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A special issue of Economies (ISSN 2227-7099).

Deadline for manuscript submissions: closed (15 June 2019) | Viewed by 77468

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Assoc. Prof. Alexander Borochkin

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Department of Finance and Credit, The Institute of Economics and Entrepreneurship, Lobachevsky State University of Nizhni Novgorod (UNN), Nizhni Novgorod, Russia
Interests: financial markets and real estate; monetary policy and systemic risks; high frequency and informed trading; economic growth in emerging economies

Special Issue Information

Dear Colleagues,

The influence of human nature on financial decisions is under deep investigation in academic disciplines. Finance has always been connected with psychology, behavioral theory and even with neurology in modern research. The availability of big data, fast communication channels, information openness, and the development of computer science have formed the base of a great number of financial innovations.

This Special Issue “Computational Macroeconomics” seeks empirical research papers that employ modern data science analysis methodologies and explore the wide range of publicly available open access big data databases on the following theoretical topics related to financial markets and the world economy. First, monetary policy, international trade liberalization and systemic risk with the scope of forecasting and preventing financial crises, liquidity problems in real estate and mortgage markets. Second, research in emerging economies, including international entrepreneurship in high economic growth countries such as China, India, and Mexico; financial market volatility shocks and spillover effects in oil-dependent countries such as Gulf Cooperation Council (GCC) members (Saudi Arabia, Kuwait, Qatar, the United Arab Emirates, Oman and Bahrain) and North-East Asian economies; and agricultural transformation in rural countries such as Ethiopia and Kenya. Third, high frequency and informed trading on financial markets with particular attention to information content, analysts recommendations, and information asymmetry. Fourth, there is emerging research field in behavioral finance such as money illusions and heterogeneous beliefs that are connected to traditional financial theory concepts like risk aversion, risk sharing, risk premium, risk measures, asset pricing. Fifth, banking is strongly connected to financial market disciplines, thus we will include current research studies of bank lending and risk taking, bank capital requirements, stress testing, bank default risk, credit default swap spreads, and yield spreads.

Assoc. Prof. Alexander Borochkin
Guest Editor

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Keywords

Monetary policy
High economic growth countries
High-frequency trading
Heterogeneous beliefs
Banking

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Published Papers (12 papers)

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Research

13 pages, 282 KiB

Open AccessArticle

The Impact of Thailand’s Openness on Bilateral Trade between Thailand and Japan: Copula-Based Markov Switching Seemingly Unrelated Regression Model

by Pathairat Pastpipatkul, Petchaluck Boonyakunakorn and Kanyaphon Phetsakda

Economies 2020, 8(1), 9; https://doi.org/10.3390/economies8010009 - 30 Jan 2020

Cited by 4 | Viewed by 5251

Abstract

The purpose of this paper is to analyze the impact of trade openness and the factors based on the gravity model on the bilateral trade flows between Thailand and Japan. The factors consist of GDP, distance, trade openness, and exchange rate. Bilateral trade is composed of two flows: Thailand’s export flow to Japan, and Thailand’s import flow from Japan. The specified gravity equations are estimated by Copula-based Markov switching seemingly unrelated regression approach. The best-fitting model is chosen based on the lowest Akaike information criterion (AIC) and Bayesian information criterion (BIC). The Normal and Student’s t distributions are for Thailand’s export equation and Thailand’s import equation, respectively. The Student’s t copula is applied for joint distribution. Analyzing the bilateral trade flow is separated into two situations, namely the high and the low growth markets. Empirical results show that distance provides a positive effect on the export in a high growth regime, but a negative impact on the export in a low growth regime. As for Thailand’s import flow, all variables, but especially trade openness, provide strong evidence supporting significance for both regimes. For the GDPs of both Thailand and Japan, trade openness and the exchange rate increase import flow in a high growth market. Meanwhile, the exchange rate decreases import flow in a low growth market. The Markov Switching Probability Estimation notes that Thailand’s trading with Japan is mostly in the fast-growing market. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

