Employment-output elasticities determinants: case of cross-section from AMEE

Employment to production intensity is used as indicator for employment. The aim of this paper is to provide new estimates of employment-output elasticities and assess the effect of structural and macroeocnomic policies and demographic indicators on the employment-intensity of growth. Having a sample of 44 countries taken from AMEE (Africa and Middel East Erea; 20 francophone et 24 anglophone countries) over the priod 2000-2017, we propose linear and non linear specifications to assess the role of considered variables. Linear models results in majority do not confirm previous empirical results except that of Trade openness saying it contributes to explain cross-country variations in employment elasticities which tend to be higher in more open economies for Francophone countries. While for Anglophone countries, elasticities are effected only by 15 to 24 years old participant in active population (Tx1524). With non linear specifications (Quadratic, Cubic, and/or Augmented Cubic), Structural Policy variables (Labor market policy, Lmp, and Product market policy, Pmp) have increasing effect on elasticities. Structural reforms have to be complemented by macroeconomic stability policies (less GDP volatility) to maximize the effect of structural policies on employment responsiveness. In addition, macroeconomic policies aimed at promoting Foreign direct investment (FDI) have significant and positive impact on employment elasticities

Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets

The objectif in this paper is to proposes multivariate GARCH volatility models to assess the dynamic interdependence among volatility of returns for 5 tunisian sectorial stock index series (namely : Bank, FINancial service, AUTOmobile, INDustry, and Materials (MATB)) and TUNindex series. The Monthly returns of stock indices have been considered from 2010M02 to 2019M07. Two systems are considered. The first System, with Constant Conditional (C) mean, allows for market interaction. Results from DVECH model reveals that some sectorial stock markets are interdependent, the presence of a significance and positive effect of cross shock of Finance and Bank stock returns on Tunindex return, and volatility is predictable. C Correlation, ρij, have decreasing evolution for full period or for recent years for almost all i and j except CC between Tunindex return and R_FIN (and R_BANK) and CC between R_FIN and R_IND (and R_MATB). The tests for volatility spillovers effects suggests significant volatility spillovers from MATB and AUTO sectors to IND sector and from AUTO sector to MATB sector. The second system, with macroeconomic factor instability effects as Conditional mean, examine the CCC and DCC between different sectors. The main result supports the hypotheses of DCC. The DCC provides evidence of cross border relationship between sectors and macro economic instability factors have significant effect on the mean of returns evolutions (at 5% or 10% level). Volatility of exchange rate has significant positive effect on R, R_FIN, and R_MATB, while volatility of inflation has significant negative effect on R_Fin and volatility of oil price has significant negative effect on R_AUTO

Cyclical Output, Cyclical Unemployment, and augmented Okun's Law in MENA zone

In this paper we investigate the relationship between economic growth and unemployment in MENA zone (six Arab countries: Tunisia, Egypt, Morocco, Lebanon, Jordan, and Oman) through the implementation of Okun’s Law using quarterly dataset covering the time period 2000 :1- 2014 :4. Static and Dynamic linear models are used to test the linkage between cyclical unemployment and cyclical growth rate. The empirical results from all these models do not indicate robust evidence but it confirm an inverse linkage between unemployment rate and economic growth, as the Okun’s Law suggests (except for Oman). Initially, the static linear model, the static asymmetric model, and the dynamic linear models (ARDL) fail to explain the long run tradeoff between unemployment and output due to severe model misspecifications. Most of these results are in line with previous studies ( (Moosa I. A., 2008), (Kreishan, 2011), (Andari & Bouaziz, 2015)), and (Al-hosban, 2017). In an NARDL gap specification, the Okun’s coefficients are the asymmetric long run parameters. Okun’s coefficients are statistically significant, which means that output growth can be translated into employment gains. Absolute effect of an economic contraction is significantly larger than that of an expansion in Tunisia, Egypt, Morocco, and Libanon. The opposite is true for Jordan and Oman. An economic upturn of 3.37%, 2.98%, and 2.5% respectively in Tunisia, Morocco, and Egypt reduces unemployment by 1%, while the downturn of 5.03%, 2.43% (and about 12%) respectively in Tunisia, Morocco (and Lebanon and Jordan) achieves the opposite. Empirical finding provides then an additional proof that Okun’s law could exist in a developing countries such as Tunisia, Egypt, Morocco, Lebanon, and Jordan

Employment-output elasticities determinants: is there difference between Francophone and Anglophone countries from AMEE ?

