Does economic policy uncertainty matter to explain connectedness within the international sovereign bond yields?

This paper examines the determinants of the dynamic connectedness between sovereign bond yields in a sample of G7 countries. In addition to the common macroeconomic factors, we focus on the impact of Economic Policy Uncertainty (EPU) on the dynamic connectedness patterns between bond yields. To this end, we first examine the full-sample connectedness among the seven bond yields and examine various features of connectedness using a measure recently proposed by Diebold and Yilmaz (Int J Forecast 28(1):57-66, 2012). To examine the determinants of the dynamic connectedness, we use the panel data model to consider the dynamic net connectedness between the considered bond yields as the endogenous variable. Overall, being the transmitter or recipient of spillovers appears to have independent and different influences depending on each of the two types of sovereign bond yields. Also, the findings support the idea that EPU can create an environment likely to exacerbate the transmission of spillover shocks between two-year sovereign bond yields. Conversely, on the whole, EPU does not appear to affect the connectedness of thirty-year sovereign bond yields in various bond markets. The findings also reveal the significant impacts of real output on how shocks across countries manifest in different ways.Scopu

Accounting for inflation dynamic in a fully optimizing macroeconomic framework: evidence from the US states

This article proposes a New Keynesian DSGE model that can capture the hump-shaped response of inflation to a monetary policy shock that does not depend upon backward-looking elements for the price and wage-setting, such as the indexation of wages or prices. The two additional elements required to achieve a hump-shaped response are roundabout production structure (input–output structure for production) and working capital. Depending on the model’s parameterization, this channel can provide a pronounced response of inflation. In addition, our article provides some reduced-form evidence about the hump-shaped response of inflation using a VAR with Cholesky ordering

Testing for Asymmetric Information in Tunisian Automobile Insurance Market

Asymmetric information has become one of the most influential theoretical concepts in explaining competitive insurance market. In contract theory, asymmetric information is the situation when one party of an economic transaction possesses information that is not available to the other contractual party.In this perspective, this paper aims to investigate the presence of asymmetric information in Tunisian automobile insurance market. This investigation is made using an individual data set during the year 2009. For this purpose, we employ two empirical approaches; the bivariate probit model and the two stages approach of Richaudeau (1999). Hence, results show a strong evidence for the presence of asymmetric information for the begging drivers. Inversely, for the experienced drivers, no evidence of asymmetric information have been detected. DOI: 10.5901/mjss.2015.v6n3s1p45

The inter and intra discipline linkage between Economics, Business administration and Social sciences

This study aims at investigating the extent to which six disciplines (Economic, Business administration, Finance and investment, Accounting, Banking and Insurance and risk management) reach out to spaces shared with other disciplines at the College of Economic and Administrative sciences in the University of Al-Imam Mohammad Ibn Saud Islamic University. First, we look at the descriptive statistics to know the attendance of each course in various specialties. Second, we employ two ratios to measure the penetration extent of each economic branch in different social sciences branches and vice versa. In the intraspecific linkage measurement, our results indicate that these disciplines are far from having a dependence with History, Politics, Ethics and Sociology sciences. Moreover, we find that studies of the Sharia are flourishing and the economic and Business administration courses in the field are being defended. In the field study of interspecific linkage, our results indicate a deficiency of the linkage between the related disciplines in different manners. Economic and Business administration disciplines have, especially, the lowest degree of openness, compared to the rest of disciplines

Evidence of adverse selection in automobile insurance market: A seemingly unrelated probit modelling

The present paper investigates the adverse selection problem by examining the relationship between accident occurrences and deductible choice utilizing a seemingly unrelated probit model that allows for best controls for unobserved heterogeneity and endogeneity. While this microeconometric analysis does not consider a multivariate model and considers only two types of contracts, namely, those with high and low deductibles, it does suggest important implications from applying a recursive bivariate probit. We employ new cross-sectional data on a Tunisian insurance portfolio containing 31,125 policyholders. The results support some evidence for residual adverse selection in the studied insurance portfolio. Moreover, the results suggest the presence of a wealth effect in the decision of the contract choice. 2017 The Author(s). This open access article is distributed under a Creative Commons Attribution (CC-BY) 4.0 license.Scopu

Analysis Of The Effect Of The European Debt Crisis On The Saudi Arabian Economy

This paper investigates the economic impact of the 2009 European debt crisis on Saudi Arabia’s real economy from 2004 Q2 to 2014 Q2 using a structural vector autoregressive model (SVAR). The results of the impulse response functions obtained from the aggregated data show that the shock to European imports from Saudi Arabia had a significant impact on the real effective exchange rate, inflation rate, and economic growth that lasted for three periods. Moreover, the variance decomposition analysis shows that Europe’s imports from Saudi Arabia explain approximately 20% of the variance of the Saudi real effective exchange rate and real economic growth, 10% of the interest rate variability, and only 5% of the inflation rate variance. The results of the individual country analysis show that the impact of shocks to imports from all European countries had an instantaneous impact, except for France and Spain, where the impact on the economic growth was significant in the second and sixth periods respectively. The results suggest that Saudi Arabian policymakers should continue the process of export diversification in order to reduce its dependence on this region

Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic

This paper sets out to explore the impact of COVID-19 pandemic on the dynamic connectedness among gold, oil and five leading stock markets by applying a new DCC-GARCH connectedness approach. We find stronger connectedness between these markets during the COVID-19 pandemic than in the pre-pandemic period. We also find that during this pandemic, gold is a receiver of shocks from the five stock markets, whereas the oil is a net transmitter of shocks. 2021Scopu