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Non-performing loans and bank profitability: evidence from Vietnam Macroeconomics and Finance in Emerging Market Economies Pub Date : 2024-02-19 Phan Dinh Nguyen
This paper analyzes the determinants of NPLs and the impact of NPLs on bank profitability in Vietnam during the period 2005–2020 via panel data estimation techniques. Our findings show that bank pr...
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Evaluating economic uncertainty measures for India Macroeconomics and Finance in Emerging Market Economies Pub Date : 2024-01-17 Prasad Teja Dakey, Motilal Bicchal
This paper constructs macroeconomic uncertainty (MEU) measures for India following methodology and evaluates them with widely used measures of VIX and economic policy uncertainty (EPU). We estimate...
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Stock markets: anticipating and diversifying risk or over-reacting? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2024-01-10 Ashima Goyal, Subrata Sarkar
Published in Macroeconomics and Finance in Emerging Market Economies (Vol. 17, No. 1, 2024)
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Role of efficiency and composition of public infrastructure: implications for growth and employment Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-12-05 Jayeeta Roy Chowdhury, Arpita Ghose
This paper contributes to theoretical endogenous growth literature, establishing the role of efficiency of public infrastructure use by private/public production sectors and composition of public i...
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Monetary policy, prudential regulations and bank lending behaviour in Africa Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-11-27 Daniel Ofori-Sasu, Gloria Clarissa Dzeha, Baah Aye Kusi, Abel Mawuko Agoba
The study examines the effect of monetary policy and prudential regulations on bank lending behaviour in Africa. This study employs the Two-Stage Least Square (2SLS) estimation technique for a pane...
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Impact of ESG reporting on earnings quality: evidence from India and influence of COVID-19 Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-11-28 Ketan Mulchandani, Kalyani Mulchandani, Sushma Vishnani
The purpose of this study is to explore the impact of ESG reporting on earnings quality. Earnings quality is split into two components: innate earnings quality and discretionary earnings. Results o...
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Financial inclusion, institutional quality, and economic growth in MENA countries: some evidence from panel cointegration Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-11-23 Jamel Boukhatem, Fatma Ben Moussa
The purpose of this paper is to examine financial inclusion indicators with some institutional quality indicators to better understand their combined effect on economic growth in the context of MEN...
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The endogeneity of monetary policies of emerging market economies Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-09-18 Luccas Assis Attílio
We analyse the responses of the monetary policy of five (Brazil, Chile, Mexico, India, and South Africa) emerging market economies (EME) to domestic and external (U.S.) shocks. We argue that the do...
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Does discretionary earnings management more common among Indian companies around their IPOs? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-09-15 Manu Abraham, Santhosh Kumar S
ABSTRACT There is a relative absence of research that addresses the role of IPO grading on Earnings management (EM) in India. This study examines the earnings management practices among Indian companies that went for IPOs during the mandatory IPO grading era and the optional IPO grading era. The study covers 351 companies that went public for the first time in India from 2008 to 2022. The study found
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Speed of adjustment and optimal leverage: evidencethe from South Asian family firms Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-09-12 Muhammad Mushtaq, Chu Ei Yat, Muhammad Tahir, Badal Khan
ABSTRACT This study examines how family firms adjust their leverage towards optimal leverage. We use the dynamic system generalized method of moments (GMM) for analysis. The findings reveal that South Asian family firms adjust about 24% towards target leverage using market leverage and about 28% while using book leverage. The findings further suggest that growth opportunities, GDP growth rate, distance
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Governance, regulation, incentives and outcomes Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-09-12 Ashima Goyal, Subrata Sarkar
Published in Macroeconomics and Finance in Emerging Market Economies (Vol. 16, No. 3, 2023)
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Role of institution quality in the impact of government expenditure on economic development: a case study in Vietnamese provinces Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-09-11 Nguyen Viet Hong Anh, Tran Thi Kim Oanh
To examine the impact of fiscal policy through public spending at provincial level in Vietnam, this study uses the combination among different regression methods for panel data of 63 Vietnamese pro...
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Influence of C.R. Rao in financial statistics Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-08-03 T. J. Rao
ABSTRACT Prof. C.R.Rao has been awarded the prestigious International Prize in Statistics, ISP −2023 a few weeks back. Following this, articles on his contributions in Mathematical and Applied Statistics as well as Official Statistics and Economics are being written for various journals. In this paper, we put together his contributions that influenced and had an impact in Financial Statistics.
