scholarly journals Explaining Financial Crises in Emerging Markets: A logit model on the Turkish data (1984-2001)

2005 ◽  
Vol 10 (1) ◽  
pp. 33-47
Author(s):  
Mete Feridun
Keyword(s):  
Emerging Markets ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Logit Model ◽  
Financial Crises ◽  
Terms Of Trade ◽  
Gdp Per Capita ◽  
Foreign Exchange Reserves ◽  
Fiscal Balance ◽  
Per Capita

This article aims at explaining the financial crises Turkey experienced in the last decade through a random effects logit model which incorporates 26 macroeconomic, political, and financial sector variables. Evidence emerges that the only significant variables are current account/GDP, fiscal balance/GDP, GDP per capita, national savings growth, foreign exchange reserves, terms of trade, stock prices, and import growth. Results indicate that all variables have expected signs with the exception of import growth.

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.

Latent Trade Diversification and Its Relevance for Macroeconomic Stability

2019 ◽  
Author(s):  
Daniel Lederman ◽  
Samuel Pienknagura ◽  
Diego Rojas
Keyword(s):  
Important Determinant ◽  
Terms Of Trade ◽  
Gdp Per Capita ◽  
Economic Implications ◽  
Country Characteristics ◽  
Per Capita ◽  
Terms Of Trade Volatility ◽  
Trade Volatility ◽  
Novel Concept ◽  
Macroeconomic Stability

Abstract This paper examines the economic implications of a novel concept of trade diversification—latent diversification. In contrast to traditional measures, latent diversification accounts for potential movements of factors of production into activities where the country has previous exporting experience, hence presenting an additional margin through which countries can respond to shocks. The paper shows that the gap between traditional measures of diversification and latent diversification is sizeable and that latent diversification is in its own right an important determinant of macroeconomic stability. More diversified latent export baskets are associated with lower terms-of-trade volatility and, in turn, lower GDP per capita volatility, even after controlling for the degree of contemporaneous export diversification and other country characteristics.

Dynamic Relationship between Stock Prices and Exchange Rates in Emerging Markets

2015 ◽  
pp. 166-181 ◽  
Author(s):  
Veli Akel ◽  
SerkanYılmaz Kandır ◽  
Özge Selvi Yavuz
Keyword(s):  
South Africa ◽  
Emerging Markets ◽  
Exchange Rates ◽  
Error Correction ◽  
Foreign Exchange ◽  
Stock Prices ◽  
Vector Error Correction ◽  
Vector Error ◽  
Long Run ◽  
Causality Tests

All the emerging markets are vulnerable to the fears of capital outflows after the US Federal Reserve's tapering on May 22, 2013. The term “Fragile Five” was introduced by a research note of Morgan Stanley to refer to the countries of Brazil, India, Indonesia, South Africa and Turkey. The aim of this study is to examine whether there are stock and foreign exchange markets integration among Brazil, India, Indonesia, South Africa and Turkey. The authors employ cointegration-based tests, vector error correction modeling techniques, and Granger causality tests to examine the long-run and short-run linkages between stock prices and exchange rates. The results of cointegration tests suggest that there is one long-run stationary relationship between the stock indices and the foreign exchange rates. Four of the Fragile Five (excluding Brazil) show that the stock prices are positively associated with exchange rates. Finally, vector error correction estimates lead to miscellaneous results.

scholarly journals Macroeconomic Determinants of Auto Sales in ASEAN: An Empirical Study in Five Major ASEAN Countries

2020 ◽  
Vol 8 (2) ◽  
pp. 95-110
Author(s):  
Suwinto Johan
Keyword(s):  
Exchange Rate ◽  
Interest Rate ◽  
Gross Domestic Product ◽  
Foreign Exchange ◽  
Foreign Exchange Rate ◽  
Gdp Per Capita ◽  
Domestic Product ◽  
Car Sales ◽  
Per Capita ◽  
Asean Countries

