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Journal articles on the topic 'Growth Rates Volatility'

Author: Grafiati

Published: 28 October 2022

Last updated: 31 July 2025

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1

Arvian Rifki Santosa. "ANALISIS HUBUNGAN VOLATILITAS SAHAM BUKA, BRIS, KAEF, HMSP LQ45 DAN INDIKATOR PERTUMBUHAN EKONOMI NASIONAL." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 12 (2024): 2. https://doi.org/10.17977/um066v4i122024p2.

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Penelitian ini bertujuan untuk menganalisis hubungan antara volatilitas sahamperusahaan dalam indeks LQ45 (BUKA, BRIS, KAEF, HMSP) dan indikatorpertumbuhan ekonomi nasional, seperti PDB, inflasi, suku bunga, dan nilaitukar Rupiah. Dengan menggunakan pendekatan kuantitatif dan datasekunder periode 2016–2023, penelitian ini mengevaluasi pengaruh dinamikapasar modal terhadap stabilitas ekonomi domestik. Hasil penelitianmenunjukkan bahwa saham-saham ini memiliki karakteristik volatilitas yangberbeda. Saham BRIS menunjukkan volatilitas tertinggi, sedangkan sahamBUKA memiliki volatilitas paling rend

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Canning, D., L. A. N. Amaral, Y. Lee, M. Meyer, and H. E. Stanley. "Scaling the volatility of GDP growth rates." Economics Letters 60, no. 3 (1998): 335–41. http://dx.doi.org/10.1016/s0165-1765(98)00121-9.

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3

Choi, Bo-Bin. "An Empirical Analysis of the Impact of Manufacturing and Construction Growth Volatility on Trade Growth Volatility: The GARCH-X Model Approach." Korea Association for International Commerce and Information 27, no. 2 (2025): 91–109. https://doi.org/10.15798/kaici.2025.27.2.91.

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This study empirically analyzes the impact of real-sector growth—specifically in manufacturing and construction—on the volatility of South Korea’s export and import growth rates using the GARCH-X model. Based on monthly data from January 1998 to June 2025, the time series was constructed with the volatility of export and import growth rates as the dependent variable, and the growth rates of manufacturing and construction as exogenous variables. The results showed that manufacturing growth significantly increases the volatility of trade growth rates. In contrast, it turned out that construction

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GNANGNON, Sèna Kimm. "Development Aid, Economic Growth Volatility and Poverty Volatility in Developing Countries." Global Business & Economics Anthology Volume II, December 2021 (2021): 1–15. http://dx.doi.org/10.47341/21121.

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This article has analysed the effect of development aid flows on poverty volatility in developing countries, including through the economic growth volatility channel. Using a sample of 106 countries over the period 1980-2017, and the two-step system Generalized Methods of Moment (GMM) technique, the analysis has shown that development aid flows dampen the positive poverty volatility effect of economic growth volatility: the magnitude of the negative effect of development aid on poverty volatility rises as the degree of economic growth volatility increases. Additionally, development aid exerts

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Khil, Jaeuk, Song Hee Kim, and Eun Jung Lee. "The Determinants of Idiosyncratic Volatility." Journal of Derivatives and Quantitative Studies 25, no. 4 (2017): 509–45. http://dx.doi.org/10.1108/jdqs-04-2017-b0002.

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We investigate the cross-sectional and time-series determinants of idiosyncratic volatility in the Korean market. In particular, we focus on the empirical relation between firms’ asset growth rate and idiosyncratic stock return volatility. We find that, in the cross-section, companies with high idiosyncratic volatility tend to be small and highly leveraged, have high variance of ROE and Market to Book ratio, high turnover rate, and pay no dividends. Furthermore, firms with extreme (either high positive or negative) asset growth rates have high idiosyncratic return volatility than firms with mo

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Ismail Abiodun Taiwo, Latifat Amoke Jayeola, and Adewale Samson Adefokun. "Impact of oil price volatility on economic growth in united states: an ordinary least square analysis." International Journal of Science and Research Archive 13, no. 1 (2024): 477–85. http://dx.doi.org/10.30574/ijsra.2024.13.1.1676.

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This study investigates the impact of oil price volatility on economic growth in the United States, while also considering the roles of unemployment rates, interest rates, and inflation. Using a comprehensive dataset and employing various statistical techniques, including summary statistics, correlation analysis, and regression modeling, the study aims to elucidate the relationships between these macroeconomic variables and economic growth. The summary statistics reveal significant variability in oil price volatility, unemployment rates, interest rates, and inflation, all of which influence th

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Bartak, Jakub, Łukasz Jabłoński, and Agnieszka Jastrzębska. "Examining GDP Growth and Its Volatility: An Episodic Approach." Entropy 23, no. 7 (2021): 890. http://dx.doi.org/10.3390/e23070890.