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Survival of SMEs: business environment, financial performance, bank credit, and accounting errors Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-07-24 Ngo Minh Hai, Le Minh-Tu, Nguyen Dac Dung
ABSTRACT This study analyzes Vietnam's SME survival during the global financial crisis, considering financial performance, bank credit, and accounting. Results reveal significant crisis impact on 2008 SMEs, no WTO accession benefits, and varying survival rates among industries. Evidence supports contingency and resource-based theories, emphasizing financial performance and bank credit access for SME
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Evaluating economic interventions during the 2008 financial and 2009 H1N1 crisis in USMCA Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-07-20 Carmín C. L. Montante, Clemente Hernandez-Rodriguez
ABSTRACT The purpose of this study is to evaluate the economic interventions of the United States, Mexico and Canada that share historical interactions within a free trade agreement (USMCA), formerly known as NAFTA, during the financial crisis of 2008–2009 using time-series analysis. First, we explain the context and dealt with USMCA. Then, the interrupted time series (ITS) methodology is applied in
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International reserves, economic crisis and monetary autonomy in Asia: a panel data analysis Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-06-29 Fang Dong, William Marquis
ABSTRACT A country cannot simultaneously have an independent monetary policy, fixed exchange rate and freely mobile capital. This paper uses data from 10 Asian economies in recent years to investigate the macroeconomic trilemma. It makes special reference to the role of exchange rate regimes, capital controls, economic crisis, and international reserve holdings to analyse how interest rate changes
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Did regulatory compliance with governance standards really enhance the profit efficiency of Indian banks? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-05-30 Rachita Gulati
This paper examines whether regulatory compliance with governance norms explains the profit efficiency of Indian banks. Using a data envelopment analysis approach, a compliance index is built on ...
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Do real exchange rate changes matter for industrial policy in emerging markets? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-05-19 Nabil Alimi, Radhouan Garbaa, Mouna Soussi
ABSTRACT The purpose of this paper is to investigate the impact of real exchange rate (RER) changes on the growth rate of the agriculture, industrial, services, and extractive sectors. To this end, a panel autoregressive distributed lag (ARDL) model, for 19 emerging economies over the period 1992–2020, was employed. Our findings reveal that first; the currencies of these economies are overvalued, furthermore
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Revisiting the cryptocurrencies role in stock markets: ADCC-GARCH and Wavelet Coherence Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-05-19 Susovon Jana, Tarak Nath Sahu, Krishna Dayal Pandey
The current study analyses five major cryptocurrencies and four global stock markets to explore the hedging, safe haven and diversification roles of cryptocurrencies by employing ADCC-GARCH and Wav...
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The behavior of the real effective exchange rate of Ethiopia: does misalignment exist? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-05-12 Getaneh Mihret Ayele
ABSTRACT This study examined the main drivers of real effective exchange rate (REER) misalignment for Ethiopia over the period 1970–2020. Based on the behavioural equilibrium exchange rate concept, the study used the dynamic OLS and Markov regime switching model (MSM). The cointegration results revealed that the REER appreciates for an increase in relative productivity, government spending and net
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Comparing the inflationary impacts of uncertainty between advanced and emerging economies Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-04-10 Carolina Pagliacci
ABSTRACT This paper quantifies the impact of uncertainty shocks on inflation by distinguishing their effect through aggregate supply and demand adjustments for 34 advanced and emerging economies. Methodologically, this quantification starts by identifying structural aggregate supply and demand shocks and evaluating their impacts on output growth and inflation. Results show that uncertainty shocks prompt
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Macroeconomic stability and foreign direct investment Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-03-31 S. Meral Cakici
ABSTRACT This study aims to provide an extensive empirical investigation of the macroeconomic determinants of foreign direct investment. More precisely, influence of macroeconomic stability on foreign direct investment is examined, where macroeconomic stability is defined as composite variables capturing financial, political and price stability. Panel estimation results for 96 countries from 1980 to
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Determinants of intra-regional capital flows in South-Asia - a multilevel generalized structural equation modelling based gravity analysis of intra-SAARC FDI Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-01-26 Nitin Arora, Kriti Sharma