This research examines the determinants of car sales in ASEAN countries. The research concentrates on five macroeconomic variables (consumer price index, gross domestic product (GDP) per capita, changes in gross domestic product per capita, foreign exchange rate, and interest rate). The total sample is 12 years of automobile sales in five ASEAN countries from 2005 – 2016. The five ASEAN countries are Indonesia, Thailand, Malaysia, Singapore, and Vietnam. This paper used the multilinear regression method with Statistical Package for the Social Sciences (SPSS) software to test the research model. For interest-rate variables, we used a lag of one year. The empirical results show that the previous period for inflation, gross domestic product per capita, interest rate, and the foreign exchange rate significantly influenced on car sales in five ASEAN countries. The growth of GDP per capita does not influence car sales.

scholarly journals TERMS OF TRADE AND INDUSTRIALIZATION: REALITIES IN UKRAINE

2020 ◽  
pp. 21-34
Author(s):  
Olena Bazhenova ◽  
Ihor Chornodid
Keyword(s):  
Economic Growth ◽  
Growth Rate ◽  
Industrial Development ◽  
Value Added ◽  
Terms Of Trade ◽  
Gdp Per Capita ◽  
Annual Growth Rate ◽  
Vector Autoregressive ◽  
Per Capita ◽  
The Impact

he paper explores the impact of terms of trade on the industrialization and economic growth in Ukraine due to significant vulnerability of national economy to foreign economic shocks, its openness and mainly commodity structure of exports. In this research we have chosen manufacturing value added as percent in GDP to identify periods of industrialization, as its growth corresponds to periods of accelerated industrial development and vice versa. Also we considered GDP per capita as indicator of national economy’s performance. The changes in terms of trade were investigated based on the analysis of terms of trade adjustments, which are determined by the ability to import goods and services minus exports at constant prices. As an empirical research tool vector autoregressive models have been chosen to explore the relationship between endogenous and exogenous variables in dynamics. Thus, the endogenous variables in the model are the annual growth rate of GDP per capita, manufacturing value added and terms of trade adjustments in 1991-2018. Therefore, the first-order vector autoregression model was constructed to examine this relationship. According to the results of research, acceleration of terms of trade adjustments growth rate (deterioration of terms of trade) in Ukraine leads to fluctuations in the manufacturing value added growth with an increase of almost 3% in the second period and further declining. It indicates an increase in industrial production in response to the deterioration of terms of trade in the short run and possible intensification of innovative economic growth triggers. Fluctuations in manufacturing value added account for from almost 7% to 14% in fluctuations of GDP per capita growth. In turn, fluctuations in terms of trade adjustments account for only from 3% to almost 5%. At the same time, fluctuations in manufacturing value added from 8% to 13% are explained by fluctuations in terms of trade adjustments.

scholarly journals Effects of remittance's inflow and measuring the impact of remittances on GDP per capita growth: Application of ARCH/GARCH and logit model

2021 ◽  
Vol 6 (1) ◽  
pp. 55-73
Author(s):  
Goran Miladinov
Keyword(s):  
World Bank ◽  
Bosnia And Herzegovina ◽  
Logit Model ◽  
Gdp Per Capita ◽  
Logit Models ◽  
The Balkans ◽  
Binary Model ◽  
Comparative Aspect ◽  
Per Capita ◽  
The Impact

This research aims to explore the dynamics of remittances and their volatility, applying the ARCH/GARCH model in the countries of the Balkans (Bosnia and Herzegovina, Macedonia, Croatia and Albania). Furthermore, the comparative aspect of remittance’s effect on the probability of GDP per capita growth using ML Logit Binary model within these countries including Serbia as well was also investigated. UN and World Bank annual aggregate data on personal remittances inflow as % of GDP and GDP per capita from 1998-2019 were used. The volatility spillover within the countries can be noticed. It means that remittance’s inflow volatility in these countries is influenced by its own ARCH and GARCH factors or own shocks. The separate results from Logit models show that the probability of GDP per capita growth as a function of remittances for the period (1998-2019 and 2007-2019 for Serbia) has been under positive significant effect only for Albania at 5% level and for Bosnia and Herzegovina at 10% level.

