Macroeconomics Commons^™

Striving Toward Bitcoin Price Stability: Second-Layer Money And The Case For Real Bills, Scrip & Notes, Eduardo Blasco, Carlos García De Enterría

Journal of New Finance

Monetary systems comprise various layers of real and financial assets arranged hierarchically. Due to its properties, Bitcoin is a suitable asset to become the base money of a monetary system once its price has stabilized and people see it more like a medium of exchange than an investment. We review Bitcoin’s characteristics and explain their effect on its intra- and inter-temporal liquidity. We argue that Bitcoin will lower its bid-ask spread once users adopt financial assets convertible to Bitcoin. We propose the use of three financial assets working as Bitcoin derivatives to reduce Bitcoin’s demand shocks and lower its volatility: …

Regresi Ambang Untuk Mendalami Pengaruh Nonlinier Kekuatan Pasar Terhadap Pinjaman Bank Di Asean-5, Mahjus Ekananda

Jurnal Ekonomi dan Pembangunan Indonesia

Credit distribution has developed rapidly in the ASEAN region and it is largely dominated by the banking sector compared to other financial institutions. This study explores the effects of various changes to the GDP growth regime, firm size, and monetary policy. The objects of this research are commercial banks in ASEAN-5 from year 2010 to 2019. This study utilises the threshold regression method and a single proxy to measure market power. Results of this study found that monetary policy and market forces affect productive credit. Changes in impact that occur are mostly due to different behavior between banks in response …

Monetary Policy And Stagflation: A Trade-Off Between Price Stability And Economic Growth?, Leef H. Dierks

Journal of New Finance

Several euro area economies are likely to experience a stagflation in 2023. This situation is characterized by a combination of economic stagnation, i.e., GDP growth falling below its potential growth rate, and a pronounced increase in inflation as was last observed during the 1970s’ oil crisis. A stagflation presents the European Central Bank with a dilemma. Should it further tighten its monetary policy in an attempt to align euro area inflation (expectations) with its target of two per cent p.a. in the medium term? Or should the ECB re-adopt a more accommodative stance so as to stimulate economic growth in …

The Macrodynamics Of Indian Rupee Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models the dynamics of Indian rupee (INR) swap yields based on key macroeconomic factors using the autoregressive distributive lag (ARDL) approach. It examines whether the short-term interest rate has a decisive influence on long-term INR swap yields after controlling for other factors, such as core inflation, the growth of industrial production, the logarithm of the equity price index, and the logarithm of the INR exchange rate. The estimated models show that the short-term interest rate has an important influence on the swap yields. This implies that the Reserve Bank of India (RBI) can sway borrowing and lending …

Sociodemographic Effects On Financial Inclusion: Implications From Online Transaction In Developing-8 Countries, Dyah Titis Kusuma Wardani, Navi'ah Khusniati, Susilo Nur Aji Cokro Darsono

Economics and Finance in Indonesia

The world has reached the industry 4.0, where technological developments have been widely applied to electronic payment, with no exception on Muslim countries. This study aims to investigate association between sociodemographic and financial inclusion in country D-8 in the probability of using online financial transactions. Using The Global Findex 2017 from D-8 Organization for Economic Cooperation included in OIC countries and the logistic regression, this study explores the effect of sociodemographic namely gender, education, income status and working status on online financial transactions users. Using control variables such as Gross Domestic Product (GDP), Inflation and Exchange reta, results show that, …

Modelling The Impact Of Government Expenditure On Economic Growth In Nigeria: The Moderating Effects Of Oil And Non-Oil Revenue, Victor U. Ijirshar, Gaius M. Asombo, Florence D. Bundepuun, Ashifa Tersugh, Ayila Ngutsav

CBN Journal of Applied Statistics (JAS)

This study examines the relationship between government expenditure and economic growth and assesses the moderating effects of oil revenue and non-oil revenue in Nigeria from 1981 to 2021. The study uncovered short-term asymmetry in the government expenditure-economic growth nexus while the long-term relationship was symmetric. The study found that government expenditure is a significant determinant of economic growth in Nigeria and that oil and non-oil revenue influences the nexus between government expenditure and economic growth in Nigeria positively. The study recommends efficient management of oil revenue, directing investments during high revenue periods and ensuring fiscal sustainability. Government should also establish …

