Three Essays on Fiscal Policy

This dissertation examines the domestic and international effects of fiscal policy shocks on country risk, stock markets returns and trading partners. There are three essays in this study. First essay examines the relative impacts of macroeconomic, financial and political variables on country risk for five advanced economies; the US, the UK, Canada and Singapore for 1984:M1-2014:M12 and Germany for 1990:M9-2014:M12 time periods. To do so, I follow a two stage estimation procedure. In the first stage, a CAPM is used to estimate time-variant country betas which are used as a proxy for country risk by using a DCC-GARCH model. Then, at the second stage, time variant country betas are regressed on a set of macroeconomic, financial and political variables to distinguish the relative effects of each variable on country risk. Finally, a Kalman Filter approach is used to re-estimate time-variant country betas as a robustness check. The empirical findings of this study show that even though the significance and the direction of the impacts of risk factors differ from one country to another, among macroeconomic variables, budget surplus and current account surplus have significant effects on most country betas, whereas, generally, political risk does not have a significant effect on country risk in advanced economies. In the second essay, I characterize the effects of fiscal policy shocks on aggregate and sectoral stock market returns in the US for 1975-2013 period with a Structural Vector AutoRegressive (SVAR) Model. The results of this study show that in case of an expansionary (tight) fiscal policy, aggregate stock market returns decrease (increase). Unexpectedly, neither sectoral stock returns respond to policy shocks in the same direction, nor is there an observed co-movement between the reactions of stock returns of different sectors. As energy and utility sector returns move in the same direction with aggregate returns, financial sector returns move in the opposite direction. Moreover, both positive government spending and positive government revenue shocks decrease industrial sector returns whereas increase healthcare sector returns. Finally, the third essay characterizes the results of US government spending shocks on domestic and foreign economies. To do so, I analyze the dynamic effects of a positive US government spending shock on real output and real household consumption of Canada and the US, as well as, the real exchange rate from 1957 to 2013 by employing a SVAR model. The findings of the study state empirical evidence in favor of a positive international transmission of domestic fiscal expansion. A positive US government spending shock increases not only US output and consumption but also Canadian output, as the real exchange rate appreciates

Analysis of the relationship between changes in macroeconomic variables and various sector price indices of JSE

Purpose- The purpose of this paper is to analyse the relationship between changes in domestic macroeconomic variables and various indices of the JSE during the full time period, June 1995 to December 2018 and the sub-periods, June 1995 to June 2007 and July 2007 to December 2018. Design/ methodology/ approach- The paper employs the Autoregressive Distributed Lag (ARDL) model approach to cointegration using monthly data from June 1995 to December 2018. Findings- In terms of the long run, the results show that the coincident indicator measure of domestic economic activity is positively and significantly related to the various JSE indices for all study periods. In terms of inflation, the results show no relationship between inflation rate and the various indices for both whole period and June 1995 to June 2007 sub period. However for the July 2007 to December 2018 sub period, JSE All Share Index and JSE Top 40 Index are negatively related. For the real effective exchange rate, only the Consumer Services Index is positively related to the exchange rate in terms of June 1995 to June 2007 sub period. However, JSE All Share Index and JSE Top 40 Index are negatively related to the exchange rate in all study periods. In terms of the short term interest rate, for the whole period, JSE All Share Index, JSE Top 40 Index, Health Care Index and Telecommunications Index are negatively related to interest rate. In terms of the June 1995 to June 2007 sub period, JSE All Share Index and Industrials Index are negatively related to the short term interest rate. For the July 2007 to December 2018 sub period, Telecommunications Index and Technology Index are negatively related. In terms of the short run, the coincident indicator is positively and significantly related to the various JSE indices for all study periods. Inflation is not significantly related to any index in the whole period. In terms of the June 1995 to June 2007 sub period, Industrials Index and Financials Index are positively related to inflation and in the July 2007 to December 2018 sub period, Consumer Goods Index, Health Index and Consumer Services Index are negatively related to the inflation rate. The real effective exchange rate is positively and significantly related to the various JSE indices in the different study periods. In terms of the short term interest rate, for the whole period and the June 1995 to June 2007 sub period only the Technology Index is not significantly and negatively related to the short term interest rate, but for the July 2007 to December 2018 sub period, Top 40 Index, Telecommunications Index and Technology Index are positively related to the interest rate. Only the Financial Index is negatively related to short term interest rates during this sub period. Research Limitations- Not a lot literature was found on the relationship between macroeconomic variables and the various sector indices of the JSE. Most previous work, in the South African context focused just on the JSE All Share Index. Practical Implications- The findings can help investors diversify their portfolios into indices that benefit from expected changes in macroeconomic variables, such as recessions, rising interest rates, rising inflation or a weakening exchange rate. Alternatively, they can hedge themselves against the negative implications of such macroeconomic changes on portfolio performance. In addition, the findings are important for the monetary authorities to better understand the implications of their policy changes on financial markets