Employment to production intensity or elasticity is used as indicator for employment. The aim of this paper is to provide new estimates of this indicator by rolling regression and assess the effect of structural policies, macroeocnomic policies, and demographic factors on it. Using an unbalanced panel of 44 countries (20 Francophone and 24 Anglophone countries taken from AMEE (Africa and Middel East Erea) over the period 2000–2017, there is an important difference between Francophone and Anglophone countries. The results suggest that structural policies (Lmp and Pmp) aimed at increasing labor and product market flexibility have a significant and positive impact on employment elasticities for Francophone countries. While for Anglophone countries, macroeconomic policies aimed at promoting Foreign direct investment (FDI) and increasing government size have a significant and positive impact on employment elasticities. In addition for all countries, the results also suggest that in order to maximize the positive impact on the responsiveness of employment to economic activity, structural factors have to be complemented with macroeconomic policies aimed at increasing stability

Stock Market Volatility Analysis: A Case Study of TUNindex

Volatility is directly associated with risks and returns. This study aims to examine the volatility characteristics on Tunisian stock market index (5 days a weak TUNindex) that include clustering volatility, leptokurtosis, and leverage effect. The first objective is then to use the GARCH type models to estimate volatility of the daily returns series, consisting of 2191 observations from 01/02/2011 to 19/11/2019, with no significant weekdays effect. We use both symmetric and asymmetric models. The main findings suggest that the symmetric GARCHM and asymmetric TGARCH /APGARCH models can capture characteristics of TUNindex whereas EGARCH reveals no significant support for leverage effect existence. Looking at news impact curves, GJR model appears to be relatively better than other models. However, the volatility of stock returns is more affected by the past volatility than the related news from the previous period. The second objective is to use GARCHM- X S models to capture the effect of macro-economic instability via exchange rate growth and exchange rate volatility. For policy, GARCHM-XS2 turned to be the best model. The macroeconomic environment should be favourable to ensure growth in the stock market. Policies to reduce volatility in the the economy (more stable exchange rate) are a necessity for stock market

Islamic vs Conventional Canadian stock markets : what difference ?

This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to assess the dependence of Conventional and Islamic canadian stock market returns on inflation (expected and/or unexpected inflation) and volatility dynamic interdependence of returns (first and second moments). We also examine the constant and dynamic of conditional correlation in both stock market. The main result supports the hypotheses of constant conditional correlation (CCC) and Fisher hypothesis for Islamic canadian stock market. While the Conventional stock market is an efficient one. The volatility spillover is examined estimating an X-DVECH model. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within stocks. We do find also evidence of negative (positive) significant effect of inflation on Islamic (conventional) stock market return volatility

Islamic vs Conventional Canadian stock markets : what difference ?

This study empirically assesses the relationship between inflation and stock return in conventional and Islamic Canadian stock markets. The study has covered monthly data for the period 2004:M08−2018 :M4 of canadian economy. We propose a multivariate X-MGARCH or X- MGARCH-X volatility model to assess the dependence of Conventional and Islamic canadian stock market returns on inflation (expected and/or unexpected inflation) and volatility dynamic interdependence of returns (first and second moments). We also examine the constant and dynamic of conditional correlation in both stock market. The main result supports the hypotheses of constant conditional correlation (CCC) and Fisher hypothesis for Islamic canadian stock market. While the Conventional stock market is an efficient one. The volatility spillover is examined estimating an X-DVECH model. The dynamic conditional correlation (DCC) provides evidence of cross border relationship within stocks. We do find also evidence of negative (positive) significant effect of inflation on Islamic (conventional) stock market return volatility

