Quarterly Data Research Articles

The impact of the real interest rate on green investment: evidence from the United States

Monetary policy has an impact on CO2 emissions which is not entirely understood in the literature. Whereas there is a consensus that the impact is indirect through investments, the literature does not investigate the impact of monetary policy on (green) investments. Additionally, we argue in this paper that monetary policy can have a different impact on ‘green’ investments and ‘brown’ investments. This paper focuses, therefore, on the impact of monetary policy on investments. In particular, this paper empirically investigates whether the real interest rate has a different effect on green investment, compared to general investment, using quarterly data from the United States between 2004 and 2020. The results from the autoregressive distributed lag model show that the real interest rate is negatively related to the ratio of green investment relative to total investment. This result emphasizes the importance of the green investment effect channel and suggests that monetary policy has an unintentional role in climate policy which should be considered by policy makers.

Advancing sustainability in China by uncovering the role of eco-innovation, sustainable urbanization and financial development: evidence from novel wavelet approaches

ABSTRACT The Chinese government has faced the challenge of striking a balance between environmental sustainability and economic growth. Nevertheless, it has been recognized that sustainable development is intricately linked with economic, financial, and technological factors. Recently, the Climate Action Tracker has labeled China’s sustainability actions and policies as ‘Highly Insufficient’; thus, it is imperative to explore innovative sustainability drivers and develop effective policy measures to achieve sustainable development. Consequently, this study aims to empirically investigate the interrelationship between eco-innovation, economic growth, financial development, urbanization, and CO2 emission in China by utilizing quarterly data from 1980 to 2020, and employing Wavelet approaches for empirical analysis. The findings derived from Wavelet correlation and Wavelet coherence reveal that eco-innovation and urbanization reduce CO2 in the short- and medium-term. Conversely, financial development and economic growth increase CO2 across all frequencies from short- to long-term. The results from wavelet cohesion further corroborate the findings from wavelet coherence. Finally, the research reveals convincing evidence of feedback causality between CO2, and its underlying factors. The study recommends promoting eco-innovation, sustainable urbanization, and implementing policies that decouple financial development and economic growth from CO2 emissions to achieve long-term sustainability goals.

Exchange Rate Pass-Through on Prices in Nigeria—A Threshold Analysis

Persistent exchange rate depreciation and its debilitating effects on rising inflation have remained a concern in Nigeria. This article explores the effects of exchange rate pass-through on producer prices, consumer prices, export prices, import prices and the Taylor rule from 2000 to 2023, using quarterly data and adopting threshold autoregression and self-exciting smooth threshold regression methods. The findings suggest that there are non-linearities in the way that exchange rate depreciation affects prices in Nigeria. Furthermore, the findings suggest a threshold of 5 percent depreciation. Two sub-sample analyses corroborate the main findings, showing that a threshold of 5 percent is the optimum benchmark if demand and supply are not to be weakened. At this level or below, the effects of exchange rate depreciation on inflation are much lower, even though prices will rise. However, above this benchmark, the effects of depreciation on inflation are much larger, weakening consumer demand for both imported and domestic goods as well as producer supply of both exported and domestic goods and services in the economy. This result implies that an average exchange rate depreciation not higher than 5 percent within a quarter is reasonable if the Nigerian economy is to remain competitive both domestically and globally. Finally, the results suggest that the exchange rate pass-through to prices is considerably higher in Nigeria below the threshold, while it overshoots for producer prices, export prices, and import prices above the threshold. To keep inflation in check, this paper suggests that the monetary authorities should try to keep exchange rate depreciation below the established thresholds, while also considering adjusting the policy rate to take into account the exchange rate depreciation thresholds in order to keep domestic prices stable.

Non-linear effects of three core mineral resources, energy uncertainty, and inclusive digitalization on economic growth: A comparative analysis of US and China

This study examines the asymmetric effects of mineral resources (oil, coal, and gas), digitalization, and energy uncertainty on economic growth in China and the USA. Using quarterly data from 2000 to 2022, we employ the nonlinear autoregressive distributed lag (NARDL) model to analyze these relationships. The study begins by conducting unit root tests, cointegration analysis, and asymmetry tests to establish robust connections between the variables. The long- and short-run results confirm the presence of asymmetry, as positive and negative shocks in oil rents, digitalization, and energy uncertainty affect economic growth differently. Notably, positive shocks in oil rents and digitalization favour economic growth, indicating that increases in oil rents and digital inclusion contribute to economic development. Conversely, positive shocks in energy uncertainty tend to reduce economic growth. Interestingly, the findings for China and the USA show similar asymmetric patterns; coal and natural gas rents positively influence economic growth, while the control variables suggest that capital and labour increase contribute to both countries' development. The error correction terms, 0.731 (73.1%) for China and 0.625 (62.5%) for the USA, indicate the annual rate at which asymmetric discrepancies are corrected. All diagnostic tests confirm the suitability of the NARDL model for this study. Finally, the study reveals significant bi-directional causality among all pairs of variables.

