An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects

An Analysis of Returns and Volatility Spillovers and their Determinants in Emerging Asian and Middle Eastern Countries

This study investigates the return spillovers and volatility spillovers from developed markets (e.g., Europe, Japan and the US) into the financial markets of selected emerging countries in Asia and the Middle East and North Africa (MENA) region. Based on constant and trend spillover models, we find evidence of significant spillover effects from developed markets to emerging markets. The results from variance ratios indicate the dominance of US shocks across all emerging markets, though the effect varies widely among countries. New to these literature, we conduct an empirical analysis quantifying the underlying determinants affecting the extent of shock spillovers. The results show that bilateral factors such as trade volume, portfolio investment and distance are significant in explaining the spillover effects

Bi-Demographic Changes and Current Account using SVAR Modeling: Evidence from Saudi Economy

The paper aims to explore the impacts of bi-demographic structure on the current account and growth. We use a Structural VAR modeling to track the dynamic impacts between the underlying variables of Saudi economy. New insights have been developed to study the interrelations between population growth, current account and economic growth inside the neoclassical theory of population. The long-run net impact on economic growth of the bi-population growth is negative, due to the typically lower skill sets of the immigrant labor population. Besides, the negative long-run contribution of immigrant workers to the current account growth largely exceeds that of contributions from the native population, because of the increasing levels of remittance outflows from the country. We find that a positive shock in the immigration leads to a negative impact on native active age ratio. Thus, the immigrants appear to be more substitutes than complements for native workers