scholarly journals Bad or good neighbours: a spatial financial contagion study

2020 ◽  
Vol 37 (4) ◽  
pp. 753-776
Author(s):  
Matteo Foglia ◽  
Alessandra Ortolano ◽  
Elisa Di Febo ◽  
Eliana Angelini
Keyword(s):  
Spatial Dimension ◽  
Credit Spread ◽  
Credit Spreads ◽  
Financial Contagion ◽  
Content Type ◽  
Long Run ◽  
Credit Default ◽  
Short And Long Term ◽  
Dynamic Spatial Durbin Model

Purpose The purpose of this paper is to study the evolution of financial contagion between Eurozone banks, observing the credit default swaps (CDSs) market during the period 2009–2017. Design/methodology/approach The authors use a dynamic spatial Durbin model that enables to explore the direct and indirect effects over the short and long run and the transmission channels of the contagion. Findings The results show how contagion emerges through physical and financial market links between banks. This finding implies that a bank can fail because people expect other related financial institutions to fail as well (self-fulfilling crisis). The study provides statistically significant evidence of the presence of credit risk spillovers in CDS markets. The findings show that equity market dynamics of “neighbouring” banks are important factors in risk transmission. Originality/value The research provides a new contribution to the analysis of EZ banking risk contagion, studying CDS spread determinants both under a temporal and spatial dimension. Considering the cross-dependence of credit spreads, the study allowed to verify the non-linearity between the probability of default of a debtor and the observed credit spreads (credit spread puzzle). The authors provide information on the transmission mechanism of contagion and, on the effects among the largest banks. In fact, through the study of short- and long-term impacts, direct and indirect, the paper classify banks of systemic importance according to their effect on the financial system.

Benefits of international portfolio diversification

2014 ◽  
Vol 7 (4) ◽  
pp. 457-472 ◽  
Author(s):  
S. Jamaledin Mohseni Zonouzi ◽  
Gholamreza Mansourfar ◽  
Fateme Bagherzadeh Azar
Keyword(s):  
Middle Eastern ◽  
Equity Returns ◽  
Content Type ◽  
International Portfolio Diversification ◽  
Long Run ◽  
Ardl Approach ◽  
International Portfolio ◽  
Short Run ◽  
Short And Long Term

Purpose – This paper aims to investigate opportunities of the short- and long-run international portfolio diversification (IPD) benefits by investing in the Middle Eastern oil-producing countries. Over the past decades, IPD has been the integral feature of global capital markets. Several potential benefits like increasing returns and/or reducing risk have made investors to internationalize their portfolios. Solnik’s theory (1974) approved that gains can be achieved through IPD if returns in the different markets are not perfectly correlated. This may attribute to low correlations of equity returns among different economies. In this regards, there would be a large potential of diversification benefits for investors that diversify into new emerging group of economies such as equity markets of the main oil-producing countries. These markets are often segmented and they may ensure a superior return rate for a given risk level. Design/methodology/approach – In most of the previous studies, Pearson’s correlation test is used to analyze the short-run relationship of market prices. However, recent empirical studies indicate that correlations between equity returns vary over the time. To examine the time-varying conditional correlation, this paper used the dynamic conditional correlation (DCC) model to investigate opportunities of the short-run IPD benefits. In addition, for the long-run linkage analysis, the autoregressive distributed lag (ADRL) approach introduced by Pesaran et al. (2001) is applied. Findings – It is found that, the market returns of the sampled countries are not definitely correlated in the short- and long-term. So, international portfolio investors may get the short- and long-term diversification benefits by diversifying their portfolios among the Middle Eastern equity markets, namely, Iran, Bahrain, Qatar, Kuwait, Oman, Saudi Arabia and UAE. Originality/value – This paper departs from earlier studies by focusing on the dynamic characteristics of correlation. Two main issues are pursued in this paper. First, instead of modeling the correlation by methods like Pearson correlation coefficient that consider the constant-correlation assumption, this paper directly uses the DCC model. Second, to empirically estimate the long-run relationship among stock markets in the Middle Eastern oil-producing countries, the ARDL approach is utilized. The ARDL approach is more robust and performs well for small sample sizes than other co-integration techniques.