Improving The Efficiency Of Exponential Ratio-Type Estimator For Population Median: A Calibration Weight Adjustment Approach, Mathew J. Iseh, Kufre J. Bassey

CBN Journal of Applied Statistics (JAS)

This paper modifies the Bahl and Tuteja exponential ratio-type estimator for population median under simple random and stratified sampling schemes using calibration weight adjustment technique with supplementary information to vary the stratum weights. The bias and mean square error of the modified estimator were obtained up to the second-order approximation, which satisfies the necessary conditions for efficiency. The findings show that the new estimator surpasses existing estimators in efficiency gain. This suggests the appropriateness of calibration weight modification in boosting the efficiency of a population parameter estimator under stratified random sampling especially where the population parameter of the auxiliary variable …

Bitcoin Price Dynamics: A Multiple Regression Analysis Of Market Variables, Zachary S. Biedscheid

2023 Symposium

Bitcoin, a decentralized digital currency (property), has gained significant attention recently as a potential alternative to traditional financial systems. This research project aims to explore the market variables of Bitcoin by conducting a multiple regression analysis. The literature review highlights market dynamics and the impact of Bitcoin in economics and finance, specifically in banking and monetary systems. It explores Bitcoin's decentralized nature and limited supply as a more secure and stable form of money, contrasting it with the flaws and inefficiencies of centralized banking systems. The dataset provides information on the Bitcoin market from July 23, 2010, to April 16, …

An Inquiry Concerning Japanese Yen Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

This paper econometrically models Japanese yen (JPY)–denominated interest rate swap yields. It examines whether the short-term interest rate exerts an influence on the long-term JPY swap yield after controlling for several key macroeconomic variables, such as core inflation, the growth of industrial production, the percentage change in the equity price index, and the percentage change in the exchange rate. It also tests whether there are structural breaks in the dynamics of Japanese swap yields and related variables. The estimated econometric models show that the short-term interest rate exerts an important influence on the long-term swap yield in some periods but …

Vietnam’S Gdp: Re-Assessing Growth Rate And Identifying An Alternative Indicator, My Linh D. Nguyen

Honors Theses

Since the economic reform known as Doi Moi (Renovation) in 1986, Vietnam has changed from one of the world’s poorest to a middle-income country in one generation (USAID, 2022). The country has consistently registered high and stable economic growth since the reform, averaging 6.3% from 1985 to 2021 (World Bank, 2022). High growth rate of gross domestic product (GDP) is good news, but it has also raised questions that go both ways. On one side, there is much speculation that the government of Vietnam has manipulated economic statistics, compared to the case of China and India. As quoted in Kinh …

Esg Reporting And Its Effect On Financial Performance Of Oil, Gas, And Utility Companies In The United States, Logan Lam

Honors Theses

According to the Harvard Business Review article ESG Investing Isn’t Designed to Save the Plant (Pucker and King 2022), the term ESG investments – which stands for environmental, social, and governance investing – often confuses investors because it is unregulated. Additionally, the author continued to claim that the data is outdated and mostly unaudited. Even if data on these investments is available to investors, it can still be challenging for them to make decisions regarding ESG. Trusting compatibility and accuracy can be difficult considering that companies can choose how to produce or calculate their own ESG data. Another claim that …

Macroeconomic Determinants Of Stock Market Development In Sample African Economies, Ehab Ayoub

Theses and Dissertations

This research paper studies the relationship between macroeconomic determinants as independent variables and different measures of stock market development as dependent variables across selected emerging economies in Africa for the period of 2002 to 2021, with a quarterly frequency using time series analysis. The independent variables used are Core Inflation, Deposit Rate, Foreign Direct Investment (FDI), FX Rate against USD, Domestic Credit, Gross Domestic Product (Real GDP), Exports, Imports, External Debt, and Foreign Reserves. We use these variables as our main determinants of measuring economic growth. With regards to stock market development, we use four proxy measures as our benchmark, …

Asymmetric Effects In Geopolitical Risk And Foreign Reserves Accumulation Among Brics Countries, Kwame O. Asomaning

Doctoral Dissertations (DBA)

