Comparison of News Impacts on Sectoral Stock Returns during the COVID-19 Pandemic in Turkey

This study examines how the volatility of the sectoral stock returns within Borsa İstanbul are affected during the COVID-19 pandemic. The analysis uses daily stock return data for four main sector indices: services, finance, industry, and technology. The sample period of the study covers 03.03.2015–11.03.2021, and 12.03.2020-03.04.2021 is separately analyzed for the COVID-19 period. When E-GARCH models and news impact curves are analyzed, it is found that the services sector stock returns volatility differs from other sectoral stock returns.

Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach

This work analyzes the frequency-dependent network structure of Economic Policy Uncertainties (EPU) across G-7 countries between January 1998 and April 2021. We implement an approach that builds dynamic networks relying on a locally stationary Time-Varying Parameter-Vector Autoregressive model using Quasi-Bayesian Local Likelihood methods. We compute short-, medium-, and long-term network connectedness of G-7 EPUs over a period covering several economic/financial turmoils. Furthermore, we structure short-term network topologies for the Global Financial Crisis (GFC) and the COVID-19 pandemic periods. Findings of the study indicate amplified interdependencies between G-7 EPUs around well-known economic/geopolitical incidents, frequency-dependent connectedness networks among them, and stronger interdependencies than the medium-, and long-term linkages. Finally, we find that short-term spillovers are not persistent in the long-term for both turmoil periods.

Economic and Monetary Integration in ECOWAS Countries: A Panel VAR Approach to Identify Macroeconomic Shocks

This paper studies the impact of output, exchange rate, price, and economic policies (fiscal and monetary) shocks to Economic Community of West African States (ECOWAS) economies over the period 1977-2019. The results of the impulse response functions obtained from the panel VAR show that monetary policy shocks stimulate economic activity, whereas fiscal shocks lead to a contraction. Moreover, these economic policy shocks lead to an increase in the price level. Finally, they have opposite effects on the real exchange rate: a monetary policy shock leads to an appreciation of national currencies against the US dollar, while a fiscal innovation leads to a depreciation of these currencies. As for exchange rate and price shocks, they create inflation and consequently a decline in economic activity. Furthermore, the forecast error variance decomposition reveals that real exchange rate shocks contribute the most to future fluctuations in macroeconomic variables in ECOWAS countries. Moreover, a comparison of the impact on the two currency areas, West African Economic and Monetary Union (WAEMU) and West African Monetary Zone (WAMZ), shows the degree of asymmetry between the two areas. The analysis shows, on the one hand, that shocks are more persistent and significant in the WAMZ and, on the other hand, that except for real exchange rate shocks, the two zones respond asymmetrically to shocks emanating from the other variables.

The Impacts of Oil Prices, Exchange Rate and COVID-19 Pandemic on BIST Petrochemical Market

Stock markets are developing with the economic growth of the countries in a liberal market economy. Petrochemicals is an indicator of the performance of the country's industry with high inter-industry linkage by providing input to several sectors, producing various outputs with a certain number of raw materials. The COVID-19 pandemic period has affected all markets worldwide and caused fluctuations in the index values of large firms in the petrochemical industry in Borsa Istanbul (BIST). This study analyzes the impact of the pandemic period and change in the oil prices and exchange rate on the petrochemical market in Turkey. The monthly data of petrochemical stock market index, exchange rate, oil prices are used in this time series analysis. A pandemic information index representing the COVID-19 pandemic was derived and included in the model. According to the results, it is observed that the most important determinant of the fluctuations on the BIST petrochemical index is the oil prices. While a shock in oil prices negatively affects the BIST petrochemical index, the petrochemical index responds positively to the shock in the pandemic index.

Government Size and Openness: Insights Based on Country Classifications

This study investigates the nexus between government size and openness by paying special attention to country classification. The main results of our empirical investigations show that (i) there are two government size trends meaning two different country groups exist; (ii) there is a positive relationship between trade openness and government size for the first country group, which validates the compensation hypothesis; (iii) a negative relationship between financial openness and government size is found for the second country group, which confirms the efficiency hypothesis; (iv) the effect of financial openness is nearly ten times higher than trade openness; (v) an endogenous country classification process yields better results to understand the linkages between openness and government size. In this regard our study incorporates both hypotheses and provides a uniform explanation.

