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The effectiveness of fiscal policy in Brazil through the MIDAS Lens

JOURNAL OF POLICY MODELING 2024年第1期46卷 113-128页

作者： Alves, Renan Santos Palma, Andreza A. Rabobank Macro Strategist Sao Paulo Brazil Fed Univ Sao Carlos UFSCar Dept Econ Sao Carlos Brazil

This paper aims to examine the effects of fiscal policy on economic growth in Brazil between 1999 and 2017. For this purpose, a novel methodology is applied, using a Vector Autoregressive with mixed Frequency (MIDAS-VAR) model, proposed by Ghysels (2016), which allows for the estimation of the spending multiplier by measuring the impact of high-frequency data at low-frequency and vice versa. The impact of various types of spending on the gross domestic product (GDP) is analyzed, including primary expenditure, personnel, social benefits, subsidies, investment, and costing, while the central government's primary revenue is used as the revenue variable. The expenditure and tax revenue are the high-frequency variables (monthly observations), whereas GDP is a low-frequency series (quarterly). The estimated fiscal multipliers for primary spending are less than one, suggesting no significant Keynesian effect on output, with particular attention given to the investment multiplier, which is estimated to be close to zero. Our results suggest that the frequency of data matters, and government expenditure has no significant impact on real GDP growth in Brazil. Therefore, the ability of Brazilian fiscal policy to influence economic growth may be limited. (c) 2023 The Society for Policy Modeling. Published by Elsevier Inc. All rights reserved.

关键词： Fiscal multiplier mixed frequency vector autoregression mixed data sampling Fiscal Policy

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mixed frequency composite indicators for measuring public sentiment in the EU

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Quality and Quantity 2023年第3期57卷 2357-2382页

作者： Mattera, Raffaele Misuraca, Michelangelo Spano, Maria Scepi, Germana Department of Social and Economic Sciences Sapienza University of Rome Rome Italy Department of Economics and Statistics University of Naples “Federico II” Naples Italy Department of Business Administration and Law University of Calabria Rende Italy

Monitoring the state of the economy in a short time is a crucial aspect for designing appropriate and timely policy responses in the presence of shocks and crises. Short-term confidence indicators can help policymakers in evaluating both the effect of policies and the economic activity condition. The indicator commonly used in the EU to evaluate the public opinion orientation is the Economic Sentiment Indicator (ESI). Nevertheless, the ESI shows some drawbacks, particularly in the adopted weighting scheme that is static and not country-specific. This paper proposes an approach to construct novel composite confidence indicators, focusing on both the weights and the information set to use. We evaluate these indicators by studying their response to the policies introduced to contain the COVID-19 pandemic in some selected EU countries. Furthermore, we carry out an experimental study where the proposed indicators are used to forecast economic activity. © 2022, The Author(s).

关键词： Composite indicator Confidence indicator Media sentiment mixed data sampling Public opinion

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Asymmetric causality between Bitcoin and tech stocks in the US market using mixed frequency data

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JOURNAL OF ECONOMIC STUDIES 2024年第3期51卷 569-586页

作者： Valadkhani, Abbas Swinburne Univ Technol Dept Accounting Econ & Finance Hawthorn Australia

PurposeThis study is the first to investigate the causal relationship between Bitcoin and equity price returns by sectors. Previous studies have focused on aggregated indices such as S & P500, Nasdaq and Dow Jones, but this study uses mixed frequency and disaggregated data at the sectoral level. This allows the authors to examine the nature, direction and strength of causality between Bitcoin and equity prices in different sectors in more ***/methodology/approachThis paper utilizes an Unrestricted Asymmetric mixed data sampling (U-AMIDAS) model to investigate the effect of high-frequency Bitcoin returns on a low-frequency series equity returns. This study also examines causality running from equity to Bitcoin returns by sector. The sample period covers United States (US) data from 3 Jan 2011 to 14 April 2023 across nine sectors: materials, energy, financial, industrial, technology, consumer staples, utilities, health and consumer *** study found that there is no causality running from Bitcoin to equity returns in any sector except for the technology sector. In the tech sector, lagged Bitcoin returns Granger cause changes in future equity prices asymmetrically. This means that falling Bitcoin prices significantly influence the tech sector during market pullbacks, but the opposite cannot be said during market rallies. The findings are consistent with those of other studies that have established that during market pullbacks, individual asset prices have a tendency to decline together, whereas during market rallies, they have a tendency to rise independently. In contrast, this study finds evidence of causality running from all sectors of the equity market to *** implicationsThe findings have significant implications for investors and fund managers, emphasizing the need to consider the asymmetric causality between Bitcoin and the tech sector. Investors should avoid excessive exposure to both Bitcoin and tech stocks in their p