Cyclical Output, Cyclical Unemployment, and augmented Okun's Law in MENA zone

In this paper we investigate the relationship between economic growth and unemployment in MENA zone (six Arab countries: Tunisia, Egypt, Morocco, Lebanon, Jordan, and Oman) through the implementation of Okun’s Law using quarterly dataset covering the time period 2000 :1- 2014 :4. Static and Dynamic linear models are used to test the linkage between cyclical unemployment and cyclical growth rate. The empirical results from all these models do not indicate robust evidence but it confirm an inverse linkage between unemployment rate and economic growth, as the Okun’s Law suggests (except for Oman). Initially, the static linear model, the static asymmetric model, and the dynamic linear models (ARDL) fail to explain the long run tradeoff between unemployment and output due to severe model misspecifications. Most of these results are in line with previous studies ( (Moosa I. A., 2008), (Kreishan, 2011), (Andari & Bouaziz, 2015)), and (Al-hosban, 2017). In an NARDL gap specification, the Okun’s coefficients are the asymmetric long run parameters. Okun’s coefficients are statistically significant, which means that output growth can be translated into employment gains. Absolute effect of an economic contraction is significantly larger than that of an expansion in Tunisia, Egypt, Morocco, and Libanon. The opposite is true for Jordan and Oman. An economic upturn of 3.37%, 2.98%, and 2.5% respectively in Tunisia, Morocco, and Egypt reduces unemployment by 1%, while the downturn of 5.03%, 2.43% (and about 12%) respectively in Tunisia, Morocco (and Lebanon and Jordan) achieves the opposite. Empirical finding provides then an additional proof that Okun’s law could exist in a developing countries such as Tunisia, Egypt, Morocco, Lebanon, and Jordan

Employment-output elasticities determinants: is there difference between Francophone and Anglophone countries from AMEE ?

Employment to production intensity or elasticity is used as indicator for employment. The aim of this paper is to provide new estimates of this indicator by rolling regression and assess the effect of structural policies, macroeocnomic policies, and demographic factors on it. Using an unbalanced panel of 44 countries (20 Francophone and 24 Anglophone countries taken from AMEE (Africa and Middel East Erea) over the period 2000–2017, there is an important difference between Francophone and Anglophone countries. The results suggest that structural policies (Lmp and Pmp) aimed at increasing labor and product market flexibility have a significant and positive impact on employment elasticities for Francophone countries. While for Anglophone countries, macroeconomic policies aimed at promoting Foreign direct investment (FDI) and increasing government size have a significant and positive impact on employment elasticities. In addition for all countries, the results also suggest that in order to maximize the positive impact on the responsiveness of employment to economic activity, structural factors have to be complemented with macroeconomic policies aimed at increasing stability

Stock Market Volatility Analysis: A Case Study of TUNindex

Volatility is directly associated with risks and returns. This study aims to examine the volatility characteristics on Tunisian stock market index (5 days a weak TUNindex) that include clustering volatility, leptokurtosis, and leverage effect. The first objective is then to use the GARCH type models to estimate volatility of the daily returns series, consisting of 2191 observations from 01/02/2011 to 19/11/2019, with no significant weekdays effect. We use both symmetric and asymmetric models. The main findings suggest that the symmetric GARCHM and asymmetric TGARCH /APGARCH models can capture characteristics of TUNindex whereas EGARCH reveals no significant support for leverage effect existence. Looking at news impact curves, GJR model appears to be relatively better than other models. However, the volatility of stock returns is more affected by the past volatility than the related news from the previous period. The second objective is to use GARCHM- X S models to capture the effect of macro-economic instability via exchange rate growth and exchange rate volatility. For policy, GARCHM-XS2 turned to be the best model. The macroeconomic environment should be favourable to ensure growth in the stock market. Policies to reduce volatility in the the economy (more stable exchange rate) are a necessity for stock market