Exploring the Relationship between Tourism and Economic Growth in Small Island Economies: A Study of Fiji

This study examines the effect of tourism, measured by visitor arrivals) on the economic growth of Fiji, a small island economy, over the period 1975 to 2015. We use a neoclassical framework and regression analysis to examine the short-run and the long-run effects of tourism whilst accounting for structural breaks. We confirm the presence of a long-run association using the two-step procedure of Engle and Granger (1987) and the ARDL bounds test of Pesaran, Shin and Smith (2001). From the long-run results, we note that a 1% increase in visitor arrivals contribute about 0.22% to the GDP per capita. The short run elasticity is noted to be 0.19%. The study finds evidence of a unidirectional causality from economic growth to tourism, and mutually reinforcing effect between capital investment and tourism. Thus, we can expect greater impact of tourism on the economic growth through tourism related investment activities such as improvements in airports, roads, transportation, financial sector and telecommunications, and parks and beaches

İK2018 17th Internationally Participated Business Congress, 26-28 April 2018, Çeşme, İzmir

Çevrimiçi (XLV, 2055 sayfa )26-28 Nisan 2018 tarihlerinde Çeşme’de düzenlenen, 17. Uluslararası Katılımlı işletmecilik Kongresi’nin İzmir Katip Çelebi Üniversitesi, iktisadi ve idari Bilimler Fakültesi, işletme Bölümü ev sahipliğinde gerçekleştirilmesinden dolayı büyük bir mutluluk ve onur duyduk. Türkiye’de işletmecilik alanında uzun süredir başarıyla gerçekleştirilen ‘İşletmecilik Kongresi’ 17. Oturumunda uluslararası bir nitelik kazandırılarak gerçekleştirilmiştir. Bu vesile ile kongrenin 17. Oturumu ‘Uluslararası Katılımlı İşletmecilik Kongresi’ olarak tanımlanmıştır. Kongrenin bu niteliği kazanmasında katkıları olan herkese teşekkür ederiz. Umut ederiz ki bu kıymetli kongrenin ileriki oturumlarının da bu nitelikte gerçekleşmesidir. 17. Uluslararası İşletmecilik Kongresi’ne akademi, iş dünyası, sivil toplum kuruluşları ve bireysel olarak yaklaşık 700 katılımcı ilgi göstermiştir. Kongrede sunulmak üzere 400’den fazla çalışma tarafımıza ulaşmıştır. Bu çalışmalardan kongrede sunumu yapılan 236 tane tebliğ bu kitapta yer almaktadır. Kongrenin düzenlenmesi sırasında her zaman desteklerini hissettiğimiz Danışma Kurulu değerli üyelerine, bildiri tam metin ve özetlerini dikkatle ve özenle değerlendiren Bilim Kurulu üyelerine ve kongre sponsorlarına çok teşekkür ederiz. Prof.Dr. Hayrettin USUL 17. Uluslararası Katılımlı İşletmecilik Kongresi Dönem Başkan