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International Journal of Monetary Economics and Finance

International Journal of Monetary Economics and Finance (IJMEF)

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International Journal of Monetary Economics and Finance (11 papers in press)

Regular Issues

  • Central Bank Independence and Monetary Policy Outcomes in Ghana: A Bayesian Structural Time Series Approach   Order a copy of this article
    by Isaac Bentum-Ennin, Paul O. Takyi 
    Abstract: The paper examines the impact of central bank independence (CBI) on monetary policy outcomes in Ghana using annual data from 1985 to 2019 and the novel Bayesian structural time series approach. The results reveal that the granting of autonomy to the Bank of Ghana has increased economic growth by about 43% in relative terms and 1.9% in absolute terms. In absolute terms, the CBI has increased the value of the Ghana cedi to the US dollar by 1.8. Relatively, the loss in value of the local currency during the CBI period is about 400%. Also, although CBI resulted in a reduction in inflation by 10% and 41% in absolute and relative terms respectively, these effects are not statistically significant. From a policy perspective, strengthening the operations of the Bank of Ghana is necessary to achieve its desired objectives of lower inflation, higher economic growth, and strong local currency.
    Keywords: Central Bank Independence; Bayesian Structural Time Series; Monetary Policy; Inflation; Exchange Rate; Ghana.
    DOI: 10.1504/IJMEF.2023.10061003
     
  • Nexus between Monetary Policy, Net Foreign Assets and Exchange Rate: Fresh insight from Lao PDR   Order a copy of this article
    by Sorphasith Xaisongkham, Liu Xia, Muhammad Saeed Meo, Phetphongphanh Savangchakavane, Somchith Sompaseuth 
    Abstract: This research aims to discover the nexus between monetary policy, net foreign assets and exchange rate in Lao PDR by applying an Autoregressive Distributed Lag (ARDL) model and a modified version of Toda & Yamamoto approach to Granger causality relationship. The findings aver the presence of cointegration when exchange rate and monetary policy were utilized as response variables, and corroborated a feedback effect between exchange rate with currency in circulation and monetary policy. Similarly, the article found a negative effect of net foreign assets on exchange rate, while monetary policy was a major cause of depreciation for domestic currency against US dollar in Lao PDR. The results confirmed a bidirectional causality between exchange rate and currency in circulation, whilst there was one-way causality running from currency in circulation to monetary policy and net foreign assets, which policy recommendations are essential tools to exploit in practical application for Laos and other small developing countries.
    Keywords: Exchange Rate; Net Foreign Assets; Monetary Policy; ARDL model; Toda & Yamamoto Approach.
    DOI: 10.1504/IJMEF.2024.10061324
     
  • How does organisational capital influence firm value? Moderating effect of tax haven utilisation   Order a copy of this article
    by Elisa Tjondro, I. Made Narsa, Heru Tjaraka 
    Abstract: This study investigates whether organisational capital and tax haven utilisation through subsidiaries are associated with firm value. We use 705 observations of Indonesia-listed firms from the agriculture and manufacturing sectors as the main contributors to the gross domestic product (GDP). The sample has been analysed using the weighted least square panel regression technique over the period 2015
    Keywords: Organisational capital; intangible capital; tax haven utilisation; firm value; tax audit; sustainable tax behaviour.
    DOI: 10.1504/IJMEF.2024.10062537
     
  • Bibliometric and Statistical Approaches to Examining Non-performing Loans in the Eurozone   Order a copy of this article
    by Adriana Novotna 
    Abstract: Being part of an integration of countries offers advantages such as shared benefits among nations, but also exposes economies to the potential unfavourable effects across the entire region. In the context of the Eurozone, non-performing loans play a crucial role as they reflect the health of member countries' banking sectors under a shared monetary policy. This study delves into the multifaceted determinants influencing non-performing loans within the dynamic landscape of Euro area countries during the period from 1999 to 2021. To conduct a comprehensive examination of this issue, we employ bibliometric analysis of co-occurring keywords using the VOSviewer software to explore which determinants were relevant to the topic. Then, we examine selected bank-specific and macroeconomic determinants through panel data analysis. By compiling four different models, the results indicate interest rates as key indicator influencing the non-performing loan ratio, with other determinants explored and compared to findings from other studies.
    Keywords: non-performing loans; bank-specific determinants; macroeconomic determinants; Eurozone; banks; bibliometric analysis; statistical analysis; VOSviewer; co-occurring keywords; panel data.
    DOI: 10.1504/IJMEF.2024.10063923
     

