Template-Type: ReDIF-Article 1.0 Author-Name: Tarek Chebbi Author-X-Name-First: Tarek Author-X-Name-Last: Chebbi Author-Name: Abdelkader Derbali Author-X-Name-First: Abdelkader Author-X-Name-Last: Derbali Title: US monetary policy surprises transmission to European stock markets Abstract: This paper empirically investigates the impact of US monetary policy surprises on the volatility of stock market returns for euro area countries. More specifically, to extract the unanticipated component of the US monetary policy, we follow the Kuttner's methodology and we use the federal funds futures. Using the approach of dynamic conditional correlation (DCC) as introduced by Engle (2002) over the period from 1 January, 2004 through 31 December, 2008, we find that US monetary policy surprises exert a strong influence on market volatility. This confirms the efficient markets hypothesis demonstrating that equity prices should only react to new information. We also find a significant response of volatility to an expected component of target rate change. We highlight homogeneity in the responsiveness of European stock markets to US news announcements. It is important to note that the persistence of volatility is clear across all regressions and it is shown by the strong significance of associated coefficients. Journal: Int. J. of Monetary Economics and Finance Pages: 3-14 Issue: 1 Volume: 12 Year: 2019 Keywords: monetary policy surprises; conditional volatility; federal funds futures; European stock markets; DDC-GARCH. File-URL: http://www.inderscience.com/link.php?id=98633 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:3-14 Template-Type: ReDIF-Article 1.0 Author-Name: Yosra Mnif Sellami Author-X-Name-First: Yosra Mnif Author-X-Name-Last: Sellami Author-Name: Nada Damak Ben Hlima Author-X-Name-First: Nada Damak Ben Author-X-Name-Last: Hlima Title: The effect of sustainability assurance demand on information asymmetry: evidence from French companies Abstract: The purpose of this paper is to examine whether voluntary demand for sustainability reporting assurance by French companies is associated with lower information asymmetry. The use of the generalised least squares method (GLS) for a sample of 768 firm-year observations of French companies belonging to the SBF 250 and CAC All-Tradable indices during the period 2010-2012, highlights how voluntary sustainability assurance demand reduces the problems of asymmetric information between the different market agents. To our knowledge, this study is the first that has examined the impact of sustainability assurance on the information asymmetry in code-law countries, with low investor protection rights, such as France. Moreover, this research examines the effect of sustainability reporting assurance on information asymmetry measured by bid-ask spread. In addition, this study makes a link between two important areas of sustainability assurance and finance. Journal: Int. J. of Monetary Economics and Finance Pages: 25-38 Issue: 1 Volume: 12 Year: 2019 Keywords: sustainability assurance; information asymmetry; bid-ask spreads; France. File-URL: http://www.inderscience.com/link.php?id=98637 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:25-38 Template-Type: ReDIF-Article 1.0 Author-Name: Ahlem-Selma Messai Author-X-Name-First: Ahlem-Selma Author-X-Name-Last: Messai Author-Name: Mohamed Imen Gallali Author-X-Name-First: Mohamed Imen Author-X-Name-Last: Gallali Title: Macroeconomic determinants of credit risk: a P-VAR approach evidence from Europe Abstract: The aim of this study is to develop a macroprudential approach in order to determine the most relevant factors able to explain the emergence of non-performing loans (NPL). For this purpose, we estimate an econometric model for analysing interrelationship among non-performing loans and the determinants of the credit risk in 18 European countries by using a panel vector autoregressive (PVAR) approach during the period 2000-2011. This study implies that credit risk determinants are similar to early warning indicators. Our empirical results show a bi-directional causal relationship between the credit risk evolution and four variables (GDP growth rate, unemployment rate, the stock price index and the non-performing loans). Journal: Int. J. of Monetary Economics and Finance Pages: 15-24 Issue: 1 Volume: 12 Year: 2019 Keywords: macroprudential approach; credit risk; NPL; non-performing loans; PVAR approach. File-URL: http://www.inderscience.com/link.php?id=98638 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:15-24 Template-Type: ReDIF-Article 1.0 Author-Name: Ni Nyoman Sawitri Author-X-Name-First: Ni Nyoman Author-X-Name-Last: Sawitri Title: FDPM after the global price crisis in the coal industry