Journal of Risk and Financial Management

Research

16 pages, 456 KiB

Open AccessArticle

The Impact of Socioeconomic and Environmental Indicators on Economic Development: An Interdisciplinary Empirical Study

by Antonio Pacifico

J. Risk Financial Manag. 2023, 16(5), 265; https://doi.org/10.3390/jrfm16050265 - 6 May 2023

Cited by 2 | Viewed by 2240

This paper aims to investigate the effects of environmental sources and health statistics on economic growth and other development indicators of interest. With population growth, urbanization, and industrialization of economies, the built environment for human health has emerged as an important and growing [...] Read more.

This paper aims to investigate the effects of environmental sources and health statistics on economic growth and other development indicators of interest. With population growth, urbanization, and industrialization of economies, the built environment for human health has emerged as an important and growing driver in interdisciplinary research and evidence-based policy development, improving a country’s growth prospects and the standard of living. A compressed structural Panel Vector Autoregression is used to address these issues. Methodologically, a hierarchical semiparametric Bayesian approach is involved to reduce the dimensionality, overtake variable selection problems, and model stochastic volatility. Policy-relevant strategies are also addressed to investigate causal relationships between sustainability indicators and economic growth. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

14 pages, 469 KiB

Open AccessArticle

India’s Total Natural Resource Rents (NRR) and GDP: An Augmented Autoregressive Distributed Lag (ARDL) Bound Test

by Sanjay Taneja, Mukul Bhatnagar, Pawan Kumar and Ramona Rupeika-Apoga

J. Risk Financial Manag. 2023, 16(2), 91; https://doi.org/10.3390/jrfm16020091 - 3 Feb 2023

Cited by 66 | Viewed by 4602

Abstract

Utilizing natural resources wisely, reducing pollution, and taking other environmental factors into account are now critical to the prospects for long-term economic growth and, by extension, sustainable development. We investigate the impact of total natural resource rents (NRR) on India’s GDP in this [...] Read more.

Utilizing natural resources wisely, reducing pollution, and taking other environmental factors into account are now critical to the prospects for long-term economic growth and, by extension, sustainable development. We investigate the impact of total natural resource rents (NRR) on India’s GDP in this study. The data sample consists of NRR and GDP data from the World Bank’s official website collected between 1993 and 2020. In the study, the Granger causality test and an augmented autoregressive distributed lag (ARDL) bound test were used. The NNR have a significant impact on India’s GDP, according to the results of the ARDL model on the framed time series data set. Furthermore, the ARDL bound test reveals that the NRR have a significant short-term and long-term impact on the GDP of the Indian economy. This research contributes to understanding whether an exclusive policy is required for effective management of the complex interactions between various forces in the economic, political, and social environments. This is significant because there is no standard policy in India to improve the efficiency of utility extraction from natural resources. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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16 pages, 4113 KiB

Open AccessArticle

The Impact of Non-Interest Income on the Performance of Commercial Banks in the ASEAN Region

by Thi Thu Hang Phan, An Ha Thi Pham, Hoang Anh Le and Thai Bao Ngoc Lam

J. Risk Financial Manag. 2023, 16(1), 18; https://doi.org/10.3390/jrfm16010018 - 28 Dec 2022

Cited by 4 | Viewed by 3269

Abstract

This study investigates how non-interest income affects the performance of commercial banks in the ASEAN region. Using data from 36 commercial banks in ASEAN countries from 2008 to 2020 and Bayesian analysis techniques, the results of this study indicate that non-interest income negatively [...] Read more.

This study investigates how non-interest income affects the performance of commercial banks in the ASEAN region. Using data from 36 commercial banks in ASEAN countries from 2008 to 2020 and Bayesian analysis techniques, the results of this study indicate that non-interest income negatively affects commercial banks’ performance in the ASEAN region. In addition, the quantile regression results demonstrated that non-interest income negatively affects commercial banks’ performance in the ASEAN region at all three percentiles (25th, 50th, and 75th). Additionally, we identified a non-interest income threshold of 59.3 percent of total income for commercial banks in the ASEAN region. In light of banking competition and the necessity for commercial banks to diversify their income streams, we offer a variety of policy implications to increase the performance of commercial banks. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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12 pages, 643 KiB

Open AccessArticle

Stability and Growth Pact: Too Young to Die, Too Old to Rock ‘n’ Roll

by Patroklos Patsoulis, Marios Psychalis and Georgios A. Deirmentzoglou

J. Risk Financial Manag. 2022, 15(12), 608; https://doi.org/10.3390/jrfm15120608 - 15 Dec 2022

Viewed by 2068

Abstract

This paper discusses the future of the Stability and Growth Pact (hereafter SGP). Although Neoclassical economic models argue that strict fiscal and monetary rules minimize moral hazard and crowding out, in practice many governments adopt fiscal expansion (in recent years in the form [...] Read more.

