The role of the expectations channel in the quantitative easing in the Eurozone

2019 ◽  
Vol 46 (2) ◽  
pp. 372-382 ◽  
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Labor Markets ◽  
Stock Prices ◽  
Methodological Approach ◽  
Quantitative Easing ◽  
Data Set ◽  
Content Type ◽  
Economic Productivity ◽  
Financial Variables ◽  
Switching Dynamic

Purpose The purpose of this paper is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity and labor markets across the Eurozone. Design/methodology/approach Using a range of variables, the analysis employed the Markov-switching dynamic regression methodological approach. Findings The findings provided evidence in favor of the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the quantitative easing policy is the expectations channel. Originality/value The novelties of this paper are twofold: it makes use of a wide data set to investigate the effect of economic and financial variables on productivity, labor markets, bond markets and equity markets in the Eurozone; and the analysis focuses on the direct effects of monetary base increases on the Eurozone economy, as well as on Eurozone financial markets.

scholarly journals Expectations and the quantitative easing in Eurozone

2018 ◽  
Vol 7 (1) ◽  
pp. 18
Author(s):  
Nicholas Apergis
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Regression Method ◽  
Quantitative Easing ◽  
Transmission Channel ◽  
Labor Market Conditions ◽  
Economic Productivity ◽  
Switching Dynamic ◽  
The 2008 Financial Crisis ◽  
Primary Transmission

The European economy suffered from both the 2008 financial crisis and the debt sovereign crisis of certain of its members and then experienced a period of quantitative easing (QE) starting in 2015. The goal of this study is to explore the direct and exclusive effects of this rather unconventional monetary policy on financial markets, economic activity, and labor markets across the Eurozone. The analysis employs the Markov-switching dynamic regression method. The findings illustrate the reduction of short- and log-term credit spreads, increased stock prices, improved market expectations, recovered labor market conditions and economic productivity, while the primary transmission channel of the QE policy is the expectations channel.

Stock prices, exchange rate and interest rate: evidence beyond symmetry

2017 ◽  
Vol 9 (1) ◽  
pp. 2-19 ◽  
Author(s):  
Taufeeq Ajaz ◽  
Md Zulquar Nain ◽  
Bandi Kamaiah ◽  
Naresh Kumar Sharma
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Stock Prices ◽  
Asset Price ◽  
Asymmetric Reaction ◽  
Monetary Policies ◽  
Content Type ◽  
Financial Variables ◽  
Distributed Lag ◽  
Indian Context

Purpose This paper aims to examine the dynamic interactions between monetary and financial variables in the Indian context. Design/methodology/approach In this paper, the authors have applied a recently developed asymmetric autoregressive distributed lag (ARDL) model by Shin et al. (2014), for detecting nonlinearities focusing on the long-run and short-run asymmetries among economic variables. Findings The results point toward the presence of asymmetric reaction of stock prices to changes in interest rate and exchange rate in full sample, as well as in pre-crisis. However, no asymmetry was found in the post-crisis period. The results further suggest that tight monetary policies appear to retard the stock prices, more than easy monetary policies that stimulate them. Practical implications The findings of the study can be helpful in understanding the policy transmission mechanism through asset price channel. Originality/value To the best of the authors’ knowledge, this is the first study that examines the interactions between monetary and financial variables in the Indian context in an asymmetric framework. The findings of this study are quite interesting and are different from several existing studies in the literature.

Farm income and output and lending by the farm credit system

2017 ◽  
Vol 77 (1) ◽  
pp. 125-136 ◽  
Author(s):  
Denis Nadolnyak ◽  
Xuan Shen ◽  
Valentina Hartarska
Keyword(s):  
Real Estate ◽  
Financial Markets ◽  
Fixed Effects ◽  
Balance Sheet ◽  
State Level ◽  
Farm Income ◽  
Full Time ◽  
Data Set ◽  
Content Type ◽  
Rural Financial Markets

