Suchergebnisse

Purpose
This study aims to close a gap in the relevant literature by investigating the causal linkage between financial risk (FR) and economic risk (ER) in China for the period 1985Q1–2018Q4.


Design/methodology/approach
Based on the aim of the present study, Toda Yamamoto causality and wavelet coherence tests are used to capture the relationship between FR and ER in China.


Findings
The findings from wavelet coherence reveal that there is feedback causality between FR and ER in China at different frequencies and different periods between 1985 and 2018. The consistency of the findings from wavelet coherence is confirmed by the outcomes of Toda Yamamoto causality test.


Research limitations/implications
Although this study provides strong and consistent empirical findings for China, further studies should consider advancing the argument by focusing on different emerging markets.


Practical implications
Results are crucial for policy decision-making and can be used by researchers and macro-economic policymakers to take an action, if necessary, by implementing more appropriate or alternative economic and financial decisions.


Originality/value
To the best of the author's knowledge, this relationship in China has not been comprehensively explored by using newly developed econometrics techniques. Therefore, this study is likely to open a debate about the literature as the study concludes with a discussion on short- and long-run implications for policymakers in China.

ObjectiveThis article aim to investigate the causal relationship between sovereign credit risk and political risk in Argentina, Brazil, and Venezuela.MethodsGranger causality, Toda Yamamoto causality, and wavelet coherence tests are used to answer the following questions: (i) Is there are causal linkage between sovereign credit risk and political risk? (ii) If yes, in which direction(s)? It also provides a recent literature on the methods of quantification of political risk and historic economic instabilities in the selected countries.ResultsThe findings from wavelet coherence reveal that (i) between 1997 and 2005, sovereign credit risk significantly causes political risk in Argentina at medium frequency but between 2008 and 2015, at high frequency, the direction of causality is opposite relative to the previous period; (ii) the correlation between political risk and sovereign credit risk is not high throughout the period of 1993‐2015, although there is a positive correlation between sovereign credit risk and political risk 1998 and 2000 at only high frequency in Brazil; (iii) between 1997 and 2011, political risk significantly causes sovereign credit risk in Venezuela. At high frequency, between 2006 and 2007, there is also positive correlation between sovereign credit risk and political risk.ConclusionThere is evidence that there is a feedback causal relationship between political risk and sovereign credit risk at different frequencies.

This study analyses the economic risk relationship between seven of the top economies in the Middle East and Israel. Our findings are of great interest and likely to begin a new debate in the Middle East region. The results of a block exogeneity Wald test reveal that economic stability in Israel does Granger-cause economic stability in Lebanon, Oman, Qatar and the UAE. Reverse causality has been validated for Lebanon and Bahrain only. We also find that there is a positive impact on Israel?s economic stability over the stability of Bahrain, Kuwait and the UAE with different seasonal patterns. In the reverse direction, in response to a shock to Israel?s economic stability, the stability of the UAE, Saudi Arabia, Oman, and Kuwait are also found to be positive and significant with different seasonal frequencies.