Novel alternative assets within a transmission mechanism of volatility spillovers: The role of SPACs

This article studies women’s vulnerability to the economic crisis of 2008 through the lens of part-time work in Spain. It posits that part-time work made the female employment position more fragile by acting as a transmission mechanism of traditional gender norms that establish women as secondary workers. This argument is tested through an analysis of Labour Force Survey data from 2007 to 2014 that examines the influence of the employment situation of the household on women’s part-time employment patterns. The results expose the limited take-up of part-time work but also persistent patterns of involuntariness and underemployment corresponding to negative household employment situations, highlighting the constraining role of gender norms borne by the relative position of part-time work in the configuration of employment structures. The article concludes that, during the crisis, part-time work participated in the re-establishment of women as a family dependent and flexible labour supply, increasing their vulnerability.

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Sukuk and monetary policy transmission in Indonesia: the role of asset price and exchange rate channels

Journal of Islamic Accounting and Business Research ◽

10.1108/jiabr-09-2019-0177 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Suriani Suriani ◽

M. Shabri Abd. Majid ◽

Raja Masbar ◽

Nazaruddin A. Wahid ◽

Abdul Ghafar Ismail

Keyword(s):

Monetary Policy ◽

Exchange Rate ◽

Interest Rates ◽

Asset Price ◽

Transmission Mechanism ◽

Monetary Policy Transmission ◽

Content Type ◽

Policy Transmission ◽

Monetary Policy Transmission Mechanism

Purpose The purpose of this study is to empirically analyze the role of sukuk in the monetary policy transmission mechanism through the asset price and exchange rate channels in the Indonesian economy. Design/methodology/approach Using the monthly data from January 2003 to November 2017, this study uses a multivariate vector error correction model causality framework. To examine the role of sukuk in the monetary policy transmission mechanism through the asset price channel, this study uses the variables of consumption, inflation, interest rates, economic growth and the composite stock price index. Meanwhile, to examine the role of sukuk in the monetary policy transmission mechanism through the exchange rate channel, this study used variables of inflation, interest rates, economic growth, foreign investment and exchange rate. Findings This study documented that sukuk has no causal relationship with inflation through asset price and exchange rate channels. Nevertheless, sukuk has a bidirectional causal relationship with economic growth through asset price and exchange rate channels. Sukuk is also documented to have a causal relationship with monetary policy variables of interest rate and stock prices through asset price and exchange rate channels. Finally, a unidirectional causality is recorded running from the exchange rate to sukuk in the exchange rate channel. Research limitations/implications The finding of independence of the sukuk market from interest rates provides evidence that the trading of the sukuk in Indonesia has been in harmony with the Islamic tenets. Practical implications The relevant Indonesian authorities need to enhance both domestic and global sukuk markets as part of efforts to promote the sustainability of Islamic capital market development in Indonesia. Originality/value To the best of the authors’ knowledge, this study is among the first attempts to empirically investigate the role of sukuk in monetary policy transmission through asset price and exchange rate channels in the context of the Indonesian economy.

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The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited

Journal of Business and Economic Statistics ◽

10.1080/07350015.2018.1512865 ◽

2018 ◽

Vol 38 (2) ◽

pp. 410-427 ◽

Cited By ~ 3

Author(s):

Jérôme Lahaye ◽

Christopher Neely

Keyword(s):

Foreign Exchange ◽

Heat Waves ◽

Meteor Shower ◽

Foreign Exchange Markets ◽

Volatility Spillovers ◽

Exchange Markets

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Refinancing, Monetary Policy, and the Credit Cycle

Annual Review of Financial Economics ◽

10.1146/annurev-financial-012720-120430 ◽

2020 ◽

Vol 12 (1) ◽

pp. 67-93 ◽

Cited By ~ 1

Author(s):

Gene Amromin ◽

Neil Bhutta ◽

Benjamin J. Keys

Keyword(s):

Monetary Policy ◽

Policy Implementation ◽

Lessons Learned ◽

Mortgage Market ◽

Transmission Mechanism ◽

Mortgage Markets ◽

Policy Transmission ◽

The Usa ◽

Credit Cycle

We assess the complicated reality of monetary policy transmission through mortgage markets by synthesizing the existing literature on the role of refinancing in policy implementation. After briefly reviewing mortgage market institutions in the USA and documenting refinance activity over time, we summarize the links between refinancing and consumption and describe the frictions impeding the refinancing channel. The review draws heavily on research emerging from the experience of the financial crisis of 2008–2009, as it highlights a combination of market, institutional, and policy-making factors that dulled the transmission mechanism. We conclude with a discussion of potential mortgage market innovations and the applicability of lessons learned to the ongoing stresses induced by the COVID-19 pandemic.

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An investigation of price discovery and volatility spillovers in India’s foreign exchange market

Journal of Economic Studies ◽

10.1108/jes-11-2012-0157 ◽

2015 ◽

Vol 42 (2) ◽

pp. 261-284 ◽

Cited By ~ 23

Author(s):

Sanjay Sehgal ◽

Wasim Ahmad ◽

Florent Deisting

Keyword(s):

Price Discovery ◽

Stock Exchange ◽

Futures Market ◽

Volatility Spillover ◽

Futures Prices ◽

Content Type ◽

Volatility Spillovers ◽

Currency Market ◽

Short Run

Purpose – The purpose of this paper is to examine the price discovery and volatility spillovers in spot and futures prices of four currencies (namely, USD/INR, EURO/INR, GBP/INR and JPY/INR) and between futures prices of both stock exchanges namely, Multi-Commodity Stock Exchange (MCX-SX) and National Stock Exchange (NSE) in India. Design/methodology/approach – The study applies cointegration test of Johansen’s along with VECM to investigate the price discovery. GARCH-BEKK model is used to examine the volatility spillover between spot and futures and between futures prices. The other two models namely, constant conditional correlation and dynamic conditional correlation are used to demonstrate the constant and time-varying correlations. In order to confirm the volatility spillover results, the study also applies test of directional spillovers suggested by Diebold and Yilmaz (2009, 2012). Findings – The results of the study show that there is long-term equilibrium relationship between spot and futures and between futures markets. Between futures and spot prices, futures price appears to lead the spot price in the short-run. Volatility spillover results indicate that the movement of volatility spillover takes place from futures to spot in the short-run while spot to futures found in the long-run. However, the results of between futures markets exhibit the dominance of MCX-SX over NSE in terms of volatility spillovers. By and large, the findings of the study indicate the important role of futures market in price discovery as well as volatility spillovers in India’s currency market. Practical implications – The results highlight the role of futures market in the information transmission process as it appears to assimilate new information quicker than spot market. Hence, policymakers in emerging markets such as India should focus on the development of necessary institutional and fiscal architecture, as well as regulatory reforms, so that the currency market trading platforms can achieve greater liquidity and efficiency. Originality/value – Due to recent development of currency futures market, there is dearth of literature on this subject. With the apparent importance of currency market in recent time, this study attempts to study the efficient behavior of currency market by way of examining the price discovery and volatility spillovers between spot and futures and between futures prices of four currencies traded on two platforms. The study has strong implications for India’s stock market especially at the time when its currency is under great strain owing to the adverse impact of global financial crisis.

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