This paper discusses the future of the Stability and Growth Pact (hereafter SGP). Although Neoclassical economic models argue that strict fiscal and monetary rules minimize moral hazard and crowding out, in practice many governments adopt fiscal expansion (in recent years in the form of non-standard monetary measures) to mitigate market failures, consequently rethinking monetary rules and targets. Government spending and countercyclical policies are essential tools for soothing business cycles and other market failures. To this end, we empirically test whether current and past forms of the SGP have led to greater convergence, while we critically assess and investigate a possible SGP reform. By adopting more flexible rules, in terms of government spending and fiscal expansion, the Economic and Monetary Union (hereafter EMU) could yield multiple positive spillover effects in long-term economic growth under specific terms and conditions, such as green conditionalities. We conclude that to mitigate the triple crisis threat (economic, environmental and health), what is mostly needed are reforms in the form of fiscal federalism, such as common debt issuance (Eurobonds) that enhance the ability of the EMU to tackle the consequences of the aforementioned crises. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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17 pages, 343 KiB

Open AccessArticle

Political Connectedness and Financial Performance of SMEs

by Gaygysyz Ashyrov and Oliver Lukason

J. Risk Financial Manag. 2022, 15(12), 600; https://doi.org/10.3390/jrfm15120600 - 13 Dec 2022

Cited by 1 | Viewed by 1842

Abstract

The extant literature on the association of political connectedness and performance of large firms has led to controversial results, while the context of micro-, small- and medium-sized enterprises (SMEs) has largely been overlooked in relevant studies. To resolve these gaps, the objective of [...] Read more.

The extant literature on the association of political connectedness and performance of large firms has led to controversial results, while the context of micro-, small- and medium-sized enterprises (SMEs) has largely been overlooked in relevant studies. To resolve these gaps, the objective of this paper is to study the link between the political connections of firm board members and financial performance in the Estonian SME population. Using a wide selection of financial performance and political connectedness variables, the composed regressions indicated that firms with politically connected boards underperform their unconnected counterparts. The findings remained robust not only through different measures of dependent and independent variables, but also periods studied. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

14 pages, 610 KiB

Open AccessArticle

The Effects of Imports and Economic Growth in Chinese Economy: A Granger Causality Approach under VAR Framework

by Khalid Usman and Usman Bashir

J. Risk Financial Manag. 2022, 15(11), 531; https://doi.org/10.3390/jrfm15110531 - 14 Nov 2022

Cited by 6 | Viewed by 4844

Abstract

This study inspects the association between economic growth and imports from China, based on data sourced from 2000 to 2021. For this reason, a quantitative research approach is used to determine the causality between the variables and their impact on the economy. The [...] Read more.

This study inspects the association between economic growth and imports from China, based on data sourced from 2000 to 2021. For this reason, a quantitative research approach is used to determine the causality between the variables and their impact on the economy. The null hypothesis of the paper implies that the import growth rate has a significant impact on the GDP growth rate in the Peoples Republic of China. This hypothesis was rejected via the Granger causality test, as the only single directional relationship was found. However, further analysis was conducted by applying a Vector Auto-Regression (VAR) model that included leading macroeconomic variables, such as the inflation rate, the bank rate, and the exchange rate between the US dollar and Chinese yuan. The impulse responses of the model, aligned with the economic theory and the results, suggested that the import growth rate is negatively related to the GDP growth rate, while the GDP growth rate has an initial positive impact on the imports for the first three quarters, which later changes to a negative impact. This time lag suggests that while the impact between the variables is important, negative outcomes could be avoided if proper economic policy is implemented. The government of China should focus on policy implications that further promote export and substitute imported goods with domestic production. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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16 pages, 361 KiB

Open AccessArticle

Corporate Governance and Financial Stability: The Case of Commercial Banks in Vietnam

by Thi Nhu Quynh Nguyen, Duc Trung Nguyen, Hoang Anh Le and Dinh Luan Le

J. Risk Financial Manag. 2022, 15(11), 514; https://doi.org/10.3390/jrfm15110514 - 4 Nov 2022

Cited by 4 | Viewed by 3699

Abstract

Bank stability is a goal that bank managers aim for in addition to the goal of maximizing shareholder value. To achieve this goal, commercial banks have applied various solutions, including corporate governance because corporate governance plays an important role in the business activities [...] Read more.