Over the past decade, the rise of Geopolitical Risk (GPR) has had a significant effect on macro financial variables, prompting central banks to accumulate reserves as a "war chest" to protect their economies from the detrimental effects of such shocks. This study examines the asymmetries in the long run, short run, and locational asymmetric effects on foreign reserves in the BRICS countries, using both the Nonlinear ARDL (NARDL) and Quantile ARDL (QARDL) models over the period 2000Q1–2021Q4. The results of the NARDL model suggest that GPR has long-run asymmetric effects for BRICS, while in the short run, all countries display …

Chinese Yuan Interest Rate Swap Yields, Tanweer Akram, Khawaja Mamun

WCBT Faculty Publications

This paper models the dynamics of Chinese yuan–denominated long-term interest rate swap yields. It shows that the short-term interest rate exerts a decisive influence on the long-term swap yield after controlling for various macrofinancial variables, such as core inflation, the growth of industrial production, the percent change in the equity price index, and the percentage change in the Chinese yuan exchange rate. The autoregressive distributed lag approach is applied to model the dynamics of the long-term swap yield. The findings reinforce and extend John Maynard Keynes’s conjecture that in advanced countries, as well as emerging market economies such as China, …

A Qualitative Study On The Financial Education Of Young Black Men, Sue M. May

University of the Pacific Theses and Dissertations

Financial literacy awareness is low among young adults, and financial literacy among Black college students is significantly lower than in other groups (Singh, 2018). However, there is little to no research on why financial literacy is so low among young Black men between 18 and 25. Few studies specifically show how financial literacy and decision-making may be related to their family economics and socialization for young Black men. Using Critical Race Theory and Family Financial Socialization theoretical frameworks, this dissertation project examined a sample of seven young self-identified Black men ages 24 to 25 years old in Northern California Bay …

Did Demonetization Have A Bigger Impact On Ppis (Prepaid Payment Instruments) Or Mobile Banking In India?, Ansh Vora

CMC Senior Theses

On November 8, 2016, Narendra Modi, prime minister of India, tele-advertised the entire nation and announced that India's highest value banknotes, the 500 and 1000 rupee “Rs” notes would be demonetized and taken out of circulation, effective midnight. Modi stated that this is an effort to reduce the large economy of black money, transition India into a digital economy, abolish funding of terrorist groups and illicit circulation of counterfeit notes. In this study, I choose to analyze the impact of demonetization on two digital payment methods - Prepaid Payment Instruments, “PPI” and Mobile Banking. The data used in this study …

The Impact Of Covid-19 Pandemic On Local Fiscal Revenue: Empirical Evidence From The Regions With Dominant Tertiary Sectors, Aisyah Nurrul Jannah, Khoirunurrofik Khoirunurrofik

Economics and Finance in Indonesia

The COVID-19 crisis has devastatingly affected social and economic sectors, including service or tertiary sectors such as banking, insuran;ce, hospitality, telecommunications, and industrial services. The pandemic has also aggravated fiscal conditions along with the slowing economy. This paper aims to assess the impact of COVID-19 on local own-source revenue in regions with dominant tertiary sectors and to examine how a fiscal incentive policy can increase the local own-source revenue. We applied the difference-in-difference panel random effect method by estimating total revenue and local own-source revenue as the outcome variables. The treatment variable is the districts/cities with dominant tertiary sectors of …

The Nonlinear Impact Of Payment System Innovation On Financial System Stability In The Asean-4 Countries, Mahjus Ekananda

Economics and Finance in Indonesia

The increasing growth of financial system encourages payment system innovation that can affect financial system stability, particularly in ASEAN countries. This study explored a variety of payment system innovation, i.e. debit cards, credit cards, electronic money, and RTGS. The financial system stability index is measured by calculating the composite indexes of non-performing loans, Z-score from ROA and CAR, share price volatility, and yield bonds. The components of the indexes are structured to reflect risks from the banking, stock, and bond markets. The resulting index value indicates the level of risk in the financial system. A higher index specifies a higher …

Simultaneous Relationship Between Financial Inclusion, Economic Growth, And Income Inequality In Sulawesi Island, 2011-2019, Adella Siti Nursaliyawati, Siskarossa Ika Oktora