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In this paper, we study economic growth and its volatility from an episodic perspective. We first demonstrate the ability of the genetic algorithm to detect shifts in the volatility and levels of a given time series. Having shown that it works well, we then use it to detect structural breaks that segment the GDP per capita time series into episodes characterized by different means and volatility of growth rates. We further investigate whether a volatile economy is likely to grow more slowly and analyze the determinants of high/low growth with high/low volatility patterns. The main results indi

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Ehigiamusoe, Kizito, and Hooi Lean. "Influence of Real Exchange Rate on the Finance-Growth Nexus in the West African Region." Economies 7, no. 1 (2019): 23. http://dx.doi.org/10.3390/economies7010023.

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This study examines the moderating effects of the real exchange rate and its volatility on the finance-growth nexus in the West African region. It also determines the marginal effects of financial development on economic growth at various levels of the real exchange rates and its volatility. The findings show that financial development has a long-term positive impact on economic growth, but this impact is weakened by real exchange rate and its volatility. The marginal effects of financial development on economic growth vary with the levels of the real exchange rate and its volatility. The high

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Maji, Ibrahim Kabiru, and Yusha’u Rabi’u Danjuma. "IMPACT OF OIL PRICE VOLATILITY AND TRADE OPENNESS ON A GROWING ECONOMY." GUSAU JOURNAL OF ECONOMICS AND DEVELOPMENT STUDIES 4, no. 1 (2023): 98–108. http://dx.doi.org/10.57233/gujeds.v4i1.7.

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This study investigates the interplay between oil price volatility, economic growth, and openness using data spanning from 1980 to 2020. Bound cointegration and regression methods were employed to analyze both short and long-term effects. The results indicate that in the short run, oil price volatility negatively impacts economic growth. However, as the economy becomes more resilient over time, oil price volatility begins to have a positive effect on economic growth in the long run. Additionally, trade openness is found to have a positive and significant impact on economic growth in the short

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Adams, Andrew, Seth Armitage, and Adrian FitzGerald. "An analysis of stock market volatility." Annals of Actuarial Science 6, no. 1 (2011): 153–70. http://dx.doi.org/10.1017/s1748499511000339.

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AbstractThis paper provides a user-friendly approach to explain how variation in fundamental price-determining variables ‘translates into’ variation in the fundamental value of equities, based on the standard dividend-growth model. The analysis is illustrated with UK data using estimates of real interest rate forecasts and real dividend growth rate forecasts in the past. An important application of this approach is that stock market volatility can be analysed in terms of its component parts. Actual market volatility does not appear to be excessive when compared with the notional volatility imp

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Xiao, Chao, Yu Lou, Jie Liu, Yuan Zhao, and Yikang Tian. "Economic events and the volatility of government bill rates." PLOS ONE 17, no. 10 (2022): e0276345. http://dx.doi.org/10.1371/journal.pone.0276345.

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Many studies show that in many countries (especially the G7), volatility in government bill rates far exceeds that in consumption growth rates. This volatility puzzle cannot be predicted by traditional disaster models, in which rare economic disasters are defined as a peak-to-trough percent fall in consumption (or real per capita GDP) by a high threshold (≥10%). For this purpose, we extend the traditional definition of rare economic disasters and propose a novel asset pricing model that models both good and bad events. We define a bad (or good) event as a peak-to-trough absolute decline (or a

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Panda, Ajaya Kumar, Swagatika Nanda, Vipul Kumar Singh, and Satish Kumar. "Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies." Journal of Financial Economic Policy 11, no. 2 (2019): 174–92. http://dx.doi.org/10.1108/jfep-03-2018-0042.

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Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the stud

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Liu, Bin, and Amalia Di Iorio. "Does idiosyncratic volatility predict future growth of the Australian economy?" Studies in Economics and Finance 33, no. 1 (2016): 69–90. http://dx.doi.org/10.1108/sef-08-2014-0160.

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Purpose – This paper aims to examine whether idiosyncratic volatility and other asset pricing factors predict growth rates of the ten Australian economic indicators. Design/methodology/approach – The authors use the Liew and Vassalou (2000) model augmented with an idiosyncratic volatility factor to investigate the issue. Findings – Using regression analysis, the authors find that the asset pricing factors can be used to predict the growth rates for eight out of the ten economic indicators. Moreover, using portfolio performance analysis, the authors find that high returns of size factor and a b

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HADEBE, Ntokozo, and Simiso MSOMI. "Focusing on the Exchange Rate Volatility and International Trade Relationship: Evidence from South Africa." MANAGEMENT AND ECONOMICS REVIEW 8, no. 3 (2023): 354–67. http://dx.doi.org/10.24818/mer/2023.10-08.

