scholarly journals Oil, the Baltic Dry index, market (il)liquidity and business cycles: evidence from net oil-exporting/oil-importing countries

2019 ◽  
Vol 33 (4) ◽  
pp. 349-416
Author(s):  
Husaini Said ◽  
Evangelos Giouvris
Keyword(s):  
Explanatory Power ◽  
Market Liquidity ◽  
Important Indicator ◽  
Financial Variables ◽  
Predictive Variables ◽  
Future State ◽  
State Of The Economy ◽  
Recent Financial Crisis ◽  
The Baltic ◽  
Baltic Dry Index

AbstractThe recent financial crisis has made (il)liquidity research more significant than ever. Galariotis and Giouvris (Int Rev Financ Anal 38:44–69, 2015) find evidence that market liquidity may contain information for predicting the state of the economy. Similar to (il)liquidity, oil is an important indicator of the future state of the economy (GDP). We consider five predictive variables, namely national/global illiquidity, foreign exchange, Baltic Dry, and oil. Our findings show that (1) global illiquidity provides greater overall explanatory power compared to national illiquidity (even for developed oil exporters: Norway, Canada, and Denmark). (2) Oil is the most important predictive variable for oil exporters (especially for emerging oil exporters suggesting over-reliance), while Baltic Dry appears to be more important for oil importers. (3) FX has extra power over financial variables mainly for emerging oil exporters. Finally, there is a two-way causality between GDP and our predictive variables: (4) For oil exporters, the two-way causality between oil and GDP remains, while for net oil importers, we observe a one-way causality from GDP to oil.

Financial Conditions Index Construction Through WeightedLp-Norm Support Vector Regression

2015 ◽  
Vol 19 (3) ◽  
pp. 397-406 ◽  
Author(s):  
Ya-Fen Ye ◽  
◽  
Yue-Xiang Jiang ◽  
Yuan-Hai Shao ◽  
Chun-Na Li ◽  
...  
Keyword(s):  
Support Vector Regression ◽  
Predictive Power ◽  
Support Vector ◽  
Real Output ◽  
Financial Variables ◽  
Weighted Sum Method ◽  
Financial Conditions ◽  
Future State ◽  
Cointegration Tests ◽  
State Of The Economy

This study proposes weightedLp-norm support vector regression (WLp-SVR) robust against both noise and outliers. UsingLp-norm enables WLp-SVR to select financial variables for creating the financial conditions index (FCI) reliably. We use a weighted sum method to construct a Chinese FCI. We then evaluate our FCI’s ability to forecast real output based on the Granger-causality and Engle-Granger cointegration tests. Regression results show that our FCI has strong predictive power in forecasting real output, indicating that our FCI is a potential leading indicator of the future state of the economy.

scholarly journals A Novel Approach to Evaluate the Effect of Neighboring Trees and the Orientation of Tree Social Area on Stem Radial Increment of Norway Spruce Trees

Forests ◽  
2021 ◽  
Vol 12 (2) ◽  
pp. 163
Author(s):  
Jan Světlík ◽  
Jan Krejza ◽  
Pavel Bednář
Keyword(s):  
Norway Spruce ◽  
Tree Growth ◽  
Growth Models ◽  
Explanatory Power ◽  
Radial Increment ◽  
Important Indicator ◽  
The Czech Republic ◽  
Novel Approach ◽  
Spruce Stands ◽  
Social Area