Economics and Finance in Indonesia

Sulawesi Island has fairly high economic growth but is not followed by a significant decrease in income inequality. Therefore, a new strategy is needed to overcome these problems, one of them by increasing the role of the financial sector through financial inclusion. This study aims to analyze the relationship between financial inclusion, economic growth, and income inequality, as well as the factors influencing them in Sulawesi Island from 2011 to 2019. The analytical method used is the simultaneous equation model with panel data using the EC2SLS model. The results show that there is a simultaneous relationship between financial inclusion and …

Household Size And Household Wealth In Indonesia With The Influence Of Spatial Aspects, Thomas Soseco

Economics and Finance in Indonesia

Investigating household wealth should also include spatial analysis to capture the influence of location on the households’ net wealth and to avoid underestimation of the effect of the change of variables due to estimation that ignores spatial aspects. This paper examines factors influencing household net wealth in Indonesia with the influence of spatial lag using data from the Indonesian Family Life Survey (IFLS) for 1993–2014. The article relies on the Spatial Durbin Model (SDM) to analyze the data. Results show that household net wealth in Indonesia is spatially related to each other, and the spillover effect makes the change of …

Economic Growth And Co2 Emission In Asean: Panel-Ardl Approach, Feriansyah Feriansyah, Hari Nugroho, Aura Asyda Larre, Qori’Atul Septiavin, Cintya Khairun Nisa

Economics and Finance in Indonesia

This paper investigates the relationship between economic growth and CO2 emissions from 1994 to 2018 using a panel approach from eight ASEAN countries. We found an established result using the Panel ARDL Pooled Mean Group method. First, the panel Cointegration analysis shows a significant long-term relationship between GDP and CO2 emissions. Second, the error correction mechanism shows a stable and consistent value. Third, we found that GDP has a significant long-term effect on CO2 emissions in ASEAN countries. Fourth, our results also show that GDP significantly impacts CO2 emissions in the short term for four countries: Indonesia, Malaysia, Thailand, and …

Savings-Investment Gap In Sub-Saharan Africa: Does The Interaction Of Financial Sector Development And Migrant Remittances Matter?, Wasiu Adekunle, Oluwatosin Adeniyi, Joshua Afolabi, Musibau Babatunde, Edward Omiwale

CBN Journal of Applied Statistics (JAS)

This study analyses the interactive effects of migrant remittances and financial development on savings-investment gap for a panel of 18 Sub-Saharan Africa (SSA) countries from 1990-2017. Results from a panel ARDL model show that migrant remittances reduce savings-investment gap in the long run. The gap is further reduced when the individual effect of financial development, and the interactive effects of migrant remittances and financial development are taken into consideration. Further analysis reveals evidence of widening effects of rising real GDP growth and bank deposits over a long-term horizon, while higher private sector credit widened the savings-investment gap only in the …

The Effect Of The Syrian Crisis On The Profitability Of The Country's Private Banking Sector, Osama Alyousef

BAU Journal - Creative Sustainable Development

This research analyses the effect of the Syrian crisis on the profitability of local private banks during the period from 2011 to 2018 using fixed effects estimator on panel data. The research studies all of the 14 Syrian private banks and includes bank-specific variables calculated from the published quarterly and annual reports of all the banks, as well as a variable for the Syrian crisis measured by the following macro-economic factors: the number of crisis-related casualties, the number of Syrians who fled the country as refugees or asylum seekers, and the Syrian Pound exchange rate against U.S. Dollar during the …

The Limits Of Financial Equity: The Federal Reserve, The Depression Of 1921, And The End Of Wilsonian Progressivism, Terril Hebert

LSU Master's Theses

The Limits of Financial Equity: The Federal Reserve, the Depression of 1921, and the End of Wilsonian Progressivism is an examination of monetary policy and centralized macroeconomic planning in the American economy during the inflationary spiral of the 1910s that culminated in the Depression of 1921. Put forward for consideration is the successful populist campaign for agricultural credit equity by the burgeoning Federal Reserve System; set against a backdrop of intentional inflation, world and domestic citizens competed against as the price and supply chain distortions perpetuated by the policing of American commerce by the Food Administration, A. Mitchell Palmer’s Department …