20 pages, 1118 KiB

Open AccessArticle

A Comparison on Leading Methodologies for Bankruptcy Prediction: The Case of the Construction Sector in Lithuania

by Gintare Giriūniene, Lukas Giriūnas, Mangirdas Morkunas and Laura Brucaite

Economies 2019, 7(3), 82; https://doi.org/10.3390/economies7030082 - 17 Aug 2019

Cited by 11 | Viewed by 7023

Abstract

Different economic environments differ in their characteristics; this prevents the usage of the same bankruptcy prediction models under different conditions. Objectively, the abundance of bankruptcy prediction models gives rise to the idea that these models are not in compliance with the changing business conditions in the market and do not meet the increasing complexity of business tasks. The purpose of this study is to assess the suitability of existing bankruptcy prediction models and the possibilities to increase the effectiveness of their application. In order to analyze theoretical aspects of the application of bankruptcy forecasting models and frame the research methodology, a systemic comparative and logical analysis of the scientific literature and statistical data, graphic data representation, induction, deduction and abstraction are employed. Results of the analysis confirm research hypotheses that bankruptcy prediction models based on macroeconomic variables are effective in identifying the number of corporate bankruptcies in a country and that the application of the model created on the grounds of macroeconomic indicators together with the traditional bankruptcy prediction model can improve the reliability of bankruptcy prediction. However, it was identified that models which are not specially adapted to companies in the construction sector are also suitable for forecasting their bankruptcies. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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17 pages, 1487 KiB

Open AccessArticle

Lack of Global Convergence and the Formation of Multiple Welfare Clubs across Countries: An Unsupervised Machine Learning Approach

by Carlos Mendez

Economies 2019, 7(3), 74; https://doi.org/10.3390/economies7030074 - 17 Jul 2019

Cited by 3 | Viewed by 6367

Abstract

The cross-country convergence hypothesis is one of the central topics of long-run macroeconomics. This paper revisits this hypothesis in a context beyond GDP. It uses a novel welfare index that incorporates measures of consumption, leisure, life expectancy, and inequality. Based on a sample of 128 countries over the 1980–2007 period, the lack of global sigma and beta convergence is first documented. Next, the paper incorporates some recent developments from the unsupervised machine learning literature to evaluate the existence of local convergence. In particular, the application of a distribution-based clustering algorithm suggests the formation of three local convergence clubs. Under this classification, beta convergence is recovered for each club. However, only the core members of the richest club appear to be reducing their welfare differences in a way that is consistent with the strong notion of sigma convergence. Overall, these results re-emphasize the finding that beta convergence is necessary, but not sufficient for sigma convergence, even within convergence clubs and in a context beyond GDP. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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13 pages, 1280 KiB

Open AccessArticle

Multi-Process-Based Maximum Entropy Bootstrapping Estimator: Application for Net Foreign Direct Investment in ASEAN

by Arisara Romyen, Chukiat Chaiboonsri, Satawat Wannapan and Songsak Sriboonchitta

Economies 2019, 7(3), 64; https://doi.org/10.3390/economies7030064 - 1 Jul 2019

Cited by 1 | Viewed by 4624

Abstract

Due to a broad consensus in the engaging of global economic integrations, host countries encounter a number of challenges, especially in international capital mobility. Foreign direct investment (FDI) becomes a pillar for economic development. This study explores which Association of Southeast Asian Nations (ASEAN)-6 countries are good representatives to inform the directions of FDI. For computational modelling, the AR-GARCH model was created using the maximum entropy bootstrap estimation. Nonparametric techniques consisting of the maximum entropy bootstrap method and cross-entropy algorithm were applied. The results show that Indonesia has the nearest cross-entropy (CE) value compared to the whole entropy value, followed by Thailand and Singapore. Furthermore, it is consistent with the first- and second-order stochastic dominance analyses. Additionally, the structural dependence of capital movements is displayed to deeply investigate the capital flow relation among the countries. Consequently, the performances of FDI in Indonesia, Thailand, and Singapore can significantly convey the scenario of FDI across ASEAN. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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22 pages, 2114 KiB

Open AccessArticle

Determinants of Private Savings in the Form of Bank Deposits: A Case Study on Regions of the Russian Federation

by Marina Malkina

Economies 2019, 7(2), 63; https://doi.org/10.3390/economies7020063 - 25 Jun 2019

Cited by 2 | Viewed by 5395

Abstract

The paper is aimed at investigating the factors affecting the level of private deposits in banks in Russian regions and the verification of various theoretical concepts of personal savings. To achieve this purpose, we built a set of alternative Cobb–Douglas-type regressions with fixed time effects and logistic-type regressions based on panel data of 80 Russian regions from 2014–2016. Their estimations allowed us to reveal the dependence of private deposits in Russian regions at the level of real personal income and its structure, the personal income inequality, the demographic structure of the population, the state of the labor market, the level of accumulated wealth, the rate of urbanization, and the level of development of the financial system in the regions. Signs with variables summarize both direct and indirect effects of the input variables on the deposits, confirming some theoretical concepts and rejecting others, while the calculated elasticities show the strength of these effects. The results we obtained are applicable to the management of financial resources in Russian regions and the smoothing out of interregional differences in their development. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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16 pages, 2383 KiB