关键词： Exchange-traded funds Bitcoin Stock market Causality mixed data sampling E44 G11 G23 G32

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Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product

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REVIEW OF ACCOUNTING STUDIES 2019年第2期24卷 570-592页

作者： Ball, Ryan T. Gallo, Lindsey Ghysels, Eric Univ Michigan Stephen M Ross Sch Business Ann Arbor MI 48109 USA Univ North Carolina Chapel Hill Dept Econ Chapel Hill NC USA

We examine whether the contribution of firm-level accounting earnings to the informativeness of the aggregate is tilted towards earnings with specific financial reporting characteristics. Specifically, we investigate whether considering the smoothness of firm-level earnings increases the informativeness of aggregate earnings for future real GDP, and if so, whether macroeconomic forecasters use this information efficiently. Using recently-developed mixed data sampling methods, we find that the aggregate is tilted towards firms with smoother earnings and that this composition of aggregate earnings outperforms traditional weighting schemes. Further, this tilted aggregate has a stronger positive association with forecast revisions;in fact, analysts who utilize earnings the most in their forecasts appear to fully impound the informativeness of earnings smoothness. Our results synthesize and span parallel yet distinct streams of research on the role of accounting earnings in firm-level and macroeconomic outcomes and suggest an important role for financial reporting characteristics in the aggregate.

关键词： Gross domestic product Aggregated earnings Tilt mixed data sampling

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Banking Innovation, Financial Inclusion and Economic Growth in Nigeria

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JOURNAL OF THE KNOWLEDGE ECONOMY 2024年第2期15卷 7014-7043页

作者： Oyadeyi, Olajide Obafemi Awolowo Univ Dept Econ Ife Osun State Nigeria

The paper examined the impacts of financial inclusion and banking innovation on economic growth in Nigeria using monthly and quarterly data from 2009 to 2021. The paper expanded the frontier of knowledge by adopting a monthly and quarterly approach using mixed data sampling (MIDAS) and autoregressive distributed lag (ARDL) to ascertain the level of consistency of the impact of financial inclusion and banking innovation on economic growth and identify the banking channel which has the strongest impact on economic growth. data on the variables were sourced from 2021 editions of the Central Bank of Nigeria Statistical Bulletin and the World Development Indicator. The findings showed that financial inclusion and banking innovation channels such as ATM and mobile transactions had a positive impact on economic growth across the ARDL and MIDAS approaches. The impact of the value of POS and web transactions was also significant, but their results were not consistent across the two techniques, while the value of cheque transactions does not impact economic growth using the ARDL approach. The results also showed that the value of POS transactions had the strongest impact on economic growth, followed by ATM, mobile, and web transactions respectively. As a result of these findings, the paper concluded that financial inclusion and banking sector innovations have an important role to play in fostering economic growth in Nigeria. Finally, the paper is unique as it is the first to compare the consistency of findings across the MIDAS and ARDL approach on the study objectives.

关键词： Banking innovation Financial inclusion Financial innovation Economic growth mixed data sampling Financial intermediation

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Forecasting VIX with time-varying risk aversion

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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2023年 88卷 458-475页

作者： Wu, Xinyu He, Qizhi Xie, Haibin Anhui Univ Finance & Econ Sch Finance Bengbu 233030 Peoples R China Zhejiang Gongshang Univ Sch Stat & Math Hangzhou 310018 Peoples R China Univ Int Business & Econ Sch Banking & Finance Beijing 100029 Peoples R China

In this paper, we investigate the predictive value of time-varying risk aversion (RA) for VIX via the realized EGARCH-mixed-data sampling model incorporating RA (henceforth REGARCHMIDAS-RA). The REGARCH-MIDAS-RA model builds on the REGARCH model, which takes into account the high-frequency information by including the realized measure of volatility. Moreover, the model provides a convenient framework to model the long-run variance, which responds to changes in RA. We obtain the risk-neutralization of the REGARCH-MIDAS-RA model and derive the model-implied VIX formula. Our empirical results show that realized measure and RA possess predictive value for VIX. The REGARCH-MIDAS-RA model yields more accurate VIX forecasts compared to a range of competing models, including the GARCH, GJR-GARCH, nonlinear GARCH, EGARCH, REGARCH and REGARCH-MIDAS. In summary, our findings highlight the importance of incorporating the realized measure as well as RA in forecasting VIX.