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Despite the extensive literature on the exchange rates volatility and international trade, there is no consensus in the literature. This study examines how South African exports demand is affected by exchange rate volatility. The sample period covers the period from the year 2000 first quarter to the beginning of 2021 first quarter. To estimate the volatility of the exchange rates, in this study, we have used the Generalised Autoregressive Conditional Heteroscedastic (GARCH) mode. While we use Autoregressive Distributed lags (ARDL) models to estimate the impact of exchange rates volatility on

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Suputra, Kadek_payas, I. Gusti Ayu Purnamawati, and Desak Nyoman Sri Werastuti. "Pengaruh Pertumbuhan Ekonomi, Kapitalisasi Pasar, Suku Bunga Bank Indonesia, Inflasi, Dan Volatilitas Harga Saham Sebagai Variable Moderating Terhadap Kinerja Pasar Saham Perbankan Syariah Di Indonesia." JIMAT (Jurnal Ilmiah Mahasiswa Akuntansi) Undiksha 14, no. 01 (2023): 18–31. http://dx.doi.org/10.23887/jimat.v14i01.53016.

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ABSTRACT This research purpose to explore and analyze the effect of growth, market capitalization, Bank Indonesia interest rates, and inflation on the stock market performance of Indonesian Islamic banks, moderated by stock price volatility. The method of data collection in this study is the method of documentation. The population of this study is all Islamic banks registered in Indonesia. The samples for this study are islamic banking financial statements and annual reports from the 14 largest Islamic commercial banks in Indonesia. This research approach uses moderate regression analysis anal

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Kohar, Abdul, Nurmala Ahmar, and Suratno Suratno. "SENSITIVITAS FAKTOR EKONOMI MAKRO DAN MIKRO DALAM MEMPREDIKSI VOLATILITAS HARGA SAHAM PERUSAHAAN SEKTOR INDUSTRI FOOD & BEVERAGES." JIAFE (Jurnal Ilmiah Akuntansi Fakultas Ekonomi) 4, no. 1 (2019): 85–100. http://dx.doi.org/10.34204/jiafe.v4i1.1080.

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The movement of macroeconomic factors can be used to predict the movement of the stock price, but different researchers are using different macroeconomic factors because there is still no consensus among them which macroeconomic factors that have an influence on stock prices. This study aimed to analyze and test the impact of macroeconomics factors which consisting of inflation, interest rates, exchange rate, and microeconomy factors, consisting of asset growth, growth earnings and sales growth to the volatility of stock prices on food and beverages companies listed in Indonesia Stock Exchange

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17

Ky, Yaya, and François Joseph Cabral. "Innovation and volatility of the GDP growth rate: case of the economies of sub-Saharan Africa." Journal of African Development 19, no. 1 (2017): 88–112. http://dx.doi.org/10.5325/jafrideve.19.1.0088.

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Abstract The objective of this research is to assess the impact of innovation on the volatility of GDP growth rate in the economies of Sub —Saharan African (SSA) countries. Using a dynamic panel model, a volatility index that we built and an innovation index produced by United Nations Industrial Development Organization (UNIDO), we show that innovation reduces the volatility of growth rates of GDP. In other words, the likelihood to control the volatility of GDP growth rate is an increasing function of innovation. There is a threshold effect of innovation effect on volatility depending to GDP p

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Audy Oktariza Madhani. "DINAMIKA VOLATILITAS INDEKS HARGA SAHAM DAN INDIKATOR MAKROEKONOMI: MENGELOLA OPTIMISME PERTUMBUHAN EKONOMI INDONESIA DI ERA VUCA." Jurnal Ekonomi, Bisnis dan Pendidikan 4, no. 5 (2024): 5. https://doi.org/10.17977/um066v4i52024p5.

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Abstrak Era VUCA (volatilitas, ketidakpastian, kompleksitas, ambiguitas) telah membawa tantangan yang signifikan terhadap stabilitas ekonomi global, termasuk di Indonesia. Penelitian ini bertujuan untuk menganalisis dinamika volatilitas indeks harga saham dan indikator makroekonomi, serta mengkaji pengelolaan optimisme pertumbuhan ekonomi dalam konteks ketidakpastian global. Data indeks harga saham dan indikator ekonomi makro, termasuk inflasi, nilai tukar, dan suku bunga, digunakan untuk mengidentifikasi hubungan dinamis antar variabel melalui analisis kuantitatif berdasarkan perhitungan ekon

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Raihan, Arian Muhammad, Windijarto, and Joned Ceilendra Saksana. "ANALYSIS OF STOCK PRICE INDEX VOLATILITY IN INDONESIA USING MACROECONOMIC VARIABLES AND GLOBAL ECONOMIC UNCERTAINTY INDEX." Assets : Jurnal Ekonomi, Manajemen dan Akuntansi 13, no. 1 (2023): 83–100. http://dx.doi.org/10.24252/assets.v13i1.37616.

