2. Publicaciones
URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068
Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional
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Ítem Solo Metadatos Impact of financial stress in advanced and emerging economies(Universidad ESAN. ESAN Ediciones, 2022-07-08) Valerio Roncagliolo, Flavio César; Villamonte Blas, Ricardo NorbertoPurpose: The purpose of the paper is to examine the differences in the impact of financial stress in advanced and emerging economies. Design/methodology/approach: The authors employ a panel vector autoregression model (PVAR) for a comparative analysis of the relationship between financial stress, economic growth and monetary stability in 14 advanced and emerging economies. A homogeneous measure of financial stress is constructed and measured as an index that provides signals of stress episodes in an economy. Findings: The impact of financial stress shocks is greater on the economic growth of advanced economies; likewise, financial stress shocks are significant only in advanced economies. The interbank interest rate is negatively affected by financial stress in emerging economies. In general, the results show a clear view of the importance of financial stability and the economic relevance of financial stress measures in the context of macro-prudential regulation. Originality/value: The results can be extended to monetary policy to implement measures that mitigate the impact of future financial crises.Ítem Solo Metadatos Factors driving IPO variability: evidence from Pakistan stock exchange(Universidad ESAN. ESAN Ediciones, 2021-12-19) Mehmood, Waqas; Mohd-Rashid, Rasidah; Zi Ong, Chui; Abdullah Abbas, YasirPurpose. The objectives of this study are twofold. First, it intends to investigate the symmetric link between initial public offering (IPO) variability and the determinants of the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment. Second, this study intends to examine the asymmetric link between IPO variability and the aforementioned determinants, namely the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment. Design/methodology/approach. Data from 1992 to 2018 were gathered from the country of Pakistan in order to achieve the above objectives. Augmented Dickey–Fuller (ADF) and Phillips Perron (PP) unit root tests were employed to determine the data's stationarity properties. The Auto Regressive Distributive Lags (ARDL) model was utilized to examine the symmetric links, and the Non-Linear Auto Regressive Distributive Lag Model (NARDL) was employed to determine the asymmetric links. While the long-run co-integration was examined using the ARDL bound test, the short-run dynamics were tested using the error correction method (ECM). Findings. The macroeconomic variables of the stock market index, treasury bill rate, inflation, GDP growth rate and foreign direct investment are found to pose significant short-run and long-run symmetric and asymmetric effects on IPO variability. These results indicate the significance of the aforementioned variables in enhancing IPO variability. The findings also demonstrate the typical reactions of inflation, GDP and FDI towards negative and positive shocks in IPO variability and inflation. This evidence implies that Pakistan's poor capital market development is reflected in the country's weak macroeconomic factors. At the same time, the reduced IPO variability in the country also reflects the lack of confidence among prospective issuers and investors due to Pakistan's weak macroeconomic indicators. Originality/value. This is the first study of its kind to properly investigate the symmetric and asymmetric effects of the macroeconomic variables on Pakistan's IPO variability.Ítem Solo Metadatos Identifying fiscal inflation in India: some recent evidence from an asymmetric approach(Universidad ESAN. ESAN Ediciones, 2020-12-01) Bhat, Javed Ahmad; Sharma, Naresh KumarPurpose: Among the many factors fueling the inflationary tendencies in an economy such as monetary shocks, structural shocks, demand shocks, external shocks and demographic changes, the issue of inflation (INF) has also been found to be related to fiscal policy decisions of the government. The purpose of this study is to investigate the inflationary tendencies in India particularly from the fiscal point of view. The study also examines the influence of other potential determinants such as output growth rate, interest rate, tradeopenness (TO) and oil price inflation (OPI). Design/methodology/approach: To examine the dynamic nature of association between fiscal deficit and inflation, the study applies the Toda-Yamamoto (1995) test and Breitung and Candelon (2006) test to investigate the nature of causality in time and frequency domain frameworks. In addition, to scrutinize the possibility of a long-run association, that too from an asymmetric point of view, the study applies a Non-linear Autoregressive Distributed lag model (NARDL) given by Shin et al. (2014). Finally, non-linear cumulative dynamic multipliers are used to trace the traverse between disequilibrium position of short-run and subsequent long-run equilibrium of the system. Findings: The authors found a unidirectional causality from