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Eurasian Economic Review
Journal Prestige (SJR): 0.449

Citation Impact (citeScore): 1
Number of Followers: 1

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ISSN (Print) 1309-422X - ISSN (Online) 2147-429X
Published by Springer-Verlag

[2469 journals]

Testing for asymmetric non-linear short- and long-run relationships
between crypto-currencies and stock markets
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  Abstract: Abstract Using the NARDL model for the period of pandemic COVID19, we examined the asymmetric relationship between six crypto-currencies (Bitcoin, Litecoin, Bitcoin gold, Dash, Maker, and Ehereum) and seven stock market prices (S&P500, CAC40, DAX30, NIKKEI, FTSE, FTSEMIB, and SPTSX) accounting for the effects of Gold and WTI prices. In the long run, our results revealed, in most cases, a positive asymmetric relationship between digital and financial assets, suggesting a weak safe haven role for crypto-currencies. The oil price (WTI) was also found to act as a diversifier. However, for, the results revealed, in most cases, a negative asymmetric relationship between the yellow metal and the different stock prices, suggesting that gold can act as a good hedging instrument or a safe haven against stock prices in the long run. On the other hand, in the short run, the results indicate that only Bitcoin, Litecoin, and Maker have an asymmetric effect on the chosen stock prices but the effect is positive in most cases. Moreover, gold can act as a hedge/safe-haven asset in the short run. Finally, while examining the dynamic response of stock prices to the negative and positive shocks of crypto-currencies, we concluded that the majority of stock prices respond more to the negative shocks of crypto-currencies than to the positive ones.
  PubDate: 2022-04-08
Cross-time-frequency analysis of volatility linkages in global currency
markets: an extended framework
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  Abstract: Abstract This research aims to detect cross-border volatility linkages among various currencies within the foreign exchange market with respect to different sampling frequencies. Eleven currency pairs are included in the sample, which covers a period from 2009 to 2020. Volatility linkages among these selected exchange rates were tested by utilizing a multivariate VAR-BEKK-GARCH model. Results indicate that volatility linkages among currencies sampled are far stronger in higher frequency terms. Strikingly, the results denote that the major currencies do not play a strong leading role in volatility transmission. This finding is more apparent when daily and intraday results are compared.
  PubDate: 2022-04-04
Systemic risk and the financial network system: an experimental
investigation
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  Abstract: Abstract This paper investigates the economic agent behavior when managing a bank in order to avoid a failure when exposed with the financial systemic risk using a lab experiment. We use Chen et al.’s (Oper Res 64:1089–1108, 2016) model to construct the decision problem in the experiment. The model assumes that the systemic risk occurs through two channels: the liquidity channel and the network channel. The former occurs from the external investment shock which is endogenous in the balance sheet. The latter is a function of other banks’ clearing repayment; which is also caused by the external investment shock. Given these, there are two intuitive optimal strategies in order to avoid a failure: imposing a higher external investment interest than that of its risk and avoiding the financial interactions with the high-risky banks. We use students and bankers as our subjects to check the validity of Chen et al.’s optimal strategy given their respective background. Our results show that both students and bankers partially follow Chen et al.’s intuitive optimal strategy: the first strategy. Only the student group is found to follow the second optimal intuitive strategy of Chen et al. In addition, both subject groups have a different behavior in order to avoid the failure.
  PubDate: 2022-03-31
Volatility dependent smooth transitions and abrupt switches: why they are
needed for better forecasting the FX rates
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  Abstract: Abstract Exchange rate prediction is a problematic area. There still does not exist a structural exchange rate model that can consistently predict future exchange rates better than a driftless random walk model. This paper draws attention to two important points regarding this problem. First of all, many structural exchange rate models inherently depend on the uncovered interest parity (UIP) rule. However, empirical evidence almost universally rejects UIP. Therefore, this paper firstly questions whether it would be possible to improve the predictions of UIP by converting it into a nonlinear form since the workhorse UIP specification has traditionally been linear. Secondly, this paper also discusses that a nonlinear transformation is indeed a necessity given that exchange rates typically follow meandering time paths. Inspired by a Bank for International Settlements (BIS) report, UIP model is estimated by volatility-dependent Threshold autoregression (TAR) and Smooth transition regression (STR) specifications using a dataset on two popular carry trade currencies against the US dollar and the Japanese yen. Estimations clearly favor TAR and STR over a linear specification. Although random walk model remains as the champion, results are still indicative of the usefulness of a volatility-dependent regime switching framework for improving the prediction performances of various other structural models that are dependent on UIP.