Abstract: Using the Altman model, the Springate model and the Ohlson model, this study aimed to determine if these financial distress prediction models (FDPM) would perform well in forecasting financial distress in the coal industry companies listed on the Indonesia Stock Exchange (IDX) from 2012 to 2016. Furthermore, this study compared which of these models is the most appropriate for predicting financial distress. The results showed that it is possible to use FDPM to forecast financial distress in relation to the coal companies listed on the IDX. The calculations obtained from the three methods show that some coal companies are experiencing significant financial distress, and the Springate model is the most appropriate FDPM for predicting financial distress. Journal: Int. J. of Monetary Economics and Finance Pages: 59-74 Issue: 1 Volume: 12 Year: 2019 Keywords: Altman Z-score model; coal industry; comparison; financial distress; Ohlson model; Springate model. File-URL: http://www.inderscience.com/link.php?id=98699 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:59-74 Template-Type: ReDIF-Article 1.0 Author-Name: Abderrahmen Aloulou Author-X-Name-First: Abderrahmen Author-X-Name-Last: Aloulou Author-Name: Younes Boujelbene Author-X-Name-First: Younes Author-X-Name-Last: Boujelbene Title: Dynamic analysis of implied risk neutral density Abstract: The risk neutral densities is an important tool for analysing the dynamics of financial markets and traders' attitudes and reactions to already experienced shocks by financial markets as well as the potential ones. In this paper, we present a new method for extraction information content from options prices. By eliminating bias caused by daily variation of contract maturity through a completely non parametric technique based on Kernel regression, we allow to compare evolution of risk neutral density, and to extract from time continuous indicators that detect evolution of traders attitudes, risk perception and belief homogeneity. This method is useful to develop trading strategies and monetary policies. Journal: Int. J. of Monetary Economics and Finance Pages: 39-58 Issue: 1 Volume: 12 Year: 2019 Keywords: options prices information content; risk neutral density; contract maturity series; Kernel. File-URL: http://www.inderscience.com/link.php?id=98700 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:1:p:39-58 Template-Type: ReDIF-Article 1.0 Author-Name: Anwar Hasan Abdullah Othman Author-X-Name-First: Anwar Hasan Abdullah Author-X-Name-Last: Othman Author-Name: Syed Musa Alhabshi Author-X-Name-First: Syed Musa Author-X-Name-Last: Alhabshi Author-Name: Razali Haron Author-X-Name-First: Razali Author-X-Name-Last: Haron Title: Cryptocurrencies, Fiat money or gold standard: an empirical evidence from volatility structure analysis using news impact curve Abstract: This study investigates whether symmetric and asymmetric volatility effects are persisted in the daily return series of Bitcoin currency compared to the gold and fiat money system using GARCH family models. The symmetric analysis shows that the three monetary systems exhibit time-varying volatility with high persistence and predictability behaviour whereas asymmetric analysis indicates that Bitcoin currency and gold are not significantly respond to asymmetric information effects in the financial markets however, the US dollar index is affected by the positive shocks. This suggesting Bitcoin and gold have the capability for hedging or safe-haven assets against market risk specifically during times of economic turmoil. Evidence suggests that cryptocurrency is a potential alternative to current fiat money system, offering benefit for policy makers and a good investment option for positional investors in terms of hedging, portfolio diversification strategy and risk management. Journal: Int. J. of Monetary Economics and Finance Pages: 75-97 Issue: 2 Volume: 12 Year: 2019 Keywords: cryptocurrencies; gold; Fiat Money; volatility; ARCH and GARCH models; news impact curve. File-URL: http://www.inderscience.com/link.php?id=100262 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:75-97 Template-Type: ReDIF-Article 1.0 Author-Name: Parul Kumar Author-X-Name-First: Parul Author-X-Name-Last: Kumar Author-Name: R.K. Sharma Author-X-Name-First: R.K. Author-X-Name-Last: Sharma Author-Name: Sunil Kumar Author-X-Name-First: Sunil Author-X-Name-Last: Kumar Title: An ARDL and cointegration approach for analysing determinants of foreign portfolio investors' in India Abstract: This paper examines the relationship of FPI Net flows domestic with international financial and macroeconomic indicators. The time frame covered by the study is from January 2000 till December 2017. Auto regressive distributed