Purpose The purpose of this paper is to provide evidence of the positive impact of the FCS lending on farm incomes which should be useful to policymakers as they consider reforms and further support for this 100-year-old major agricultural lender. Design/methodology/approach The authors construct a panel for the 1991-2010 period from the FCS financial statements and evaluate how lending by the FCS institutions has affected farm incomes and farm output. The authors use fixed effects estimations and control for credit by other agricultural lenders as well as the stock of capital, prices, and interest rates. Since previous work suggests that rural financial markets are segmented and the FCS serves larger full-time farmers with mostly real-estate backed loans, the authors evaluate the impacts of farm real-estate backed loans and of short-term agricultural loans separately for a shorter period for which the data is available. The authors also perform robustness checks with alternative estimation techniques. Findings The authors found a positive association between credit by the FCS institutions and farm income and output. The magnitude of the estimated impact is larger during the 1990s than in the 2000s. Research limitations/implications The positive link between the FCS institutions’ credit and farm incomes and output supports the notion that the FCS lending was beneficial to farmers. The evidence also supports the segmentation hypothesis of rural financial markets. The financial reports data for 1991-2010 are from the ACAs and FLCAs aggregated on the regional level because there is no clear way to classify FCS lending to a more disaggregate level like the state. The authors also assemble and analyze a state-level data set that contains state-level balance sheet data for the period 1991-2003. Originality/value The authors are not aware of another work that directly links (real estate and non-real estate) credit by FCS institutions to agricultural output and farm incomes.

Impact analysis of US quantitative easing policy on emerging markets

2018 ◽  
Vol 13 (1) ◽  
pp. 185-202 ◽  
Author(s):  
Joung-Yol Lin ◽  
Munkh-Ulzii John Batmunkh ◽  
Massoud Moslehpour ◽  
Chuang-Yuang Lin ◽  
Ka-Man Lei
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Fixed Effects ◽  
Quantitative Easing ◽  
Foreign Exchange Reserves ◽  
Data Set ◽  
Stock Market Returns ◽  
Content Type ◽  
Foreign Capital Inflows ◽  
Watson Statistic

Purpose Since the 2008 financial crisis, the USA has three times implemented quantitative easing (QE) policy. The results of the policy, however, were far below all expectations. Furthermore, it flooded emerging markets (EMs) with low-priced dollars. The purpose of this paper is to investigate the overall and individual impacts of the policy on EMs. Design/methodology/approach This study uses panel data regression model together with the fixed effects model. Also, a unit root test is conducted to check stationary properties of the data, as well as Durbin-Watson statistic to check serial correlation issues in the models. In estimating empirical models, this paper employs macroeconomic data set of stock market returns, exchange rates, lending interest rates, consumer price index, monetary aggregates and foreign exchange reserves from seven diversified emerging economies. The EMs in this study include China, Indonesia, Singapore, Hong Kong, Taiwan, Russia and Brazil. The time period undertaken in this study is from 2008 to 2012. In order to measure impacts of the different stages of the policy, the authors use dummy variables to represent each stage of the policy. Findings The results of the study show that the QE policy has significant impacts on foreign exchange reserves, foreign exchange markets and stock markets of the sample economies. Domestic credit markets, however, appear to be least influenced field by the policy. Finally, the results show that only the first stage of the policy exhibits strong significant impacts, however, leverage of the policy decreases over time. Research limitations/implications Further studies may use different samples, also variables that measure foreign capital inflows such as changes in financial accounts, foreign direct investment and foreign portfolio investment. Originality/value The present study has the following contributions on assessing the impacts of QE policy. First, the overall and individual impacts of the policy are analyzed. Second, in order to establish more valid results, the sample of this study is designed to include several EMs from three continents and diverse regions.

ECB QE and growth may obscure Polish political risk

2015 ◽  
Keyword(s):  
Financial Markets ◽  
Interest Rates ◽  
Federal Reserve ◽  
Economic Recovery ◽  
Coalition Government ◽  
Parliamentary Election ◽  
Quantitative Easing ◽  
Content Type ◽  
Inconclusive Result ◽  
The Us

Significance Having fallen against the resurgent dollar this year, the zloty has lately been strengthening, since the US Federal Reserve surprised financial markets by striking a more dovish stance than expected on both the timing and pace of the anticipated tightening in monetary policy. While the zloty and Polish stocks had suffered because of fears of a rise in US interest rates, local bonds have been underpinned by the ECB's quantitative easing (QE) programme. The effects of QE and a brisker economic recovery may temporarily offset the risk of an inconclusive result in the parliamentary election in October. Impacts Investors have yet to price in the risk of a hung parliament in Poland following October's election. The vote could lead to the formation of a weak and unstable coalition government. The risk of an unstable coalition is particularly high, given the strong likelihood that PO's share of the vote will decline sharply.

