Publisher: Vilnius University   (Total: 41 journals)   [Sort by number of followers]

Showing 1 - 41 of 41 Journals sorted alphabetically
Accounting Theory and Practice     Open Access   (Followers: 5)
Acta medica Lituanica     Open Access   (Followers: 1)
Acta Museologica Lithuanica     Open Access  
Acta Orientalia Vilnensia     Open Access   (Followers: 1)
Acta Paedagogica Vilnensia     Open Access   (Followers: 1)
Archaeologia Lituana     Open Access  
Baltic J. of Political Science     Open Access   (Followers: 1)
Baltistica     Open Access  
Bibliotheca Lituana     Open Access  
Criminological Studies     Open Access   (Followers: 2)
Ekonomika (Economics)     Open Access  
Informacijos mokslai     Open Access  
J.ism Research     Open Access   (Followers: 4)
Jaunujų mokslininkų darbai     Open Access   (Followers: 1)
Kalbotyra     Open Access  
Knygotyra (Book Science)     Open Access  
Lietuvių kalba     Open Access   (Followers: 1)
Lietuvos istorijos studijos     Open Access  
Lietuvos Matematikos Rinkinys     Open Access   (Followers: 3)
Lietuvos Statistikos Darbai     Open Access   (Followers: 2)
Literatūra     Open Access  
Lithuanian Surgery : Lietuvos Chirurgija     Open Access  
Nonlinear Analysis : Modelling and Control     Open Access   (Followers: 1)
Organizations and Markets in Emerging Economies     Open Access   (Followers: 4)
Politologija     Open Access  
Problemos     Open Access  
Psychology     Open Access  
Religija ir kultūra     Open Access   (Followers: 4)
Respectus Philologicus     Open Access  
Scandinavistica Vilnensis     Open Access   (Followers: 2)
Semiotika     Open Access   (Followers: 1)
Slavistica Vilnensis     Open Access   (Followers: 1)
Socialinė teorija, empirija, politika ir praktika     Open Access  
Socialiniai tyrimai     Open Access   (Followers: 4)
Sociology : Thought and Action     Open Access   (Followers: 1)
Taikomoji kalbotyra     Open Access   (Followers: 4)
Teisė : Law     Open Access  
Verbum     Open Access  
Vertimo studijos (Translation Studies)     Open Access   (Followers: 1)
Vilnius University Open Series     Open Access   (Followers: 1)
Vilnius University Proceedings     Open Access   (Followers: 2)
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Ekonomika (Economics)
Number of Followers: 0  

  This is an Open Access Journal Open Access journal
ISSN (Print) 2424-6166 - ISSN (Online) 1392-1258
Published by Vilnius University Homepage  [41 journals]
  • The Symmetric and Asymmetric Time-Varying Causality Relationships Between
           the COVID-19 Outbreak and the Stock Exchange: The Case of Selected
           Countries

    • Authors: Cuma Demirtaş Munise Ilıkkan Özgür Esra Soyu
      Abstract: In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.
      PubDate: Thu, 21 Oct 2021 07:49:21 +000
       
  • Poverty Dynamics in Turkey: A Multinomial Logit Model

    • Authors: Senem Çakmak Şahin İbrahim Engin Kılıç
      Abstract: The availability of longitudinal data allows researchers to analyse the dynamics of poverty. By using the Turkish Statistical Institute’s (TurkStat) Income and Living Conditions Survey micro dataset, we analyse the households’ long-term monetary poverty conditions. We categorise poverty as transitory and chronic and employ the multinomial logit method to analyse determinants of each types of poverty. Results indicate that education and household size are the most effective factors for reducing transitory poverty, and for chronic poverty, the most effective factors are having a regular job and having a skilled occupation; insurance, home ownership, and number of children are important determinants for both types of poverty.
      PubDate: Wed, 13 Oct 2021 13:34:18 +000
       
  • Evaluation of Stackelberg Leader-Follower Interaction Between Policymakers
           in Small Open Economies