The VECM implementation for measuring the impact of monetary variables on Indonesia Property Prices Index

The basic human need for housing makes property investment safer than other sectors because demand tends to be stable despite changing economic conditions. The decision to invest is influenced by various aspects, including economic variables, including GDP, property credit growth, non-performing loans (NPLs), interest rates, exchange rates, and money supply, which are then examined for their influence on the Residential Property Price Index (RPPI) in Indonesia through this research using a Vector Error Correction Model (VECM) with quarterly data from 2003 to 2022. The findings show that GDP, interest rates, and money supply have a significant long-term impact on the RPPI. In the short-term, GDP and property credit growth have a negative impact on RPPI, while NPL and exchange rate do not. Causality tests indicate a bidirectional relationship between NPL and GDP with RPPI, with probability values exceeding 0.05. This study provides valuable insights into the monetary factors affecting residential property prices and suggestions for future research. AcknowledgmentThe authors gratefully acknowledge Ahmad Dahlan University for the support and facilities provided in conducting this research. They also greatly appreciate the academic resources that supported the data collection process and careful analysis of our findings. Besides, the authors express their gratitude to Bank Indonesia and Badan Pusat Statistik for their invaluable contribution to the data used in this research.

Analyzing Business Cycles in Azerbaijan: Application of Various Filters and Spectral Analysis

This study investigates the cyclical behavior of Azerbaijan's economy and its non-oil-gas sector through the application of various filtering techniques, including the Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald filters. Utilizing quarterly GDP data from Q1 2001 to Q4 2023, we analyze the volatility, cycle duration, and significant periods of economic growth and contractions. Our analysis reveals that the Hodrick-Prescott filter shows more pronounced and volatile cyclical components, while the Baxter-King and Christiano-Fitzgerald filters provide smoother and more moderated views. Spectral analysis, employing periodograms smoothed with Bartlett, Hamming, Hann, and Parzen kernel windows, identifies cycle durations ranging from 4.1 to 19.4 quarters for total GDP and 4.3 to 19.4 quarters for non-oil-gas GDP. We find that Azerbaijan's economy exhibits higher volatility compared to advanced economies, likely due to its dependence on oil exports and susceptibility to external shocks. Key periods such as the 2008 financial crisis and the COVID-19 pandemic significantly impacted economic performance, with notable declines identified across all filtering methods. The HP filter indicates a sharp and more prolonged downturn during these crises, whereas the BK and CF filters capture less prolonged and less severe impacts. This research provides a comprehensive understanding of Azerbaijan's business cycles, highlighting the importance of robust methodologies in economic analysis. Our findings contribute to the limited literature on Azerbaijan’s economy and offer valuable insights for policymakers aiming to enhance economic stability and growth.

Analysis of the Impact of Monetary Policy Instruments on Economic Growth in Indonesia by 2013 to 2023

Based on quarterly data by 2001Q1 to 2017Q2, this research and study covers theoretical debates and empirical studies on the factors that affect economic stability and their effect on the financial sector's performance. This study applies the Ordinary Least Square (O.L.S.) method to the Cointegration and Engle Granger-Error Correction Model (E.C.M.) methods. E.C.M. is done to assess the long-term validity and balance of the research model and foresee potential flaws and discrepancies among the theoretical and statistical models. Even while the M2 variable has no discernible effect on G.D.P. during the observation period, the research findings demonstrate that, over the long run, there is a balance among changes in G.D.P. and monetary variables, such as interest rates, Inflation, M2, and the rupiah value. On the other hand, the E.C.T. variable has a significant short-term effect on fluctuations in G.D.P. Interest rates, Inflation, M2, and exchange rates had no discernible effect on G.D.P. throughout this time. Thus, changes in monetary variables, particularly interest rates, Inflation, and M2, tend to effect G.D.P. The average quarterly financial deepening in Indonesia for the observation period was 3.80 per cent, according to the outcomes of the financial performance study. Furthermore, M2 growth during the same period was 3.03 per cent, compared to Indonesia's average quarterly economic growth of 1.36 per cent.