Special Issue on: ACFA2021 Financial Markets and Stabilisation Policies in Turbulent Times

  • The Effect of Demographic Changes on Real Interest Rates: Theory and Empirical Evidence from the OECD.   Order a copy of this article
    by Kristine Gevorgyan 
    Abstract: Do demographic changes a_ect the real interest rates? Using an analytical three-period overlapping generation model we show that the equilibrium real interest rate increases when the fertility and the mortality rates are higher. A larger share of younger population in the economy increases the demand for loans which subsequently increases the real interest rate. We empirically con_rm these relationships using cross-country regressions with data on long-term real interest rates, fertility, and mortality rates from the OECD.
    Keywords: Real Interest Rates; Demographics; Aging Population; Overlapping Generations Model; Cross-Country Regressions.
    DOI: 10.1504/IJMEF.2023.10060999
     
  • The effects of COVID-19 pandemic on the exchange rate: an empirical analysis for turkey as an emerging economy   Order a copy of this article
    by Fatih Ayhan 
    Abstract: The COVID-19 pandemic has deeply affected all economies, especially the macroeconomic indicators of developing countries. There have also been changes in all economic indicators in Turkish economy since COVID-19 cases appeared in March 2020. The USD/TRY exchange rate (EXC) also fluctuated in this period. In this study, the determinants of the USD/TRY exchange rate were empirically tested for 11/03/202006/11/2020 when the cases of COVID-19 increased. This research investigated the relationship between the daily number of COVID-19 cases (COVID), oil prices (OIL), and gold prices (GOLD) in Turkey. The findings of the residual augmented least squares (RALS) regression model showed that COVID, GOLD, and OIL have a statistically significant and negative effect on EXC. According to the regression model results, the increase in the COVID, GOLD, and OIL variables decrease the USD/TRY exchange rate, respectively. The most influential factor in determining the USD/TRY appears to be the rate of oil prices during the pandemic period. The most effective tool for policymakers to control exchange rate volatility seems to seek solutions for oil and energy prices.
    Keywords: exchange rate; oil prices; COVID-19; RALS; residual augmented least squares; Turkish economy.
    DOI: 10.1504/IJMEF.2022.10050901
     
  • The Markov-switching drivers of foreign exchange rate comovements in the case of CEE countries   Order a copy of this article
    by Mercédesz Mészáros, Dóra Sallai, Gabor David Kiss 
    Abstract: Significant foreign exchange market turbulences have emerged in recent years, which makes it worthwhile to monitor the co-movements of the exchange rates which are influenced by the variables of macroeconomic and financial environment. Regarding the effects of market contagion after exogenous shocks, it is also essential to capture the less examined elements linked to this like the measures of unconventional monetary policy. Fitting a Dynamic Conditional Correlation and Markov-Switching models to the sample of the Czech, Hungarian and Polish foreign exchange markets we analyzed whether their currencies moved together with their euro area benchmarks between 2007 and 2020. Our results showed the heterogeneity of the regional currencies. In addition, the research finding is that regime-changes revealed more similarities in case of the Polish and Hungarian currencies than what we were able to identify in the case of CZK.
    Keywords: contagion; CEE; foreign exchange markets; unconventional monetary policy; Markov-Switching.
    DOI: 10.1504/IJMEF.2023.10057736
     