  PubDate: 2022-03-29
FDI propensity and geo-cultural interaction in former Yugoslavia: pairwise
analysis of origin and destination countries
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  Abstract: Abstract This research examines FDI location choice across the successor states of Yugoslavia roughly 25 years after dissolution. Based upon 12,245 pairwise observations from 2005 to 2016, the paper employs logit models to estimate empirically the impact of geographic distance, cultural similarity, and geo-cultural interaction on FDI propensity. The contributions are twofold. First, while geographic distance and culture similarity are typically modeled as independent FDI determinants, their interaction is also examined here. Second, the paper contributes to the sparse scholarship on FDI in this complex European region, using binary-choice models to highlight its linkages to the global economy. The findings suggest that—in addition to mainstream economic, regulatory, and political factors—a tradeoff exists between distance and culture in attracting FDI. Host governments seeking FDI that promotes economic growth might increase the likelihood of FDI by targeting geographically-proximate partners that are culturally similar. The role of geographic distance in reducing FDI propensity gives way to other enabling variables beyond the distance of 1800 km.
  PubDate: 2022-03-09
Cultural values and the global financial crisis: a missing link'
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  Abstract: Abstract We empirically investigate the role of cultural values on the occurrence of the global financial crisis. We use data based on Hofstede (Culture’s consequences: comparing values, behaviors, institutions and organizations across nations, 2001) cultural values indexes and employ two econometric approaches, the self-organizing maps and logit, in a panel set of 38 developed and developing countries. We find that culture has a statistically and economically significant effect on the occurrence of the global financial crisis of 2007–2009. The relationship between cultural factors and the crisis occurrence remains strong when we consider control variables representing different sectors of the economy.
  PubDate: 2022-03-01
  DOI: 10.1007/s40822-022-00208-6
Dynamic effects of network exposure on equity markets
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  Abstract: Abstract We investigate the contribution of network exposure to both shock transmission and absorption. Our data sample comprises 45 economies for the period 1998–2018 to which we apply spatial econometric estimation technique. Our empirical findings show that both network intensity and interconnectedness in the financial system have impact on increasing network exposure. We also demonstrate how to estimate network intensity in the financial system. Our results indicate that an increased network intensity parameter is associated to period when the financial system is under stress. The results show high exposure of the financial system to vulnerabilities. The results suggest the changing market conditions increase the exposures to the financial system. Thus, effective ways to monitor the financial system should be implemented by the policy makers to reduce the chances of financial instabilities.
  PubDate: 2022-02-28
  DOI: 10.1007/s40822-022-00210-y
Employment effects of immigration to Germany in the period of migration
policy liberalization, 2005–2018
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  Abstract: Abstract Germany has undergone a significant migration policy shift since the early 2000s. This paper examines the total employment effect of immigration during the liberalization of migration policies from 2005 to 2018 using a regional approach. A set of methods, along with static and dynamic macro-econometric models, were applied on a balanced panel formed by a unique and first-hand-collected data for 156 statistical regions based on the definition of the German Federal Employment Agency. We find suggestive evidence that there has been a significant adverse impact of new immigrants on the overall employment rate, and this negative effect is substantially larger than those reported in previous studies on the employment effect of immigration in the German labor market. In a further step, we divide our sample into two subsamples to capture the employment effect of the massive humanitarian inflows that began in 2015. Our results indicate that, in addition to the new immigrants' lower rate of integration into the local labor markets, a sudden influx of asylum seekers may possibly lead to a substantial fall in the employment rates, because asylum seekers are not immediately allowed to work in the country.