ABSTRACT In this study, various determinants of intra-SAARC capital flows in terms of FDI have been investigated using Multilevel Generalized Structural Equations Model. Analysis proves (i) bulk of intra-SAARC FDI is found to be market-seeking or horizontal, indicating scarcity of vertical investment linkages between affiliate countries; (ii) the financial sector among SAARC nations need a significant
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Designing a Financial Volatility Index (FVI): approach to machine learning models in uncertainty Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-01-13 Reza Ghaffari Gol Afshani, Mir Feiz FallahShams, Mojgan Safa, Hossein Jahangirnia
ABSTRACT The purpose of this study is to design a financial stress index to predict the occurrence of financial crisis in the Tehran Stock Exchange. In this paper, a composite index has been designed to measure the Iranian financial system and the effects of financial volatility in conditions of uncertainty in the financial markets and the Tehran Stock Exchange between 2008 and 2020. Volatility Index
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Capital expenditure and firm value in the MENA region: the role of market competition and information asymmetry Macroeconomics and Finance in Emerging Market Economies Pub Date : 2023-01-03 Harit Satt, Youssef Chetioui, Omar Ouahidi, Virginia Bodolica, Diae Lamiri
ABSTRACT This paper examines the relationship between capital expenditure and firm value in the MENA region, and the moderating role that market competition and information asymmetry play in this relationship. The study consists of 3,930 observations that include yearly data from the 2010–2019 period. Empirical tests show that in markets of high product competition, capital expenditure exerts a negative
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Exports, finance, and economic growth: does financial development boost the impact of exports on economic growth in Sub-Saharan Africa? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-12-29 Faustin Maniraguha, Etienne Ndemezo
ABSTRACT This paper examines whether financial development can boost the contribution of exports to economic growth in Sub-Saharan Africa. The paper constructed an interaction index customized to the Sub-Saharan African context in terms of financial developments and exports growth. The analysis considers data from 2004 until 2019 for 28 selected countries from SSA. After applying econometric techniques
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Bitcoin as a global risk and the woes of the Turkish Lira Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-12-23 Ayuba Napari, Inci Parlaktuna
ABSTRACT Owing to the high penetration of cryptocurrencies in the Turkish Economy, we sought to determine whether cryptocurrencies as represented by Bitcoin has become a global risk for the Turkish Lira. To accomplish this, we model the Turkish Lira exchange rate returns volatility using threshold GARCH-M with Bitcoin as an exogenous covariate. Bitcoin was found to be a contributor to Turkish forex
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Reviving lending or safeguarding stability: what purpose did recapitalization serve? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-12-12 Saibal Ghosh
ABSTRACT Two cardinal objectives of recapitalization are promoting bank lending and ensuring systemic stability. Whether the Indian experience ensured that one or both these objectives are addressed remains an open question. To examine this, we utilize data on Indian state-owned banks for 2009–2020. The findings reveal that although recapitalization led to a decline in bank lending, there was an improvement
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The impact of central bank’s repo balance on monetary policy transmission - evidence from Brazil Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-12-07 Victor R. G. Da Silva
ABSTRACT Three hypotheses arise concerning negatives impacts of central bank’s repo balance on monetary policy: (i) short maturity and payments close to policy rate for repos cause a decrease in average maturity of public debt; (ii) repo balance expansions weaken the wealth channel of monetary policy; (iii) agents’ expectations regarding repo expansions undermine other monetary policy instruments.
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Impact of financial inclusion on banking stability in ASEAN countries –threshold financial inclusion Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-11-04 Nguyen Yen Hai Dang, Ha Dao Thieu Thi
ABSTRACT This paper aims to investigate the effect of financial inclusion on bank stability in ASEAN countries. FEM, threshold estimation, and GMM method, respectively. The findings show that financial inclusion decreases the stability of banks, but the influence varies between banks and market structures. Furthermore, we examine the impact of the financial inclusion threshold on bank stability. The
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Bank regulation, supervision and lending: empirical evidence from selected Sub-Saharan African countries Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-10-20 Retselisitsoe I. Thamae, Nicholas M. Odhiambo
This study investigates the impact of bank regulation and supervision on bank credit in 23 Sub-Saharan African (SSA) countries and their low- and middle-income groups from 1995 to 2017. The long-ru...