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Stock price changes within a certain period can be observed in the volatility of the stock price index. Changes in stock prices can be influenced by a country's macroeconomic conditions and global economic conditions. Macroeconomic factors include interest rates, inflation, exchange rates, and economic growth, while global economic uncertainty is observed using the Global Economic Policy Uncertainty (GEPU) index. This study examines the effect of macroeconomic variables and the GEPU index on the volatility of the stock price index on the Indonesia Stock Exchange (IDX). A descriptive analysis m

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Gupta, Moumita Datta, Md Mahfuzur Rahman, Zinat Sultana, and F. M. Arifur Rahman. "An ARCH volatility analysis of real GDP, real gross capital formation, and foreign direct investment in Bangladesh." Asian Economic and Financial Review 13, no. 4 (2023): 228–40. http://dx.doi.org/10.55493/5002.v13i4.4763.

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This paper aims to investigate the volatility of the growth rates of Bangladesh's real GDP, real gross capital formation, and net inflows of foreign direct investment. The study used data on these indicators from the World Bank for the period between 1972 and 2020. Autoregressive integrated moving average (ARIMA) and the autoregressive conditional heteroscedastic (ARCH) methods were applied to model the conditional mean and conditional variance components for each growth rate. The validity of the selected volatility models was evaluated using a variety of diagnostic techniques, such as the tim

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Dokas, Ioannis, Georgios Oikonomou, Stephanos Papadamou, and Eleftherios Spyromitros. "Central Bank Credibility’s Effect on Stock Exchange Returns’ Volatility: Evidence from OECD Countries." Economies 11, no. 10 (2023): 257. http://dx.doi.org/10.3390/economies11100257.

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Central bank characteristics are important determinants of stock market returns and their volatility. While the literature has examined the effects of transparency and independence, no research has been conducted so far on the effect of central bank credibility on stock market returns’ volatility. A panel regression using financial and macroeconomic data from 45 OECD member countries over the period of 1998–2022 tested the hypothesis that central bank credibility determines stock exchange returns’ volatility. The results indicated that credibility reduces stock returns’ volatility, remaining r

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Emezie, Nwangene, and Akamobi Anthony. "Impact of Exchange Rate Volatility on Selected Macroeconomic Variables in Nigeria." NG Journal of Social Development 16, no. 1 (2025): 13–35. https://doi.org/10.4314/ngjsd.v16i1.2.

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Examining the combined impact of exchange rate volatility on economic growth, inflation, and unemployment provides a more comprehensive understanding of their interconnections and overall effects on an economy. Specifically, this study examined the effect of exchange rate volatility on economic growth, to appraise the effect of exchange rate volatility on inflation, and to assess the influence of exchange rate volatility on unemployment rate in Nigeria from 1981 to 2021. The study employed Feasible Generalized Least Square (FGLS) method as the analytical technique. The findings of this study r

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Bolińska, Monika, Paweł Dykas, Grzegorz Mente, and Tomasz Misiak. "DEMOGRAPHIC FORECASTS AND VOLATILITY OF INVESTMENT RATES VS. LABOR PRODUCTIVITY TRAJECTORIES." Journal of Business Economics and Management 20, no. 6 (2019): 1045–63. http://dx.doi.org/10.3846/jbem.2019.10446.

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In the article the authors attempted to develop the neoclassical model of economic growth, repealing two assumptions regarding the Solow growth model. First of all, the authors assume that the growth path of the number of employees is increasing asymptotically to a fixed value, not to infinity as in the Solow model. The growth paths of the number of employees were determined based on demographic forecasts and the economic activity coefficient, which in the paper is understood as the ratio of the number of employees to the number of people. Secondly, the authors repeal the assumption of a fixed

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Mwiya, Tabo, Briven Muchanga Simaundu, Maria Nyau, and Joseph Phiri. "Assessing the Effects of Exchange Rate Volatility on Zambia’s Economic Growth: Evidence from ARDL and NARDL Models." Economies 12, no. 9 (2024): 224. http://dx.doi.org/10.3390/economies12090224.