lag (ARDL) method along with the Co-integration Analysis is used. Results highlighted that the major determinants of FPI in India are, Nifty returns, wholesale price index (WPI), index of industrial production (IIP), rupee dollar exchange rate, NSE market capitalisation, foreign exchange reserves and in terms of international factors are S&P 500 returns and MSCI emerging market returns. LIBOR, CMR, broad money and MSCI World Index returns are not significant in explaining the variations in FPI to India. Journal: Int. J. of Monetary Economics and Finance Pages: 98-117 Issue: 2 Volume: 12 Year: 2019 Keywords: Nifty; S&P 500; emerging markets; exchange rate; inflation. File-URL: http://www.inderscience.com/link.php?id=100263 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:98-117 Template-Type: ReDIF-Article 1.0 Author-Name: Jamil Sayeed Author-X-Name-First: Jamil Author-X-Name-Last: Sayeed Author-Name: Md. Deen Islam Author-X-Name-First: Md. Deen Author-X-Name-Last: Islam Author-Name: Shanjida Yasmin Author-X-Name-First: Shanjida Author-X-Name-Last: Yasmin Title: Does the US economy face a long run trade off between inflation and unemployment? Abstract: As average inflation expectations anchored at the inflation target since 2000 in the USA, the long run Phillips curve may have become downward sloping. Since the great recession 2008-2009, the US economy has experienced an average of 0.22% points of undershooting of the inflation target over the period 2008Q1-2017Q4. This study finds that the long run Phillips curve for the USA has become flatter since 2008. Our estimates show that the US economy faced 1.6% points of higher average unemployment than what would have been the case if average inflation had been equal to the target. This is a significant unemployment cost resulting from both a flatter long run Phillips curve and an undershooting of the inflation target. Our findings suggest that the US economy has been facing a long run trade off between inflation and unemployment since the financial crisis. Journal: Int. J. of Monetary Economics and Finance Pages: 118-132 Issue: 2 Volume: 12 Year: 2019 Keywords: Phillips curve; undershooting; unemployment cost; inflation target; great recession. File-URL: http://www.inderscience.com/link.php?id=100264 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:118-132 Template-Type: ReDIF-Article 1.0 Author-Name: I. Made Sudana Author-X-Name-First: I. Made Author-X-Name-Last: Sudana Author-Name: Fahima Budi Imaniar Author-X-Name-First: Fahima Budi Author-X-Name-Last: Imaniar Author-Name: Nugroho Sasikirono Author-X-Name-First: Nugroho Author-X-Name-Last: Sasikirono Author-Name: Sanju Kumar Singh Author-X-Name-First: Sanju Kumar Author-X-Name-Last: Singh Title: Diversification and cash holdings: comparison between Indonesia and the Netherlands firms Abstract: This study examines the relationship between international diversification and cash holdings from 125 non-financial firms in Indonesia and the Netherlands. It also tests the moderation effect of product diversification on the relationship between international diversification and cash holdings. We assigned two OLS analysis models and quantile regressions. The result shows that the relationship between international diversification and cash holdings is negative and significant in both countries. Analysis using quantile regressions show that this relationship only occurs at low-level of cash holdings in Indonesia (Q2 to Q4). The relationship occurs at high-level in the Netherlands (Q8 and Q9). We also find that product diversification weaken the negative relationship of international diversification on cash holdings in Indonesia, but not in the Netherlands. Nevertheless, quantile regressions show that in the Netherlands there are mediating effects at high-level of cash holdings. Journal: Int. J. of Monetary Economics and Finance Pages: 133-151 Issue: 2 Volume: 12 Year: 2019 Keywords: diversification; internationalisation; cash holdings; quantile regression. File-URL: http://www.inderscience.com/link.php?id=100265 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:133-151 Template-Type: ReDIF-Article 1.0 Author-Name: Harman Arora Author-X-Name-First: Harman Author-X-Name-Last: Arora Author-Name: Parminder Kaur Author-X-Name-First: Parminder Author-X-Name-Last: Kaur Title: Analysis of structural linkages and inter-temporal stability in a cross-country BRICS portfolio Abstract: The paper attempts to evaluate prospects of constructing a successful cross-country portfolio by studying structural linkages and inter-temporal variations in the equity markets. To investigate market interdependence, shortterm capital co-movement was studied using Granger causality. Further, markets were tested