  PubDate: 2022-02-22
  DOI: 10.1007/s40822-022-00199-4
On the role of Islamic banks in the monetary policy transmission in Saudi
Arabia
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  Abstract: Abstract Even though a significant strand of the literature has examined the transmission mechanisms of monetary policy in a conventional framework, very little research has directly addressed the role of Islamic banks in this transmission. Using a TVP-VAR model with stochastic volatilities, this paper attempts to fill this gap in the literature by examining the monetary policy transmission in Saudi Arabia, as well as the role of Islamic banks in this transmission over a period of approximately 25 years. Although Islamic banking is, in theory, different from conventional banking, our results provide robust evidence of the dependence of Islamic banking activity on oil revenues, and suggest that, in practice, there are few differences between the Islamic banks’ modus operandi and the methods used by conventional banks. However, the results do not provide clear evidence that Islamic banks are more stabilizing than conventional banks, even though the sensitivity of the non-oil economic activity to Islamic bank financing seems to be relatively less volatile than its sensitivity to conventional bank credits.
  PubDate: 2022-02-18
  DOI: 10.1007/s40822-022-00200-0
Proposed model of integrated Islamic commercial and social finance for
Islamic bank in Indonesia
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  Abstract: Abstract Islamic finance essentially comprises of Islamic commercial finance (ICF) and Islamic social finance (ISF). This study aims to propose models of integrated Islamic commercial and social finance (IICSF) for Islamic bank in Indonesia using Delphi and Analytic Network Process (ANP) methods. The results propose six IICSF models for Islamic bank, and the IICSF Islamic bank should be prioritized on ICF (0.679) twice more than on ISF (0.321). The best model is Separate Baitul Maal model with integrated activities (0.221), where Islamic bank establishes separate Baitul Maal, as Amil of zakat and Nazir of waqf, to carry out all Islamic social finance activities, including zakat, infaq, waqf and other sadaqa, while the Islamic bank acts as corresponding/receiving bank of the Baitul Maal funds. The close second-best model is Corporate model with integrated activities (0.218), a corporate model, where in the corporate level zakat institution and waqf institution are established to manage Islamic social finance activities, while the Islamic bank will serve as corresponding/receiving bank of the zakat institution and the waqf institution. Even Integrated Baitul Maal model (0.162) is the ideal IICSF model for Islamic bank, it only ranked third, since this model is not yet applicable, since Islamic bank is still not allowed to become Amil of zakat and Nazir of waqf.
  PubDate: 2022-02-16
  DOI: 10.1007/s40822-022-00201-z
How do the global equity and bond markets affect Islamic and conventional
banks' A comparative cross-country analysis using multivariate
regression quantiles
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  Abstract: Abstract Using the multivariate quantile autoregression technique, we examine how equity returns of Islamic and conventional banks are affected by shocks to major financial indices such as the DJUSI index, the MSCI World Index, the VIX index and the United States 10-years Treasury bond interest rate. We compare the stability of the two banking systems to financial risk spillovers at the global and regional levels based on data from 16 countries for the period after the 2008 crisis. The empirical findings suggest that Islamic banks’ equities have weaker codependency with major equity markets than conventional banks at the global level while Islamic banks’ codependency with the 10-years US Treasury bond rate tends to be stronger than conventional banks indicating the sensitivity of Islamic banks to global interest rates. The empirical results also reveal that there does not seem to be any significant difference between stock price reactions of Islamic and conventional banks both at the regional and global levels in response to shocks to major financial indices. Regarding regional comparison of Islamic banks only, we find that Islamic bank performance does not vary much across heterogeneous geographic regions.