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This study investigated the interplay between exchange rate volatility, inflation rates, and real interest rates on Zambia’s economic growth from 1992 to 2022, utilizing annualized time series data. The study was necessitated by the limited published literature and relatively varying findings on the variables’ relationships in resource-dependent countries, such as Zambia. Diagnostic tests, including stationarity and co-integration analyses, were employed to determine integration orders and potential long-run relationships. The linear and nonlinear autoregressive distributed lag models were emp

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Kou, S. C., and S. G. Kou. "Modeling growth stocks via birth-death processes." Advances in Applied Probability 35, no. 3 (2003): 641–64. http://dx.doi.org/10.1239/aap/1059486822.

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The inability to predict the future growth rates and earnings of growth stocks (such as biotechnology and internet stocks) leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. This paper attempts to demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process. Numerical illustrations of the

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Kou, S. C., and S. G. Kou. "Modeling growth stocks via birth-death processes." Advances in Applied Probability 35, no. 03 (2003): 641–64. http://dx.doi.org/10.1017/s0001867800012477.

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The inability to predict the future growth rates and earnings of growth stocks (such as biotechnology and internet stocks) leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. This paper attempts to demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process. Numerical illustrations of the

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Akpan, Mfon. "Exploring market dynamics: analyzing the correlation between non-fungible tokens, Bitcoin, Ethereum growth rates, and NASDAQ performance." Corporate Governance and Sustainability Review 8, no. 3 (2024): 51–61. https://doi.org/10.22495/cgsrv8i3p4.

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This study provides a comprehensive analysis of the growth rates and correlations among non-fungible tokens (NFTs), Bitcoin (BTC), Ethereum (ETH), and the NASDAQ Composite Index from 2018 to 2021. Utilizing data from Statista, CoinMarketCap, and Yahoo Finance, this study examines annual growth rates, standard deviations, and Pearson correlation coefficients to understand the dynamics of these diverse markets. The findings reveal significant volatility in the NFT and cryptocurrency markets, with NFTs experiencing an unprecedented growth rate of 5.552 percent from 2018 to 2019, followed by stabi

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Muharam, Harjum, Najmudin Najmudin, Wisnu Mawardi, and Erman Denny Arfinto. "Do Instabilities in National Macroeconomic Factors Contribute to Channeling Volatility Spillover from the Global to the Islamic Equity Market?" Comparative Economic Research. Central and Eastern Europe 24, no. 1 (2021): 103–21. http://dx.doi.org/10.18778/1508-2008.24.06.

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This study investigates the impact of macroeconomic instabilities on returns volatility spillover that is transmitted from the global to the Islamic equity market. The economic factors examined are the exchange rate, inflation rate, interest rate, and production growth. To achieve the purpose of the study, we utilize three analysis tools: a GARCH(p,q) model to derive values of volatility for all variables; an asymmetry dynamic conditional correlation (ADCC) model to produce a measure of volatility spillover as the dependent variable; and a panel data regression technique to assess the causalit

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Ariff, Mohamed, and Alireza Zarei. "Sustainable Development and Currency Exchange Rate Behavior." Asian Economic Papers 17, no. 3 (2018): 148–73. http://dx.doi.org/10.1162/asep_a_00644.

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We discuss currency volatility as a measure of currency instability using 15 currencies from developed and emerging economies. The IMF and others have recorded how countries manage their exchange rates to promote sustainable economic growth by designing exchange rate regimes as a pillar within economic policy. The findings herein show how to track currency instability using a given currency's volatility against the volatility of a benchmark currency of importance to the given currency. This is termed relative volatility. The study proceeds to test whether the parity factors and country risk fa

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Mofema, Victor Mbua, and Gisele Mah. "An empirical analysis of volatility in South African oil prices." Journal of Energy in Southern Africa 32, no. 3 (2021): 67–75. http://dx.doi.org/10.17159/2413-3051/2021/v32i3a8852.

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Volatility of the oil price has been around since the 1970s and an understanding of how it evolves provides insight into solving macroeconomic challenges. The main objective of this study was to analyse the volatility of South African oil prices using quarterly time series data from 2000 to 2020. The effect of growth in gross domestic product per capita, interest rate, inflation and money supply growth on oil price changes was assessed. Generalised autoregressive conditional heteroscedasticity (GARCH) was estimated and diagnostic tests – namely ARCH, normality and autocorrelation tests – were

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Sarisoy, Cisil. "Drivers of Option-Implied Interest Rate Volatility." FEDS Notes, no. 2024-10-24 (October 2024): None. http://dx.doi.org/10.17016/2380-7172.3572.