for financial contagion and long-run interdependence using the Johansen co-integration test. The time-varying nature of capital markets was also tested through vector auto-regression modelling and impulse response function. The paper offers insights that co-integration amongst subject markets does not exist in long run and each market is mostly affected by price movements in its own market rather than fluctuation in other portfolio country stocks. The research cogently proposes economic feasibility of cross-country equity portfolio given the heterogeneity in markets and also advocates on intertemporal asset allocation strategies like pairs trade, long/short equity, managed futures and derivatives-based hedging. Journal: Int. J. of Monetary Economics and Finance Pages: 152-168 Issue: 2 Volume: 12 Year: 2019 Keywords: BRICS; emerging markets portfolio; co-integration; market interdependence. File-URL: http://www.inderscience.com/link.php?id=100266 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:2:p:152-168 Template-Type: ReDIF-Article 1.0 Author-Name: Hatem Hatef Abdulkadhim Altaee Author-X-Name-First: Hatem Hatef Abdulkadhim Author-X-Name-Last: Altaee Author-Name: Sazan Taher Saeed Author-X-Name-First: Sazan Taher Author-X-Name-Last: Saeed Title: On the drivers of inflation in Iraq Abstract: This study examines the main determinants of inflation in Iraq during the period from 1995 to 2017. In this context, this paper focuses on the major sources to explain inflation trend in Iraq. As econometrics technique, the autoregressive distributed lag (ARDL) cointegration framework is employed. The main results show that inflation has been caused by an admixture of factors including increase of money supply, and shortage of aggregate supply mirrored by growth of domestic product, which depends heavily on the performance of the oil sector and its price. The imported inflation seems to be another cause of inflation. However, one should not ignore the political instability and the sanction imposed on the country, as well as the invasion followed by the occupation of the country by the USA in 2003. Based on the results reached, the control of inflation in Iraq needs a combination of fiscal and monetary policies. Journal: Int. J. of Monetary Economics and Finance Pages: 180-195 Issue: 3 Volume: 12 Year: 2019 Keywords: inflation; inflation determinants; Iraq; ARDL approach. File-URL: http://www.inderscience.com/link.php?id=100618 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:3:p:180-195 Template-Type: ReDIF-Article 1.0 Author-Name: Michael K. Fung Author-X-Name-First: Michael K. Author-X-Name-Last: Fung Author-Name: Louis T.W. Cheng Author-X-Name-First: Louis T.W. Author-X-Name-Last: Cheng Author-Name: Tak-yan Leung Author-X-Name-First: Tak-yan Author-X-Name-Last: Leung Title: The signalling cost of hiring a large auditor: evidence from the fee differential between large and small auditors Abstract: The market for financial auditing is highly concentrated. If large auditors audit with greater accuracy, hiring a large auditor signals the firm's financial report quality to investors. This study considers the competition between large and small auditors and analytically shows that the fee differential between them consists of their audit cost difference and the signalling cost of hiring the former. The negative signal associated with a downward auditor switch is a switching cost. Large auditors therefore cannot compete with small auditors if the former perform no signalling function. The analytical model is empirically estimated to show the magnitude of the signalling cost embedded in a large auditor's audit and non-audit fees. Findings suggest that non-audit fees contain a larger signalling cost component than audit fees do. Moreover, auditees with higher financial report quality are willing to pay a higher signalling cost to signal their financial report quality. Journal: Int. J. of Monetary Economics and Finance Pages: 196-211 Issue: 3 Volume: 12 Year: 2019 Keywords: asymmetric information; signalling; financial audit market; price differential. File-URL: http://www.inderscience.com/link.php?id=100620 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:3:p:196-211 Template-Type: ReDIF-Article 1.0 Author-Name: Kerry Liu Author-X-Name-First: Kerry Author-X-Name-Last: Liu Title: China's reserve requirements and their effects on economic output and assets markets during 2008-2018 Abstract: From early 2018, China seems to have entered another around of reserve requirement ratio cuts. In fact, since the mid-2000s, China has used reserve requirements as a policy instrument much more frequently and intensively than before. This study reviews the recent developments of China's reserve