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Given the effects COVID-19 pandemic on the financial sectors across the world, this study examined the reaction of stock returns of 201 firms listed in the Nigerian Stock Exchange to the COVID-19 pandemic and lockdown policy. We deployed both Pooled OLS and Panel VAR as estimation methods. Generally, the results from POLS show the stock market returns of the Nigerian firms reacted negatively more to the global COVID-19 confirmed cases and deaths than the domestic COVID-19 confirmed cases and deaths and lockdown policy. The results of the impulse response functions revealed that the effects of COVID-19 confirmed cases and deaths and lockdown policy shocks on stock returns oscillate between negative and positive before the stock market returns converge to the equilibrium in the long run. The FEVD results showed that growth in the COVID-19 confirmed cases, deaths and lockdown policy shocks explained little variations in stock market returns. Given our finding, we advocate for the relaxation of policy of lockdown and the combine use of monetary and fiscal policies to mitigate the negative effect of COVID-19 pandemic on stock market returns in Nigeria.

This study examines the causal relationship between economic growth, financial development, and national governance. To analyze the three-way link of the stated variables, the Panel Vector Auto-Regressive (PVAR) model was applied to 115 economies between 1996 to 2018. The impact of each variable shock is explored through Impulse Response Function (IRF) and variance decomposition. The results indicate that the financial development and national governance shocks have a more persistent impact on economic growth in low-income economies than emerging and developed economies. In contrast, output shock influences long-term financial development in developed economies and affects national governance in a monotonic fashion in all three sets of economies. Moreover, national governance is explored as a critical factor for economic growth especially in low-income economies.

This study aims to analyze the impacts and causal relationship between inbound tourism activities and macroeconomic variables on environmental degradation and to analyze the environmental degradation response due to shocks that occur in inbound tourism activities and macroeconomic variables in four countries with the highest international tourist visits in the ASEAN region of Indonesia, Malaysia, Singapore and Thailand known as ASEAN-4 for Periode 1995-2015. The method used in the research is panel vector error correction model (PVECM). The results showed that inbound tourism activities positively influence in the long-term and short-term environmental degradation in ASEAN-4. Among macroeconomic variables only gross domestic product (GDP) positively affects environmental degradation in the long term and short term whereas energy consumption only affects environmental degradation in the short term. There is a direct causal relationship of inbound tourism activity with environmental degradation and environmental degradation with GDP. Energy consumption and environmental degradation manifest bidirectional causality with a feedback effect. Impulse response function indicates environmental degradation responds negatively to the shocks that occur in Inbound tourism and GDP activities. The positive response is indicated by environmental degradation in case of shock to energy consumption.

This work focuses on Value at Risk (VaR) and Expected Shortfall (ES) in conjunction with the so called, low price effect. In order to improve forecasts of risk measures like VaR or ES when low price effect is present, we propose the low price correction which does not involve additional parameters and instead of returns it relies on asset prices. The forecasting ability of the proposed methodology is measured by appropriately adjusted popular evaluation measures, like MSE and MAPE as well as by backtesting methods. For illustrative and comparative purposes a real example from the Athens Stock Exchange as well as a number of penny stocks from Nasdaq, NYSE and NYSE MKT are fully examined. The proposed technique is always applicable, but its superiority and effectiveness is evident in extreme economic scenarios and severe stock collapses. The proposed methodology that pays attention not only to the asset return but also to the asset price, provides sufficient evidence that prices could contain important information which could if taken under consideration, results in improved forecasts of risk estimation.

This work uses the methodology of panel vector autoregression to estimate the causal relationship between the indicators of the chain of scientific and technological knowledge and Brazilian industrial performance. The model results show some of the implicit links in this chain are rather large if not particularly robust. We conclude Brazil is in a still tenuous process of endogenization of knowledge in its industrial economic system. Este trabajo utiliza la metodología de vectores autorregresivos en datos de panel para estimar la relación causal entre los indicadores de la cadena de conocimiento científico y tecnológico y el desempeño industrial brasileño. Los resultados del modelo muestran que algunos de los vínculos implícitos en esta cadena son bastante grandes, aunque no particularmente robustos. Concluimos que Brasil se encuentra en un proceso aún tenue de endogenización del conocimiento en su sistema económico industrial. Este trabajo utiliza la metodología de vectores autorregresivos en datos de panel para estimar la relación causal entre los indicadores de la cadena de conocimiento científico y tecnológico y el desempeño industrial brasileño. Los resultados del modelo muestran que algunos de los vínculos implícitos en esta cadena son bastante grandes, aunque no particularmente robustos. Concluimos que Brasil se encuentra en un proceso aún tenue de endogenización del conocimiento en su sistema económico industrial.

EnglishAbstract This paper analyses the short and long run effects of exchange rate devaluation on the net exports, in the trade balance, as well as in the balances of basics and industrial goods for a panel of Brazilian states, making use of Panel Vector Autoregression (PVAR) models and Panel Dynamic Ordinary Least Squares (PDOLS) estimators. The first technique is used to investigate the existence of the J curve phenomenon, and the latter to validate of Marshall-Lerner condition. In all cases, the response of the net exports from that states after an exchange rate devaluation is shown to be positive, thus confirming the Marshall-Lerner condition. This response is greater for trade balance of industrialized goods. As described by the theoretical model, domestic income presents a negative and statistically robust impact in all net exports considered, while foreign income presents a positive effect. The results still show evidence of the J curve for the total and industrialized goods. portuguesResumo Este artigo analisa os impactos de curto e de longo prazo das desvalorizacoes cambiais sobre as exportacoes liquidas totais, de basicos e de industrializados para um painel de estados brasileiros a partir da aplicacao de modelos Panel Vector Autoregression (PVAR), para testar a ocorrencia do fenomeno da curva J, e do Panel Dynamic Ordinary Least Squares (PDOLS), para investigar a validade da condicao de Marshall-Lerner. Em todos os modelos considerados a resposta das exportacoes liquidas dos estados brasileiros a uma depreciacao cambial se mostra positiva, validando, portanto, a condicao de Marshall-Lerner. Essa resposta e maior para os bens industrializados. Como previsto pela teoria, a renda domestica apresenta impacto negativo e estatisticamente robusto sobre o saldo comercial, enquanto a renda externa apresenta repercussao positiva. Os resultados indicam a ocorrencia da curva J para os totais e os industrializados.

