International Journal of Monetary Economics and Finance http://www.inderscience.com/browse/index.php?journalID=218&year=2012&vol=5&issue=1 Inderscience Publishers Ltd en-uk International Journal of Monetary Economics and Finance 1752-0479 1752-0487 © 2012 Inderscience Publishers Ltd editor@inderscience.com https://www.inderscience.com/images/files/coverImgs/ijmef_scoverijmef.jpg http://www.inderscience.com/browse/index.php?journalID=218&year=2012&vol=5&issue=1 http://www.inderscience.com/link.php?id=44464 This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the stock prices at low levels of oil prices, below $40 per oil barrel, but no evidence of such cyclical association between the two asset prices at the high oil price levels above $72 per barrel. This implies that the capital markets in these countries and oil market respond in different pattern to cycle generating shocks, as high oil prices may raise global investment risk. Crude oil price and stock markets in major oil-exporting countries: evidence of decoupling feature
Ibrahim A. Onour
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 1 - 10
This paper investigates common cyclical feature between crude oil market and stock markets in major oil-exporting countries including Saudi Arabia, United Arab Emirates (UAE) and Kuwait. The results of the paper show the evidence of common cyclical association between oil price and each of the stock prices at low levels of oil prices, below $40 per oil barrel, but no evidence of such cyclical association between the two asset prices at the high oil price levels above $72 per barrel. This implies that the capital markets in these countries and oil market respond in different pattern to cycle generating shocks, as high oil prices may raise global investment risk.

]]> 10.1504/IJMEF.2012.044464 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 1 - 10 Ibrahim A. Onour Department of Business Administration, School of Management Studies, University of Khartoum, Sudan, P.O. Box: 5834 Safat 13059, Kuwait common trends shared cycles nonlinear cointegration crude oil prices stock markets oil exporting countries oil exports Saudi Arabia United Arab Emirates UAE Kuwait investment risks. 2011-12-26T23:20:50-05:00 5 1 1 10 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44463 This study examines the interaction of state and social institutions, namely labour unions. Examining the type of capitalist structure of the state, one can draw conclusions about institutional arrangements and economic structures. The literature on Varieties of Capitalism (VoC) and inflation targeting are numerous; a synthesis takes into account economic and social structures including interactions with monetary policy. Multivariate models test the assumption of differences between inflation targeters and non-targeters. Models demonstrate state intervention in labour markets and union activities. The study concludes by presenting findings about relationships between the capitalist structure of the state, social institutions and inflation targeting. Hitting the right target: an examination of inflation targeting and labour within the varieties of capitalism framework
Joseph J. St. Marie
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 11 - 23
This study examines the interaction of state and social institutions, namely labour unions. Examining the type of capitalist structure of the state, one can draw conclusions about institutional arrangements and economic structures. The literature on Varieties of Capitalism (VoC) and inflation targeting are numerous; a synthesis takes into account economic and social structures including interactions with monetary policy. Multivariate models test the assumption of differences between inflation targeters and non-targeters. Models demonstrate state intervention in labour markets and union activities. The study concludes by presenting findings about relationships between the capitalist structure of the state, social institutions and inflation targeting.

]]> 10.1504/IJMEF.2012.044463 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 11 - 23 Joseph J. St. Marie International Development Doctoral Program, The University of Southern Mississippi, USA VoC varieties of capitalism Taylor rule corporatism inflation targeting labour unions trade unions monetary policy. 2011-12-26T23:20:50-05:00 5 1 11 23 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44465 This paper contends that abundant liquidity in the economy might be an important determinant of market inefficiency. Restrictive monetary periods are characterised by high bank lending growth compared with expansive monetary periods. Therefore, if excess liquidity is a cause of market inefficiency, the latter is expected to come out essentially in restrictive monetary environments. Consistent with this intuition, empirical tests here highlight that expected stock returns in the USA are driven by fundamentals only in expansive monetary phases whereas investor sentiment seems to be the most important driving force in restrictive monetary environments. Monetary environment and market inefficiency
Yacine Hammami
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 24 - 37
This paper contends that abundant liquidity in the economy might be an important determinant of market inefficiency. Restrictive monetary periods are characterised by high bank lending growth compared with expansive monetary periods. Therefore, if excess liquidity is a cause of market inefficiency, the latter is expected to come out essentially in restrictive monetary environments. Consistent with this intuition, empirical tests here highlight that expected stock returns in the USA are driven by fundamentals only in expansive monetary phases whereas investor sentiment seems to be the most important driving force in restrictive monetary environments.

]]> 10.1504/IJMEF.2012.044465 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 24 - 37 Yacine Hammami Department of Finance, University of Tunis, ISG Tunis, Tunisia asset pricing models bank lending monetary policy market efficiency overreaction market inefficiency liquidity USA United States. 2011-12-26T23:20:50-05:00 5 1 24 37 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44466 We test whether different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish corporate debt markets. We observe a significant widening of yield spreads in short- and long-term corporate debt after reviews of downgrades and negative outlook reports. Additionally, certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the short-term market, trading volumes are found to fade after reviews for downgrade. Credit rating announcements, trading activity and yield spreads: the Spanish evidence
Pilar Abad; Antonio Díaz; M. Dolores Robles-Fernández
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 38 - 63
We test whether different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish corporate debt markets. We observe a significant widening of yield spreads in short- and long-term corporate debt after reviews of downgrades and negative outlook reports. Additionally, certain rating announcements encourage trading activity even when the information is not pricing-relevant. The release of information arouses investor interest for the involved securities. Thus, trading frequency increases, although larger-sized transactions, which should denote possible portfolio rebalancing, are not observed. In the short-term market, trading volumes are found to fade after reviews for downgrade.