requirements, and examines the linkage between reserve requirement adjustments and output growth and assets markets by using a series of univariate regressions, rolling correlations and error correction models. The results demonstrate an increasing ineffectiveness of reserve requirements ratio cuts on real economy and rising effectiveness on assets markets. Finally, this study discusses the policy implications of these findings. Journal: Int. J. of Monetary Economics and Finance Pages: 212-232 Issue: 3 Volume: 12 Year: 2019 Keywords: People's Bank of China; monetary policy; RRR; reserve requirement ratio. File-URL: http://www.inderscience.com/link.php?id=100621 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:3:p:212-232 Template-Type: ReDIF-Article 1.0 Author-Name: Mehmet Balcilar Author-X-Name-First: Mehmet Author-X-Name-Last: Balcilar Author-Name: Godwin Oluseye Olasehinde-Williams Author-X-Name-First: Godwin Oluseye Author-X-Name-Last: Olasehinde-Williams Author-Name: Muhammad Shahbaz Author-X-Name-First: Muhammad Author-X-Name-Last: Shahbaz Title: Asymmetric dynamics of insurance premium: the impact of monetary policy uncertainty on insurance premiums in Japan Abstract: By employing a non-linear autoregressive distributed lag (NARDL) model, this study investigates the effect of monetary policy uncertainty on insurance premium in Japan. Asides the confirmation of a long-run relationship between monetary policy uncertainty, insurance premium and real income, we also find that a positive relationship exists between monetary policy uncertainty and insurance premium. This shows that when economic policy uncertainty increases (decreases) then insurance premiums increases (decreases) in response. Moreover, we discovered that monetary policy uncertainty impacts insurance premium in an asymmetric way, such that negative changes have a bigger effect than positive changes on total insurance premium in Japan. We also found that real income has a significant and positive effect on insurance premium, and that the long run elasticity of insurance premium on real income is smaller than unit. This implies that insurance is a necessity and not a luxury in Japan. Journal: Int. J. of Monetary Economics and Finance Pages: 233-247 Issue: 3 Volume: 12 Year: 2019 Keywords: monetary policy uncertainty; insurance premiums; NARDL; non-linear autoregressive distributed lag. File-URL: http://www.inderscience.com/link.php?id=100625 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:3:p:233-247 Template-Type: ReDIF-Article 1.0 Author-Name: Ala' Bashayreh Author-X-Name-First: Ala' Author-X-Name-Last: Bashayreh Author-Name: Mohammad W. Alomari Author-X-Name-First: Mohammad W. Author-X-Name-Last: Alomari Author-Name: Samer Abdelhadi Author-X-Name-First: Samer Author-X-Name-Last: Abdelhadi Author-Name: Naderh Mryan Author-X-Name-First: Naderh Author-X-Name-Last: Mryan Title: Banks' financial innovation and the demand on money Abstract: Financial innovation has come through improvement over time in financial tools and payment instruments used in the lending and borrowing of funds. This study aims at investigating the effect of electronic money on demand for money in Jordanian economy. The study uses ordinary least square (OLS) regression model to analyse a panel data over the period of (2011-2016), depending on data collecting of 13 commercial banks in Jordan. Results reveal that both GDP growth and the growth of visa cards number of each bank have positive and significant effect on the demand for money. On other hand, money demand was found to be negatively related with growth of interest rate, growth of total credit facilities granted by each bank, technological progress and utility bills paying service. Journal: Int. J. of Monetary Economics and Finance Pages: 169-179 Issue: 3 Volume: 12 Year: 2019 Keywords: demand on money; financial innovation; commercial banks; Jordan. File-URL: http://www.inderscience.com/link.php?id=100626 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:3:p:169-179 Template-Type: ReDIF-Article 1.0 Author-Name: Nikiforos T. Laopodis Author-X-Name-First: Nikiforos T. Author-X-Name-Last: Laopodis Title: The information set of the Fed's policy reaction function Abstract: This paper examines the Federal Reserve's information set in setting monetary policy. A number of macroeconomic variables are examined during the regimes of Volcker, Greenspan, Bernanke, and Yellen. The empirical findings from the Fed's benchmark reaction function indicate that there have been distinct reactions of stock returns to fed funds rate shocks during each different monetary regime. These reactions appear more turbulent and persistent during the Bernanke and Yellen regimes than during the previous Chairs's terms. When