    • Authors: Metin Tetik Reşat Ceylan
      Abstract: The problem of coordination between policymakers seems to have created fundamental problems related to economic and social costs, targeted inflation, potential growth, and a high budget deficit. To resolve these problems in this framework, it is important to see the results of the interaction between policymakers and to propose an optimal policy strategy. In this study, the interactions between monetary and fiscal policymakers are examined game theoretically within the framework of the New Keynesian model. The strategic interaction between these policymakers is assessed using the DSGE (Dynamic Stochastic General Equilibrium) model for a small open economy. From this point of view, the interaction between policymakers is assessed within the framework of hypothetical scenarios. The optimal monetary and fiscal policies for a small open economy are derived from the leader-follower mechanism solution known as the Stackelberg solution. Optimal Stackelberg policy rules derived for a small open economy contribute to the literature of economics. The performance of the game theoretically derived optimal policy rules is evaluated through dynamic simulation within the framework of counterfactual experiments. The parameters developed for the model are calibrated for the Turkish economy. Dynamic simulation of the models, the impulse response functions, and the social loss analysis shows that the optimal policy mix for the Turkish economy is when the monetary policymaker is the leader, and the fiscal policymaker is the follower.
      PubDate: Fri, 08 Oct 2021 11:04:50 +000
       
  • Estimates Of Russia’s Potential Output

    • Authors: Martin Janíčko Petr Maleček Pavel Janíčko
      Abstract: Taking into consideration the specifics of the Russian economy such as dependency on oil and gas drilling & production, and including the current context of the Western sanctions, COVID-19 pandemic, as well as somewhat idiosyncratic potential output development, the main aim of this paper is to quantify recent output gap for Russia. We use three mainstream methodologies: the Hodrick-Prescott filter as a benchmark, the Kalman filter to follow, and the Cobb-Douglas production function. The sample time span ranges from 1995Q1 until 2020Q3, while all calculations are performed on quarterly frequencies. The analysis suggests that given low fixed investment ratios, limited R&D spending in non-military sectors, and adverse demographic development, under a “no policy change” scenario there might soon be even more downward pressures on the country’s potential output growth, and the economy may continue increasing only at a snail’s pace even after a possible withdrawal of the Western sanctions and the end of the COVID-19 pandemic.
      PubDate: Fri, 08 Oct 2021 10:56:26 +000
       
  • Fiscal Policy as a Solution to Involuntary Unemployment

    • Authors: Yasuhito Tanaka
      Abstract: We show the existence of involuntary unemployment based on consumers’ utility maximization and firms’ profit maximization behavior under monopolistic competition with increasing, decreasing or constant returns to scale technology using a three-periods overlapping generations (OLG) model with a childhood period as well as younger and older periods, and pay-as-you-go pension for the older generation, and we analyze the effects of fiscal policy financed by tax and budget deficit (or seigniorage) to achieve full-employment under a situation with involuntary unemployment. Under constant prices we show the following results. 1) If the realization of full employment will increase consumers’ disposable income, in order to achieve full-employment from a state with involuntary unemployment, we need budget deficit (Proposition 1). 2) If the full-employment state has been achieved, we need balanced budget to maintain full-employment (Proposition 2). We also consider fiscal policy under inflation or deflation. Additionally, we present a game-theoretic interpretation of involuntary unemployment and full-employment. We also argue that if full employment should be achieved in equilibrium, the instability of equilibrium can be considered to be the cause of involuntary unemployment.
      PubDate: Fri, 08 Oct 2021 10:47:53 +000
       
  • Financial Innovation and Technology after COVID-19: a few Directions for
           Policy Makers and Regulators in the View of Old and New Disruptors

    • Authors: Maurizio Pompella Lorenzo Costantino
      Abstract: Innovation and technology have led to the redefinition of business models and development of new ones in many bricks and mortar sectors.  Similarly, blockchain and fintech have impacted the finance and banking industries and are expected to further affect them in the future, leading some media to coin the expression “Uberization of banking”.  The authors extrapolate from sharing economy models to conclude that while blockchain and fintech are poised to advance finance and banking, there are no disruptive features that corroborate the term.  By analogy and successive approximations, this article identifies the limitations of the arguments for disruption in finance and banking.  Besides, hinging upon stylized facts, the article establishes similarities with sharing economy models to identify potential threats stemming from financial innovations such as Tokenomics, tagged as “no-ABSs”.  Eventually, the authors identify entry points and ways forward arising from the COVID-19 pandemic for policy makers and regulators to regain their pivotal role in policing the market and ensuring transparency while driving innovation.
      PubDate: Fri, 08 Oct 2021 10:37:36 +000
       
  • Risky Mortgages and Macroprudential Policy: A Calibrated DSGE Model for
           Lithuania