The Main Determinants of Capital Inflows in Emerging Market Economies: Does the Exchange Rate Regime Matter?

There is a bulk of literature in analyzing the impacts of exchange rate regimes (ERRs) on capital flows into emerging market economies. However, these studies mainly do not take into account integration and cointegration properties of variables. This paper aims to tackle this important issue by investigating whether ERRs matter for the impacts of the main push (global financial conditions, GFC) and pull (real GDP) factors on capital inflows into emerging market economies. We find that worsening GFC decreases all types of capital inflow except foreign direct investments in case of floating ERR. This impact is statistically significant only for portfolio inflows in case of managed ERR. The pull factor is often positive and statistically significant in determining capital inflows in the long-run only under floating ERRs. These results suggest that the long-run impacts of the main pull and push factors on capital inflows are often magnified under more flexible ERRs.

Impact of Public Debt, Deficit and Debt Financing on Private Investment in a Large Country: Evidence from the United States

This paper analyses the direct impact of fiscal variables on private investment. The current literature ignores one or more fiscal variables and, in many cases, the foreign financing of debt. In this paper, an aggregate investment function for an economy in which firms incur adjustment costs in their investment process is developed. The developed model incorporates the direct impact of government expenditure, public debt and investment, deficits and foreign-financed debt on private investment. The model is tested on US data. It is found that public investment does not have any impact on private investment, but government expenditure, deficit, debt and foreign-financed debt crowd out private investment over the long run. However, deficit crowds in the private investment over the short run.

Is Tourism a Key Factor for Economic Growth? Fresh Evidence from South Europe Using Panel Cointegration and PVAR Analyses

This paper brings fresh empirical evidence on the relationship between tourism and economic growth for five South European countries over the period 2000Q1-2018Q4 within a multivariate framework. PVAR and panel cointegration analyses are employed to infer the causal relationship between tourism and economic growth. Heterogeneous panel cointegration test reveals a long-run relationship between real GDP, labour force, gross fixed capital formation and tourism. Granger causality validates the bidirectional and unidirectional causal relationship between tourism, labour and economic growth and physical capital and economic growth, respectively. Simultaneously, impulse-response functions of PVAR model highlight the fact that short-run innovations might have a smaller impact on economic growth against a permanent long-run augmentation of these variables. Our findings might leave ample room for government policies to stimulate strategies for higher economic growth.

Factors Influencing the Economic Behavior of the Food, Beverages and Tobacco Industry: A Case Study for Portuguese Enterprises

In today's world, it is increasingly important to conduct economic and financial analyzes of enterprises in all sectors to determine strengths, identify weaknesses and adopt strategies that allow them to be at the highest competitive level. In particular, the food sector plays an essential role in the economy of any country, representing a significant contribution to gross domestic product, total employment, and disposable income of households. In this work, we adopt a methodology for measuring efficiency based on the multidirectional efficiency analysis and other mathematical techniques (the calculation of the normal distribution intersection coefficient (NC value), analysis of clusters and principal components, and model fitting) in order to examine the factors that influence the performance of Portuguese enterprises in the food, beverages and tobacco industry for the period of 2006-2013. The results show a characterization of the financial structure of the sector and diagnosis through indexes that identify the strategic positioning of the enterprises in terms of efficiency scores. In addition, we also show that an analysis of the variables that must be approached differently to obtain better results regarding economic performance. Although there is an increase in credit with the acquisition of long-term debts, there is no evidence that this implies the ability of enterprises to grow faster, which affects profitability.

Can US Wage Increases be Regarded as a Leading Indicator for Bond Rates?

After the subprime meltdown, the Federal Reserve focused its attention on US non-farm payroll data in order to pave the way for its fund rate hikes. As time went by, the Federal Reserve deemed particularly one sub-component of this data, namely the increments on average weekly wage growth as a proxy for inflation and thus a plausible explanation for raising the interest rates. In that aspect, we decide to elaborate on this issue further and examine whether this implemented strategy indeed had a reflection in the real market. For doing so, we intend to determine whether there is any causality relation in either direction between US average weekly wage increases and 10-year Treasury Bond rates. We utilize the Toda-Yamamoto causality approach and come up with a statistically significant result between wages and bond rates. For robustness, we also consider the unemployment rate and consumption expenditures as independent variables.