Exchange Rates Predictability in Developing Countries

The main objective of this study is to re-investigates the exchange rates predictability puzzle using monetary model. It is hypothesised that the performance of exchange rate predictability is better off in countries with monetary instability. We employ bootstrap technique as proposed by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting for three different monetary models (flexible price, sticky price and relative price) for selected developing economies. The empirical result shows the superiority of sticky price model along with the evidence of exchange rate predictability for high inflation economies.Foreign exchange; international finance; forecasting;

Dynamic inter-relationship between trade, economic growth and tourism in Malaysia

This study aims to test a hypothesis that postulate a positive inter-relationship between international flows of tourist, trade and economic growth. Although tourism is one of the major components in the trade of services, and it has been certified by large number of literatures on the strong correlation between tourism industry and economic development, yet not much is known on the dynamic inter-relationship between these three variables. Closing-up this gaping hole, this study employs the cointegration tests under autoregressive distributed lag (ARDL) structure to investigate a dynamic inter-relationship between economic development, total trade (import and export) and number of tourist arrival for Malaysia and her major tourism partners ((ASEAN countries) . The estimated result based on the long run time series behavior for number of tourist arrival, volume of total trade and economic development’s indicator shows that these three variables are moved in tandem. Interestingly, in the analysis of short run behavior, we find that number of tourist arrival has significantly Granger caused total trade flows at least for some countries. At the same time, in the short-run, we find that both growth in total trade (export and import) and international tourists’ arrival to Malaysia have uni-directionally Granger caused real income growth and there is statistical evidence for international trade to lead tourist arrival.economic growth, trade, tourism, cointegration, and Malaysia

THE INTER-RELATIONSHIP BETWEEN COMMODITY ENERGY PRICES AND STOCK MARKET VOLATILITY IN SAUDI-ARABIA

Background and Purpose: The present study examines the inter-relationship that exists between commodity energy price as well as stock market volatility in Saudi-Arabia. The focus of the study is to test if changes in commodities energy prices (oil related) cause significant changes in the stock market volatility of Saudi Arabia.   Methodology: This study made use of a generalized autoregressive conditional heteroscedasticity model which has exogenous variables (GARCH-X), thus able to employ the commodity energy price inform of an exogenous so as to test the conditional variance of the Saudi-Arabia stock market return.   Findings: The findings from the estimated model provide evidence that only the ARCH and GARCH parameters are significant while the exogenous variables are insignificant. It is concluded that other factors affect the volatility of the Saudi-Arabia stock market, but not the commodity energy price.   Contributions: This study recommends that, policy makers, investors, and regulators should give emphasis on macro-economic variables and volatility interdependence with other correlated markets, especially during energy price shock that affected the volatility of Saudi-Arabia stock market.    Keywords: Energy price, GARCH-X, Saudi Arabia, stock market, volatility.   Cite as: Alsufyani, M., & Sarmidi, T. (2020). The inter-relationship between commodity energy prices and stock market volatility in Saudi-Arabia. Journal of Nusantara Studies, 5(1), 270-293. http://dx.doi.org/10.24200/jonus.vol5iss1pp270-29

Exchange Rates Predictability in Developing Countries

The main objective of this study is to re-investigates the exchange rates predictability puzzle using monetary model. It is hypothesised that the performance of exchange rate predictability is better off in countries with monetary instability. We employ bootstrap technique as proposed by Kilian (1999) to alleviate statistical inference intricacies inherit in the long horizon forecasting for three different monetary models (flexible price, sticky price and relative price) for selected developing economies. The empirical result shows the superiority of sticky price model along with the evidence of exchange rate predictability for high inflation economies

Dynamic Linkages of Asian Emerging Stock Markets: An Analysis of the Pre- and Post-liberalization Era

The main purpose of this thesis is to assess the impact of removal of financial impediments on the ASIAN emerging equity markets. In the recent years the ASIAN countries have attempted to promote economic growth by taking steps to liberalise their domestic financial systems and removing restriction in international capital flows. countries, greater role in their financial markets. An important effect of financial liberalisation policies is the impact on the degree of integration between the emerging markets and the world equity markets. If equity markets are highly integrated, it implies that a given country's market cannot effectively insulate from foreign influences. linkages of the equity markets in the region with the major world markets by utilising the lohansen-luse tests, data is used in the analysis covering the period from January 1988 to January 1997. The ASIAN emerging markets selected include Malaysia, South Korea, Taiwan and Thailand while Hong Kong, Japan and the US are considered as the major world markets in vector autoregressive (VAR) model. The empirical evidence obtained from this study suggests the following. First, market liberalisation appears to have significant impact on all the equity markets. Analysis on iterative Johansen tests, sub-sample analysis and CUSUM tests indicate a possible structural break in the long run relationship among the emerging stock markets and the major exchange markets. Second, national stock markets are becoming more interdependent with the US, Japan and Hong Kong providing the link in the interdependence as one move towards the present liberalise system. Finally, the individual markets are all adjusting more rapidly to the equilibrium paths or stationary fundamental forces as one move towards recent past, and shocks to the system are becoming more persistent in the 1990's. The results of this study have some important policy conclusions. First, effective and efficient diversification of securities portfolios among international stock markets cannot be achieved given that the markets are cointegrated. Second, in an internationally integrated capital markets the scope for an independent monetary policy is limited. In fact if these countries insist on pursuing a dependent monetary policies the move may have a destabilising effect