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Institutions for macroeconomic stability: a review of ‘Monetary policy in low financial development countries’ Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-07-22 José R. Sánchez-Fung
ABSTRACT ‘Monetary policy in low financial development countries’ is about a significant and evolving subject. Designing and implementing monetary policy is complex, and considering an economy’s stage of development adds further problems. Theoretical advances are important alongside empirical analyses incorporating an economy’s features. The book shows that the ground remains fertile for research on
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Regime-switching effect of COVID-19 pandemic on stock market index: evidence from Turkey as an emerging market example Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-06-22 Mustafa Tevfik Kartal, Fatih Ayhan, Derviş Kirikkaleli
This study investigates the regime-switching effect of the pandemic on the stock market index in Turkey. Daily data from 3 March 2020 to 31 August 2020 is used, four explanatory variables are inclu...
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Inflation persistence for product groups in Brazil using the ARFIMA-GARCH model Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-06-02 Adriana Ferreira Silva, Aniela Fagundes Carrara, Nicole Rennó Castro
ABSTRACT This study uses ARFIMA-GARCH models and structural break tests to analyse the persistence of Brazilian inflation. Its main contribution is to carry out a disaggregated analysis for nine product groups. The main evidences found are: all price groups and aggregate inflation present a stationary behaviour with reversion to the long-term mean, but there are heterogeneities; aggregate persistence
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A study of inflation persistence in Kazakhstan: what has changed? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-05-23 Alisher Tolepbergen
ABSTRACT The paper analyzes the persistence properties of the monthly inflation and its components in Kazakhstan using a fractionally integrated approach. The results suggest the presence of long memory behaviour in the inflation series. The general inflation, food inflation, and non-food inflation experienced a break in late 2015 when the National Bank of Kazakhstan announced a shift in the monetary
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Monetary policy transmission in India: new evidence from firm-bank matched data Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-04-27 Pranav Garg, Saurabh Ghosh, Abhinav Narayanan
ABSTRACT This paper uses a unique firm-bank matched data set for India to provide new insights into the monetary policy transmission mechanism. Our assessment of the bank-lending channel suggests that an increase in credit may have a heterogeneous effect on firms based on the liquidity positions of the lending banks. Investment in fixed assets is found to increase for firms that borrow from liquid
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Macroeconomic effects of fiscal rules for a commodity-exporting economy: avoiding procyclical bias in Kazakhstan Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-03-22 Zhandos Ybrayev, Olzhas Kubenbayev, Akylzhan Baimagambetov
ABSTRACT This paper investigates the macroeconomic consequences of an alternative fiscal rule in the context of commodity price shocks for a commodity-exporting country. We build a DSGE model to explain the business cycle in an oil-exporting economy, estimated using macroeconomic data from Kazakhstan. Our results demonstrate that when fiscal policy is procyclical in response to a transitory negative
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Unemployment, informality and optimal monetary policy, an evaluation of the cross-checking approach Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-03-21 Wissem Boukraine, Hella Guerchi Mehri
ABSTRACT This paper evaluate, in terms of simulated welfare loss, the cross-checking of a DSGE model’s loss function with a simple Taylor rule as a monetary policy framework for a central bank unable to commit to a target. We focus on Tunisia as an emerging economy with challenging characteristics for this technique, mainly high involuntary unemployment and an important informal sector. Our results
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Strategizing export promotion in Indian telecom sector: empirical evidence using time and frequency analysis Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-03-13 Brajesh Mishra, Sajal Ghosh, Kakali Kanjilal
This study evaluates how foreign direct investment (FDI) impact the Indian telecom manufacturing sector and the exports of telecom products between January 2012 and February 2020. It establishes a ...