Exchange Rate Pass-Through into Import Prices: Evidence from Türkiye during 2010-2020 Period

This article analyses pass through of exchange rates into the import prices for an emerging economy, Türkiye, which faced severe fluctuations in the nominal exchange rate in the recent years, and experienced significant increases in domestic prices. The Turkish economy continues to struggle due to high inflationary pressures and a steep Turkish Lira (TL) devaluation particularly after 2017. This study aimed at examining the relationship between exchange rate and import prices using quarterly data for the period of 2010q1-2019q1, while the empirical methodology is framed in the multivariate cointegration analysis, along with the application of the Johansen cointegration test and the development of an autoregressive error correction vector for the determination of the pass-through in the long term. Our findings show that 85.6% of the fluctuations of the nominal exchange rate are transmitted to the import prices in the mentioned period, slower than the findings of the study by Akgunduz and his colleagues as the difference of import prices from its long-run relationship implied by the real exchange rate is likely dominated by energy prices in a strong manner. Second significant finding derives from the parameter that measures the speed of the pass-through, whose estimate has been found as -0.0125, inferring that the adjustment in short-term imbalances between import prices and the nominal exchange rate through changes in import prices is rather slow.

Profit produced by post-pandemic inflation: Evidence from an emerging economy

This paper focuses on the post-pandemic inflationary context, providing further details on how rising corporate profits contribute to the inflationary process in Türkiye. Using quarterly data from 2010 to 2022, we extend the existing literature by employing the Quantile ARDL method to assess the roles that both cost-push and demand-pull factors play in post-pandemic inflation. The chosen empirical strategy is motivated by the main objective of the study, as it allows us to quantify how the factors contributing to inflationary process differ when comparing periods of high inflation (higher quantiles) with periods of low inflation (lower quantiles). The empirical findings support the idea that the drivers of Turkish inflation are context-dependent, with specific causes emerging during inflationary episodes. The results show that cost-push factors, rather than demand-pull factors, are the main cause of the post-pandemic inflation surge in Türkiye. Our estimation results show that the coefficient for interest rates in Türkiye is only -0.42 %, while the corresponding figure for the profit share is 5.26 %, indicating that the effect of the profit share is 12 times greater than that of interest rate. We also find evidence of conflict and profit-driven inflation, confirming that the post-pandemic inflation surge in Türkiye is largely driven by cost-push factors and rising profits.

Exploring Profitability in Albanian Banks through Decision Tree Analysis

This study intends to predict Return on Assets (ROA) and assess the significance of several key dependent variables, including Profit per Outlet, Profit per Employee, Natural Logarithm of Assets (ln(assets)), and Loan to Deposits Ratio. In this respect, decision tree regression is employed as the major analytical tool. Within the scope of quarterly data sourced from some leading Albanian banks, such as American Bank of Investments, Banka Kombëtare Tregtare, Credins Bank, Fibank, Intesa Sanpaolo Bank, ProCredit Bank, Raiffeisen Bank, Tirana Bank, and Union Bank, data spanning from January 2016 to December 2022 were taken and used in this analysis. Data collection was done through the website of the Albanian Association of Banks. The following section presents all the relevant information on the selected model, mean squared error (MSE) for training data at 0.5988 and for test data at 0.8912, mean absolute error (MAE) of 0.4764 for the training data and 0.6257 for the test data, and R-squared (R²) at 0.7706 for training data and 0.4244 for test data. All the findings clearly show that decision tree regression is very effective in the prediction of ROA and also helps in elucidating the relative importance of the selected dependent variables within the context of Albanian banking institutions.

Cointegration Relationship between Portfolio Investments and Investment Instruments in Türkiye

As a result of globalization, the removal of barriers to international capital has created a source for countries in need of capital. These capital sources referred to as short-term capital movements or simply portfolio investments, provide significant benefits to the economy when they first enter the country. Investment instruments are instruments used by those who have excess capital in their hands in order to make a profit. The aim of this study is to reveal the cointegration relationships between portfolio investments and investment instruments in Türkiye. The motivation for this study is that there are few studies in the literature that examine cointegration relationships between all investment instruments and portfolio investments. The study comprises quarterly data covering the period from 2009Q1 to 2023Q2. The data has been obtained from the CBRT EVDS system. According to the results of ARDL cointegration analysis; there is a cointegration relationship between the variables both in the short and long run. According to these results, in Türkiye, investment instruments do not significantly affect portfolio investments, but portfolio investments significantly affect investment instruments.