Tree growth depends on many factors such as microsite conditions, vitality, and variations in climate and genetics. It is generally accepted that higher growth indicates both an economic benefit and better vitality of any tree. Here we use a modified approach of evaluating tree social area to study mutual tree competition based on the orientation and shape of trees social area. The investigation was performed in nine Norway spruce stands in the Czech Republic. The objective of this study performed from 2008 to 2012 was to quantify relative tree radial increments with respect to the lowest and highest competition found in specific sectors of tree social area (AS). Specific groups of trees (tree classes) were evaluated according to their classes (dominant, co-dominant and sub-dominant) and their composition status in ninety-degree sectors of AS using established classifying rules. The results showed that a spatially-available area (AA) is an inappropriate parameter for predicting tree growth, whereas AS provided robust explanatory power to predict relative radial growth. Tree size was observed as an important indicator of relative radial increments. A significantly positive correlation was found for a radial increment of sub-dominant trees with the lowest competition from western directions; whereas a negative correlation was observed when the lowest competition was observed from eastern directions. For dominant trees, there was an evident growth reaction only when more than 50% of the AS was oriented towards one of the cardinal points. Individual differences in the orientation of tree AS may be important parameters with regard to competition and its spatial variability within an area surrounding a particular tree and deserve more detailed attention in tree growth models and practice.

scholarly journals Does the Baltic Dry Index predict economic activity in South Africa? A review from 1985 to 2016

2018 ◽  
Vol 21 (1) ◽  
Author(s):  
Kurt Sartorius ◽  
Benn Sartorius ◽  
Dino Zuccollo
Keyword(s):  
South Africa ◽  
Economic Activity ◽  
Research Question ◽  
Share Price ◽  
Series Data ◽  
Published Data ◽  
Data Set ◽  
Wide Range ◽  
The Baltic ◽  
Baltic Dry Index

Background: The ability of the Baltic Dry Index to predict economic activity has been evaluated in a number of developed and developing countries. Aim: Firstly, the article determines the primary factors driving the dynamics of the Baltic Dry Index (BDI) and, secondly, whether the BDI can predict future share price reactions on the Johannesburg Stock Exchange All Share Index (JSE ALSI), South Africa. Setting: This article investigates the dynamics and predictive properties of the BDI in South Africa between 1985 and 2016. Methods: The article uses a review of a wide range of published data and two time-series data sets to adopt a mixed methods approach. An inductive contents analysis is used to answer the first research question and a combination of a unit root test, correlation analysis and a Granger causality model is employed to test the second research question. Results: The results show that the BDI price is primarily driven by four underlying constructs that include the supply and demand for dry bulk shipping, as well as risk, cost and logistics management factors. Secondly, the results indicate a break in the BDI data set in July 2008 that influences a fundamental change in its relationship with the JSE ALSI index. In the pre-break period (1985 to 2008), the BDI is positively correlated with the ALSI (0.837, α = 0.05) before sharply diverging in the second period from August 2008 to 2016. In the first period, the BDI showed an optimal lag period of 6 months as a predictor of the ALSI index, but this predictive ability ceases after July 2008. The article makes a two-part contribution. Firstly, it demonstrates that the BDI is a useful predictor of future economic activity in an African developing country. Secondly, the BDI can be incorporated in government and industry sector planning models as a variable to assess future gross domestic product trends. Conclusion: The study confirms that the BDI is only a reliable indicator of future economic activity when the supply of shipping capacity is well matched with the demand.

scholarly journals Interest rate sensitivity of spanish companies. An extension of the Fama-French five-factor model

2018 ◽  
Vol 68 (4) ◽  
pp. 617-638 ◽  
Author(s):  
Francisco Jareño ◽  
María de la O González ◽  
Marta Tolentino ◽  
Sara Rodríguez
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Factor Model ◽  
Five Factor Model ◽  
Explanatory Power ◽  
Rate Sensitivity ◽  
Share Prices ◽  
Explanatory Variables ◽  
Fama And French ◽  
Recent Financial Crisis