Bank stability is a goal that bank managers aim for in addition to the goal of maximizing shareholder value. To achieve this goal, commercial banks have applied various solutions, including corporate governance because corporate governance plays an important role in the business activities of an enterprise in general as well as in that of a commercial bank in particular. The purpose of this paper is to investigate the impact of corporate governance on the stabilities of Vietnamese commercial banks in the period from 2009 to 2020. Using hand-collected data from 25 commercial banks in Vietnam, by system GMM estimation and the Bayesian Mixed-Effects approach, the paper identifies the characteristics of corporate governance affecting bank stability. Board size, women board members, and board members’ education have a positive impact, and dependent board and foreign board members have a negative impact on bank stability. Our findings show important evidence for an emerging country, such as Vietnam. From the empirical results, the authors suggest several recommendations to maintain and enhance bank stability in the future time. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

24 pages, 2983 KiB

Open AccessArticle

Factor-Based Investing in Market Cycles: Fama–French Five-Factor Model of Market Interest Rate and Market Sentiment

by Yu-Shang Kuo and Jen-Tsung Huang

J. Risk Financial Manag. 2022, 15(10), 460; https://doi.org/10.3390/jrfm15100460 - 13 Oct 2022

Viewed by 4987

Abstract

This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wurgler’s sentiments. Our emerging evidence confirms that the high-interest rate, high-sentiment cycle generates higher [...] Read more.

This study explores risk–reward patterns in the US stock market and establishes optimal factor-based investing using the Fama–French five-factor model through market cycles constructed by Shiller’s interest rates and Baker–Wurgler’s sentiments. Our emerging evidence confirms that the high-interest rate, high-sentiment cycle generates higher excess returns, and the low-interest rate, low-sentiment cycle generates lower excess returns, which supports the hypothesis that the market cycles as investment horizons have an asymmetric effect on stock returns. Furthermore, the size factor outperforms in the low-interest rate, low-sentiment cycle, whilst the value factor outperforms in the high-interest rate, high-sentiment cycle. Using the asymmetric GARCH model, the asymmetric leverage effect of interest rates and sentiments on five-factor returns is empirically demonstrated with explanatory power of five-factor characteristics. Unlike previous studies, our findings also imply that high- and low-sentiment cycles asymmetrically affect the value factor, and the value premium does not disappear over time, highlighting the role of the market cycles in five-factor returns. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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32 pages, 1295 KiB

Open AccessArticle

Do ESG Ratings Reduce the Asymmetry Behavior in Volatility?

by Hashem Zarafat, Sascha Liebhardt and Mustafa Hakan Eratalay

J. Risk Financial Manag. 2022, 15(8), 320; https://doi.org/10.3390/jrfm15080320 - 22 Jul 2022

Cited by 3 | Viewed by 3279

Abstract

It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and [...] Read more.

It is well noted in the literature that volatility responds differently to positive and negative shocks. In this paper, we explore the impact of ESG ratings on such asymmetric behavior of volatility. For this analysis, we use the return data, ESG ratings, and solvency ratios of the constituent stocks of S&P Europe 350 for the period January 2016–December 2021. We apply autoregressive moving average models for the conditional means and GARCH and stochastic volatility models for the conditional variances to estimate the asymmetry coefficients. Afterwards, these coefficients are regressed via Arellano–Bond and lagged first difference methods to estimate the impact of ESG ratings. Our findings confirm that stocks of riskier firms are more likely to suffer from asymmetry behavior of volatility. We also confirm that firm leverage is linked to this asymmetry behavior. We found evidence that the impact of ESG ratings was negative before COVID-19, but positive afterwards. For some sectors, higher ESG ratings are linked to higher asymmetry. Finally, we found that during COVID-19, the asymmetry behavior became more pronounced. Full article

(This article belongs to the Special Issue Interdisciplinary Empirical Research in Financial Econometrics)

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