Portuguese Economic Journal, 2022, Volume 21, nº 1
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- Measuring the impact of violence on macroeconomic instability : evidence from developing countriesPublication . Haroon, Rabia; Jehan, ZainabUncertainty induced by various economic and non-economic factors instigates macroeconomic instability. Macroeconomic instability, further, reduces predictability of a country’s macroeconomic situation, leading to misallocation of resources, reduction in economic growth and investment. This study aims at investigating the impact of violence on macroeconomic instability in selected developing countries over the period of 1984–2016. In doing so, the study has used various dimensions of violence in order to test the size, significance and direction of each type of violence for macroeconomic instability. Macroeconomic instability index is computed by using terms of trade, inflation rate, unemployment rate and real exchange rate. For estimating the impact of violence on macroeconomic instability, we have employed system GMM technique. This empirical findings state that violence increases macroeconomic instability in selected sample of developing countries. We also report that among developing countries, low-income countries suffer more from violence in comparison to the middle-income countries. This finding is robust among all dimensions of violence taken by the study. Notably, we have found that the harmful impact of interstate violence is highest for macroeconomic instability. Our findings are robust as violence creates uncertainty which distorts investment, savings and consumption, and hence affects overall economic performance.
- The devil is in the details : Capital stock estimation and aggregate productivity growth : an application to the Spanish economyPublication . Escribá-Pérez, Francisco-Javier; Murgui-García, María-José; Ruiz-Tamarit, José-RamónThe variables that contribute to explaining the major puzzles and paradoxes in macroeconomics and economic growth literature always appear related, directly or indirectly, to capital stock and depreciation. Depreciation defined in a narrow sense refers only to physical wear and tear, but in a broader sense, it also includes economic deterioration and obsolescence. In this study, we explore the link between these two depreciation concepts, the capital deepening and total factor productivity (TFP) growth. We propose a double growth accounting framework that allows us to establish a relationship between variables in statistical terms and variables in economic terms. Then, with Spanish data for 1964–2015, we first analyze the role played by capital intensity and TFP in explaining the evolution of labor productivity. The results are substantially different depending on whether we use statistical or economic measures of capital and depreciation. Second, we focus on the paradox of productivity, concluding that the apparent absence of a positive correlation between investment in information and communication technology and the TFP growth rate may be due to the delay effect associated with such investment combined with the statistical under-estimation of true economic depreciation.
- Correction to: The devil is in the details : Capital stock estimation and aggregate productivity growth : an application to the Spanish economyPublication . Escribá‑Pérez, Francisco‑Javier; Murgui‑García, María‑José; Ruiz‑Tamarit, José‑Ramón
- Does stock trading volume signal future dividends? Evidence from Iberian firmsPublication . Lobão, Júlio; Piedade, Patrícia; Nippan, SrinivasIn the study we test the theory that financial markets can provide relevant information about forthcoming corporate events. More specifically, we examine the ability of trading volume to predict dividend changes in a sample of 880 dividend announcements from Iberian firms for the period 2005–2018. We document evidence of a positive and significant relation between unusually high volume and subsequent dividend changes. The results based on panel data regressions with control variables for firm size, profitability measures, volatility and average turnover using both pooled OLS method and fixed effects method are robust. Our results are of special interest to those investors that exhibit a higher preference for dividends.
- Assessing volatility transmission between Brent and stocks in the major global oil producers and consumers : the multiscale robust quantile regressionPublication . Živkov, Dejan; Manić, Slavica; Kovačević, Jelena; Trbović, ŽeljanaThis paper investigates the volatility transmission effect between Brent oil futures and stock markets in the major global oil producing and consuming countries – the U.S., Russia, China and Saudi Arabia. In that process, we employ a mixture of novel and elaborate methodologies – wavelet signal decomposing procedure, GARCH model with complex distribution and recently developed robust quantile regression. Our results indicate that the effect is stronger in short-term horizon than in midterm and long-term in most cases. The magnitude is much stronger in turbulent times, whereas in tranquil times, this effect is very weak. We find that Russian RTS index endures the strongest volatility transmission effect from oil market. Surprisingly, Saudi stock market does not suffer heavy spillover effect even in the periods of increased market unrest. In the U.S. and China, the effect is much stronger from stocks to oil than viceversa, and this particularly applies for the U.S. case.
- Intertemporal substitution in import demand and the role of habit formation : an application of Euler equation approach for PakistanPublication . Khan, Farzana Naheed; Ahmad, EatzazIntroduction The study examines the importance of intertemporal substitution in import demand considering the role of habit formation. A two-goods version of the permanent income model is used in which time-non-separability in consumers’s preferences is assumed. The model is estimated using annual data for Pakistan at disaggregated level covering the period from 1977 to 2017. Objectives The objective of the study is to estimate elasticities of substitution along with parameters of habit formation for consumption goods at a disaggregated level. Method The study employs co-integration for the estimation of parameters of elasticities of substitution and generalized method of moments (GMM) for the estimation of the parameters of habit formation from Euler equations. Findings The estimates of intertempral elasticity of substitution suggest that the nature of commodity group (necessity/luxury) plays an important role when consumers are making intertemporal choices. Moreover, the study finds that intratemporal elasticity of substitution is larger than intertempral elasticity of substitution in almost all cases in Pakistan, suggesting that imported and domestic goods are best described as substitutes in Edgeworth-Pareto sense. In addition, the inclusion of habit formation delivers results with plausible signs and the habit formation process seems significant for certain commodity groups including tea, beverages, tobacco products and drugs. Conclusion The study concludes that there is a possibility of crowding out effect on domestic consumption and the depreciation of local currency may improve Pakistan’s balance of trade