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Option-implied volatilities of U.S. short-term interest rates have risen sharply since late 2021, reaching their highest levels in over a decade. Although these measures declined moderately since early 2023, they remain at around the 70th percentile of their historical distribution. This note links the implied volatility of short-term interest rates to macroeconomic uncertainty and highlights two fundamental drivers of short-term interest rate volatility over the past 30 years: inflation uncertainty and growth uncertainty.

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Koren, Miklós, and Silvana Tenreyro. "Technological Diversification." American Economic Review 103, no. 1 (2013): 378–414. http://dx.doi.org/10.1257/aer.103.1.378.

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Economies at early stages of development are frequently shaken by large changes in growth rates, whereas advanced economies tend to experience relatively stable growth rates. To explain this pattern, we propose a model of technological diversification. Production makes use of input-varieties that are subject to imperfectly correlated shocks. Endogenous variety adoption by firms raises average productivity and provides diversification benefits against variety-specific shocks. Firm-level and aggregate volatility thus decline as a by-product of the development process. We quantitatively assess th

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Mugendi, John. "Impact of Macroeconomic Variables on Stock Market Volatility in Kenya." American Journal of Finance 10, no. 1 (2024): 59–71. http://dx.doi.org/10.47672/ajf.1812.

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Purpose: The aim of the study was to assess the impact of macroeconomic variables on stock market volatility in Kenya. Methodology: This study adopted a desk methodology. A desk study research design is commonly known as secondary data collection. This is basically collecting data from existing resources preferably because of its low cost advantage as compared to a field research. Our current study looked into already published studies and reports as the data was easily accessed through online journals and libraries. Findings: The impact of macroeconomic variables on stock market volatility in

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Panigrahi, Shrikant. "Are cryptocurrencies a threat to financial stability and economic growth of India? Evidence from the cointegration approach." Investment Management and Financial Innovations 20, no. 2 (2023): 307–20. http://dx.doi.org/10.21511/imfi.20(2).2023.26.

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The purpose of this paper is to investigate whether the cryptocurrency market affects the financial stability and economic growth of India. The study used time series quarterly data on bitcoin, financial stability, inflation rate, real GDP, economic volatility uncertainty, exchange rate, and market volatility index for the period 2015Q1–2022Q4. The robustness of the findings was confirmed by the fully modified OLS (FMOLS) and canonical cointegration regression (CCR). The study results demonstrated that an increase in cryptocurrency investments will affect the financial stability of India signi

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Umoru, David, Beauty Igbinovia, Emoabino Muhammed, and Rashidat Inobemhe Ali. "Volatility dynamics of stock returns, liquidity and exchange rates in ASEAN Countries." Accounting 11, no. 1 (2025): 49–70. https://doi.org/10.5267/j.ac.2024.11.001.

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In this study, we examined the volatility trend of stock return in eight ASEAN stock markets. These includes the Singapore Exchange (SGX), Bursa Malaysia Stock Exchange (YSX), the Stock Exchange of Thailand (SET), Indonesia stock exchange, the Vietnam Stock Exchange (VNX), the Cambodia Securities Exchange (CSX), the Lao Securities Exchange (LSX), and the Philippine Stock Exchange. Secondly, we evaluated the factors that influence the level of return in those stock markets with exchange rate volatility as a control variable. By employing FIGARCH-DCC and ARDL models, the study aimed to provide a

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Alori, Alaba David, and Adebayo Augustine Kutu. "Export Function of Cocoa Production, Exchange Rate Volatility and Prices in Nigeria." Journal of Economics and Behavioral Studies 11, no. 2(J) (2019): 1–14. http://dx.doi.org/10.22610/jebs.v11i2(j).2813.

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This study examined the export function of cocoa production and determined the impact of exchange rates and price volatility on the exportation of cocoa in Nigeria. The Phillips-Perron (PP) and Augmented Dickey-Fuller (ADF) unit root tests, Ordinary Least Square (OLS) and Structural Vector Autoregressive (SVAR) methodologies were employed to analyse the time series data that spanning from 1970:01 to 2016:12. The PP and ADF unit root tests findings indicated that none of the variables was stationary at levels (I (0)) however, after the first difference I (1) they became stationary. At 5%, the O

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Berardi, Andrea, and Alberto Plazzi. "Inflation Risk Premia, Yield Volatility, and Macro Factors." Journal of Financial Econometrics 17, no. 3 (2018): 397–431. http://dx.doi.org/10.1093/jjfinec/nby004.