augmenting the Fed's reaction function with variables such as credit and term spreads, the unemployment rate, and financial uncertainty, it was revealed that the Fed might have actually considered each of these magnitudes separately in its deliberations to conduct monetary policy. Finally, stock returns were found to react differently over different phases of the business cycle, following movements in the Fed's reaction function, with their reactions additionally found to be dissimilar during each bull and bear stock markets. Journal: Int. J. of Monetary Economics and Finance Pages: 249-273 Issue: 4 Volume: 12 Year: 2019 Keywords: monetary regimes; Fed reaction function; fundamentals; bull; bear markets. File-URL: http://www.inderscience.com/link.php?id=101939 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:4:p:249-273 Template-Type: ReDIF-Article 1.0 Author-Name: José Soares Da Fonseca Author-X-Name-First: José Soares Da Author-X-Name-Last: Fonseca Title: Do credit default swaps affect the time-varying cointegration between PIIGS's sovereign interest rates? Abstract: This paper shows that the linkages between the sovereign interest rate spreads of Greece, Ireland, Italy, Portugal and Spain, during the period from the beginning of 2008 till the end of 2014, were significantly dependent on credit default swaps (CDSs). Three rolling autoregressive distributed lag (ARDL) models were used to estimate the interest rates cointegration: one restricted model that includes only interest rates as variables, one restricted model that includes CDSs and the unrestricted model that joins CDSs to interest rates in the estimations. The frequency of cointegration phases is higher both in the restricted model with credit default swaps and in the unrestricted model than in the restricted model with interest rates. However, the non-cointegration phases were predominant in all the models. The output of rolling ARDL estimations was included in logit models which give the probability that a cointegration phase in one domestic market occurs simultaneously with an identical phase in the other markets. Journal: Int. J. of Monetary Economics and Finance Pages: 274-289 Issue: 4 Volume: 12 Year: 2019 Keywords: ARDL; autoregressive distributed lag; interest rate spreads; CDSs; credit default swaps; rolling cointegration estimations. File-URL: http://www.inderscience.com/link.php?id=101940 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:4:p:274-289 Template-Type: ReDIF-Article 1.0 Author-Name: Atanas Sixpence Author-X-Name-First: Atanas Author-X-Name-Last: Sixpence Author-Name: Olufemi Patrick Adeyeye Author-X-Name-First: Olufemi Patrick Author-X-Name-Last: Adeyeye Title: Value relevance of book values and earnings of listed non-financial firms in South Africa: a dynamic panel analysis Abstract: We analyse value relevance of book values and earnings before interest and taxes (EBIT) using a dynamic panel of non-financial firms listed on the Johannesburg Stock Exchange (JSE). In the aftermath of the global financial crisis, we seek to find out if share prices are linked to financial statement variables. A random sample of twenty-seven high- and low-capitalised firms was used. Using two-step System GMM with net asset value per share and average debt/equity ratio as additional regression instruments, we found EBIT to be value relevant but book value lacks value relevance. Analysts and investors on the JSE should thus focus more on EBIT when analysing companies they intend to invest in and should pay less attention to book value. Accounting standard setters can also put more measures that protect the integrity of reported EBIT as a way of helping investors and ensuring that accounting statements remain useful to investors. Journal: Int. J. of Monetary Economics and Finance Pages: 290-308 Issue: 4 Volume: 12 Year: 2019 Keywords: value relevance; EBIT; earnings before interest and taxes; book value; South Africa; Ohlson model; dynamic panel analysis; non-financial firms. File-URL: http://www.inderscience.com/link.php?id=101941 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:4:p:290-308 Template-Type: ReDIF-Article 1.0 Author-Name: Fouzan Al Qaisi Author-X-Name-First: Fouzan Al Author-X-Name-Last: Qaisi Title: Corporate social responsibility effect on firm's financial performance in Jordan Abstract: The aim of the study investigates the impact of dimensions of corporate social responsibility (CSR) (environmental, community service, and human resources) on financial performance measured by return on assets (ROA). The sample of the study included the used (15) Jordanian companies listed in Amman stock exchange as a sample of this research during the period 2012-2016. To achieve the purposes of the