Open AccessArticle

Export–Output Growth Nexus Using Threshold VAR and VEC Models: Empirical Evidence from Thailand

by Arisara Romyen, Jianxu Liu and Songsak Sriboonchitta

Economies 2019, 7(2), 60; https://doi.org/10.3390/economies7020060 - 18 Jun 2019

Cited by 4 | Viewed by 5818

Abstract

This paper explores the relationship between export, import, and output for Thailand over the period from 1990 to 2017. The threshold vector autoregressive (VAR) and threshold vector error correction (VEC) models were applied. The empirical evidence confirms that the export-led growth hypothesis is valid, implying feedback within the export–output growth nexus. During business cycles, the export–output characteristics in economic cycles can be classified by the two-threshold VAR and VEC models. These relevant variables converge from the long-run equilibrium. As for the thresholds which are correlated, gross domestic product (GDP) vs. export and GDP vs. import exist as a long-run equilibrium relationship, while there does not seem to be a relationship of export vs. import. Furthermore, a five-year forecast was created (the period of 2018–2022). The export–output growth scenarios appear to swing upward continuously throughout the short-term trend. Therefore, policy-makers should highlight countercyclical macroeconomic policies at lower, medium, and upper regimes to strengthen the state of recovery and encourage the state of short recession. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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15 pages, 2363 KiB

Open AccessArticle

Impact of Fiscal Policy on Consumption and Labor Supply under a Time-Varying Structural VAR Model

by Rozina Shaheen

Economies 2019, 7(2), 57; https://doi.org/10.3390/economies7020057 - 17 Jun 2019

Cited by 4 | Viewed by 7282

Abstract

This paper investigates the impact of fiscal policy on private consumption and labor supply in the UK economy using time-varying parameter vector autoregression (TVP-VAR) with stochastic volatility for the period Q2 1987 to Q2 2017. It considers fiscal variables such as government expenditure and net tax revenue and evaluates their impact on private consumption and average hours worked per week. Three sample periods were selected and two approaches were used to identify impulse responses, first taking the average of stochastic volatility over the sample period, and then allowing for sign restrictions based on contemporaneous relationships among the selected variables. The study found a negative wealth effect of public spending on private consumption and a positive effect on hours worked, as people tend to work more hours to maintain the same standard of living. Similarly, a tax shock generates negative effects on consumption but the impact on worked hours remains unclear over a three-year time horizon. These findings are almost consistent across sample periods and alternative specifications of impulse responses. This is one of only a few studies to determine the linkages between fiscal policy and the labor market using a macroeconomic framework. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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14 pages, 626 KiB

Open AccessArticle

Foreign Trade Structure, Opening Degree and Economic Growth in Western China

by Nan Li, Lipeng Sun, Xiao Luo, Rong Kang and Mingde Jia

Economies 2019, 7(2), 56; https://doi.org/10.3390/economies7020056 - 17 Jun 2019

Cited by 6 | Viewed by 7070

Abstract

This paper presents an interactive study on the relationship between the foreign trade structure, opening degree and economic growth of the provinces in western China (except Tibet). It shows that the export of primary products and labor-intensive products has a positive impact on the external development of the western region, while the export of capital and technology-intensive products has a smaller inhibitory effect on it. At the same time, the system GMM model shows that the opening degree of the western region has a positive effect on economic growth. After including the foreign trade structure interaction item, this result has not changed, and on the basis of opening up to the outside world, the export of labor-intensive products and capital-intensive products plays a significant role in promoting economic development. Therefore, this paper holds that the western region should optimize its foreign trade structure, continue to promote the construction of foreign trade demonstration, and give priority to the development of local characteristic industries to promote economic growth. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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15 pages, 1003 KiB

Open AccessArticle

Macroeconomic Determinants of Islamic Banking Products in Indonesia

by Nur Setyowati

Economies 2019, 7(2), 53; https://doi.org/10.3390/economies7020053 - 3 Jun 2019

Cited by 10 | Viewed by 6867

Abstract

The purpose of the study was to investigate which factors determine saving and financing in Islamic banks in Indonesia by using Gregory–Hansen cointegration, vector error correction mode (VECM), Granger causality, and the impulse response function. The results disclose the existence of a long-running cointegrating relationship with a structural break in the deposit and financing case to the consumer price index, industrial production, interest rate, exchange rate, and Jakarta Islamic Index. Most of the structural breaks appeared in January 2006 and April 2007 for both deposit and financing, revealing the first stage of the financial crisis. Any short-term deviation between deposit and financing will give rise to a stable relationship in the long term. In the short-term, there is bidirectional causality between deposits and industrial production and between the consumer price index and financing. This finding shows that real activity, as measured by industrial production, is a highly determinant factor of Islamic bank deposits, while inflation, as measured by the customer price index, is the determinant factor of Islamic bank financing. Our results also suggest that a mix of dynamic behaviors from both Islamic bank savings and financing was revealed in response to the shock of the macroeconomic variable, giving better insight for the government and stakeholders into Indonesian Islamic banking. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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16 pages, 1889 KiB