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A resource dependence theory perspective on low savings, cost of capital, leverage and bank valuation in South Africa Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-03-07 Sophie Kasse Kengne
ABSTRACT South Africa has one of the lowest savings rates of the emerging economies. However, the minimum capital and liquidity coverage prudential requirements are consistently exceeded by local banks. This paper investigates whether low savings have any impact on bank’s cost of capital, leverage and valuation through the lens of the resource dependence theory. The Autoregressive Distributed Lag Bounds
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Stress testing frameworks and practices in emerging markets: the case of dual banking system Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-03-01 Muhamed Zulkhibri, Abdul Ghafar Ismail
ABSTRACT This paper critical reviews and evaluates stress-testing frameworks and practices of supervisory authorities in a dual banking system namely Malaysia, Indonesia and Pakistan. The analysis suggests that similar to other banking system there are two main designs to stress testing -bottom-up and top-down – depending on the institutional responsibilities and computational capabilities. Hence,
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Monetary and fiscal policy interactions in resource-rich emerging economies Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-02-24 Babatunde Samson Omotosho
ABSTRACT This paper investigates monetary-fiscal interactions in resource-rich emerging economies using an estimated Dynamic Stochastic General Equilibrium model. We find evidence of an active monetary and passive fiscal policy but confirm the presence of revenue substitution; a phenomenon that alters the automatic stabilizer’s role of fiscal policy. Once the response of fiscal policy to oil-related
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Analyzing the reactions of Amman stock exchange’s investors towards dividends policies and the 2003_American invasion to Iraq Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-02-15 Mohammad Sami Ali
This study scrutinized the impacts of dividends and the 2003_Iraqi war in investors’ reactions as represented by the stock market’s performance, over the period Jan/1990-Dec/2017. Thus, through usi...
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Evaluation of the financial performance of development and investment banks with entropy-based ARAS method Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-02-14 Özlem Karadağ Ak, Adalet Hazar, Şenol Babuşcu
ABSTRACT The current study aimed to analyse the performance of development and investment banks operating in Turkey. Between group and within-group comparisons with public, private and foreign capital according to their ownership structures were conducted. ARAS-based performance evaluation of development and investment banks in Turkey over the period of 2010–2019 indicated that Diler Investment Bank
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Do business group firms use related party transactions efficiently? An empirical study Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-02-10 Nitya Nand Tripathi, Asha Binu Raj, P. Bhanu Sireesha
ABSTRACT We examine the nature of related party transactions between business group and stand-alone companies and its impact on the firm performance. The magnitude of related party transactions varies across the Indian firms, however, prior approval is required from audit committee. Hence, we examine the empirical relationship between related party transactions, firm performance, and corporate governance
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Role of debt in emerging economies: a re-examination of the debt-growth nexus Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-01-24 Subaran Roy, Chitrakalpa Sen
ABSTRACT Traditionally, a higher debt burden is expected to negatively affect the economic growth, although the empirical evidence is inconclusive. In this paper we have re-examined the debt-growth relationship for 32 emerging economies while considering possible nonlinear impact of debt on economic growth using a dynamic panel. Our results suggest that for emerging economics, a large debt if used
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Nexus between economic policy uncertainty and institutional quality: evidence from India and Pakistan Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-01-20 Md. Qamruzzaman
The motivation of this study is to gauge the asymmetric effects of economic policy uncertainty (EPU) on institutional quality (IQ) in India (Pakistan), spanning the period 2003Q1 to 2019Q4 (2010Q1 ...
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Stock prices and economic activities in Nigeria: sector level evidence Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-01-17 Yunana Zumba
Relationship between stock prices and economic activities at primary, secondary and tertiary sectors was missing in the previous literature. We fill this gap using quarterly data spanning 2010Q1–20...
