2021). By applying the advanced econometric technique Fully Modified Ordinary Least Squares (FMOLS) estimation we find that GDP per capita, internet usage for finding information about goods and services, level of education, computer skills, and internet access all positively and significantly affect e-commerce development. Conversely, the use of the internet for engaging with public authorities does not significantly affect e-commerce, while online banking usage shows a significant negative effect. Our study contributes to the existing literature by analyzing a larger and more representative panel over a broader time period, and by investigating some relatively under-explored variables. The findings are crucial for policymakers in developing strategies to boost e-commerce, focusing on economic growth and improving digital infrastructure and broadband internet access
An anaylsis of financial crisis by an early warning system model: The Case of the EU candidate countries
No full textThe 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
No full textSouth-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