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Abstract We incorporate a latent stochastic volatility factor and macroeconomic expectations in an affine model for the term structure of nominal and real rates. We estimate the model over 1999–2016 on U.S. data for nominal and TIPS yields, the realized and implied volatility of T-bonds, and survey forecasts of GDP growth and inflation. We find relatively stable inflation risk premia averaging at 40 basis points at the long-end, and which are strongly related to the volatility factor and conditional mean of output growth. We also document real risk premia that turn negative in the post-crisis

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Yensu, Joseph, Seth Kofi Nkrumah, Samuel Amankwah, and Klenam Korbla Ledi. "The effect of exchange rate volatility on economic growth." Risk Governance and Control: Financial Markets and Institutions 12, no. 4 (2022): 33–45. http://dx.doi.org/10.22495/rgcv12i4p2.

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This study aimed to investigate the connection between exchange rate volatility and economic growth in Ghana. The study applied descriptive statistical analysis, regression analysis, and correlation analysis to analyze the data spanning from the year 2000 to 2020. The study discovered that the actual exchange rate exhibits clustering volatility, which means that a period of large (small) fluctuations in the exchange rate shock is followed by large (small) fluctuations over a longer time. Negative correlations were found between exchange rate volatility and trade openness, government expenditur

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Vartanian, Pedro Raffy, Raphael Abs Musa de Lemos, and Alvaro Alves de Moura Júnior. "Monetary Policy and Volatility of Value and Growth Stocks (2009-2021)." International Journal of Business and Management 19, no. 1 (2023): 46. http://dx.doi.org/10.5539/ijbm.v19n1p46.

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Especially after the subprime international financial crisis, which began in 2007/2008, the role of central banks and the implementation of monetary policy gained ground and affected financial markets. In such a scenario, quantitative easing, a monetary stimulus program implemented by several central banks, significantly reduced interest rates, especially in developed countries. In this context, the objective of the research is to investigate whether there is a relationship between the monetary policy actions of the Federal Reserve (Fed) and the volatility of value and growth stocks in the USA

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Katembo, Albert. "Effect of Interest Rate Changes on Stock Market Volatility in Congo." American Journal of Finance 10, no. 3 (2024): 1–12. http://dx.doi.org/10.47672/ajf.2168.

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Purpose: The aim of the study was to assess the effect of interest rate changes on stock market volatility in Congo. Methodology: This study adopted a desk methodology. A desk study research design is commonly known as secondary data collection. This is basically collecting data from existing resources preferably because of its low cost advantage as compared to a field research. Our current study looked into already published studies and reports as the data was easily accessed through online journals and libraries. Findings: Changes in interest rates have a notable impact on stock market volat

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Pavithra, R., and A. Rameshkumar. "MARKET CAPITALIZATION OF THE STOCK IN BIRTH - DEATH PROCESSES." Advances in Mathematics: Scientific Journal 11, no. 5 (2022): 499–506. http://dx.doi.org/10.37418/amsj.11.5.5.

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In this article the inability to predict the future growth rates and earnings of growth stocks leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. To demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process.

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Chen, Haiwei. "International Real Estate Review." International Real Estate Review 20, no. 2 (2017): 207–19. http://dx.doi.org/10.53383/100241.

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Both parametric and nonparametric tests show that housing price volatility is lower in states that impose a real estate transfer tax on transaction values than those that impose no such tax in the United States. However, regression analyses show no difference in price volatility between the two tax regimes, after controlling for known economic and demographic factors, such as income, population growth, mortgage rates, property taxes, and jobless rates. Such a conclusion is robust because the fixed effect and the two-way clustering models are used to account for irregularities in the error stru

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Hakim, Amirul. "Exchange Rate Volatility and Export Performance: Case of Malaysia." International Journal of Economics 9, no. 2 (2024): 1–12. http://dx.doi.org/10.47604/ijecon.2445.

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Purpose: The aim of the study was to investigate the exchange rate volatility and export performance: case of Malaysia Methodology: This study adopted a desk methodology. A desk study research design is commonly known as secondary data collection. This is basically collecting data from existing resources preferably because of its low cost advantage as compared to a field research. Our current study looked into already published studies and reports as the data was easily accessed through online journals and libraries. Findings: Exchange rate volatility negatively impacts Malaysia's

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Fadila, Ardhiani, Siwi Nugraheni, and Dienni Ruhjatini Sholihah. "Volatility Spillover on IDX Energy Sector." Jurnal Riset Akuntansi dan Keuangan 10, no. 2 (2022): 199–208. https://doi.org/10.17509/jrak.v10i2.39168.