scholarly journals The impacts of public investment on private investment and economic growth

2018 ◽  
Vol 25 (1) ◽  
pp. 15-32 ◽  
Author(s):  
Canh Thi Nguyen ◽  
Lua Thi Trinh
Keyword(s):  
Economic Growth ◽  
Public Investment ◽  
Private Investment ◽  
Short Term ◽  
Content Type ◽  
State Sector ◽  
Positive Effects ◽  
Long Run ◽  
Short And Long Term

Purpose The purpose of this paper is to assess both short and long-term influences of public investment on economic growth and test the hypothesis that whether public investment promotes or demotes private investment in Vietnam. Design/methodology/approach The authors use the approach of autoregressive distributed lag model and Vietnam’s macro data in the period of 1990-2016, to evaluate the short and long-term effects of public investment on economic growth and private investment. The model evaluates the impact of public investment on economic growth and private investment based on the neoclassical theories. The public investment which strongly affects economic growth is also reflected by aggregate supply and demand. Public investment directly impacts aggregate demand as a government expenditure and aggregate supply as a production function (capital factor). Findings The results from this research indicate that public investment in Vietnam in the past period does affect economic growth in the pattern of an inverted-U shape as of Barro (1990), with positive effects mostly occurring from the second year and negative effects of constraining long-term growth. Meanwhile, investment from the private sector, state-owned enterprises, and FDI has positive effects on short-term economic growth and state-owned capital stock has positive impacts on economic growth in both the short and long run. The estimated influence of public investment on private investment also shows a similar inverted-U shape in which public investment have crowding-in private investment short-term but crowding-out in the long run. Practical implications The empirical findings in this study can be used for conducting a more efficient policy in restructuring the state sector investment in Vietnam. Originality/value The main contributions in this study are: to evaluate the impacts of public investment on economic growth and private investment, the authors extracted public investment in infrastructure from aggregate investment of state sector (as previous studies used); the authors also uses state-owned capital stock variable including cumulative public investment and state-owned enterprises investment suggesting that this could control for the different orders of integration between the stock and flow variable and improve the experimental characteristics of the equation to a higher degree.

Management of competition among sellers and its performance implications for business-to-business electronic platforms

2015 ◽  
Vol 6 (2) ◽  
pp. 199-222 ◽  
Author(s):  
Xiaoling Li ◽  
Xingyao Ren ◽  
Xu Zheng
Keyword(s):  
Longitudinal Research ◽  
Time Windows ◽  
Customer Relationship ◽  
Effective Control ◽  
Marketing Tactics ◽  
Long Term Effects ◽  
Content Type ◽  
Short And Long Term ◽  
Term Performance

Purpose – This paper aimed to analyze the short- and long-term effects of the breadth and depth of seller competition on the performance of platform companies, and investigated the underlying mechanisms of customers’ two-sided marketing tactics on the structure of the competition between sellers. Design/methodology/approach – A longitudinal research design was adopted by gathering daily market objective data on e-commerce platforms for 250 days, and the dynamic evolution effects was analyzed by using a vector autoregression model which compared the differences between the short- and long-term effectiveness of different customer relationship management (CRM) strategies. Findings – The breadth of competition amongst sellers improves the performance of platforms, whilst the depth of competition among sellers has a positive effect on the short-term performance. However, it has a negative effect on the long-term performance of their platforms. In both the short and long terms, advertising tactics that attract new buyers contribute more to increases in the breadth of seller competition than those that attract existing buyers do. Subsidies for new sellers decrease the depth of seller competition more than those for old sellers. Research limitations/implications – Further research could be undertaken to investigate the validity of marketing tactics other than advertising tactics, and thus expand the time windows of the available data. Practical implications – It is imperative for platform companies to implement effective control over seller competition to balance the interests of the sellers and of themselves. Originality/value – The dyadic paradigm of CRM research has been extended by considering the perspective of the electronic platform company, how the tactics of exploitation and exploration of two-sided customers impact upon seller competitive structures have been delved into and why new customers have a unique value to platform companies has been identified.