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The empirics of long-term Mexican government bond yields Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-01-07 Tanweer Akram, Syed Al-Helal Uddin
ABSTRACT This paper presents empirical models of Mexican government bond (MGB) yields based on monthly macroeconomic data. The current short-term interest rate has a decisive influence on MGB yields, after controlling for inflation and growth in industrial production. John Maynard Keynes claimed that long-term government bond yields move in lockstep with the short-term interest rate. The models presented
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Revisiting systemic risk during political shocks and its impact on unemployment: evidence from Tunisia Macroeconomics and Finance in Emerging Market Economies Pub Date : 2022-01-03 Dorsaf Azouz Ghachem, Aymen Khamassi
ABSTRACT We measure the systemic risk of the Tunisian financial system around the revolution period by the use of covar method and to test its ability to predict the future unemployment rate. Our findings show that public systemic banks kept their ranks before and after revolution. Conversely, private bank classification is partially reversed between the two periods. The top five ranks remain occupied
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How does economic liberalization affect banks’ profits: empirical evidence from the Japanese banking sector? Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-28 Faisal Abbas, Adnan Bashir, Shoaib Ali
ABSTRACT The study applies a GMM framework on the yearly data of Japanese banks ranging from 2001 to 2020 to examine the impact of economic liberalization on the banks' profitability. The results reveal that the relationship between economic liberalization and banks' profitability is positive (negative) for the full sample and commercial (cooperative) banks. The outcomes show that economic liberalization
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Financial structure gap and bank lending-deposit rate spread in Sub-Saharan Africa: a panel analysis Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-22 Kofi Bondzie Afful
ABSTRACT Sub-Saharan Africa (SSA) has one of the highest lending-deposit spreads. This study addresses a research gap by examining whether financial market structure explains the sub-continent’s high spread. The paper develops an original theoretical model. This is subsequently examined empirically. In and of itself, the study finds that financial market structure has no effect on the spread. However
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Realized skewness and momentum Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-21 Seema Rehman, Saqib Sharif, Wali Ullah, Mustansar Hayat
ABSTRACT Extending evidence from extant literature, this study finds the existence of realized skewness and momentum factors in the emerging stock market of Pakistan. Tick-by-tick data of listed firms at Pakistan Stock Exchange (PSX) from 1 July 2008 to 31 August 2018 is used to generate five-minute returns for computing daily estimates of realized moments. Daily measures of realized moments are averaged
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Migration and Foreign Direct Investment in Hungary: a county-based panel data analysis Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-10 Devesh Singh
ABSTRACT This study shows how internal and international migration either it is permanent or temporary migration influences the foreign investors’ interest first in the form of foreign capital inflow, second in the form of agglomeration of foreign investment enterprises, and third in the form of FDI disparity at the county level. Our estimates suggest socio-economic pull factors like GDP per capita
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Trust and Perception of Benefits as the Determinants of Behavior and Intention to Use Internet Banking in Indonesia Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-08 Endang Siti Astuti, Mochammad Al Musadieq, Hamidah Nayati Utami
ABSTRACT This study is to examine the effect of trust on perceptions of ease of use, as well as its impact on attitudes and interests in using internet banking. This research employed a survey method, where samples were selected from a population. This research took place in national banking institution in East Java. The population of this study were individuals who made transactions using internet
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The Asymmetric Effects of Monetary Policy, Currency Crises and Oil Price on Food Inflation in Iran: An Application of Quantile Regression Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-06 Davoud Mahmoudinia
ABSTRACT Since the food component has a large weight in the CPI basket and food inflation plays one of the main roles in determining the headline inflation in Iran, this paper looks at connections between monetary policy, currency crisis, sanction and food price. To examine the dynamics and asymmetric effects of these relationships, we employ quantile regression. Empirically, we show that the coefficients
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Income diversification and firm’s performance of companies listed in Viet nam Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-12-06 Anh Phong Nguyen, Huy Tam Phan, Phu Thanh Ngo, Thi Thanh Tuyen Vu
ABSTRACT This study aims to evaluate the impact of income diversification, structure of ownership and other factors on firm performance in terms of both book and market efficiency, using the data of listed non-financial firms from 2010 to 2019. The HHI index is used as the proxy to measure income diversity while ROA and MVA are used to measure book and market efficiency respectively. The authors apply
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Super growth portfolio – a study of Indian stocks Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-11-24 Rupkatha Das, Parthajit Kayal
Long-term investors aspire to earn extraordinary returns with a minimum risk exposure. This paper examines different strategies and carefully constructs a class of portfolios using constituent stoc...
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Multivariate models for the prediction of stock returns in an emerging market economy: comparison of parametric and non-parametric models Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-11-24 Lumengo Bonga-Bonga, Muteba John Mwamba
This paper compares the forecasting performance of three structural econometric models, namely the non-parametric, ARIMAX and the Kalman filter models, in predicting stock returns in an emerging ma...
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‘Lazy banks’: the case of Egypt Macroeconomics and Finance in Emerging Market Economies Pub Date : 2021-11-10 Gamal Haikal, Islam Abdelbary, Dina Samir
The past decade has witnessed an acute acceleration of government borrowing in Egypt compared to the preceding thirty years. This was accompanied by a structural change toward more reliance on fore...