COMMODITY PRICE AND INFLATION DYNAMICS: EVIDENCE FROM BRIICS

In this study, we use a commodity augmented Phillips curve to investigate the impact of global commodity prices on domestic inflation in Brazil, Russia, India, Indonesia, China, and South Africa. Oil and energy prices cause inflationary pressures in all countries, except Russia, where they cause deflationary pressures. In Indiaand Indonesia, global food prices are highly significant and positively related to inflation, while in South Africa precious metal prices impact inflation negatively. For policymakers, this study provides insights on the domestic adjustments required for inflation targeting in response to global commodity price volatility.In this study, we use a commodity augmented Phillips curve to investigate the impact of global commodity prices on domestic inflation in Brazil, Russia, India, Indonesia, China, and South Africa. Oil and energy prices cause inflationary pressures in all countries, except Russia, where they cause deflationary pressures. In Indiaand Indonesia, global food prices are highly significant and positively related to inflation, while in South Africa precious metal prices impact inflation negatively. For policymakers, this study provides insights on the domestic adjustments required for inflation targeting in response to global commodity price volatility

Tripartite analysis across business cycles in Turkey: A multi-timescale inquiry of efficiency, volatility and integration

AbstractIn the current era of globalization, deregulation and liberalization of markets have led to financial integration amongst developing and developed countries. The sudden massive inflow of capital into developing country's stock markets begs the question of whether or not the markets are sufficiently efficient to handle the increasing integration of markets. Furthermore, the relationship between the integration and efficiency of stock markets tends to be of greater importance during economic downturns. Taking Turkey as a case study owing to its economic growth and importance in two successful blocs, i.e. the EU and the OIC, we attempt to analyse the linkages between stock market efficiency and integration during the different phases of the economy. The findings of our study provide an interesting insight into the relative improvement in volatility, efficiency and integration across business cycles, in a multi time scale analysis

UNDERSTANDING MARKET REACTION TO COVID-19 MONETARY AND FISCAL STIMULUS IN MAJOR ASEAN COUNTRIES

In this paper, we examine the effect of fiscal and monetary policy stimulus actions during the COVID-19 pandemic on the stock markets of four ASEAN countries, namely, Indonesia, Singapore, Malaysia, and Thailand. Using time-series regression models, we show the relative importance of monetary and fiscal policies. Our findings suggest that 7-days after the policy announcement, fiscal policies helped cushion financial market losses in Indonesia, Singapore and Thailand. We do not find any robust evidence of policy effectiveness for Malaysia. While our investigation is preliminary it opens an additional avenue for understanding the effectiveness of policy stimulus.In this paper, we examine the effect of fiscal and monetary policy stimulus actions during the COVID-19 pandemic on the stock markets of four ASEAN countries, namely, Indonesia, Singapore, Malaysia, and Thailand. Using time-series regression models, we show the relative importance of monetary and fiscal policies. Our findings suggest that 7-days after the policy announcement, fiscal policies helped cushion financial market losses in Indonesia, Singapore and Thailand. We do not find any robust evidence of policy effectiveness for Malaysia. While our investigation is preliminary it opens an additional avenue for understanding the effectiveness of policy stimulus

DO ISLAMIC CRYPTOCURRENCIES PROVIDE DIVERSIFICATION OPPORTUNITIES TO INDONESIAN ISLAMIC INVESTORS?

This study examines whether Islamic gold-backed cryptocurrencies (Onegram and X8X) provide any diversification benefits to the Islamic investors of Indonesia. We study the co-movements between return and volatility of cryptocurrencies and Indonesian Islamic equity indices during the pre-COVID-19 and COVID-19 periods. We employ Multivariate Generalized Autoregressive Conditional Heteroscedastic-Dynamic Conditional Correlation (M-GARCH-DCC) and Continuous Wavelet Transforms (CWT) for this study. We find that the COVID-19 crisis enhanced the spillover effect among the Islamic gold-backed cryptocurrencies and Islamic equities. We also provide evidence that Indonesian investors may invest in cryptocurrencies to minimize the equity sector risks during the pandemic. Our results bear significant implications for portfolio diversification strategies for Indonesian investors

How does crisis affect efficiency? An empirical study of East Asian markets

Much research has been undertaken in the Efficient Market Hypothesis (EMH) over the preceding two decades. With Asian countries emerging as a global powerhouse in terms of regional economics, the interest in their stock markets has picked up recently. Asian markets traditionally comprised of many emerging markets are generally assumed to be more volatile and speculative in nature. Based on this crux, we focus specifically on the response of these markets efficiency to major crisis. In recent years, the Asian markets have experienced a phenomenal boom in attracting foreign capital inflow, with Singapore evolving into a global financial hub in terms of banking and financial services. Scepticism and cautious nature raises the question of whether these stock markets are efficient enough for further investment and development. Our study is unique in nature, as we focus on the efficiency of these market in response to crisis periods, comparing it with their pre-crisis period, both in shorter term of 1 year as well as longer term of 5 years post and pre crisis period. Taking Malaysia, Indonesia, Singapore and South Korea owing to their economic and financial development, we use MF-DFA to derive efficiency measure for comparative analysis with its own past. The findings put forth a notion of generally a deteriorating and negative impact of the Asian financial crisis, while the sub-prime crisis impact varies based on the economic structure of the economies. The findings concur with the mainstream literature and similar studies for other countries and region

Did green debt instruments aid diversification during the COVID-19 pandemic?

Faced with a persistent pandemic, investors are concerned about portfolio diversification. While the literature on COVID-19 has evolved impressively, limited work remains on diversification opportunities. We contribute to the literature by exploring the volatility and co-movement of different sovereign debt instruments, including green sukuk, sukuk, bond and Islamic and conventional equity indices for Indonesia. Our results consistently point towards increased asset co-movement and weak profitability during the pandemic. Interestingly, sukuk and green sukuk have a 14% correlation with stocks, suggesting potential diversification prospects in times of extreme shocks