fiscal deficit to inflation in case of time domain analysis and no feedback causality is reported. However, in case of frequency domain design, causality from fiscal deficit to inflation is found at low frequencies only, i.e. no short-run causality is established and hence dynamic nature of the relationship between the two variables is vindicated. Using NARDL model, the results document the existence of an asymmetric long-run direct association between fiscal deficit and inflation. However, an increase in deficit is found to be more inflationary and a decrease affects the inflation with a lower magnitude. The asymmetric impact of fiscal deficit on inflation can be explained through the existence of liquidity constraints, consumption-investment downward inflexibility and the downward price stickiness. Contractionary monetary policy action is found to be more effective than an expansionary one, signifying the asymmetric influence of monetary policy actions on the inflation of India. Similarly, in a supply-constrained economy with downward price rigidity, the authors found an asymmetric impact of output growth and output decline on inflation. As regard to the trade-openness, although an asymmetry is reported, the signs refute the validation of Romer (1993) hypothesis. Finally, the impact of oil price inflation on the inflationary pressures is according to theory but the coefficients are devoid of statistical significance. Practical implications: These results indicate some important policy recommendations. Fiscal consolidation strategy should be executed in an appreciable manner to achieve the sound fiscal health and lower INF. The disciplined fiscal strategy would also be imperative for an effective monetary policy. Monetary authorities should possess noticeable credibility to manage the macroeconomic system and policy stances should be implemented according to requirements of the economy. Growth in output should be encouraged to have twofold benefits to the economy – reducing INF on the one hand and fiscal deficits on the other. Originality/value: The study contributes to the existing literature in the following ways. First, taking note of dynamic nature of the relationship between these two variables, the study examined the deficit INF nexus in a dynamic and asymmetric framework. The novelty of the study is ensured by the very nature of it is the first study in case of India to identify the fiscal INF in an asymmetric configuration. The authors applied a NARDL model, given by Shin et al. (2014) to examine the existence of any cointegrating relationship in an asymmetric paradigm. Second, the nature of causality between fiscal deficit and INF has been examined in a time domain and FD framework to portray precisely the casual interactions between these two variables in the short-run and long run. The study will, therefore, enrich the existing literature along the asymmetric lines.Ítem Solo Metadatos Effects of fiscal deficit and money M2 supply on inflation: evidence from selected economies of Asia(Universidad ESAN. ESAN Ediciones, 2015-06-01) Nguyen, Van BonA sustained high growth rate of gross domestic product at a low inflation is one of the main goals of the majority of macroeconomic policies, so keeping the price stability plays an important role in determining the growth rate of output. This paper empirically investigates effects of fiscal deficit and broad money M2 supply on inflation in Asian countries, namely Bangladesh, Cambodia, Indonesia, Malaysia, Pakistan, Philippines, Sri Lanka, Thailand, and Vietnam in the period of 1985-2012. By applying the Pooled Mean Group (PMG) estimation-based error correction model and the panel differenced GMM (General Method of Moment) Arellano-Bond estimator, the study finds out broad money M2 supply has significantly positive impact on inflation only in the method of PMG estimation whereas fiscal deficit, government expenditure and interest rate are the statistically significant determinants of inflation in both methods of estimation.Ítem Solo Metadatos Threshold effects of inflation on growth in the ASEAN-5 countries: A Panel Smooth Transition Regression approach(Universidad ESAN. ESAN Ediciones, 2015-06-01) Thanh, Su DinhThe relationship between inflation and economic growth is a contentious Issue. The present study is undertaking to test hypothesis that the relationship between inflation and economic growth is nonlinear. This pane data study involves ASEAN-5 countries over the period 1980–2011. Panel Smooth Transition Regression (PSTR) model is employed to estimate the threshold of inflation and its effects on economic growth. Furthermore we also check robustness by using GMM-IV specification. The study finds that there exists a statistically significant negative relationship between inflation and growth for the inflation rates above the threshold level of 7.84% above which inflation starts impeding economic growth in the ASEAN-5 countries. The results suggest that central banks in the ASEAN-5 countries could improve economic growth by reducing inflation when it is above or near the estimated thresholds. The threshold inflation level can be considered therefore as inflation targeting indicator to conduct monetary policy.