Where Did All the Dollars Go? The Effect of Cash Flows on Capital and Asset Structure

2011 ◽  
Vol 46 (5) ◽  
pp. 1259-1294 ◽  
Author(s):  
Sudipto Dasgupta ◽  
Thomas H. Noe ◽  
Zhen Wang
Keyword(s):  
Cash Flow ◽  
Economic Effect ◽  
Balance Sheet ◽  
Cash Flows ◽  
Long Run ◽  
Goods Market ◽  
Short Run ◽  
Debt Market ◽  
Short And Long Term

AbstractThis paper documents the short- and long-term balance sheet effect of cash flows. We show that cash savings in the short run and debt reduction in both the short and the long run account for a substantial fraction of cash flow use. Although, in the long run, investment exhibits substantial sensitivity to cash flows, investment does not absorb the entire cash flow shock. In fact, the tighter the financial constraints, the smaller the fraction of cash flow absorbed by investment and the more by leverage reduction. Firms stage their response to increases in cash flow, delaying investment while building up cash stocks and reducing leverage. These results suggest that much of the short-run economic effect of cash flow shocks to the corporate sector may be channeled into the corporate debt market rather than the capital goods market, especially when financing constraints tighten.

Exploring the relationship between macroeconomic indicators and sovereign credit default swap in Pakistan

2017 ◽  
Vol 18 (4) ◽  
pp. 368-380
Author(s):  
Abdul Rashid ◽  
Farooq Ahmad ◽  
Ammara Yasmin
Keyword(s):  
Exchange Rate ◽  
Credit Default Swap ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Long Run ◽  
Credit Default ◽  
Macroeconomic Indicators ◽  
Short Run ◽  
The Exchange Rate ◽  
The Interest Rate

Purpose This paper aims to empirically examine the long- and short-run relationship between macroeconomic indicators (exchange rates, interest rates, exports, imports, foreign reserves and the rate of inflation) and sovereign credit default swap (SCDS) spreads for Pakistan. Design/methodology/approach The authors apply the autoregressive distributed lag (ARDL) model to explore the level relationship between the macroeconomic variables and SCDS spreads. The error correction model is estimated to examine the short-run effects of the underlying macroeconomic variables on SCDS spreads. Finally, the long-run estimates are obtained in the ARDL framework. The study uses monthly data covering the period January 2001-February 2015. Findings The results indicate that there is a significant long-run relationship between the macroeconomic indicators and SCDS spreads. The estimated long-run coefficients reveal that both the interest rate and foreign exchange reserves are significantly and negatively, whereas imports and the rate of inflation are positively related to SCDS spreads. Yet, the results suggest that the exchange rate and exports do not have any significant long-run impact on SCDS spreads. The findings regarding the short-run relationship indicate that the exchange rate, imports and the rate of inflation are positively, whereas the interest rate and exports are negatively related to SCDS spreads. Practical implications The results suggest that State Bank of Pakistan should design monetary and foreign exchange rate polices to minimize unwanted variations in the exchange rate to reduce SCDS spreads. The results also suggest that it is incumbent to Pakistan Government to improve the balance of payments to reduce SCDS spreads. The findings also suggest that the inflation targeting policy can also help in reducing SCDS spreads. Originality/value This is the first study to examine the empirical determinants of SCDS spreads for Pakistan. Second, it estimates the short- and long-run effects in the ARDL framework. Third, it considers both internal and external empirical determinants of SCDS spreads.