The Determinants of Industrial Output in Pakistan: A Time Series Analysis

This study investigates the determinants of industrial growth in Pakistan through an empirical analysis of quarterly data spanning from 1970 to 2022. Industrial growth is the dependent variable, while the inflation rate, rate of exchange, foreign direct investment, gross fixed capital formation, and terms of trade are independent variables. The Autoregressive Distributed Lag (ARDL) model was employed due to the mixed stationarity, as indicated by the augmented dickey-fuller test. The results reveal a positive long-run relationship between FDI and industrial growth, as well as between gross fixed capital formation and industrial growth. Conversely, a negative relationship is observed between the exchange rate and industrial growth, and between the interest rate and industrial growth. All variables to be statistically significant, except for terms of trade. Furthermore, the inflation rate and rate of exchange show a reducing impact on industrial growth, while FDI and gross fixed capital formation contribute positively to industrial growth.

Revisiting the Nexus Between Oil Prices and Economic Activity for Asian Economies Using MIDAS

The objective of this paper is to re-examine the causal relationship between oil prices and economic activity for five Asian economies. We apply the unrestricted MIDAS (U-MIDAS) model using monthly data for real oil prices and quarterly data for real GDP for the period from 1998Q1 to 2019Q4. The causal nexus between oil prices and economic activity is also studied by means of wavelet analysis to investigate whether the relationship between the variables changes over different time scales. The key empirical results under the MIDAS approach show that there is a clear significant causal link from oil prices to economic activity, which is not as clearly found under the standard VAR approach. In addition, our results using impulse response functions suggest that the five Asian economies respond, in general, positively in economic activity to an oil price shock at shorter time horizons (less than two years), while the positive responses switch to mostly negative ones at longer time horizons (from two to four years). Our results, in general, support that the (theoretically) expected negative causal nexus between oil price fluctuations and economic activity for oil importers is dominant over longer time horizons for our dataset. An exception to this pattern is China, which has a dissimilar country profile in terms of its oil market and production structure from the profiles of the other Asian economies in the study. JEL Classification: C32, E32, O53, Q43

US monetary policy and business cycles in developing countries

The article examines modeling the impact of news shocks of US monetary policy on developing countries. The study analyzes the transmission mechanism of the Federal Reserve's interest rate news shock. The authors argue that the volatility of macroeconomic indicators in emerging economies can be explained by changes in monetary policy in other countries, and highlight the main channels of influence: financial sector indicators and trade indicators. In this paper the authors first use the LSDV-estimator of the panel vector autoregression and identify unexpected and news shocks. To achieve this goal, quarterly data was collected from the first quarter of 1998 to the third quarter of 2017 for Russia, along with data starting from the first quarter of 1995 for several developing countries. The results obtained indicate that the expected tightening of US monetary policy leads to a decrease in output, investment, and weakening of exchange rate in Russia. The monetary news regarding an increase in the US Federal Reserve's interest rate in two quarters also results in a short-term increase in trade balance and interest rates. News about future economic developments affects macroeconomic indicators up to two quarters before the implementation of monetary policy changes. Additionally, the news shock accounts for up to 11% of the variation in macroeconomic indicators in Russia. Accordingly, the monetary policy news shock is found to be as significant as an unexpected shock. The paper concludes with the analysis of the role played by various financial and trade channels.

Entropy-TOPSIS Method Approach: A Comprehensive Quarterly Assessment with Application in Turkey's Cement Sector

The objective of this research is to determine the financial performance of Turkish cement firms using quarterly data from the period between 1997 and 2022 through the Technique for Order Preference by Similarity to Ideal Solution (TOPSIS). The research takes into account company mergers that occurred in 2020 and analyzes two distinct periods: from 1997 to 2020, and post-2020. Fourteen companies were examined in the first period, while ten companies were assessed in the latter period. To measure financial performance, ten common financial ratios selected based on literature were utilized. Determining the importance of these financial ratios is a crucial step in multi-criteria decision-making techniques; hence, the entropy method was employed to address this issue. According to empirical results, before the company mergers, UNYE and MARDIN cement firms were observed to consistently perform well financially, often ranking at the top based on the financial parameters considered. However, after the merger, it has been noted that BUCIM consistently held the top position in every quarter.