  PubDate: 2022-02-14
  DOI: 10.1007/s40822-022-00198-5
Depicting ethical dilemma in Islamic financial institutions; addressing
the gender heterogeneity
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  Abstract: Abstract Though the lex loci applicable to Islamic financial institutions (IFIs) are derived from Shariah that embeds ethical and moral values, IFIs still face ethical dilemma. Since the leadership and managerial roles are played by both genders, it is imperative to understand the implication of their contribution in this. As such, the objective of this paper is to examine the influence of gender using the aspects of al-Ghazali’s ethical philosophy in explaining the formation of ethical and unethical behavior within the purview of the Islamic finance industry of Malaysia, where both genders play a pivotal role in the industry. A total of 418 samples were collected from IFIs in Malaysia using a purposive sampling technique, and the empirical analysis was conducted with the measures of model fit and bootstrapping technique using Partial least square Structural equation modeling and Multi-group analysis. The empirical findings indicate the dedicated use of intellect in making decisions related to ethical issues where desires and emotions tend to overwhelm reason and human choices. While divine knowledge is found ineffective guidance of the intellect, the element of satanic force is found to significantly impacting decision-making. As the lack of religious consciousness is evident among respondents, higher exposure to operational risk is expected. These findings were found identical among both genders under study. Findings suggest respective authorities of Islamic financial institutions to intensify the capacity-building programs on the foundation of faith which includes Islamic thought and worldview, to enhance the corporate ethical decision-making irrespective of gender.
  PubDate: 2022-02-11
  DOI: 10.1007/s40822-021-00196-z
The links between gold, oil prices and Islamic stock markets in a regime
switching environment
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  Abstract: Abstract This paper investigates the linkages between gold, oil prices and Islamic stock market for the turbulent period 1996–2020 which covers the recent COVID-19 pandemic crisis. The paper applies standard VAR and Markov switching VAR models. Empirical results can be summarized as follows: (i) There are some significant relationships between the considered markets. (ii) The sign of the links varies significantly according to markets and regimes. (iii) There is a significant and positive link between oil and Islamic stock markets namely during turbulent periods suggesting the financialization of the crude oil market. (iv) The negative or the absence of relationships between gold market and both oil and Islamic stock markets indicate that gold can act as a hedge and safe haven during extreme market conditions. These findings have several practical implications for risk-management and portfolio diversification strategies.
  PubDate: 2022-02-09
  DOI: 10.1007/s40822-022-00202-y
Forecasting performance of Bayesian VEC-MSF models for financial data in
the presence of long-run relationships
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  Abstract: Abstract The paper is focused on comparing the forecasting performance of two relatively new types of Vector Error Correction - Multiplicative Stochastic Factor (VEC-MSF) specifications: VEC-MSF with constant conditional correlations, and VEC-MSF-SBEKK with time-varying conditional correlations. For the sake of comparison, random walks, vector autoregressions (VAR) with constant conditional covariance matrix, and VAR-SBEKK models are also considered. Based on daily quotations on three exchange rates: PLN/EUR, PLN/USD, and EUR/USD, where the cointegrating vector may be assumed to be known a priori, we show that in econometric models it can be more important to allow for cointegration relationships than for time-varying conditional covariance matrix.
  PubDate: 2022-02-09
  DOI: 10.1007/s40822-022-00203-x
Market discipline and capital buffers in Islamic and conventional banks in
the MENA region
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  Abstract: Abstract This paper examines the effectiveness of market discipline in motivating banks to mitigate their default risk by using capital buffers against adverse effects in portfolio risk. Using a large sample of 126 banks from 9 MENA countries from 2009 to 2014, we study whether support, funding, and risk disclosure motivate banks to hold larger capital buffers to cover potential portfolio risk or not; and whether it affects differently Islamic and conventional banking sectors. Our paper findings provide evidence of the contradictory effects of these factors on Islamic banks compared to conventional banks. While government support results in higher capital buffers, stronger market discipline resulting from uninsured liabilities and disclosure results in larger capital buffers. Most factors look effective only for the conventional banking industry and ineffective for the Islamic banking industry due to its risk-sharing characteristic. Our paper findings provide evidence of the effectiveness of market discipline mechanisms, especially for the conventional banking industry. Moreover, high government support reinforces the disclosure and uninsured funding effects, especially for conventional banks. Finally, competition minimizes bank’s risk incentives.