Open AccessArticle

Mining Booms and Sustainable Economic Growth in Mongolia—Empirical Result from Recursive Dynamic CGE Model

by Davaajargal Lkhagva, Zheng Wang and Changxin Liu

Economies 2019, 7(2), 51; https://doi.org/10.3390/economies7020051 - 29 May 2019

Cited by 4 | Viewed by 8971

Abstract

This research aims to lay out a framework to quantify the impacts of mining booms on the macro-economy in Mongolia, a country that is increasingly dependent upon its mining sector. The study uses a dynamic computable general equilibrium (CGE) model to examine the long-term effects on the economy with three sets of scenarios: (1) a moderate boom in the productivity of agriculture, manufacturing, coal mining and coal service sectors; (2) a drop in the world price of coal and metal ores; and (3) the combination of these two scenarios. We assume that these shocks are seismic, and the findings are important for policymakers to implement policy to deal with the negative impact of mining booms. Our study result shows that reinvestment in the agriculture and manufacturing sectors could help to mitigate the resource curse, and suggests that suitable macroeconomic management and prudent administration of the mining sector’s windfall income are important. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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10 pages, 820 KiB

Open AccessArticle

Assessing Regional Economic Performance in the Southern Thailand Special Economic Zone Using a Vine-COPAR Model

by Arisara Romyen, Jianxu Liu, Songsak Sriboonchitta, Parinya Cherdchom and Paratta Prommee

Economies 2019, 7(2), 30; https://doi.org/10.3390/economies7020030 - 2 Apr 2019

Cited by 5 | Viewed by 5172

Abstract

Special economic zones (SEZ) can play an integral role in enhancing both regional and national economic growth. To explore the relationship between regional growth and the presence of an SEZ in Songkhla province, Thailand, the CD Vine–Copula AutoRegressive (CD-Vine COPAR) models were constructed using annual datasets of Songkhla’s economic performance from 1995 to 2016. The findings indicate that the D Vine-COPAR model produced better fitting predictions for the manufacturing sector, while the C Vine-COPAR models better fit for the agriculture and service sectors. A five-year forecast (2017–2021) was also created. For Vine-COPAR-based Granger causality, the Gross Provincial Production, Foreign Direct Investment and Border Trade are evidently important contributors to regional economic development. Consequently, the government should adopt comprehensive strategies to ensure comparative advantages for operating in the region based on favorable local factors. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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23 pages, 692 KiB

Open AccessArticle

Determinants of Sino-ASEAN Banking Efficiency: How Do Countries Differ?

by Hasanul Banna, Syed Karim Bux Shah, Abu Hanifa Md Noman, Rubi Ahmad and Muhammad Mehedi Masud

Economies 2019, 7(1), 13; https://doi.org/10.3390/economies7010013 - 20 Feb 2019

Cited by 16 | Viewed by 6979

Abstract

The purpose of this paper is to assess the importance of geographical location in the banking sector efficiency of the Sino-ASEAN (Association of Southeast Asian Nations) region, and how the location was affected before, during and after the financial crisis. Using a panel of data from 407 banks from China, Indonesia, Malaysia, the Philippines, Singapore, Thailand and Vietnam from 2000–2013, this study applies data envelopment analysis, Tobit regression, bootstrapping, and Simar and Wilson double bootstrapping regression. The empirical evidence suggests that the banking market has an important and significant role in the efficiency of the banking sector in the Sino-ASEAN region. The significant country’s coefficients suggest that during the pre-crisis period, banks belonging to China and Indonesia were more likely to be efficient due to the geographical location effect. The study finds the same tendency among Chinese banks in the crisis period as in the period before the crisis. Overall, the results suggest that Chinese banks outperform banks from the ASEAN countries in terms of efficiency. This study raises some significant policy implications for improving bank efficiency. Full article

(This article belongs to the Special Issue Computational Macroeconomics)

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