Forthcoming and Online First Articles

International Journal of Computational Economics and Econometrics

International Journal of Computational Economics and Econometrics (IJCEE)

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International Journal of Computational Economics and Econometrics (11 papers in press)

Regular Issues

  • Evaluation and improvement of two homogeneous stock trading systems under computational and experimental finance in China: based on IASM model   Order a copy of this article
    by Zhuwei Li, Baolu Wang, Rong He 
    Abstract: Artificial simulated stock market model is widely used because it can provide repeatable simulation experiment platform for different trading systems to play a role in the financial market. Based on the investor structure, trading behaviours and institutional rules of Chinese stock market, this paper uses intelligent artificial stock market (IASM) model, aims to build a comprehensive evaluation index system of stock market quality, evaluate the effect of the T + N trading system and the price limit system on the quality of Chinese stock market, and then gives analysis results and improvement suggestions. It is found that T + 0 trading system and narrowing the range of limit price fluctuation can significantly improve the quality of Chinese stock market. At the same time, among the combinations of various T + N trading systems and price limit systems, the combination of T + 0 trading system and 5% price limit system of Chinese stock market has the highest comprehensive quality.
    Keywords: stock trading system; IASM model; market quality evaluation; system improvement; computational and experimental finance.
    DOI: 10.1504/IJCEE.2024.10063567
  • General financial economic equilibria   Order a copy of this article
    by Dilip B. Madan 
    Abstract: Uncertain demands and supplies, given prices, may not be equated to define an equilibrium. New concepts of equilibria are then formulated by modeling markets as an abstract agent absorbing the clearing risk. The new equilibria invoke the theory of acceptable risks to define a two-price equilibrium termed a general financial economic equilibrium (GFEE). The market sets two prices for each commodity, one at which it buys and the other at which it sells. The two prices are determined by targeting the aggregate random net inventory and net revenue exposures to be acceptable risks. The introduction of a two price labour market naturally leads to the concept of both an equilibrium unemployment rate and an equilibrium unemployment insurance rate. It is shown that the unemployment rate rises with the productivity of the economy and can be mitigated by expanding the number of products.
    Keywords: acceptable risks; distorted expectations; equilibrium unemployment; equilibrium unemployment insurance.
    DOI: 10.1504/IJCEE.2024.10064461
  • The Trade led-growth hypothesis in China and G8 countries: pooled mean group estimation   Order a copy of this article
    by Khalid Usman 
    Abstract: This research aims to examine the trade-led growth (TLG) hypothesis, especially the relationship between trade openness (TRA) and economic growth (GDP) in China and G8 (UK, Russia, Canada, USA, France, Italy, Germany, Japan) economies with two threshold variables, labour force (LF) and gross fixed capital formation (GFC). The study explores cointegration among these variables and evaluates their short and long-term effects utilising data from 1992 to 2021. Different tests, including CADF unit root, Westerlund panel cointegration, and pooled mean group estimation (PMG), are used while considering cross-section dependence (CD) and D-H tests. The PMG estimator identifies a positive long-term impact of GFC on GDP in both China and the G8 economies. Conversely, the D-H test exposes no causal relationship between GDP, labour force and gross fixed capital, and trade and gross fixed capital. These findings recommend that policymakers should prioritise trade development by spending on capital formation and labour production to improve economic growth. Furthermore, adopting amplified trade cooperation between China and G8 economies is suggested.
    Keywords: trade openness; economic growth; pooled mean group estimation; PMG; D-H test; trade-led growth hypothesis; China; G8 countries.
    DOI: 10.1504/IJCEE.2024.10064462
  • Determinants of government bond returns: an Indian experience   Order a copy of this article
    by Muhammadriyaj Faniband, Pravin Jadhav 
    Abstract: This paper examines the impact of macroeconomic factors and non-macroeconomic factors on government bond returns in India using quantile regression methodology and the monthly dataset from April 2010 to May 2022. This paper produces a new dataset of three government bonds indices which include the top 20 and top 5 bonds and Treasury Bills (T-Bill). We are the first to document the following results. First, the top 20 and top 5 traded bonds have less sensitivity to the exchange rates. Second, inflation has a negligible impact on the top 20 and T-Bills. Third, all three bonds are significantly affected by interest rates. Fourth, the effect of geopolitical risk is significant on T-Bills. Firth, economic policy uncertainty and volatility do not affect bond returns. Sixth, the Nifty has a significant positive impact on the top 20 and top 5 bonds. Our results are useful for investors, portfolio managers and policymakers.