This paper studies the sensitivity of share prices of Spanish companies included in the IBEX-35 to changes in different explanatory variables, such as market returns, interest rates and factors proposed by Fama and French (1993, 2015) between 2000 and 2016. In addition, for robustness, this paper analyses whether the sensitivity of stock returns is different between two periods: precrisis and recent financial crisis. The results confirm that, in general, all the considered factors are relevant. Furthermore, “market return” and “size” factors show greater explanatory power, together with the “value” factor in the crisis period. Regarding the analysis at sector level, “Oil and Energy”, “Basic Materials, Industry and Construction” and “Financial and Real Estate Services” sectors appear to be highly sensitive to changes in the risk factors included in the asset pricing factor model.

scholarly journals THE ROLE OF THE FOREIGN BANKS IN THE 5 EU MEMBER STATES / UŽSIENIO BANKŲ VAIDMENS 5 EUROPOS SĄJUNGOS VALSTYBĖSE TYRIMAS

2012 ◽  
Vol 13 (1) ◽  
pp. 189-206 ◽  
Author(s):  
Mejra Festić
Keyword(s):  
Capital Adequacy ◽  
Foreign Banks ◽  
Risk Exposure ◽  
Baltic States ◽  
Eu Member States ◽  
Recent Financial Crisis ◽  
Domestic Banks ◽  
The Baltic ◽  
Derivative Products

The article tests if foreign banks have lowered their market share in the Baltic States, Romania and Bulgaria during the recent financial crisis after 2007, due to the perception of risk exposure in local markets. It has been proved that, the credit supply by foreign banks in the Baltic States, Romania and Bulgaria has remained relatively stable during the latest crisis by TSLS method. Foreign ownership generally utilizes derivative products more than domestic banks in the NMSs because they have more expertise in hedging and can diversify risks effectively with their larger parent banks in their home country. The reaction of foreign banks abroad depends on the capital adequacy of the parent bank and the business opportunities in the host economies. Santrauka Straipsnyje analizuojamas užsienio bankų vaidmuo penkiose Europos Sąjungai priklausančiose valstybėse – Baltijos šalyse, Rumunijoje ir Bulgarijoje. Autorius tyrimui pasirinko užsienio bankų užimamos rinkos dalies vertinimą ir ekonomikos krizės poveikio nustatymą šių bankų veiklos rodikliams bei rinkos daliai. Gauti rezultatai parodė, kad kreditų pasiūla, teikiama užsienio bankų Baltijos šalyse, Rumunijoje ir Bulgarijoje, išliko palyginti stabili. Tai galima susieti su tuo, kad užsienio bankai taiko ir naudoja išvestinius produktus, motyvuodami tuo, jog turi daugiau patirties ir gali diversifikuoti riziką, efektyviai naudodami juos remiančių savos šalies („motininių“) bankų finansinius išteklius. Tyrimas taip pat parodė, kad užsienio bankų reakcija į rinkos pasikeitimus vienoje ar kitoje valstybėje tiesiogiai priklauso nuo „motininio“ banko kapitalo pakankamumo ir ekonominių verslo sąlygų toje šalyje.

Cyclical comovements of the world equity indexes

2016 ◽  
Vol 42 (5) ◽  
pp. 472-495
Author(s):  
Haigang Zhou
Keyword(s):  
Financial Integration ◽  
Explanatory Power ◽  
Trade Openness ◽  
Stock Index ◽  
Content Type ◽  
Financial Variables ◽  
The World ◽  
Development Levels ◽  
Synchronization Structure ◽  
Equity Index

Purpose – The purpose of this paper is to study synchronization in stock index cycles across 82 countries and the linkage between macroeconomic and financial integration and stock market synchronization. Design/methodology/approach – The author document the synchronization structure of the world equity index cycles and its evolution over time. The author examine the explanatory power of various economic and financial variables on cycle comovements. Findings – Trade openness, capital openness, and an EU membership contribute to higher stock index cycle synchronization. Additionally, the macroeconomic and financial variables have asymmetric impacts on countries of different development levels. Originality/value – The author is the first to thoroughly chronicle the turning points, i.e., bear and bull regimes, of world equity indexes and empirically examine determinants of their cyclical comovement across nations.

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