关键词： VIX forecasting Time-varying risk aversion Realized EGARCH mixed data sampling Realized measure

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mixed frequency evidence of the tourism growth relationship in small Island developing states: a case study of Tonga

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ASIA PACIFIC JOURNAL OF TOURISM RESEARCH 2021年第3期26卷 294-307页

作者： Kumar, Nikeel Nishkar Chandra, Ravinay Amit Patel, Arvind Univ South Pacific Fac Business & Econ Sch Accounting & Finance Suva Fiji Univ Fiji Sch Business & Econ Dept Management Saweni Fiji

In this study, we examine the effect of tourism on economic growth in Tonga. We apply Ghysels Beta-MIDAS approach to estimate the elasticity of tourism, identify breaks with the multiple break test, and test for causality using the mixed frequency VAR approach. We utilize a sample from 1995 quarter 1 to 2018 quarter 4. The results indicate that the long-run effect of tourism is 0.06. Two structural breaks are identified, and both have negative growth effects. Unidirectional causality from tourism to real per-capita GDP is noted. The findings indicate that Tonga's economic growth can be improved by promoting tourism.

关键词： Tourism led growth hypothesis tourism development seasonality and quarterly data mixed data sampling mixed frequency cointegration and causality airline and cruise-ship arrivals structural breaks small island developing states Asia Pacific region Tonga

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Stock market and inequality distributions - Evidence from the BRICS and G7 countries

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INTERNATIONAL REVIEW OF ECONOMICS & FINANCE 2024年 92卷 1172-1190页

作者： Dang, Dong Quang Wu, Weiou Korkos, Ioannis London South Bank Univ Business Sch Div Finance Econ Accounting & Analyt 103 Borough Rd London SE1 0AA England

By examining the effects of three stock market indicators (market accessibility, efficiency, and stability) on income and wealth inequality in the BRICS and G7 countries, this study enriches lacking literature on income and wealth inequality, particularly for the BRICS countries. We apply the Autoregressive Distributed Lag-mixed data sampling (ADL-MIDAS) model. We find that only enhancements in market stability reduce income inequality in the BRICS and G7 countries. Additionally, we find that while expansions of market accessibility contribute to narrowing wealth inequality, improvements in market stability widen the wealth disparity in the BRICS countries. Limited effects of the stock market indicators on wealth distribution are observed in the G7 countries.

关键词： mixed data sampling Income inequality Wealth inequality Stock market Autoregressive distributed lag BRICS G7

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Daily currency interventions in an emerging market: Incorporating reserve accumulation to the reaction function

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ECONOMIC MODELLING 2021年 97卷 461-476页

作者： Frommel, Michael Midilic, Murat Univ Ghent Dept Econ Sint Pieterspl 5 B-9000 Ghent Belgium

Understanding the intervention policy of central banks on currency markets is important for both practitioners and researchers. Existing models for central bank interventions exclusively focus on exchange rate targeting in level or volatility. However, central banks in emerging economies use international reserves as an insurance against sudden capital outflows and use interventions to manage them. Omitting the reserve component in the reaction function may therefore lead to a bias and wrong conclusions. We therefore extend the reaction function by incorporating a reserve component and illustrate its benefit by applying it to the case of Turkey. We find that the intervention policy of the Turkish Central Bank indeed incorporated interventions to manage their reserves and is therefore better described by our extended model. Furthermore it provides a more accurate description of changes in the central bank?s policy. Our results strongly suggest to incorporate reserve variables in intervention functions for emerging countries.

关键词： Currency intervention International reserves Emerging markets Turkey mixed data sampling

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Evaluating monthly volatility forecasts using proxies at different frequencies

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FINANCE RESEARCH LETTERS 2016年 17卷 41-47页

作者： Niguez, Trino-Manuel Univ Westminster London W1R 8AL England Bank Spain Madrid Spain

This paper analyses the forecastability of stock returns monthly volatility. The forecast obtained from GARCH and AGARCH models with Normal and Student's t errors are evaluated with respect to proxies for the unobserved volatility obtained through sampling at different frequencies. It is found that aggregation of daily multi-step ahead GARCH-type forecasts provide rather accurate predictions of monthly volatility. (C) 2016 Elsevier Inc. All rights reserved.

关键词： data frequency Leverage effect mixed data sampling Models ranking Volatility proxy

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