With a panel VAR of 10 Euro area countries, we studied the budgetary determinants of government bond yield spreads vis-à-vis Germany between 1999Q1 and 2012Q4. We find that rising bid ask, VIX and debt differentials increase yield spreads; and improvements in the budget balance, higher growth prospects and depreciation lower the spreads. Moreover, rises in public wages or in social expenditure increase spreads, while increases in direct and indirect taxes lower the yield spreads. In the post-2007Q3 crisis period, rising expenditure components (except subsidies) increased spreads. info:eu-repo/semantics/publishedVersion

Using the panel vector autoregressive (PVAR) model accompanied by the system-generalized method of moment (System-GMM) approach, this paper investigates the dynamic causality between participation in global value chains (GVCs), renewable energy consumption and carbon dioxide (CO2) emissions throughout 1990−2015 for 172 countries. The results show that participation in GVCs negatively causes renewable energy consumption except for the Middle East and North America (MENA) and sub-Saharan Africa. Second, except for the Asia−Pacific region and globally, participation in GVCs has no causal impact on CO2 emissions, and participation in GVCs has a positive effect on CO2 emissions in the Asia−Pacific region and globally. Third, except for globally and sub-Saharan Africa, CO2 emissions have no causal impact on participation in GVCs; however, CO2 emissions hurt participation in GVCs globally and in the sub-Saharan African region. Forth, renewable energy consumption positively causes participation in GVCs in MENA, while renewable energy consumption does not cause participation in GVCs globally and in other regions. Fifth, there is no causality between CO2 emissions and renewable energy consumption both at the global and regional levels. Several policy implications are proposed and discussed for promoting participation in GVCs and improving the environment.

This paper analyzes the simultaneous linkages between remittances and macroeconomic variables using a panel vector autoregression (PVAR) for 33 Sub-Saharan Africa (SSA) countries from 1973 to 2011. We document the strong impact of inflation on explaining remittances to SSA. Approximately 20% of the variance in remittances is attributed to un- expected inflation shocks. This supports the notion that remittances compensate local incomes. This paper also documents a strong positive impact of remittances on growth in SSA. These results demonstrate that remittances can aid in over- coming liquidity constraints in nations with poor financial institutions. Our findings shed light on the important role of remittances in explaining macroeconomic variability in SSA.

According to the “cost efficiency - liquidity creation” hypothesis (CELCH), introduced in this paper, a rise in a bank’s cost efficiency level increases its liquidity creation. By employing a novel stress test scenario under a panel VAR methodology, the CELCH and the direction of causality between liquidity creation and cost efficiency are tested. Moreover, using new measures of liquidity creation (Berger and Bouwman, 2009), the question of whether potential bank mergers and acquisitions (M&As) can enhance liquidity creation and generate additional credit channels in the economy is addressed. The robustness of potential consolidation scenarios are evaluated and compared through the use of new “half-life” measures (Chortareas and Kapetanios, 2013). In line with CELCH, the positive impact of cost efficiency on liquidity creation is shown. The empirical evidence further suggests that potential consolidation activity can enhance the flow of credit in the economy. Bank shocks seem to have the most persistent effect on both liquidity creation and cost efficiency. Finally, doubts are cast on the strategies followed by policy authorities regarding the recent wave of M&As in the banking sector.

The process of European integration has emphasized the necessity of analyzing economic convergence between old and new European Union (EU) member states. Therefore this paper offers an exploratory endeavor of observing Business and Consumer Surveys (BCS) through a prism of economic convergence of new member countries. The main aim of this paper is to analyze whether BCS indicators in transition countries are of comparable quality to the ones in developed European countries. In contrast to other related BCS studies, this paper offers several extensions: i) this is the first empirical paper observing each specific BCS indicator and its sector-related macroeconomic variable at EU level ; ii) the analysis is based on an extensive dataset comprising all EU members ; iii) recent PVAR methodology is used. It is found that new member states’ indicators exhibit pronounced predictive properties and can be used as leading indicators of related macroeconomic variables for even four quarters ahead. In that sense, they are as efficient as the indicators in EU15 ; and the Joint Harmonised EU Programme of Business and Consumer Surveys is fully justified at its 50th jubilee.

We compute average mark-ups as a measure of market power throughout time and study their interaction with fiscal policy and macroeconomic variables in a VAR framework. From impulse-response functions the results, with annual data for a set of 14 OECD countries covering the period 1970-2007, show that the mark-up (i) depicts a pro-cyclical behaviour with productivity shocks and (ii) a mildly counter-cyclical behaviour with fiscal spending shocks. We also use a Panel Vector Auto-Regression analysis, increasing the efficiency in the estimations, which confirms the countryspecific results. JEL Classification: D4, E0, E3, H6