]]> 10.1504/IJMEF.2012.044466 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 38 - 63 Pilar Abad; Antonio Díaz; M. Dolores Robles-Fernández Departamento de Fundamentos del Análisis Económico, Universidad Rey Juan Carlos, Paseo Artilleros s/n, 28032 Madrid, Spain and RFA-IREA. ' Departamento de Análisis Económico y Finanzas, Universidad de Castilla-La Mancha, Plaza de la Universidad 1, 02071 Albacete, Spain. ' Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa), Universidad Complutense de Madrid, Campus de Somosaguas, 28223 Pozuelo de Alarcón, Madrid, Spain CRAs credit rating agencies rating changes event study yields liquidity trading frequency corporate bond markets commercial paper market Spain corporate debt trading patterns trading activity. 2011-12-26T23:20:50-05:00 5 1 38 63 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44467 The study investigated the nexus between financial sector development and economic growth in South Africa using cointegration and error correction modelling and; the Granger causality tests. The results of the study show that economic growth is explained by the financial sector variables and control variables such as inflation, exchange rate, and real interest rates. The Granger causality test results show that there is generally a bidirectional relationship between economic growth and financial sector development which implies that if the economy grows the financial services sector also grows and vice versa. Financial sector development and economic growth nexus in South Africa
Tafirenyika Sunde
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 64 - 75
The study investigated the nexus between financial sector development and economic growth in South Africa using cointegration and error correction modelling and; the Granger causality tests. The results of the study show that economic growth is explained by the financial sector variables and control variables such as inflation, exchange rate, and real interest rates. The Granger causality test results show that there is generally a bidirectional relationship between economic growth and financial sector development which implies that if the economy grows the financial services sector also grows and vice versa.

]]> 10.1504/IJMEF.2012.044467 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 64 - 75 Tafirenyika Sunde Department of Economics, School of Business Management, Polytechnic of Namibia, Private Bag 13388, Windhoek, Namibia; 13 Storch Street, Windhoek, Namibia financial development economic growth financial sector development monetary economics finance unit root tests cointegration error correction modelling Granger causality bidirectional South Africa. 2011-12-26T23:20:50-05:00 5 1 64 75 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44468 In this paper, we accomplish two tasks. First, we estimate the output gap for the United Arab Emirates using the production function approach. Secondly, we evaluate to what extent the fluctuations of the output gap are an important indicator of domestic inflation. We find that the output gap profile produced by the production function approach fits reasonably well the UAE's recent economic history in capturing past peaks and troughs. To assess how well the output gap performs in explaining domestic inflation, we used a backward-looking Phillips curve equation. The output gap variable had the expected sign but was statistically insignificant. Estimating the output gap for the UAE: a production function approach
Mohamed A. Osman; Rosmy Jean Louis; Faruk Balli
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 76 - 86
In this paper, we accomplish two tasks. First, we estimate the output gap for the United Arab Emirates using the production function approach. Secondly, we evaluate to what extent the fluctuations of the output gap are an important indicator of domestic inflation. We find that the output gap profile produced by the production function approach fits reasonably well the UAE's recent economic history in capturing past peaks and troughs. To assess how well the output gap performs in explaining domestic inflation, we used a backward-looking Phillips curve equation. The output gap variable had the expected sign but was statistically insignificant.

]]> 10.1504/IJMEF.2012.044468 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 76 - 86 Mohamed A. Osman; Rosmy Jean Louis; Faruk Balli Department of Economics and Statistics, University of Dubai, P.O. Box 14143, Dubai, UAE. ' Faculty of Management, Department of Economics and Finance, Vancouver Island University, Building 250 Room 464, 900 Fifth Street, Nanaimo BC V9R 5S5, Canada. ' School of Economics and Finance, Massey University, Private bag 11 222, Palmerston North, New Zealand; Department of Business Administration, Suleyman Sah University, Turkey UAE United Arab Emirates output gap inflation Hodrick Prescott filter production function Phillips curve. 2011-12-26T23:20:50-05:00 5 1 76 86 2011-12-26T23:20:50-05:00 http://www.inderscience.com/link.php?id=44482 This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto Regressive-Distributed Lag (ARDL) model to determine if the markets are co-integrated. In contrast to traditional co-integration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The co-integration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend. Price linkages between the GCC stock markets: a bounds test using an Auto Regressive-Distributed Lag model
Abraham Abraham; Haider Madani
International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 87 - 98
This paper examined the linkages between the equity markets in the Gulf Cooperation Council's (GCC) region. Specifically, we applied a bounded test using an Auto Regressive-Distributed Lag (ARDL) model to determine if the markets are co-integrated. In contrast to traditional co-integration analysis, the ARDL procedure does not require the prior determination of the order of integration of the variables. The co-integration tests showed that the GCC markets are segmented. However, the subset of the markets comprising the oil and gas economies of Saudi Arabia, Kuwait and Qatar, along with Oman and Dubai share a common trend.

]]> 10.1504/IJMEF.2012.044482 International Journal of Monetary Economics and Finance, Vol. 5, No. 1 (2012) pp. 87 - 98 Abraham Abraham; Haider Madani College of Industrial Management, King Fahd University of Petroleum and Minerals (KFUPM), Dhahran 31261, Saudi Arabia. ' College of Industrial Management, King Fahd University of Petroleum and Minerals (KFUPM), Dhahran 31261, Saudi Arabia stock market linkages GCC emerging markets ARDL model Gulf Cooperation Council equity markets co-integration tests oil and gas economies Saudi Arabia Kuwait Qatar Oman Dubai common trends. 2011-12-26T23:20:50-05:00 5 1 87 98 2011-12-26T23:20:50-05:00