Are Asian Stock Market Returns Predictable?
In: Emerging markets, finance and trade: EMFT, Band 51, Heft 5, S. 867-878
ISSN: 1558-0938
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In: Emerging markets, finance and trade: EMFT, Band 51, Heft 5, S. 867-878
ISSN: 1558-0938
In: The Indian economic journal, Band 57, Heft 3, S. 3-26
ISSN: 2631-617X
This paper examines the current accounts of 16 developed and developing countries over the period 1970 to 2018. We test whether these nations satisfy their intertemporal solvency condition for external imbalances. The solvency condition in the strong form entails: (1) a cointegration, or a long run equilibrium, relationship between exports and imports of goods and services; and (2) an increase in imports leading to a proportional increase in exports. Our findings imply that the external imbalances are a cause of vulnerability for several nations. Bangladesh satisfies the abovementioned solvency condition-in other words, its current account is sustainable in the strong form. Australia, Ecuador, Honduras, Mexico, New Zealand, and Venezuela show weak forms of sustainability. For these six nations, the presence of a cointegration relationship between exports and imports coincides with less than proportional increases in exports with increases in imports. The current accounts of Chile and Paraguay are unsustainable-while their exports and imports are cointegrated, a growth in imports leads to a more than proportional increase in exports. For a few nations that failed the full sample (1970-2018) cointegration test, we developed sub-samples by anchoring the start date at 1970 and increasing the sample by every five years from 1999 to 2014. From the sub-samples, we find evidence of intermittent, but weak, cases of sustainability for Peru and South Africa. We show that Panama's current account became unsustainable after 2009. China's current account satisfied the strong form of sustainability between all sub-samples until 2014 and became unsustainable in the most recent four years (2015-2018). France, the Philippines, and the United States unequivocally failed the intertemporal solvency test in the full sample and sub-sample analyses. The cointegration tests allow for structural breaks in exports and imports. We find these breaks have strong economic significance. For instance, we find that for most countries the structural break in exports coincides with their worst economic recession.
BASE
In: World development: the multi-disciplinary international journal devoted to the study and promotion of world development, Band 117, S. 183
In: World development: the multi-disciplinary international journal devoted to the study and promotion of world development, Band 117, S. 29-47
World Affairs Online
In: Energy economics, Band 54, S. 291-301
ISSN: 1873-6181
In: Energy economics, Band 134, S. 107567
ISSN: 1873-6181
In: Journal of economic studies, Band 38, Heft 2, S. 218-230
ISSN: 1758-7387
In: Energy Policy 38(1): 661-666, 2010
SSRN
In: Pacific economic review, Band 13, Heft 5, S. 656-662
ISSN: 1468-0106
Abstract. In this paper, we analyse per capita income levels of China's three main regions: the western region, the eastern region and the central region using common cycle and common trend tests. Our main contribution is that we impose the common cycle and common trend restrictions in decomposing shocks into permanent and transitory components. We find that: (i) there is evidence for two cointegrating relationships and one common cycle; and (ii) the variance decomposition analysis of shocks provides evidence that over short horizons, permanent shocks play a large role in explaining variations in regional per capita incomes.
In: Pacific economic review, Band 13, Heft 5, S. 567-574
ISSN: 1468-0106
Abstract. The goal of this paper is to test for asymmetric behaviour of macroeconomic aggregates for three Asian economies; namely, Malaysia, Hong Kong and Korea. Whether macroeconomic aggregates can be characterised as asymmetric has important implications for policy‐making and econometric modelling including forecasting. We examine two forms of asymmetries; specifically deepness, which arises when a detrended time series contains an asymmetric distribution, and steepness, which arises when the first difference of a series contains an asymmetric distribution. Overall, our findings suggest that for all three countries, the bulk of the series display asymmetry behaviour.
In: Defence & peace economics, Band 19, Heft 1, S. 77-87
ISSN: 1476-8267
In: Defence and peace economics, Band 19, Heft 1, S. 77
ISSN: 1024-2694
In: Economic Issues, Band 13, Heft 1, S. 71-91
SSRN
In: Ecological Economics, Band 65, Heft 367-374
SSRN