On the empirical nexus of agricultural credit facility scheme and agricultural output dynamics in Uganda

The role of the agricultural sector in economic growth cannot be overemphasized. Agriculture is basically one of the key sub-sectors that enhance economic growth in all economies of the world. Since no sector of the economy can grow without enough capital, agricultural credit is considered as imperative for improved agricultural output. To contribute to knowledge in this regard, this study examined the impact of agricultural credit fund (ACF) on agricultural output in Uganda using quarterly data from 2009 to 2021. By employing the Autoregressive Distributed Lag (ARDL) framework, the results revealed that ACF has no significant effect on agricultural output in Uganda in the short run, but it significantly has positive effect on the sector in the long run. We control for economic growth, proxied by gross domestic product (GDP), interest, inflation, and exchange rates and find that exiting level of GDP, spurred agricultural output, while the rate of interest and inflation retard agricultural productivity (output), especially in the long run in Uganda. We recommend that the government of Uganda needs to increase agricultural financing through the credit facility scheme for further productivity of the sector.

Macroeconomic Analysis and General Economic Equilibrium of Kazakhstan

The paper studies general equilibrium in the economy of Kazakhstan. The purpose of the study is to estimate the equilibrium real interest rate for the economy within current frameworks. The IS-LMBP curves are plotted based on corresponding regression models of the real output measured by GDP. The exogenous variables are taken for the regressions according to the theoretical propositions. The quarterly data for 2008Q1-2022Q4 published in the datasets and bulletins of the Committee for Statistics and the National Bank of the Republic of Kazakhstan were used. Some consequences of the change in the exchange rate regime and in macroeconomic policy framework on macroeconomic relationships were revealed. Effectiveness of using interest rate as an instrument in maintaining inflation targeting policy is still ambiguous for the case of Kazakhstan. This study demonstrates the general equilibrium state of the national economy and specifications of the curves listed above. The results can be used to assign further the nominal interest rate using Taylor type rules

تأثير الإنفاق الحكومي في الــنموّ الاقتصادي في سلطـنة عمان

Understanding the relationship between government spending and economic growth is crucial because it is complex. While well-directed investments create a more favorable environment for businesses to thrive and thus stimulate economic growth, excessive spending may lead to inflation and crowd out the private sector, accordingly, hindering growth. This study seeks to determine the effect of public expenditures (investment expenditures, current expenditures, contributions, and other expenditures) on the Sultanate of Oman's economic growth, using quarterly data from 2010 to 2022. The study relies on the descriptive approach and the analytical quantitative approach by forming and estimating a standard model and then testing it using the bounds test of the Autoregressive Regression of Distributed Lags (ARDL) methodology to determine the long-term and short-term effects of public expenditures on economic growth through EViews 13. The results of the analysis show that there is a long-term and short-term effect of government investment expenditures on economic growth in Oman during the study period. The results also indicate that there is no significant effect of current government expenditures, contributions, and other government expenditures, neither in the short term nor in the long term. The study recommends a set of recommendations for decision-makers in Oman, the most important of which is to focus on investment expenditures, especially infrastructure projects that improve productivity, innovation, productive capacity, and long-term competitiveness.

PENGARUH KOMPETISI BANK TERHADAP STABILITAS SISTEM KEUANGAN PERBANKAN (STUDI KASUS PADA KBMI IV TAHUN 2019-2022)

The emergence of banking as an intermediary institution plays a very important role in the economy because it is the heart that must pump "money" and distribute it to all organs that need the money. Therefore, it is very important to maintain the stability of the banking financial system. The development of the banking system can trigger competition in the banking industry which can affect banking stability. This research was conducted to determine the effect of bank competition on the stability of the banking financial system. This research focuses on KBMI 4 data which is a large bank HHI index, market share and Loan to Deposit Ratio (LDR) used as a proxy for competition and Non-Performing Loans (NPL) as a proxy for banking financial stability. The analysis technique used is Panel Data Regression with KBMI 4th ​​quarter data for 2019-2022. Of these three variables, the HHI index and Loan to Deposit Ratio (LDR) variables have a significant effect on Non-Performing Loans (NPL). Meanwhile, the market share variable has no significant effect on Non-Performing Loans (NPL).

An Exploration of the Relative Influence of the Determinants of the Mexican Peso - U.S. Dollar Exchange Rate

This article examines the impact over time of the government’s primary balance, remittances, foreign direct investment expectations, and real interest rates on the Mexican peso to US dollar exchange rate between 2003 and 2023, using monthly and quarterly data. An autoregressive distributed lag model with bounds testing and a Granger non-causality test are employed. The results indicate that, although the significance of all variables changes over time, foreign direct investment expectations and the government’s primary balance influence the exchange rate throughout the entire period. Foreign direct investment expectations and remittances exert the most persistent long- and short-run influence, respectively. The evolving significance across time of these determinants implies the need of a dynamic and adaptable policy framework to currency stability in Mexico.