Results found: 2

Search results

Search:
in the keywords: asymmetric effects

Sort By:

Limit search:

To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

100%

Alikhanov A.

Review of Economic Perspectives

2013

vol. 13

issue 1

3-29

The paper investigates mean and volatility spillover effects from the U.S and EU stock markets as well as oil price market into national stock markets of eight European countries. The study finds strong indication of volatility spillover effects from the US-global, EU-regional, and the world factor oil towards individual stock markets. While both mean and volatility spillover transmissions from the US are found to be significant, EU mean spillover effects are negligible. To evaluate the magnitude of volatility spillovers, the variance ratios are also computed and the results draw to attention that the individual emerging countries’ stock returns are mostly influenced by the U.S volatility spillovers rather than EU or oil markets. Additionally, examination of only global and regional stock markets spillover transmissions into European stock markets also confirms the dominating presence of the U.S spillover transmissions. Furthermore, I also implement asymmetric tests on stock returns of eight markets. The stock market returns of Hungary, Poland, Russia and the Ukraine are found to respond asymmetrically to negative and positive shocks in the US stock returns. The weak evidence of asymmetric effects with respect to oil market shocks is found only in the case of Russia and the quantified variance ratios indicate that presence of oil market shocks are relatively higher for Russia. Moreover, a model with dummy variable confirms the effect of European Union enlargement on stock returns only for Romania. Finally, a conditional model suggests that the spillover effects are partially explained by instrumental macroeconomic variables, out of which exchange rate fluctuations play the key role in explaining the spillover parameters rather than total trade to GDP ratios in most investigated countries.

Asymmetric Impact of Different Types of Road Trans-Port on Economic Growth in The Visegrad Group Countries: an Empirical Analysis of The Nardl Frame-Work

80%

Suproń B.

Współczesna Gospodarka

2023

vol. 17

issue 2 (41)

29-49

Współczesna gospodarka polega na efektywnej infrastrukturze transportowej, a transport drogowy towarów odgrywa kluczową rolę w dynamicznym wzroście gospodarczym i handlu. Celem artykułu było zbadanie wpływu poszczególnych rodzajów transportu drogowego na wzrost gospodarczy w krajach Grupy Wyszehradzkiej. W artykule zastosowano model nieliniowego autoregresyjnego rozproszonego opóźnienia (NARDL), aby zbadać asymetryczne oddziaływanie różnych rodzajów transportu na PKB. Badanie wykorzystuje dane kwartalne z lat 2004-2021. Dodatkowo w celu potwierdzenia uzyskanych obserwacji przeprowadzono badanie przyczynowości pomiędzy zmiennymi przy pomocy metody Toda-Yamamoto. Uzyskane wyniki wykazały, że istnieje zarówno symetryczny, jak i asymetryczny wpływ poszczególnych rodzajów transportu na wzrost gospodarczy w badanych krajach. Przewozy międzynarodowe i cross-trade oddziałują symetrycznie na wzrost PKB, natomiast przewozy kabotażowe i krajowe oddziałują asymetrycznie. Wyniki analizy przyczynowości opartej na metodzie Toda-Yamamoto wskazały dwukierunkową przyczynowość pomiędzy pracą przewozową a PKB w transporcie międzynarodowym i krajowym dla Czech i Polski, a także przewozami typu cross-trade dla Polski. Przyczynowość jednokierunkowa została potwierdzona dla przewozów cross-trade w przypadku Czech, Węgier i Słowacji. Na podstawie przeprowadzonej estymacji stwierdzono, że wpływ poszczególnych rodzajów transportu na wzrost gospodarczy jest asymetryczny i zależy od rodzaju przewozów oraz aspektów regionalnych Osiągnięte wyniki mają istotne implikacje dla polityki gospodarczej, umożliwiając dostosowywanie strategii i przepisów w celu wspierania wzrostu gospodarczego na podstawie różnic w oddziaływaniu transportu drogowego na gospodarkę.

The contemporary economy depends on an effective transportation system, and road haulage assumes a crucial function in fostering dynamic economic growth and commerce. This article aims to investigate the influence of various road transportation modes on economic growth in the Visegrad countries. In this study, the nonlinear autoregressive distributed lag (NARDL) model was employed to scrutinize the asymmetrical impact of various transport modes on GDP. We used quarterly data from 2004–2021 for the Visegrad countries. In addition, a Toda-Yamamoto test was performed to establish causality between variables. The study found evidence of differing impacts of transport modes on economic growth in the examined countries. Specifically, international, and cross-trade transport had a balanced effect on GDP growth, whereas cabotage and domestic transport had an imbalanced impact. The Toda-Yamamoto method's causality analysis results demonstrate bidirectional causality between freight work and GDP in both international and domestic transportation for the Czech Republic, Poland, and Poland's cross-trade. On the other hand, unidirectional causality was established for cross-trade in Hungary, Slovakia, and the Czech Republic. Based on the conducted estimation, it was deduced that the impact of specific transport modes on economic growth is uneven and reliant on both the transport mode and the country. The significant results obtained hold critical implications for economic policy, enabling the adaptation of strategies and regulations to foster growth based on variances in the influence of road transportation on the economy.

Refine search results

1 Review of Economic Perspectives

1 Współczesna Gospodarka

1 Alikhanov A.

1 Suproń B.

1 2023

1 2013

Search results

To What Extent are Stock Returns Driven by Mean and Volatility Spillover Effects? – Evidence from Eight European Stock Markets

Asymmetric Impact of Different Types of Road Trans-Port on Economic Growth in The Visegrad Group Countries: an Empirical Analysis of The Nardl Frame-Work