scholarly journals Liquidity connectedness in cryptocurrency market

2022 ◽  
Vol 8 (1) ◽  
Author(s):  
Mudassar Hasan ◽  
Muhammad Abubakr Naeem ◽  
Muhammad Arif ◽  
Syed Jawad Hussain Shahzad ◽  
Xuan Vinh Vo
Keyword(s):  
Time Horizon ◽  
Frequency Domain Analysis ◽  
Time Varying ◽  
Medium Term ◽  
Liquidity Shocks ◽  
Time Frequency ◽  
Time Horizons ◽  
Long Run ◽  
Short Run ◽  
Run Time

AbstractWe examine the dynamics of liquidity connectedness in the cryptocurrency market. We use the connectedness models of Diebold and Yilmaz (Int J Forecast 28(1):57–66, 2012) and Baruník and Křehlík (J Financ Econom 16(2):271–296, 2018) on a sample of six major cryptocurrencies, namely, Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH), Ripple (XRP), Monero (XMR), and Dash. Our static analysis reveals a moderate liquidity connectedness among our sample cryptocurrencies, whereas BTC and LTC play a significant role in connectedness magnitude. A distinct liquidity cluster is observed for BTC, LTC, and XRP, and ETH, XMR, and Dash also form another distinct liquidity cluster. The frequency domain analysis reveals that liquidity connectedness is more pronounced in the short-run time horizon than the medium- and long-run time horizons. In the short run, BTC, LTC, and XRP are the leading contributor to liquidity shocks, whereas, in the long run, ETH assumes this role. Compared with the medium term, a tight liquidity clustering is found in the short and long terms. The time-varying analysis indicates that liquidity connectedness in the cryptocurrency market increases over time, pointing to the possible effect of rising demand and higher acceptability for this unique asset. Furthermore, more pronounced liquidity connectedness patterns are observed over the short and long run, reinforcing that liquidity connectedness in the cryptocurrency market is a phenomenon dependent on the time–frequency connectedness.

scholarly journals Excise Taxes with Multiproduct Transactions

2009 ◽  
Vol 99 (1) ◽  
pp. 458-471 ◽  
Author(s):  
Stephen F Hamilton
Keyword(s):  
Product Variety ◽  
Excise Taxes ◽  
Time Horizons ◽  
Long Run ◽  
Wide Range ◽  
Short Run ◽  
Run Time ◽  
Ad Valorem

I examine excise taxes levied on multiproduct retailers. Excise taxes reduce equilibrium output and decrease equilibrium product variety in the short run, but taxes can raise output per product in the long run and induce entry. Excise taxes are overshifted into prices in a wide range of cases, including under linear and concave demand conditions, and excise taxes shift less than one-for-one into prices only when demand is highly convex. Multiproduct transactions substantively alter the efficiency of ad valorem and specific forms of excise taxes and affect the comparison of relative tax performance over short-run and long-run time horizons. (JEL H25, H32, L11, L13, L81)

COVID-19 pandemic and connectedness across financial markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Abubakr Naeem ◽  
Saba Sehrish ◽  
Mabel D. Costa
Keyword(s):  
Financial Markets ◽  
Financial Risk ◽  
Negative Impact ◽  
Spillover Effect ◽  
External Shocks ◽  
Content Type ◽  
Time Frequency ◽  
Long Run ◽  
Short Run ◽  
Momentum Trading

Purpose This study aims to estimate the time–frequency connectedness among global financial markets. It draws a comparison between the full sample and the sample during the COVID-19 pandemic. Design/methodology/approach The study uses the connectedness framework of Diebold and Yilmaz (2012) and Barunik and Krehlik (2018), both of which consider time and frequency connectedness and show that spillover is specific to not only the time domain but also the frequency (short- and long-run) domain. The analysis also includes pairwise connectedness by making use of network analysis. Daily data on the MSCI World Index, Barclays Bloomberg Global Treasury Index, Oil future, Gold future, Dow Jones World Islamic Index and Bitcoin have been used over the period from May 01, 2013 to July 31, 2020. Findings This study finds that cryptocurrency, bond and gold are hedges against both conventional stocks and Islamic stocks on average; however, these are not “safe havens” during an economic crisis, i.e. COVID-19. External shocks, such as COVID-19, strengthen the return connectedness among all six financial markets. Research limitations/implications For investors, the study provides important insights that during external shocks such as COVID-19, there is a spillover effect, and investors are unable to hedge risk between conventional stocks and Islamic stocks. These so-called safe haven investment alternatives suffer from the similar negative impact of systemic financial risk. However, during an external shock such as COVID-19, cryptocurrencies, bonds and gold can be used to hedge risk against conventional stocks, Islamic stocks and oil. Moreover, the findings imply that by engaging in momentum trading, active investors can gain short-run benefits before the market processes any new information. Originality/value The study contributes to the emergent literature investigating the connectedness among financial markets during the COVID-19 pandemic. It provides evidence that the return connectedness among six global financial markets, namely, conventional stocks, Islamic stocks, bond, oil, gold and cryptocurrency, is extremely strong. From a methodological standpoint, this study finds that COVID-19 pandemic shock has a significant short-run impact on the connectedness among financial markets.