Long run apartment price dynamics in Swedish and German cities

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Sviatlana Engerstam
Keyword(s):  
Banking Sector ◽  
Cointegration Analysis ◽  
Price Dynamics ◽  
Long Term Effects ◽  
Content Type ◽  
Macroeconomic Variables ◽  
Price Elasticities ◽  
Long Run ◽  
German Cities

PurposeThis study examines the long term effects of macroeconomic fundamentals on apartment price dynamics in major metropolitan areas in Sweden and Germany.Design/methodology/approachThe main approach is panel cointegration analysis that allows to overcome certain data restrictions such as spatial heterogeneity, cross-sectional dependence, and non-stationary, but cointegrated data. The Swedish dataset includes three cities over a period of 23 years, while the German dataset includes seven cities for 29 years. Analysis of apartment price dynamics include population, disposable income, mortgage interest rate, and apartment stock as underlying macroeconomic variables in the model.FindingsThe empirical results indicate that apartment prices react more strongly on changes in fundamental factors in major Swedish cities than in German ones despite quite similar development of these macroeconomic variables in the long run in both countries. On one hand, overreactions in apartment price dynamics might be considered as the evidence of the price bubble building in Sweden. On the other hand, these two countries differ in institutional arrangements of the housing markets, and these differences might contribute to the size of apartment price elasticities from changes in fundamentals. These arrangements include various banking sector policies, such as mortgage financing and valuation approaches, as well as different government regulations of the housing market as, for example, rent control.Originality/valueIn distinction to the previous studies carried out on Swedish and German data for single-family houses, this study focuses on the apartment segment of the market and examines apartment price elasticities from a long term perspective. In addition, the results from this study highlight the differences between the two countries at the city level in an integrated long run equilibrium framework.

A multifractal detrended fluctuation analysis of housing market: a role of financial crises in developed economies

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Syed Ali Raza ◽  
Nida Shah ◽  
Muhammad Tahir Suleman ◽  
Md Al Mamun
Keyword(s):  
Financial Crisis ◽  
Housing Market ◽  
Market Efficiency ◽  
House Price ◽  
Fluctuation Analysis ◽  
Content Type ◽  
Multifractal Detrended Fluctuation Analysis ◽  
Long Run ◽  
Before And After

Purpose This study aims to examine the house price fluctuations in G7 countries by using the multifractal detrended fluctuation analysis (MF-DFA) for the years 1970–2019. The study examined the market efficiency between the short-term and long-term in the full sample period, before and after the global financial crisis period. Design/methodology/approach This study uses the MF-DFA to analyze house price fluctuations. Findings The findings confirmed that the housing market series are multifractal. Furthermore, all the markets showed long-term persistence in both the short and long-term. The USA is identified as the most persistent house market in the short run and Japan in the long run. Moreover, in terms of efficiency, Canada is identified as the most efficient house market in the long run and the UK in the short run. Finally, the result of before and after the financial crisis period is consistent with the full sample result. Originality/value The contribution of this study in the literature is fourfold. This is the first study that has examined the house prices efficiency by using the MF-DFA technique given by Kantelhardt et al. (2002). Previously, the house market prices and efficiency has been investigated using generalized Hurst exponent (Liu et al., 2019), Quantile Regression Approach (Chae and Bera, 2019; Tiwari et al., 2019) but no study to the best of the knowledge has been done that has used the MF-DFA technique on the housing market. Second, this is the first study that has focused on the house markets of G7 countries. Third, this study explores the house market efficiency by dividing the market into two periods i.e. before and after the financial crisis. The study strives to investigate if the financial crisis determines the change in the degree of market efficiency or not. Finally, the study gives valuable insights to the investors that will help them in their investment decisions.

