The moderating role of informal economy on financial development induced ekc hypothesis in turkey

This study conducts an empirical investigation about the moderating role of the informal economy on Turkey's environmental performance by employing advanced econometric techniques that account numerous structural breaks in series. In this extent, we created three interaction variables by captivating the impact of informal economic activities on CO2 emissions through income, energy use, and financial sector development. Besides, we built a main effect model without the interaction variables to assess the direct effects of our variables on global environmental degradation. The outcomes of the carried analyses produced supporting evidence toward the confirmation of the Environmental Kuznets Curve (EKC) assumption. Obtained findings shown that energy use, financial development and the informal economy in Turkey transmit a deteriorating impact on environmental well-being. Furthermore, the moderating role of the informal economy was found to be statistically significant factor in terms of both economic and environmental efficiency.

Nonlinear Short-Run Adjustments between REITs and Stock Markets in the USA and Australia

This study examines whether nonlinear co-integration exists between real estate investment trusts (REITs) and corresponding stock markets in the United States and Australia. Moreover, we employ the smooth-transition, vector-error correction model (STVECM) including the generalized autoregressive conditional heteroskedasticity (GARCH) model to separately explore the adjustment efficiencies of the short-run REITs and corresponding stock returns in dynamics. The empirical results demonstrate that there is a nonlinear co-integration with structural breaks between the equity and mortgage REITs and stock markets in the US as well as between the REITs and stock markets in Australia. When large positive and negative deviations of STVECM exist, the speed of equilibrium adjustment of the S&P 500 index is greater than that of the Mortgage REITs index. Additionally, the higher the equilibrium adjustment of Australian/US REITs index, the greater the reversion of Australian/US REITs index. Meanwhile, this study is also interested in finding out whether the REIT indices in the US or Australia would serve as a leading indicator for price movements. The result findings may provide a good reference for the investors’ investment engaged in the areas of these two countries. JEL Classification: C22, D53, G14, L85. Keywords: REITs, STVECM, Nonlinear Granger causality, GARCH.

The role of transition regime models for corn prices forecasting

Given the relevance of corn for food and fuel industries, analysts and scholars are constantly comparing the forecasting accuracy of econometric models. These exercises test not only for the use of new approaches and methods, but also for the addition of fundamental variables linked to the corn market. This paper compares the accuracy of different usual models in financial macro-econometric literature for the period between 1995 and 2017. The main contribution lies in the use of transition regime models, which accommodate structural breaks and perform better for corn price forecasting. The results point out that the best models as those which consider not only the corn market structure, or macroeconomic and financial fundamentals, but also the non-linear trend and transition regimes, such as threshold autoregressive models.

Factors in Saudi FDI Inflow

This study explores the driving factors for attracting Foreign Direct Investment (FDI) inflow in the Saudi Arabian economy in two stages. First, it applies a general to specific approach to form a model reflecting theoretical and anecdotal evidence of the Saudi Arabian economy. Second, we analyse time series data over the years 1984 to 2018. applying Autoregressive Distributed Lags (ARDL) approach, incorporating several structural breaks. This study explores Saudi membership of the World Trade Organization (WTO) and institutional quality, identifying them as promising factors in fostering FDI inflows in the economy. Our empirical investigation demonstrates that the Saudi economy experienced a higher inflow of FDI during the global financial crisis (GFC) due to economic stability. Trade openness is found to be conducive to promote FDI inflow. This study provides several policy implications.

Inflation Co-Movement Dynamics: A Cross-Country Investigation Using a Continuous Wavelet Approach

The economic literature provides evidence that inflation rates can co-move across nations because of a host of reasons, ranging from low frequency changes in monetary policy to similar high frequency shocks. Hence, this paper investigates inflation rate co-movements between nine (9) African countries and their bilateral linkages with five (5) developed economies using continuous wavelets at different time scales or frequencies. Specifically, we examine the coherency and the phase relationship in time-frequency space in inflation rates of the selected countries. Several findings are documented. First, inflation rates co-movements in the nine African countries are time varying, multi-scale, and characterized by structural breaks. In addition, we find that inflation co-movements across countries in the Africa sub-region is weak at low frequencies. Furthermore, we find evidence of inflation co-movement between Africa and developed economies, suggesting that central banks and policy-makers in Africa need to monitor international price developments, and analyze their implications for their domestic economies. Second, we find that inflation rates in the selected African countries explain, on average, almost 80% of their own inflation variance over the whole sample period. Spillover analysis reveals that China and Canada account for a greater percentage of inflation variation in Africa.