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Econometric Research in Finance
Number of Followers: 0  

  This is an Open Access Journal Open Access journal
ISSN (Print) 2451-1935 - ISSN (Online) 2451-2370
Published by SGH Warsaw School of Economics Homepage  [1 journal]
  • The Dynamic Linkage between Money Market, Capital Market and Economic
           Growth in Ghana: New Lessons Relearned

    • Authors: Isaac Azubuike Ogbuji, Ekundayo Peter Mesagan, Yasiru Olorunfemi Alimi
      Pages: 59 - 78
      Abstract: This study is a comparative analysis of the effects of money and capital markets on the Ghanaian economy covering the period from 1991 to 2017 using the dynamic Auto Regressive Distributed Lag (ARDL) framework. Empirical results confirmed the existence of a unique and stable long-run relationship between the money market, capital market and economic growth. In respect of money market indicators, findings confirmed that monetary policy and treasury bills rate have had negative but significant impact on growth in the short- and long-run respectively. More so, total liquidity negatively and significantly influenced the Ghanaian economy both in the short- and in the long run. Both market capitalization and total value of stock traded, as proxies of capital market, had positive and significant effects on short-run growth, while both indicators as well as stock market turnover negatively and insignificantly affected long-run growth. This means that capital market exerts a short-run impact on the country's economy, while money market exerts both short- and long-run impacts. The lesson relearned is that the money market propels the Ghanaian economy better than the capital market.
      PubDate: 2020-04-27
      DOI: 10.2478/erfin-2020-0004
      Issue No: Vol. 5, No. 2 (2020)
  • Nutrition Intake, Health Status, Education and Economic Growth: A
           Causality Investigation

    • Authors: Rahman Olanrewaju Raji
      Pages: 79 - 102
      Abstract: This paper examines the causal relationship between nutrition intake, health status, education and economic growth within a six-variate VEC framework, forecast error variance decomposition and impulse response function techniques, covering the period from 1990 to 2013, using quarterly data in Nigeria. This paper includes control variables in order to eliminate variable omission bias, unlike most existing studies. The results suggest the presence of long-run, bicausal relationships between the candidate variables of the study. In addition, the short-run unidirectional causal relationships are found between main variables, including a causal relationship running from nutrition and fiscal policy to education, as well as a causal link running from education and economic growth to health status. These findings support the existing theories. The results based on the model and empirical data suggest that the government should allocate more resources to human development in order to enhance productivity and boost economic growth. Similarly, there is a need to design adequate mechanisms to ensure proper allocation of the limited resources and avoid their embezzlement by corrupt government officials. 
      PubDate: 2020-06-11
      DOI: 10.2478/erfin-2020-0005
      Issue No: Vol. 5, No. 2 (2020)
  • Forecasting the Yield Curve for Poland

    • Authors: Tomasz Piotr Kostyra, Michał Rubaszek
      Pages: 103 - 117
      Abstract: This paper evaluates the accuracy of forecasts for Polish interest rates of various maturities. We apply the traditional autoregressive Diebold-Li framework as well as its extension, in which the dynamics of latent factors are explained with machine learning techniques. Our findings are fourfold. Firstly, they show that all methods have failed to predict the declining trend of interest rates. Secondly, they suggest that the dynamic affine models have not been able to systematically outperform standard univariate time series models. Thirdly, they indicate that the relative performance of the analyzed models has depended on yield maturity and forecast horizon. Finally, they demonstrate that, in comparison to the traditional time series models, machine learning techniques have not systematically improved the accuracy of forecasts.
      PubDate: 2020-09-25
      DOI: 10.2478/erfin-2020-0006
      Issue No: Vol. 5, No. 2 (2020)
  • Analysis of Tax Compliance in Sub-Saharan Africa: Evidence from Firm-Level

    • Authors: Adamu Jibir, Musa Abdu, Tasiu Muhammad
      Pages: 119 - 142
      Abstract: This study analyses tax compliance among firms in Sub-Saharan Africa (SSA) within an extended Slippery Slope Framework (eSSF). It applies instrumental variables and generalized estimating equations models on a constructed World Bank's Enterprise Survey longitudinal dataset. The results indicate that the perceived power of the tax authorities does not influence firms' tax compliance, which could be linked to corruption in the form of informal payment. The results also show that corruption encourages the culture of tax non-compliance among firms in SSA because the defaulting firms bribe tax authorities in order to avoid paying taxes and being punished for that. In addition, the results demonstrate that the perceived trust of tax authorities (state representatives) is vitally important in encouraging tax compliance among firms in SSA. In terms of political decisions, it may be implied that gaining trust of taxpayers should be pursued.
      PubDate: 2020-11-10
      DOI: 10.2478/erfin-2020-0007
      Issue No: Vol. 5, No. 2 (2020)
  • Asymmetric Impacts of Inflation on the US Bond Rates and FED’s
           Pre-Emptive Policy

    • Authors: İsmet Göçer, Serdar Ongan
      Pages: 143 - 157
      Abstract: This study investigates the asymmetric impacts of changes in inflation rates on the US bond rates. This investigation is constructed on the Fisher Equation. To this end, the nonlinear ARDL model is applied. Empirical findings indicate that only the decreases (πt-) in inflation rates affect bond rates. This asymmetric impact therefore shapes the FED’s monetary policy in terms of determining the bond rates at lower cost. When the inflation rate rises, the FED will know (in advance) that they do not need to increase the bond rates. This reminds us the FED’s former pre-emptive strike policy against inflation.
      PubDate: 2020-11-25
      DOI: 10.2478/erfin-2020-0008
      Issue No: Vol. 5, No. 2 (2020)
School of Mathematical and Computer Sciences
Heriot-Watt University
Edinburgh, EH14 4AS, UK
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