From education to democracy: evidence from long-run time-varying estimates

2017 ◽  
Vol 64 (4) ◽  
pp. 313-325
Author(s):  
Nicholas Apergis ◽  
James E. Payne
Keyword(s):  
Time Varying ◽  
Long Run ◽  
Run Time

scholarly journals COVID-19 and output in Japan

2021 ◽  
Author(s):  
Daisuke Fujii ◽  
Taisuke Nakata
Keyword(s):  
Policy Response ◽  
Time Varying ◽  
State Of Emergency ◽  
Unique Role ◽  
Varying Parameters ◽  
Output Loss ◽  
Long Run ◽  
Time Varying Parameters ◽  
Short Run ◽  
Model Based Analysis

AbstractWe build a tractable SIR-macro-model with time-varying parameters and use it to explore various policy questions such as when to lift the state of emergency (SOE). An earlier departure from the SOE results in smaller output loss and more deaths in the short run. However, if the SOE is lifted too early, the number of new cases will surge and another SOE may need to be issued in the future, possibly resulting in both larger output loss and more deaths. That is, the tradeoff between output and infection that exists in the short run does not necessarily exist in the long run. Our model-based analysis—updated weekly since January 2021, frequently reported by media, and presented to policymakers on many occasions—has played a unique role in the policy response to the COVID-19 crisis in Japan.

scholarly journals Market Power, NAIRU, and the Phillips Curve

2020 ◽  
Vol 2020 ◽  
pp. 1-18
Author(s):  
Derek Zweig
Keyword(s):  
Interest Rates ◽  
Phillips Curve ◽  
Functional Form ◽  
The United States ◽  
Medium Term ◽  
Natural Rate ◽  
Natural Rate Of Unemployment ◽  
Long Run ◽  
Weak Evidence ◽  
Short Run

We explore the relationship between unemployment and inflation in the United States (1949-2019) through both Bayesian and spectral lenses. We employ Bayesian vector autoregression (“BVAR”) to expose empirical interrelationships between unemployment, inflation, and interest rates. Generally, we do find short-run behavior consistent with the Phillips curve, though it tends to break down over the longer term. Emphasis is also placed on Phelps’ and Friedman’s NAIRU theory using both a simplistic functional form and BVAR. We find weak evidence supporting the NAIRU theory from the simplistic model, but stronger evidence using BVAR. A wavelet analysis reveals that the short-run NAIRU theory and Phillips curve relationships may be time-dependent, while the long-run relationships are essentially vertical, suggesting instead that each relationship is primarily observed over the medium-term (2-10 years), though the economically significant medium-term region has narrowed in recent decades to roughly 4-7 years. We pay homage to Phillips’ original work, using his functional form to compare potential differences in labor bargaining power attributable to labor scarcity, partitioned by skill level (as defined by educational attainment). We find evidence that the wage Phillips curve is more stable for individuals with higher skill and that higher skilled labor may enjoy a lower natural rate of unemployment.

scholarly journals Time–frequency dependency of financial risk and economic risk: evidence from Greece

2019 ◽  
Vol 8 (1) ◽  
Author(s):  
Dervis Kirikkaleli
Keyword(s):  
Financial Risk ◽  
Causal Link ◽  
Wavelet Coherence ◽  
Economic Risk ◽  
Frequency Dependency ◽  
Time Frequency ◽  
Long Run ◽  
Short Run ◽  
The One ◽  
Of Greece

Abstract This study aims to shed some light on the one of the most popular phenomena in the economics and finance literature—nexus between economic growth and financial development—for the case of Greece over 1990Q1 to 2018Q4 within the framework of risk. In other words, this study investigates the causal link between financial risk and economic risk in Greece using wavelet coherence tests while answering the following questions: (i) does financial risk lead to economic risk in Greece and/or does economic risk lead to financial risk in Greece, and (ii) if so, why? The wavelet coherence approach allows the study to capture the long-run and short-run causal linkages among the time series variables since the approach combines time and frequency domain causalities. The findings from wavelet coherence supports the Schumpeter hypothesis since the findings proves that there is unidirectional causality from financial risk to economic risk in Greece (i) between 1995 and 1998; (ii) between 2003 and 2013; (iii) between 2013 and 2017 at different frequency levels. The findings clearly reveal how financial risk is important predictor for economic risk in Greece over the period of 1990–2018.

