Forthcoming articles

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 (5 papers in press)

Regular Issues

  • The Information Set of the Fed’s Policy Reaction Function   Order a copy of this article
    by Nikiforos Laopodis 
    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’ 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.
    Keywords: monetary regimes; Fed reaction function; fundamentals; business cycles; bull/bear markets.
    DOI: 10.1504/IJMEF.2019.10021568
     
  • Do credit default swaps affect the time-varying cointegration between PIIGS sovereign interest rates?   Order a copy of this article
    by José Soares Da Fonseca 
    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.
    Keywords: Autoregressive Distributed Lag;interest rate spreads; credit default swaps; rolling cointegration estimations.
    DOI: 10.1504/IJMEF.2019.10021571
     
  • Value Relevance of Book Values and Earnings of Listed Non-Financial Firms in South Africa: A Dynamic Panel Analysis   Order a copy of this article
    by Atanas Sixpence, Olufemi P. Adeyeye 
    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 lowcapitalised 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.
    Keywords: Value relevance; EBIT; book value; South Africa; Ohlson model; dynamic panel analysis; non-financial firms.
    DOI: 10.1504/IJMEF.2019.10021936
     
  • Analysis of the Demand for the Alternative Currency WIR   Order a copy of this article
    by Katerina Gawthorpe 
    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.
    Keywords: Switzerland’s Wirtschaftsring; WIR currency; alternative currency; local currency.
    DOI: 10.1504/IJMEF.2019.10022428
     
  • Corporate Social Responsibility Effect on Firm's Financial Performance in Jordan   Order a copy of this article
    by Fouzan ALQaisi 
    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
    Keywords: corporate social responsibility; Environmental; Community service; Community service; stock exchange.
    DOI: 10.1504/IJMEF.2020.10022429