The Dynamics Of Monthly Changes In Us Swap Yields: A Keynesian Perspective, Tanweer Akram, Khawaja Mamun

WCBT Working Papers

John Maynard Keynes (1930) asserted that the central bank sways the long-term interest rate through the influence of its policy rate on the short-term interest rate. Recent empirical research shows that Keynes's conjecture holds for long-term Treasury yields in the United States. This paper investigates whether Keynes's conjecture also holds for the monthly changes in US long-term swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach. The econometric modeling reveals that there is statistically significant effect on the monthly changes in the Treasury bill rate on the monthly changes in swap yields of different maturity …

Essays On Spillover Effects Across U.S And China, Zhuo Xi

Dissertations, Theses, and Capstone Projects

Chapter1: With the rapid development and continuous advancement of economic globalization, the links between countries around the world have become increasingly tight. Among them, the United States, as the world's largest economy, its monetary policy is bound to cause significant spillover effects on other economies around the world. By constructing a Threshold SVAR model with monthly data from 1996 to 2019, this paper empirically investigates the spillover effects of US monetary policy on China's economy during different U.S policy regimes. The transmission mechanism of such effects has been tested through different channels including policy channel, trade channel, asset value channel …

Macroeconomic Adjustments Of Global Convergence: Real Exchange Rate Response Of Asia-Pacific Growth, Kumarappan Annamalai

Dissertations, Theses, and Capstone Projects

This dissertation consists of three chapters.

Chapter 1 : PURCHASING POWER PARITY, REAL EXCHANGE RATE, PRICE LEVEL INDEX and HARROD-BALASSA-SAMUELSON EFFECT: LITERATURE SURVEY

In the light of the concepts explained in the introduction section, this chapter explores the seminal papers on the Purchasing Power Parity principle, the Real Exchange rate, and the Price Level Index, showing the evolution of PPP and the methodologies adopted in exploring the characteristics of PPP and the real exchange rates. Various characteristics might be stationarity or non-stationarity of the real exchange rates (RER), variance, correlation, half-life measures, linearity versus non-linearity, etc. Various methodologies adopted were …

Essays On Futures Market And Machine Learning, Jonathan J. Lopez Camara

Dissertations, Theses, and Capstone Projects

Chapter 1 - Big Data And Machine Learning To Predict Overnight Interest Rates. This paper is a brief introduction to the two main pieces I have elaborated as part of the dissertation. Here, I explain the reasons why I have done my research about predicting the overnight interest rates for Mexico and the United States using big data and machine learning models. I explain the connection between the two research papers, I define some basic concepts such as future contracts and the overnight funding rate for Mexico. There is a summary about the data I use, and the machine learning …

Constructing Indonesian Digital Economy Index In Determining Economic Policy Priorities Amidst The Covid-19 Pandemic, Diah Rukmana Sari, Nasrudin Nasrudin

Economics and Finance in Indonesia

The constant increase in the number of internet users in Indonesia amid a sluggish economy caused by the Large-Scale Social Restriction (PSBB) policy is a great opportunity for a digital-based economy. However, the unavailability of relevant macroeconomic statistical measurements inhibits the digital economy from being determined as a policy priority amidst the Covid-19 pandemic. This study offers an alternative measurement of the digital economy of Indonesia by establishing Digital Economy Index (DEI). This study discovers that digital economic activities in Indonesia have grown rapidly with an average growth of almost nine percent quarterly. On the other hand, this study also …

Effect Of Monetary Policy Rate On Market Interest Rates In Nigeria: A Threshold And Nardl Approach, Oluwafemi E. Awopegba, Joseph O. Afolabi, Lydia T. Adeoye, Godwin O. Akpokodje

CBN Journal of Applied Statistics (JAS)

This study examines the effect of monetary policy rate (MPR) on market interest rates in Nigeria. For parsimony, we develop two indexes called the short-term interest rate (SINT) and Lending interest rate (LINT) to represent deposit and lending rates respectively. The nonlinear autoregressive distributed lag (NARDL) and threshold regression models are adopted. The study uses monthly data from 2002:M1 to 2019:M12. The results of the threshold regression model indicate that the degree of the effect of MPR on SINT and LINT above the estimated threshold of 11 and 13 percent respectively is greater and significant than if MPR were to …