  • Recovery Theorem and the Risk Aversion. Evidence from the Czech Republic.   Order a copy of this article
    by Martin ?asta 
    Abstract: The main goal of this study is to obtain expectations regarding the future development of the exchange rate using derived option probabilities and based on them to calculate the perception of risk by investors. More specifically, this study deals with the application of the Ross recovery theorem in the FOREX market using the CZK/EUR exchange rate. From a theoretical point of view, I offer an expression of the Ross recovery theorem using different Numeraire and I also apply a novel approach to the calculation of the implied risk premium. The results show that both subjective and risk-neutral densities are not unbiased probability estimates of a future exchange rate. However, the results show a significant increase in the implied risk aversion during the Covid19 pandemic.
    Keywords: Risk Aversion; Ross Recovery Theorem; Risk-neutral densities; Risk aversion; Risk premium; Covid19; FX options; Czech Republic; Czech Koruna.
    DOI: 10.1504/IJMEF.2023.10057737
     

Special Issue on: Islamic banking Novel topics and challenges

  • Dynamic Behavior of Islamic Banking Financing in the Real Sector   Order a copy of this article
    by Faizul Mubarok, M. Nur Rianto Al Arif, Abdul Hamid 
    Abstract: One of the activities of Islamic banking is channeling financing to the real sector, comprising different characteristics, therefore appropriate management of the distribution process is needed. The purpose of this study is to analyze the effect of real sector financing on non-performing Islamic banking in the short and long terms and analyzes its response in facing real sector financing shocks. This study uses a Vector Error Correction Model with data collected monthly from Islamic commercial banks and business units from 2007 to 2020. The results showed no effect in the short term, with a significant effect in the long term on the industrial sector. Islamic banking stabilized the fastest when it responded to the agricultural sector financing shock. Furthermore, the transportation, warehousing, and communication sectors dominate the non-performing financing of Islamic banking, therefore a reserve fund is needed to create a portfolio and a priority scale.
    Keywords: Financing; Non-Performing Financing; Real Sector; Islamic Bank.
    DOI: 10.1504/IJMEF.2024.10057738
     

Special Issue on: Monetary Policy and Financial Stability in the Post-COVID-19 Economies

  • A Correspondence Analysis on Dynamics of Local Gold Price among Major Consumer Economies During the Pre-Covid Period and the Pandemic Period   Order a copy of this article
    by SREEJITH S, Hareesh Ramanathan 
    Abstract: Gold is known as one of the precious metals The largest consumers of physical gold are China and India The consumer's attitude towards gold in these emerging markets for both consumption and investment is linked with their culture The price of gold in Indian and Chinese local markets mostly differs from International markets, either at a premium or at a discount price The recent economic slowdown during the outbreak of the covid19 also affected the investment preferences of investors, especially towards safe-haven investments However, due to the global pandemic, the demand for physical gold dropped to its lowest quarterly total since 2009 Social restrictions, economic slowdown, and strong gold-price are contributed to the same The premium or discount offered to gold prices in the local market also gives leverage for the economy to perform The study compares the strategies adopted by the largest consumer markets of gold.
    Keywords: Gold Price; Premium Gold Price; Discount Gold Price; Pandemic; Covid19; Correspondence Analysis.
    DOI: 10.1504/IJMEF.2024.10059847
     

Special Issue on: SIBR 2023 Post-pandemic Business Strategies and Policies in Emerging Markets

  • Conservatism Culture, Earnings Management, and Corporate Governance: Studies on Asia Pacific Countries   Order a copy of this article
    by Anna Purwaningsih 
    Abstract: This study aims to investigate the effect of conservatism culture on earnings management practices, both accrual and real earnings management. In addition, this study also investigates corporate governance to the relationship between conservatism culture and earnings management. The research samples were eleven Asia Pacific countries from 2010 to 2019. The data were taken from the Bloomberg and Thomson Reuters databases. Hypothesis testing was done with Multiple Linear Regression. The results provide empirical evidence that: (1) the conservatism culture has a positive effect on accrual (real) earnings management, and (2) corporate governance weakens the positive relationship between conservatism culture and accrual (real) earnings management practices. Therefore, these test results confirmed consistency-built hypotheses.
    Keywords: conservatism; accrual earnings management; real earnings management; corporate governance.
    DOI: 10.1504/IJMEF.2024.10062536