    • Authors: Jaunius Karmelavičius
      Abstract: Following the financial crisis of 2009 there was an emergence of macroprudential policy tools, as well as a need to model the macroeconomy and the financial sector in a coherent framework. This paper develops and calibrates a small open economy DSGE model for Lithuania to shed some light on the interactions between the macroeconomy and the banking sector, regulated by macroprudential policy. The model features housing market, and endogenous credit risk a la de Walque et al. (2010), whereby the household can default on mortgage repayments, what leads to housing collateral seizure. Foreign-owned banks, that are subject to risk-sensitive macroprudential capital requirements, take into account not only the mortgage default rate but also the cap on loan to value (LTV) ratio when making lending decisions. Using this mechanism, we show that while a more stringent LTV constraint reduced credit demand, it can also lead to an expansion in credit supply via lower credit risk. Therefore, a tightening of LTV requirement should result in only a slight reduction in mortgage lending, coupled with lower interest rate margins. The article compares the impact of the tightening of three macroprudential tools, namely, bank capital requirements, mortgage risk weights and LTV limit. We find that broad-based capital requirements, such as the counter-cyclical capital buffer, are less efficient in leaning against the housing credit cycle, because of a relatively large cost incurred on the firm sector.
      PubDate: Mon, 06 Sep 2021 10:14:15 +000
       
  • Word Portfolio Optimization in the Environment of Zero Interest Rate

    • Authors: Darja Demcenko
      Abstract: This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques.  Statistical moments, such as mean, standard deviation, kurtosis and skewness of portfolios are compared and discussed. Moreover, performance of the portfolios within the time horizon of one year estimating Sharpe ratio, Treynor ratio, Sortino ratio is presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying confidence interval 95%. The main results of this paper reveal that the portfolio, which is optimized to minimize VaR produces high expected shortfall. Secondly, the Risk Parity portfolio, despite reducing volatility, has delivered the highest kurtosis of the return, which may indicate the possible tail loss. Furthermore, the maximum Sharpe ratio portfolio has delivered extremely high kurtosis in comparison with the kurtosis of the other portfolios. Finally, it is observed that for the Naïve diversification portfolio it has been typical to have the highest downside deviation.    
      PubDate: Wed, 09 Jun 2021 08:07:11 +000
       
  • Saving Tendency of Developed and Developing European Countries

    • Authors: Kıvanç Halil Arıç Siok Kun Sek
      Abstract: In the previous literature studies, the saving condition is mainly examined focusing in Developing countries and Asian countries. The examination on the saving condition is crucial due to the linkages between saving accumulation and economic growth. The studies that focused in Developed countries are limited. This study extends the analysis by comparing the saving determination in Developed and Developing European countries and contributes to the literature of saving in two ways. First, the study compares the two panel groups, Developed and Developing European countries, which might reveal how economic development could affect the saving behavior. Second, the study considers the cross-section dependency effect in the panel data analysis by applying the testing (second-generation panel unit-root and cointegration tests) and the estimation approaches (Augmented Mean Group, AMG estimator). The study demonstrates that ignoring the cross-section dependency effect might lead to misleading results. Four determinants of savings are examined (GDP per capita, age dependency ratio on working group, inflation and government expenditure). Our results reveal the existence of cointegration and cross-section dependency in the saving relationship in both panel groups. Comparing the results across panel groups, it is observed that government expenditure is contributes to lower saving in both groups of countries with larger impact in the Developed European countries. On the other hand, GDP contributes to higher saving in both groups of countries. Inflation also leads to higher saving in the Developed group but not in the Developing group.   Age dependency ratio is not influential in the Developed group but might trigger lower saving in the Developing group.
      PubDate: Wed, 09 Jun 2021 05:04:11 +000
       
  • The Impact of Globalization on European Airline Market

    • Authors: Anastasiia Kuz Algirdas Miskinis
      Abstract: Airline industry is very important for modern society as the biggest player in the globalization process by connecting regions, promoting global trade and tourism, facilitating economic and social development. However, here is a lack of research on relationship between globalization and airline industry in Europe. It remains unclear how to measure the impact of globalization on performance of airline companies and industry. The article aims at investigation of the impact of globalization on operational and financial performance of European airlines before pandemics.
      The authors applied a nonexperimental quantitative research design to analyze the relationship between independent globalization variables (level of globalization in Europe, globalization opportunity, globalization threat) and dependent airlines’ operational and financial performance indicators. Research is done using secondary data from annual reports of 19 European airlines members of European Common Aviation Area (ECAA). The panel data analysis was applied for 2007–2017 with multiple regression analysis using STATA. The results show that globalization exerts a significant positive effect on operational performance. On financial performance only revenue per passenger kilometers is positively influenced by globalization. Globalization affects low-cost airlines and full-service airlines performance differently.
      PubDate: Thu, 22 Apr 2021 12:45:57 +000
       
 
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