    Keywords: macroeconomic; non-macroeconomic; government bond; bond returns; quantile regression; India.
    DOI: 10.1504/IJCEE.2024.10064308
  • A bibliometric survey of macroeconomic topics in agent-based models   Order a copy of this article
    by Emiliano Alvarez 
    Abstract: In recent decades, the analysis of economies and their different sectors has intensified through simulations based on agent-based models (ABM). This is especially relevant for macroeconomics, since these methodologies allow us to analyse macroeconomic phenomena from actions and the interaction between individuals. In this article, a bibliometric analysis of ABMs in macroeconomics is briefly shown from the information gathered in the databases of the Web of Science (WOS) and Scopus. The main results of this work show that ABMs have analysed a wide spectrum of the most relevant topics in macroeconomics. There is a greater emphasis on credit crisis and financial instability, explained by the possibilities of this type of implementation to simulate network effects. These works are concentrated in a few research centres, mainly in Europe. In recent years, the agenda of topics to be addressed has grown, as well as the possibilities of a multidisciplinary agenda.
    Keywords: agent-based model; ABM; economics; macroeconomics; bibliometric analysis; complex system.
    DOI: 10.1504/IJCEE.2024.10064307
  • New transmission channels of ECB's unconventional monetary policies   Order a copy of this article
    by Shuffield Seyram Asafo, Luca Riccetti 
    Abstract: Following the zero-lower bound on interest rates, many central banks turned to increasing the size of their balance sheet to achieve their mandate of price stability and low unemployment. Using the euro area as a case study, we investigate the macroeconomic effects and the transmission channels of the balance sheet expansion by way of a Bayesian VAR model. We identified the BVAR model by imposing sign restrictions on the impulse responses of control variables while leaving our variables of interest unconstrained. We find that the balance sheet expansion caused a higher increase in output than prices. These positive effects were transmitted through the wealth channel, the bank lending channel, and the fiscal channel.
    Keywords: Bayesian VAR; euro area; inflation expectations; unconventional monetary policy; commodity prices.
    DOI: 10.1504/IJCEE.2024.10063204
  • Worker occupational skills and unemployment duration: a competing-risks econometric approach   Order a copy of this article
    by Ahmed Wassal Elroukh 
    Abstract: This paper explains differences in unemployment duration among unemployed workers by differences in their skills, using the unemployed workers' previous occupation and education level to capture their skills. I use the cumulative incidence approach from the statistics literature, which is a better alternative to the standard survival econometric methods in cases of competing risks. In addition to showing that the standard survival econometric methods are biased, I find that the higher the unemployed worker is on the skill ladder based on their previous occupation, the faster their transition rate to a full-time job. An extra year of education has a positive effect on reducing unemployment duration. Those with a bachelor's degree tend to have the shortest employment duration among all unemployed individuals. However, the impact of education on transitioning from unemployment to a full-time job is less pronounced the higher the unemployed worker's previous occupation is on the skill ladder.
    Keywords: human capital; unemployment; competing risks; worker skills; duration analysis.
    DOI: 10.1504/IJCEE.2024.10062964
  • Nonlinear autoregressive with exogeneous input neural network time series model performance: bitcoin price prediction   Order a copy of this article
    by Nurazlina Abdul Rashid, Mohd Tahir Ismail 
    Abstract: There are over 10,000 listed cryptocurrencies, with bitcoin becoming the most used cryptocurrency at present. This research's aim is to establish the different dynamic time series architectures of nonlinear autoregressive having exogenous input (NARX) and nonlinear input output (NIO) to forecast the bitcoin price as well as compare their performance. Furthermore, this study attempts to combine the different number of inputs, hidden nodes, and time delay to assess the social media attribute (X) and bitcoin price (Y) past value impact in each model. The results show that all model architectures NARX and NIO with Levenberg-Marquardt backpropagation training algorithm have a significant relationship between inputs and output. This means social dominance, social volume, and weighted social sentiment have a relationship and effect on price except for model 3 with architecture NIO-1-5-1 (d = 1) and NIO 1-10-1 (d = 2). This research is significant because the results of this study will help traders and investors reduce risk and increase returns.
    Keywords: bitcoin; cryptocurrency; price prediction; nonlinear autoregressive with exogeneous input; NARX; neural network time series; dynamic nonlinear; social media; social dominance.
    DOI: 10.1504/IJCEE.2024.10063036