Sind betriebliche Bündnisse für Arbeit erfolgreich? / Are ln-plant Alliances for Job Security Successful?

2005 ◽  
Vol 225 (6) ◽  
Author(s):  
Olaf Hübler
Keyword(s):  
Firm Size ◽  
Working Hours ◽  
Job Security ◽  
Medium Term ◽  
Employment Effects ◽  
Long Run ◽  
Short Run ◽  
Pay Cuts ◽  
Works Council ◽  
The Impact

SummaryThis paper uses data from the WSI works council survey in 2003 where detailed information on agreements between employers and employees to secure jobs are available. Firm size and profit effects of company-level agreements are investigated. A major result is that the development of firm size is less favourable in companies with in-plant alliances than in other firms. Interestingly, this result is stronger within the group of successful firms. If we distinguish between several measures our estimation shows that training on-the-job and prolongation of working hours are positively correlated with the objective of job security while pay cuts, reduction of working hours and reorganisation of firms lead to further lay-offs. More ambiguous is the impact of working hours accounts. Our investigations demonstrate that the agreements are more successful if employers or the management suggest an in-plant alliance than works councils or unions. Usually, we observe only short run positive employment effects but in the medium term the effects are negative. Only in the long run the development turns around and in-plant alliances are really successful. Sometimes, renegotiations can help to improve the situation.

Oil prices and geopolitical risks: What implications are offered via multi-domain investigations?

2019 ◽  
Vol 31 (3) ◽  
pp. 492-516 ◽  
Author(s):  
Boying Li ◽  
Chun-Ping Chang ◽  
Yin Chu ◽  
Bo Sui
Keyword(s):  
Oil Prices ◽  
Sample Period ◽  
Low Frequencies ◽  
Time Frequency ◽  
Dynamic Relationship ◽  
Crude Oil Prices ◽  
Long Run ◽  
Short Run ◽  
High Degree ◽  
Geopolitical Risks

This paper firstly investigates the frequency- and time-varying co-movement and causal relationship between crude oil prices (proxied by the West Texas Intermediate, Brent, Dubai and Nigerian Forcados spot oil prices) and geopolitical risks based on the wavelet analysis over the period of 1985–2016. Overall, our results demonstrate significant dynamic co-movement and causality in the varying time–frequency domains. We find high degree of co-movement between geopolitical risks and oil prices at high frequencies (in the short run) for the entire sample period; however, such a correlation does not exist at low frequencies (in the long run) for most of the sample period. We also find distinct patterns of causal relationships between geopolitical risks and oil prices across different benchmark markets. Results are robust when we control for global economic outlook. Our findings provide valuable implications for policy makers and oil market investors based on the dynamic relationship between geopolitical risks and oil prices.

scholarly journals Detection of Lead-Lag Relationships Using Both Time Domain and Time-Frequency Domain; An Application to Wealth-To-Income Ratio

Economies ◽  
2019 ◽  
Vol 7 (2) ◽  
pp. 28 ◽  
Author(s):  
Angeliki Skoura
Keyword(s):  
Time Series ◽  
Time Domain ◽  
Wavelet Coherence ◽  
Economic Time Series ◽  
Time Frequency ◽  
Joint Application ◽  
Long Run ◽  
Income Ratio ◽  
Short Run ◽  
Economic Time

The objective of this paper is the joint application of two different methodological concepts for the detection of lead-lag relationships in economic time-series in order to investigate their consistency and their potential complementarity. The first methodology, a time domain analysis based on vector error correction model, provides evidence about the existence of long-run equilibrium of the time-series and the short-run lead-lag behaviors. The second methodology, a time-frequency concept based on the phase difference of the cross-wavelet coherence, analyzes the lead-lag relationships across various timescales and reveals the altering of leadership over time. The two methods are applied to time-series of wealth-to-income ratio of four developed countries over the period 1970–2010 and analyze the lead-lag relationships of the countries in the long-run and in the short-run. The results show that the two methods are consistent in their major long-run findings, however, they reveal different aspects regarding the short-run dynamics of the lead-lag relationships. Furthermore, the results suggest the complementarity of the two methodologies in the context of a complete framework for the analysis of the lead-lag relationships in non-stationary economic time-series.

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