Technical Efficiency Analysis of MSMEs Fashion Offline and Online in Surabaya

The main purpose of this study is analyzing the level of technical efficiency of MSMEs fashion offline with offline and online in Surabaya, examine the differences between offline with offline and online, and determine the factors that affect technical efficiency. This study uses purposive sampling method with primary data. Non-parametric and parametric approach used with Data Envelopment Analysis, Independent sample T-Test and Tobit Regression. First, the results showed the average level of technical efficiency of offline MSMEs fashion was 65 percent with 8 efficient businesses. Meanwhile, the average level of technical efficiency of online and offline MSMEs fashion is 77.1 percent with 20 efficient businesses. Second, there are differences in the average efficiency of offline and online MSMEs fashion. The result of Tobit Regression on the offline MSMEs fashion show the length of business and number of store offline have positive and significant impact on technical efficiency, while number of workers and capital credit has no significant effect. While on offline and online MSMEs fashion, show the number of online stores and capital credit has a positive and significant impact on technical efficiency, while the length of business and the number of offline stores have no significant effect

Sumpahan sumber alam dan modal insan: satu penilaian semula

Motivasi kajian ini ialah untuk menyediakan bukti empirikal peranan modal insan dalam menentukan sama ada sumber alam sebenarnya ialah satu “rahmat” atau “sumpahan”. Walaupun Sachs dan Warner (1995) mendapati sumber alam tidak membantu pertumbuhan ekonomi, namun tidak banyak diketahui mengenai hubungan antara sumber alam dan pendapatan. Berkemungkinan, walaupun hubungan antara negara kaya sumber alam dan pertumbuhan ekonomi adalah negatif, tetapi pendapatan benar di negara kaya sumber adalah positif. Kertas ini bertujuan mengkaji hubungan dinamik antara sumber alam, modal insan dan pendapatan di negara OIC dan bukan-OIC. Berbeza dengan kajian lepas yang banyak menekankan pertumbuhan, kajian ini menekankan pendapatan benar negara kaya sumber. Kajian juga mengambil kira faktor modal insan dalam menentukan pendapatan negara. Menggunakan pendekatan panel dinamik kaedah momen terilat (Generalized Method of Moments - GMM) untuk 149 negara dari tahun 1980-2010, dapatan kajian menunjukkan kekayaan sumber alam adalah “rahmat” daripada segi pendapatan sama ada di negara OIC mahu pun bukan-OIC. Menariknya, dapatan menunjukkan bahawa modal insan adalah faktor utama dalam menentukan “rahmat” atau “sumpahan” bagi negara yang kaya dengan sumber alam. Sumber alam yang melimpah ruah akan menjadi rahmat seiring dengan keutamaan memperkasa modal insan dalam membantu kepesatan ekonomi

Resource curse: new evidence on the role of institutions

This paper attempts to provide a probable answer to a longstanding resource curse puzzle; i.e., why resource-rich nations grow at a slower rate compared to less fortunate ones. Using an innovative threshold estimation technique, the empirical results reveal that there is a threshold effect in the natural resources – economic growth relationship. We find that the impact of natural resources is meaningful to economic growth only after a certain threshold point of institutional quality has been attained. The results also shed light on the fact that the nations that have low institutional quality depend heavily on natural resources while countries with high quality institutions are relatively less dependent on natural resources to generate growth

Dynamic inter-relationship between trade, economic growth and tourism in Malaysia

This study aims to test a hypothesis that postulate a positive inter-relationship between international flows of tourist, trade and economic growth. Although tourism is one of the major components in the trade of services, and it has been certified by large number of literatures on the strong correlation between tourism industry and economic development, yet not much is known on the dynamic inter-relationship between these three variables. Closing-up this gaping hole, this study employs the cointegration tests under autoregressive distributed lag (ARDL) structure to investigate a dynamic inter-relationship between economic development, total trade (import and export) and number of tourist arrival for Malaysia and her major tourism partners ((ASEAN countries) . The estimated result based on the long run time series behavior for number of tourist arrival, volume of total trade and economic development’s indicator shows that these three variables are moved in tandem. Interestingly, in the analysis of short run behavior, we find that number of tourist arrival has significantly Granger caused total trade flows at least for some countries. At the same time, in the short-run, we find that both growth in total trade (export and import) and international tourists’ arrival to Malaysia have uni-directionally Granger caused real income growth and there is statistical evidence for international trade to lead tourist arrival

Public Debt and Budget Deficit Threshold Levels on New Fiscal Sustainability Indicator

Fiscal sustainability can be determined and assessed using financial technology (FinTech). Consequently, a new indicator of fiscal sustainability can be constructed. This study also estimates threshold levels of public debt and budget deficit by considering institutions for 88 developing and 35 developed countries in 2014 and 2017. The principal component analysis (PCA) and the cross-section threshold regression are employed. The main findings revealed that the threshold levels of public debt-to-GDP ratio for developed and developing countries in 2014 were 100.37% and 63.04%, while that in 2017 were 90.09% and 84.28%, respectively. Moreover, the threshold levels of budget deficit-to-GDP ratio for developed and developing countries in 2014 were -3.04% and -1.24%, while those in 2017 were -0.97% and -5.75%, respectively. Therefore, policymakers should emphasize a certain public debt and budget deficit level to warrant a fiscally sustainable level.JEL Classification: C13, E62, H60 How to Cite:Cahyadin, M., Sarmidi, T., Khalid, N. & Law, S. H. (2023). Public Debt and Budget Deficit Threshold Levels on New Fiscal Sustainability Indicator. Signifikan: Jurnal Ilmu Ekonomi, 12(1), 97-116. https://doi.org/10.15408/sjie.v12i1.31005