study, and to analyse the data extracted from the annual reports, the researcher used simple and multiple linear regression methods. Social responsibility (environmental, community service, and human resources) on financial performance measured by ROA. Journal: Int. J. of Monetary Economics and Finance Pages: 325-342 Issue: 4 Volume: 12 Year: 2019 Keywords: CSR; corporate social responsibility; environmental; community service; Amman stock exchange. File-URL: http://www.inderscience.com/link.php?id=101942 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:4:p:325-342 Template-Type: ReDIF-Article 1.0 Author-Name: Shawn Osell Author-X-Name-First: Shawn Author-X-Name-Last: Osell Title: A partial two sector banking model with interest on reserves Abstract: This paper develops a two-sector theoretical partial equilibrium model with interest on reserves (IOR) in the banking sector. It also constructs standard vector autoregression models with empirical data including IOR. The objective of this paper is to analyse the monetary policy transmission effects of the Federal Reserve's interest on reserve policy. Impulse response functions are applied to both the theoretical and empirical models. The estimated impulse response functions are then compared to the theoretical models impulse response functions in order to see how well the model fits the data. This paper's model finds that the interest on reserve tool and open market operations (OMO) have the same effect on the macroeconomy. Journal: Int. J. of Monetary Economics and Finance Pages: 309-324 Issue: 4 Volume: 12 Year: 2019 Keywords: monetary policy; IOR; interest on reserves; quantitative easing; vector autoregression. File-URL: http://www.inderscience.com/link.php?id=101943 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:4:p:309-324 Template-Type: ReDIF-Article 1.0 Author-Name: Katerina Gawthorpe Author-X-Name-First: Katerina Author-X-Name-Last: Gawthorpe Title: Analysis of the demand for the alternative currency WIR Abstract: This case study outlines an empirical analysis of factors explaining the substantial demand for the oldest and the largest private currency, Switzerland's Wirtschaftsring (WIR). The method of analysis consists of vector autoregressive (VAR) models accompanied by a vector error correction model (VECM). First, the empirical analysis proves that WIR circulates as a substitute to the Swiss Franc. This result warrants the construction of a subsequent model to reveal the characteristics responsible for the switch. The variables of interest consist of the inflation rate and the interest rate for the Swiss Franc and the Swiss gross domestic product (GDP). The outcome supports an elevation of demand for the WIR currency in times connected with higher inflation for the Swiss Franc and more expansive credit denominated in the national currency. Finally, the WIR demand appears to behave countercyclical in respect to the Swiss GDP. Journal: Int. J. of Monetary Economics and Finance Pages: 343-360 Issue: 5 Volume: 12 Year: 2019 Keywords: Switzerland's Wirtschaftsring; WIR currency; alternative currency; local money; Switzerland. File-URL: http://www.inderscience.com/link.php?id=102953 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:343-360 Template-Type: ReDIF-Article 1.0 Author-Name: Van Dan Dang Author-X-Name-First: Van Dan Author-X-Name-Last: Dang Title: The risk-return trade-off of liquidity positions: evidence from Vietnamese banking system Abstract: The study investigates how liquidity positions affect bank performance at Vietnamese commercial banks for the period of 2007-2017, in terms of credit risk and profitability. We employ the generalised method of moments (GMM) for the dynamic panel models to implement some alternative regression techniques. The robust results indicate that the liquidity position induces a trade-off between risk and return. More precisely, banks holding more liquid assets tend to face less credit risks but yield less profits. These effects seem not to be strong and we also examine if the effect of liquidity on bank return exerts an increasingly downward slope depending on bank riskiness, but there is no significant evidence found. The findings of this study provide some insightful policy implications for banking market in Vietnam as well as other emerging countries. Journal: Int. J. of Monetary Economics and Finance Pages: 390-406 Issue: 5 Volume: 12 Year: 2019 Keywords: credit risk; dynamic approach; emerging market; liquidity; performance; return; trade-off. File-URL: http://www.inderscience.com/link.php?id=102954 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:390-406 Template-Type: ReDIF-Article 1.0 Author-Name: Jincy K. John Author-X-Name-First: Jincy K. Author-X-Name-Last: John