Tornadoes, poverty and race in the USA: A five-decade analysis

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Russ D. Kashian ◽  
Tracy Buchman ◽  
Robert Drago
Keyword(s):  
African American ◽  
African Americans ◽  
Study Finding ◽  
Median Income ◽  
Content Type ◽  
Vulnerable Communities ◽  
Long Run ◽  
Level Data ◽  
The Usa

PurposeThe study aims to analyze the roles of poverty and African American status in terms of vulnerability to tornado damages and barriers to recovery afterward.Design/methodology/approachUsing five decades of county-level data on tornadoes, the authors test whether economic damages from tornadoes are correlated with vulnerability (proxied by poverty and African American status) and wealth (proxied by median income and educational attainment), controlling for tornado risk. A multinomial logistic difference-in-difference (DID) estimator is used to analyze long-run effects of tornadoes in terms of displacement (reduced proportions of the poor and African Americans), abandonment (increased proportions of those groups) and neither or both.FindingsControlling for tornado risk, poverty and African American status are linked to greater tornado damages, as is wealth. Absent tornadoes, displacement and abandonment are both more likely to occur in urban settings and communities with high levels of vulnerability, while abandonment is more likely to occur in wealthy communities, consistent with on-going forces of segregation. Tornado damages significantly increase abandonment in vulnerable communities, thereby increasing the prevalence of poor African Americans in those communities. Therefore, the authors conclude that tornadoes contribute to on-going processes generating inequality by poverty/race.Originality/valueThe current paper is the first study connecting tornado damages to race and poverty. It is also the first study finding that tornadoes contribute to long-term processes of segregation and inequality.

Help us to help you

2019 ◽  
Vol 35 (10) ◽  
pp. 29-30
Keyword(s):  
Asia Pacific ◽  
Asia Pacific Region ◽  
Content Type ◽  
Pertinent Information ◽  
Short And Long Term ◽  
Long Term Performance ◽  
Performance Gains ◽  
Term Performance ◽  
Practical Implications

Purpose This paper aims to review the latest management developments across the globe and pinpoint practical implications from cutting-edge research and case studies. Design This briefing is prepared by an independent writer who adds their own impartial comments and places the articles in context. Findings Hotels in the Asia-Pacific region have yet to fully utilize social media to promote their CSR initiatives. This means there is huge potential for improved stakeholder engagement, leading to short- and long-term performance gains. Originality The briefing saves busy executives, strategists and researchers hours of reading time by selecting only the very best, most pertinent information and presenting it in a condensed and easy-to-digest format.

scholarly journals Environmental and social sustainability priorities

2015 ◽  
Vol 35 (2) ◽  
pp. 216-245 ◽  
Author(s):  
Annachiara Longoni ◽  
Raffaella Cagliano
Keyword(s):  
Business Strategy ◽  
Social Sustainability ◽  
Operations Strategy ◽  
Manufacturing Strategy ◽  
Competitive Priorities ◽  
Content Type ◽  
Short And Long Term ◽  
Using Data ◽  
Term Performance

Purpose – Environmental and social sustainability are becoming key competitive priorities for companies, but the way in which they are integrated in operations strategies remains an open issue. The purpose of this paper is to determine whether established operations strategy configuration models (i.e. price-oriented, market-oriented and capability-oriented models) are modified to include environmental and social priorities and whether different operations strategy configuration models are equally successful in the short and long term. Design/methodology/approach – Analyses were performed using data from the International Manufacturing Strategy Survey (2009), including companies in the assembly industry in 21 different countries. According to previous studies, cluster analysis of competitive priorities and ANOVA analysis of the business strategy and short- and long-term performance were performed. Findings – The results show that traditional operations strategy configuration models are slightly modified. Market-oriented and capability-oriented operations strategies are complemented by environmental and social sustainability priorities. These operations strategies are adopted by companies with a differentiation and innovation business strategy. Moreover, capability-oriented companies, which are the most committed to environmental and social sustainability, perform better in both the short and long term. Practical implications – This research shows to companies that traditional operations strategies focusing on specific competitive priorities (e.g. low price) are being replaced by more holistic strategies that include sustainability priorities. However, environmental and social priorities contribute to competitive advantage when complementing capability-oriented operations strategies. Originality/value – This paper extends operations strategy configuration models highlighting how environmental and social sustainability priorities can be deployed together with traditional competitive operations priorities.

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