scholarly journals Confining value from neural networks

2019 ◽  
Vol 45 (10/11) ◽  
pp. 1433-1457 ◽  
Author(s):  
Ioannis Anagnostopoulos ◽  
Anas Rizeq
Keyword(s):  
Neural Networks ◽  
Firm Value ◽  
Stock Price ◽  
Predictive Accuracy ◽  
Target Identification ◽  
Methodological Approach ◽  
Market Uncertainty ◽  
Content Type ◽  
Financial Variables ◽  
Price Bubbles

Purpose This study provides valuable insights to managers aiming to increase the effectiveness of their diversification and growth portfolios. The purpose of this paper is to examine the value of utilizing a neural networks (NNs) approach using mergers and acquisition (M&A) data confined in the US technology domain. Design/methodology/approach Using data from Bloomberg for the period 2000–2016, the results confirm that an NN approach provides more explanation between financial variables in the model than a traditional regression model where the NN approach of this study is then compared with linear classifier, logistic regression. The empirical results show that NN is a promising method of evaluating M&A takeover targets in terms of their predictive accuracy and adaptability. Findings The findings emphasize the value alternative methodologies provide in high-technology industries in order to achieve the screening and explorative performance objectives, given the technological complexity, market uncertainty and the divergent skill sets required for breakthrough innovations in these sectors. Research limitations/implications NN methods do not provide for a fuller analysis of significance for each of the autonomous variables in the model as traditional regression methods do. The generalization breadth of this study is limited within a specific sector (technology) in a specific country (USA) covering a specific period (2000–2016). Practical implications Investors value firms before investing in them to identify their true stock price; yet, technology firms pose a great valuation challenge to investors and analysts alike as the latest information technology stock price bubbles, Silicon Valley and as the recent stratospheric rise of financial technology companies have also demonstrated. Social implications Numerous studies have shown that M&As are more often than not destroy value rather than create it. More than 50 percent of all M&As lead to a decline in relative total shareholder return after one year. Hence, effective target identification must be built on the foundation of a credible strategy that identifies the most promising market segments for growth, assesses whether organic or acquisitive growth is the best way forward and defines the commercial and financial hurdles for potential deals. Originality/value Technology firm value is directly dependent on growth, consequently most of the value will originate from future customers or products not from current assets that makes it challenging for investors to measure a firm’s beta (risk) where the value of a technology is only known after its commercialization to the market. A differentiated methodological approach used is the use of NNs, machine learning and data mining to predict bankruptcy or takeover targets.

Using Google Trends and Baidu Index to analyze the impacts of disaster events on company stock prices

2019 ◽  
Vol 120 (2) ◽  
pp. 350-365 ◽  
Author(s):  
Ying Liu ◽  
Geng Peng ◽  
Lanyi Hu ◽  
Jichang Dong ◽  
Qingqing Zhang
Keyword(s):  
Financial Markets ◽  
Stock Prices ◽  
Google Trends ◽  
External Information ◽  
Negative Effects ◽  
Content Type ◽  
Company Stock ◽  
Short Period ◽  
Long Time ◽  
International Investors

Purpose With the ascendance of information technology, particularly through the internet, external information sources and their impacts can be readily transferred to influence the performance of financial markets within a short period of time. The purpose of this paper is to investigate how incidents affect stock prices and volatility using vector error correction and autoregressive-generalized auto regressive conditional Heteroskedasticity models, respectively. Design/methodology/approach To characterize the investors’ responses to incidents, the authors introduce indices derived using search volumes from Google Trends and the Baidu Index. Findings The empirical results indicate that an outbreak of disasters can increase volatility temporarily, and exert significant negative effects on stock prices in a relatively long time. In addition, indices derived from different search engines show differentiation, with the Google Trends search index mainly representing international investors and appearing more significant and persistent. Originality/value This study contributes to the existing literature by incorporating open-source data to analyze how catastrophic events affect financial markets and effect persistence.

scholarly journals Determinants of contract renewals in business-to-business relationships

2019 ◽  
Vol 55 (4) ◽  
pp. 473-489
Author(s):  
Sandro Cabral ◽  
Priscila Fernandes Ribeiro ◽  
Sanders Zurdo Romão
Keyword(s):  
Methodological Approach ◽  
Asset Specificity ◽  
Data Set ◽  
Supplier Relationships ◽  
Content Type ◽  
Specific Investments ◽  
Contract Renewal ◽  
B2b Relationships ◽  
Insider Econometrics ◽  
Business To Business