scholarly journals Macroeconomic Impact of Refugee Inflow on West African Countries

2021 ◽  
Vol 2 (1) ◽  
pp. 36-46
Author(s):  
Louis Sevitenyi Nkwatoh ◽  
Kekere Sule Ibrahim
Keyword(s):  
Labour Force ◽  
West African ◽  
Gdp Per Capita ◽  
Economic Activities ◽  
Host Countries ◽  
African Countries ◽  
Government Consumption ◽  
Negative Effect ◽  
Fiscal Balance ◽  
Per Capita

This study investigated the macroeconomic effect of refugee inflow on West African Countries using a panel vector autoregressive approach over the period 1992 to 2018. Our results provide evidence that a positive refugee shock induces a positive effect on GDP per capita, government consumption and labour force. On the other hand, the effect of a shock to refugee exerts a negative effect on the fiscal balance of host Countries. The overall result from the variance decomposition indicates that refugees prefer to migrate to Countries with better economic activities as reflected by the GDP per capita and labour supply, even though the magnitude of contribution of refugees to economic activities is small and significant only in the short run. Hence, refugees do not constitute an economic burden to West African States, but however induce a negative effect on their fiscal balance via extra budgetary expenditure. This calls for a global response to refugee crisis with respect to its fiscal implication on host Countries. This may go a long way in averting another circle of crisis because refugees often exacerbate the worsening economic and social problems of host Countries, leading to increase in government consumption.

scholarly journals Trade Liberalization and Its Effects on the Economic Growth of Bangladesh: An Empirical Analysis

2016 ◽  
Vol 3 (2) ◽  
pp. 61-70
Author(s):  
Shapan Chandra Majumder ◽  
Md. Masud Rana
Keyword(s):  
Economic Growth ◽  
Exchange Rate ◽  
Trade Policy ◽  
Trade Liberalization ◽  
Terms Of Trade ◽  
Gdp Per Capita ◽  
Growing Up ◽  
Foreign Reserve ◽  
Per Capita ◽  
Liberalization Policy

The objective of this paper is to assess the effectiveness of the trade policy on Bangladesh economy between the periods 1990 to 2010. This research analyzes the achievements of the economy regarding the important variables such as growth of GDP, export, import, exchange rate, terms of trade, and foreign reserve after the trade liberalization in 1990s. The study demonstrates that the inward policy of the trade liberalization reduces the import while the forward policy increases the employment, production, and export. Finally, liberalization policy improves overall economic indicators as GDP per capita, FDI, and remittances have been growing up since pre-liberalization. The study shows that both export and import have increased noticeably since liberalization, with import rising faster than export in the period immediately after liberalization.  

Insuring Against Past Perils: The Politics of Post-Currency Crisis Foreign Exchange Reserve Accumulation

2016 ◽  
Vol 5 (3) ◽  
pp. 427-446 ◽  
Author(s):  
Liam F. McGrath
Keyword(s):  
Economic Policy ◽  
Foreign Exchange ◽  
Financial Crises ◽  
Currency Crises ◽  
Political Change ◽  
Foreign Exchange Reserve ◽  
The Political ◽  
Foreign Exchange Reserves ◽  
Political Costs ◽  
Do So

In the aftermath of financial crises, governments can use economic policy to minimize the risk of future recurrence. Yet not all do so. To explain this divergence in responses I develop a theory of economic policy choice after financial crises. I argue that past financial crises provide information to future governments about the political costs of financial crises. This subsequently informs the need to use economic policy to insure against such crises. Focusing on the accumulation of foreign exchange reserves after currency crises, I find that when past currency crises led to political changes future governments accumulate higher levels of reserves to prevent another crisis from occurring. This effect is stronger when political change occurred in situations where governments would not expect to be held accountable, and when reserve sales were shown to be effective in preventing political change. The theory and empirical results provide an answer as to why countries experiencing a similar form of financial crisis can, nevertheless, vary in their attempts to prevent future recurrence.

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