  PubDate: 2022-01-29
  DOI: 10.1007/s40822-021-00195-0
The value of political connections and Sharia compliance during the
COVID-19 pandemic
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  Abstract: Abstract The relationship between the COVID-19 pandemic and the stock market has been well documented in other studies. However, thus far, researchers have shown little interest in the role of political connections and Sharia compliance during the pandemic. This study offers novel evidence by investigating the value of both political connections and Sharia compliance during the present pandemic. We use two kinds of analysis. First, using the event-study methodology, we measure the stock market reaction to the COVID-19 pandemic. Second, to further sharpen our identification of the value of political connections and Sharia compliance during the current pandemic, we use a pooled regression analysis. We find that there was a stock market anomaly during the COVID-19 pandemic in Indonesia in that the pandemic had a positive impact on the stock market. We also find that there was value for firms in being Sharia-compliant during the pandemic when the government announced tax incentives for firms. Based on these results, we offer insights relevant to policymakers and financial market authorities seeking to enhance the effectiveness of policy measures during the COVID-19 pandemic. In addition, our study also has important implications for individual investors.
  PubDate: 2022-01-18
  DOI: 10.1007/s40822-021-00197-y
Regional employment support programs and multidimensional poverty of youth
in Turkey
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  Abstract: Abstract Poverty rates amongst youth are high even in the most developed countries in the world. The aim of alleviating poverty in many nations, therefore, remains a significant issue. To comprehend the risks posed by poverty, its dimension and the process by which it can become deeper must be identified and recognized. A broad consensus among policy makers, academic and other institutions is that poverty can be a mixture of various monetary and non-monetary components. These components can limit people’s capacity to achieve their ability and affect their well-being. Therefore, the socio-economic growth of a family and the increase in welfare of a country should be defined in the combination of both monetary and non-monetary aspects. In this study, we aim to estimate the Multidimensional Poverty Index (MPI) for the young and the general population in Turkey over the period 2006–2015. The results of the study show a significant reduction in youth poverty, especially in the Eastern part of the country in the period we explore. The second aim is to evaluate the effect of the 2012 Regional Investment Incentive Scheme on the MPI of the youth population. The findings suggest that the Regional Investment Incentive Scheme had a positive impact on the poverty level in the Eastern part of Turkey, which is the major region of the policy’s interest.
  PubDate: 2021-12-01
  DOI: 10.1007/s40822-021-00169-2
Correction to: Joint estimation of intertemporal labor and consumption
decisions: evidence from Spanish households headed by working men
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  PubDate: 2021-09-03
  DOI: 10.1007/s40822-021-00190-5
Financial connectedness of GCC emerging stock markets
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  Abstract: Abstract This paper investigates the financial interrelatedness via mean and volatility spillovers across stock markets for the Gulf Cooperation Council countries (Bahrain, Kuwait, Qatar, Oman, Saudi Arabia, and the United Arab Emirates) during the period 2008–2019 utilizing both the spillover index and the multivariate DECO-GARCH model. The results suggest that the average return equicorrelation among GCC stock markets is positive, even though it is found to be very time-varying with specific periods, which impair the benefits of GCC portfolio diversification. Besides, our spillover analysis findings provide several straightforward insights into both the level and the dynamics of stock market integration in the GCC countries over the past 10 years. Our results report significant heterogeneity among GCC stock markets in the degree of spillovers over time, strengthening our understanding of the economic channels through which GCC equity markets are correlated.
  PubDate: 2021-08-17
  DOI: 10.1007/s40822-021-00185-2
Trade credit, trade income elasticity and the international transmission
of shocks
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  Abstract: Abstract The paper examines the impact of trade credit on cyclical fluctuations in international trade. It provides new empirical evidence based on firm-level UK and Irish data showing that exporters use trade credit more actively and intensively than non-exporters. The study introduces inter-firm lending into an open economy general equilibrium model with heterogeneous firms and endogenous entry into the exports market. It demonstrates that trade credit amplifies the impact of macroeconomic shocks on international trade both along the intensive and extensive margins and that it significantly contributes to the high trade income elasticity observed in the data.
  PubDate: 2021-07-27
  DOI: 10.1007/s40822-021-00178-1