Purpose This paper aims to analyze the underlying factors of contract renewals in business-to-business (B2B) contracts. Design/methodology/approach The authors build a unique data set with 296 contracts signed between a major firm supplying petrochemical goods and its 128 customers between 2013 and 2016. They use Insider Econometrics as their methodological approach. Findings The econometric results suggest that contracts involving higher volume of trade, higher levels of dedicated assets representing seller’s specific investments in each transaction, and contracts comprising more than one product present an increased likelihood of being renewed. Research limitations/implications Although limited to a single organization, this paper contributes to management theories focused on buyer–supplier relationships in which coordination between interdependent parties is required. Practical implications Practitioners engaged in B2B relationships may benefit from the findings to shape their bargaining strategies in contexts of high levels of asset specificity and bilateral dependence. Originality/value This paper contribute to theories related to the strategic negotiation between buyers and suppliers by emphasizing the importance of asset specificity in a nuanced and multifaceted fashion, by highlighting aspects related to resource dependency, and idiosyncratic characteristics on contract renewal.

Factors differentiating the level of crop insurance at Polish farms

2018 ◽  
Vol 78 (2) ◽  
pp. 209-222 ◽  
Author(s):  
Adam Wąs ◽  
Pawel Kobus
Keyword(s):  
General Population ◽  
Risk Aversion ◽  
Crop Insurance ◽  
Methodological Approach ◽  
Expected Utility Theory ◽  
Yield Losses ◽  
Data Set ◽  
Content Type ◽  
Economic Determinants ◽  
Economic Size

Purpose The purpose of this paper is to identify the factors that determine demand for crop insurance in Poland. Design/methodology/approach To examine the determinants of decisions regarding crop insurance, the authors used logistic regression. The base source of data for the analysis was the 2013 FADN sample. The scale of yield losses, the indemnities received and the Arrow-Pratt risk aversion coefficient were examined in a representative sample of farms in consecutive years in the period 2004-2013. Findings Losses are the major determinants of crop insurance uptake. Additionally, it was observed that the economic determinants are in line with the expected utility theory, while contrary to expectations, farmer’s characteristics such as education level, age or even risk aversion did not prove to have any influence on crop insurance uptake. Research limitations/implications The FADN sample is representative as regards the type of farming, economic size of farm and location of the farm. Every farm in the sample represents a specific number of similar farms in the population. However, it must be emphasised that the representativeness of the sample with respect to other determinants, e.g., yield losses in previous years, using crop insurance or the farmers’ age and education has not been verified due to lack of data characterizing the general population with regard to these factors. Practical implications It could be argued that the system of crop insurance subsidies should be targeted to encourage the farmers who previously had not used insurance to join the system. Originality/value The paper presents the analysis of crop insurance uptake in a country with a strongly polarised agriculture. The Polish farm sector consists of 1.4 million farms with sizes ranging from 1 ha to over a few thousands hectares. The research is based on a data set of 5,202 farms which contains data from ten years (2004-2013). The novelty of the methodological approach is that it includes information on the number of farms represented by every farm in the FADN sample in the Horvitz-Thompson estimator in order to achieve results which are valid for the general population of Polish farms.

Readers’ histories as a way of studying and understanding multicultural library communities

2016 ◽  
Vol 65 (8/9) ◽  
pp. 519-534
Author(s):  
Keren Dali
Keyword(s):  
Interpersonal Relationships ◽  
Cultural Practices ◽  
Methodological Approach ◽  
Reading Practices ◽  
Data Set ◽  
Content Type ◽  
Face To Face ◽  
Personal Histories ◽  
Private Context ◽  
Reading Study

Purpose Personal readers’ histories have long had a respected place in reading research. They add a human, personalized dimension to the studies of reading practices, often reported through aggregate findings and generalized conclusions. Moreover, they introduce a private context of readers’ lives, which complements other reading contexts (e.g. historical, socio-economic and cultural) required for an understanding of reading behaviours. The purpose of this paper, based on a selected data set from a larger reading study, is to introduce a gallery of portraits of immigrant readers with the aim to facilitate the library practice with immigrant communities. Design/methodology/approach Qualitative face-to-face intensive interviews with immigrant readers. Findings The knowledge of reading contexts and the opportunity to see readers as individuals rather than anonymous statistics are crucial for librarians who come in contact with multicultural populations. Personal histories can also serve as a step in building interpersonal relationships between librarians and community members. Originality/value The value of the study is in introducing a methodological approach which, through collecting and writing reading histories, allows librarians to gain insight into the cultural practices of multicultural communities and to adjust their work accordingly. This approach can also be used as a prototype for researching other community groups.

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