Author-Name: R. Amudha Author-X-Name-First: R. Author-X-Name-Last: Amudha Author-Name: M. Muthukamu Author-X-Name-First: M. Author-X-Name-Last: Muthukamu Title: Demonetisation upshot on the volatility and returns of banking sector stocks of national stock exchange Abstract: Demonetisation, the tool used by the Indian government, to battle the income earned surreptitiously when it decided to enforce by announcing after the trading hours of the Indian equity market on 8 November, 2016. The data relating to the price behaviour of the selected stocks for the period of six months before and after the demonetisation process were considered for the study. It was found that the Indian banking industry was able to deliver positive returns even during the post demonetisation period. In order to understand the pre and post level of volatility, triggered by the rarest economic event i.e., ‘demonetisation’, hitting the Indian economy, the study was done by aptly applying the GARCH (1,1) model and was found that the private sector banking stocks were more volatile than the public sector banking stocks and this scenario was found to repeat during the post demonetisation period too. Journal: Int. J. of Monetary Economics and Finance Pages: 426-444 Issue: 5 Volume: 12 Year: 2019 Keywords: demonetisation; volatility; GARCH (1,1) model; banking sectoral stocks; private sector banking stocks; public sector banking stocks; pre-demonetisation; post-demonetisation; heteroscedasticity effect. File-URL: http://www.inderscience.com/link.php?id=102955 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:426-444 Template-Type: ReDIF-Article 1.0 Author-Name: Esmail Amiri Author-X-Name-First: Esmail Author-X-Name-Last: Amiri Title: Modelling and forecasting long memory time series with exponential and switching GARCH models Abstract: There is some evidence that structural change or stochastic regime switching and long memory are intimately related concepts. However, long memory and regime switching in a stochastic process are properties that could be easily confused in a financial study. Using a modelling approach, the aim is to distinguish regime switching behaviour from long memory for the financial time series. In an empirical study the forecasting performance of symmetric, asymmetric, long memory and Markov switching GARCH model are compared using Tehran stock market daily returns. The results indicate that in out of sample performance, long memory exponential GARCH (FIEGARCH) model outperforms the competing models. To ensure the validity of the results, the value at risk (VaR) forecasts are obtained for each model and a loss function is calculated. A simple rule for distinguishing between long memory and structural break in financial and economic time series is suggested. Journal: Int. J. of Monetary Economics and Finance Pages: 407-425 Issue: 5 Volume: 12 Year: 2019 Keywords: long memory; Markov switching; GARCH; FIEGARCH; MS-GARCH; structural breaks; ARCH effect; volatility; value at risk; persistence. File-URL: http://www.inderscience.com/link.php?id=102956 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:407-425 Template-Type: ReDIF-Article 1.0 Author-Name: Rui Wang Author-X-Name-First: Rui Author-X-Name-Last: Wang Title: Unconventional monetary policy in US: empirical evidence from estimated shadow rate DSGE model Abstract: Recent empirical research on macro-finance has proved that the shadow rate can be used as an accurate measure to represent the stance of unconventional monetary policy in the zero lower bound (ZLB) environment. We use the shadow rate to estimate a dynamic stochastic general equilibrium (DSGE) model of US economy and conduct counterfactual simulation to quantify the macroeconomic effects of unconventional monetary policy implemented by the Fed. Compared with the estimation result of pre-ZLB sub-sample, the structural parameters estimated from full-samples with shadow rate have reasonable posterior distributions that are consistent with most of related DSGE literatures. This finding validates the applicability of shadow rate in the estimation of DSGE models without using any nonlinear techniques. Counterfactual simulation shows that without the unconventional monetary policy conducted by the Fed, macroeconomic variables of US economy would have worse performance than their actual realisations. Journal: Int. J. of Monetary Economics and Finance Pages: 361-389 Issue: 5 Volume: 12 Year: 2019 Keywords: shadow rate; DSGE estimation; unconventional monetary policy; counterfactual simulation. File-URL: http://www.inderscience.com/link.php?id=102958 File-Format: text/html File-Restriction: Access to full text is restricted to subscribers. Handle: RePEc:ids:ijmefi:v:12:y:2019:i:5:p:361-389