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This study aimed to determine the spillover volatility factors from the stock returns on IDX Energy Sector firms. It focused on 3 types of factors, including 1) economy, especially crude oil prices, 2) market, such as inflation, exchange rate, and real GDP growth, and 3) firm specific-factors, such as ROE, Firm Size, and DER. A total of 39 out of 66 firms were chosen for analysis while data was collected from 2011 to 2020. Furthermore, the Panel Data analysis method was used to examine the main aspects of stock return spillover volatility. The results showed that crude oil prices, inflation, e

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Jin, Quan, and Yeonho Lee. "An Empirical Study of the Relationship between FDI and the Exchange Rate in China." Korea International Trade Research Institute 19, no. 3 (2023): 311–25. http://dx.doi.org/10.16980/jitc.19.3.202306.311.

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Purpose – Theoretically, exchange rate appreciation and exchange rate volatility may increase or decrease FDI inflows, and the results of empirical analyses are mixed. Given these inconsistent findings, this study aims to empirically investigate the effects of exchange rates and exchange rate volatility on FDI in China. Design/Methodology/Approach – To analyze the effects of exchange rate and exchange rate volatility on FDI, we first generate exchange rate volatility, monthly GDP data, and the difference between long-term interest rates in China and the U.S., and then set the time period of in

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Pindyck, Robert S. "Population, Productivity, and Sustainable Consumption." American Economic Journal: Macroeconomics 16, no. 4 (2024): 218–38. http://dx.doi.org/10.1257/mac.20220278.

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How does sustainable consumption depend on productivity growth, the size and growth rate of the population, and uncertainty over these growth rates? I address these questions using a model in which productivity and population growth are stochastic and human lives can have (positive or negative) intrinsic social value. I show how sustainable consumption depends on expected rates of productivity and population growth, the volatility of those rates, and the dependence of welfare on population. For plausible parameter values, sustainable consumption is well below the optimal welfare-maximizing lev

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Dagume, Albert Mbulaheni. "Exchange Rate Volatility and Macroeconomic Variables in South Africa." International Journal of Economics and Financial Issues 12, no. 6 (2022): 1–14. http://dx.doi.org/10.32479/ijefi.13446.

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The significance of the exchange rate in determining a country's macroeconomic performance is indisputable. Thisstudy investigated the impact of exchange rate volatility on macroeconomic variables in South Africa using time series data from 1979 to 2019. Only six macroeconomic variables have been included in this study: GDP, FDI, growth rate, INFR, INT, and trade openness. These variables were chosen as dependent variables, with real exchange rate volatility as the independent variable. The GARCH model was used to generate real exchange rate volatility, and the Ordinary Least Square regression

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Tambari, Ishaya, and Pierre Failler. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns." Energies 13, no. 24 (2020): 6740. http://dx.doi.org/10.3390/en13246740.

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As concerns regarding the adverse impacts of energy production and consumption on the environment grow, countries across the world are now charged with developing effective strategies that provide energy security and protect the environment. This means that efforts to generate significant investments and business opportunities to boost the growth of renewable energy need to increase rapidly. However, there are limited studies on what will facilitate the increase of renewable energy investment in Africa. The main factor considered in this study relates to the sensitivity to changes in oil price

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Tan, Genevieve Liao, and John Francis Diaz. "REAL GDP GROWTH RATES OF THE ASEAN REGION: EVIDENCE OF SPILLOVERS AND ASYMMETRIC VOLATILITY EFFECTS." Labuan Bulletin of International Business and Finance (LBIBF) 18, no. 1 (2020): 39–61. http://dx.doi.org/10.51200/lbibf.v18i1.2687.

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This paper identifies economic relations using real gross domestic product (GDP) within the five Associations of South-east Asian Nation economies namely: Indonesia, Malaysia, Philippines, Singapore and Thailand. Utilizing ARMA-GARCH, ARMA-EGARCH, ARMA-APARCH models, the study captures the presence of the leverage effect, and spillover of returns and volatility. Most economies except for Singapore are consistent with leverage effects, while the Philippines showed economic resilience with having symmetric volatility response. On one hand, Thailand’s economy has consistent negative one-way relat

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Panigrahi, Shrikant Krupasindhu. "Are Cryptocurrencies Really a Threat to the Financial Stability and Economic Growth? Evidence From the Cointegration Approach." International Journal of Applied Sciences & Development 2 (July 17, 2023): 66–77. http://dx.doi.org/10.37394/232029.2023.2.8.

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The main purpose of this paper is to investigate whether the cryptocurrency market affects financial stability and economic growth of India. The study used quarterly data on bitcoin, financial stability, inflation rate, real GDP, economic volatility uncertainty, exchange rate, and market volatility index for the period 2015Q1-2021Q4. The robustness of the findings was confirmed by the fully modified OLS (FMOLS) and canonical cointegration regression (CCR). The study results demonstrated that an increase in cryptocurrency investments will affect the financial stability of India significantly. E

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