Special Issue on: ICOAE2023 Applied Economics and Competition

  • Minimum wage as the determinant of productivity in EU countries   Order a copy of this article
    by Jana Kopecká, Lenka Viskotová, David Hampel 
    Abstract: When introducing and setting minimum wages, primarily to reduce poverty and avoid undesirable phenomena in the labour market, it is necessary to monitor the impact on various aspects of the real economy. This paper focuses on demonstrating the positive impact of nominal minimum wage growth on productivity in EU countries. A cluster analysis is used to divide countries into two distinguished clusters. Using panel regression, the effect of a minimum wage is found to be significant and positive. To rule out spurious regressions and to demonstrate the robustness of the performed analyses, appropriate covariates are included in the models, different forms of productivity are modelled, and the models are also estimated independently for each cluster.
    Keywords: cluster analysis; company production process; EU27; human capital; labour costs; low-wage employees; minimum wage; productivity of labour; panel regression model; training of employees.
    DOI: 10.1504/IJCEE.2024.10062965
  • Heterogeneous impacts of the COVID-19 pandemic on financial performance among European hotels   Order a copy of this article
    by Tomáš Heryán, Petra Růčková, Jana Šimáková 
    Abstract: The purpose of the paper is to investigate whether there would have been differences in the change of shareholders’ funds caused by the COVID-19 pandemic in Europe among medium-sized hotels. Annual data for 17 European countries have been obtained from the Bureau van Dijk Orbis database and clustered with epidemiological data from NUTS-3 regions among selected countries. Using heterogeneous difference-in-differences with cohorts, the average treatment effect on treated has been estimated with panel data. Specifically, differences between the levels of shareholders’ funds and the impact of the moderation effect between return on equity and dividends during the pandemic considering the morbidity among pandemic patients in selected regions. The results have suggested that the impact of the pandemic varies between hotels with a high concentration of ownership structure having a major owner and those with a low concentration and dispersed ownership structure.
    Keywords: heterogeneous impacts; COVID-19 pandemic; European hotels; financial performance; heterogeneous DiD models; difference-in-differences; cohorts.
    DOI: 10.1504/IJCEE.2024.10063831
  • Tourism product life cycle dynamics: a computational approach to identifying tourism stages in Italy and Greece   Order a copy of this article
    by Zacharoula Kalogiratou, Theodoros Monovasilis, Nicholas Tsounis, Gerassimos Bertsatos 
    Abstract: An adaptation of the tourist area life cycle model is used to computationally identify each stage of the tourism product life cycle to explain the dynamics of tourist arrivals to Italy and Greece. It was found that the first stage of the cycle started considerably earlier in Italy than in Greece, well before WWII, while in Greece, it started during the 1950s. A new life cycle began in Greece in 2012. Italy is still in the consolidation stage and has shown growth, and this stage will continue until 2044. However, if suitable policies are applied in terms of investments in infrastructure and human capital and in marketing, this cycle can be interrupted, and a new cycle could begin directly from the development stage, where the growth rates of the number of tourist arrivals are exponential. Investing and providing services in alternative tourism may lead to this result.
    Keywords: tourism; product life cycle; Italy; Greece.
    DOI: 10.1504/IJCEE.2024.10064668