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Abstract Since the seminal work of MM irrelevance theory, there has been a long history of controversy among academicians both in developed and developing nations regarding the determinants of capital structure. To this end, the main aim of this study was to investigate firm-specific and country-level determinants of the capital structure of Ethiopian commercial banks. The study adopted an explanatory research design with a quantitative research approach. A panel dataset was obtained from 14 commercial banks, which range from 2010 to 2022. A random effect panel regression result revealed that tangibility, non-debt tax shields, growth, and interest rate had a positive and significant effect, while the gross domestic product had a negative and significant effect on leverage which is used as a measure of capital structure. Among the independent variables tested, ROA, liquidity, effective tax rate, risk, and inflation have an insignificant effect on the capital structure of the selected commercial banks. The study will have implications for managers of commercial banks, legislators, regulators, and other interested parties that can use the study's conclusions to help them make well-informed capital decisions and implement the necessary measures to enhance the financial performance of Ethiopian banks with an optimal ratio of debt to equity.

An informationally efficient stock market is one of the indispensable factors for the smooth working of the economic machinery of a country. Efficient market hypothesis in this regard provides the theoretical base, which eliminates the possibility of beating the market and provides a level playing field for everyone in the market without any intervention. The informational efficiency of the major stock markets throughout the globe has been extensively researched by examining the causal links between stock prices and macroeconomic indicators. However there is considerable gap with respect to emerging stock markets. Therefore present study is an attempt to examine the efficiency of the stock markets of EM7 (India, China, Brazil, Russia, Indonesia, Mexico, and Turkey) which are going to be the epicentre of investment and growth in the coming times. Granger Causality Test is applied on monthly time series data for the recent decade spanning from 2010 to 2019. The study has found major directional relationships as unidirectional particularly running from macroeconomic variables to stock prices. The results of the study indicate that stock markets of the EM7 largely inefficient in terms of fundamental macroeconomic variables which in turn provide scope to reap abnormal returns by having prior information on macroeconomic front. The results indicated Chinese stock market as comparatively efficient among sample countries.

This research aims to investigate the effects of macroeconomic variables on stock market performance in Latin America and Asia. To achieve this objective, we considered data from 2000 to 2018 from nine countries located in Latin America and Asia, namely Brazil, Chile, China, India, Japan, Malaysia, Mexico, Peru, and Russia. The independent variables used in the work to determine the macroeconomic effects on the financial market were ec onomic freedom D(Ln(EF)), unemployment rate D(UNE), gross domestic product D(%ΔGDP) and exchange rate D(ER). We used the score of the local stock exchange D(SE) as a proxy for performance and as a dependent variable. Subsequently, multiple panel data regression was performed. The results show that all variables are significant at 10%. D(Ln(EF)) and D(ER) show a negative relation with D(SE), and D(UNE) and D(%ΔGDP) show a positive relation with D(SE). Important macroeconomic results with company performance.

Forecasting macroeconomic variables is crucial to measure dynamic changes during uncertain economic conditions. This study examines and analyzes the appropriate and accurate forecasting model to predict macroeconomic variables in Maluku Province. The main variables used are economic growth, unemployment, inflation, and poverty. The modeling used in this study were Bayesian Vector Autoregressions Model and the Univariate Benchmark Model. The results of this study indicate that the two models have different specifications and forecasting directions. The value of the Univariate Benchmark model’s forecast error size is relatively smaller than that of the Bayesian Vector Autoregressions Model. The results of forecasting macroeconomic variables in Maluku Province have a relatively good level of accuracy and are close to the actual value of the sample period. The Error Correction Model test results show that only the Error Correction Term variable significantly affects the poverty level in the short term. Meanwhile, in the long term, the unemployment rate has a significant effect, and the model used is proven valid. The forecasting results from the model show that the Maluku provincial government must maintain the stability of macroeconomic variables, especially the inflation rate and unemployment rate, because they tend to increase in the coming year. It can have an impact on reducing people’s purchasing power.

Abstract This is an empirical analysis of study simultaneously focus on examining the impact of macroeconomic variables, i.e., GDP growth, GDP per capita, inflation, foreign direct investment, exports, imports, interest rates, foreign debt and foreign reserves on the exchange rate regimes, using the sample of five countries from MSCI developed markets index, emerging markets index and frontier markets index each from 1970 to 2020. This study predicts and provides several essential contributions for markets, financial and economic, that fills the gaps in the markets economic and financial literacy of desired countries. The study identifies and evaluates the impact using the most advanced statistical frameworks. This study adopts ML—binary logit (quadratic hill climbing) and investigates the change in the exchange rate regimes due to macroeconomic variables. The empirical results confirm that Australia, Hong Kong, Japan, New Zealand and Singapore markets take timely correct exchange rate regimes decisions, which lead to developed markets. As emerging markets and frontier markets never adopt the exchange rate regimes three, four, and six, which is a significant impact factor that affects those markets never growth according develops markets. Foreign debts, inflation and foreign reserves are severe challenges for emerging and frontier markets.

Nowadays, maritime trade plays an important role in the economy of some countries, including Iran. Especially, some of the ports in Iran that are located on the Persian Gulf border carry out container shipping operations. Therefore, in the present study, we investigate the impact of the most important macroeconomic factors on the container trading in Iranian ports in the Persian Gulf. For this purpose, we employed the autoregressive distributive lag (ARDL) approach for the estimating effect of oil price, gross national production, industrialization and exchange rate on the container trading volume. The used data are quarterly. Container business data is related to the ports of Shahid Rajaei, Bushehr, Imam Khomeini, Khorramshahr, Shahid Bahonar, which are obtained from the Ports and Maritime Organization. The results of this study show a negative impact of increasing oil price on Iran's container trading. Moreover, our empirical findings indicate that the effect of industrial indicator (INDS) on the container trading volume is positively. Also, one percent increases in gross national production (GNP) leads to %0.37 increase in container trading, and one percent increase in exchange rate (EXH) leads to %.17 decrease in container trading, respectively. Finally, coefficient of ECM is -0.54. It means that speed of adjustment in the function of container trading volume is relatively high, and in each period, 54 percent deviation from long run direction of container trading volume to be corrected by variables of model.

The study investigates the impact of corruption, market capitalization, exports, and foreign direct investment on the wealth of 178 countries worldwide. Thus, the paper uses univariate and multivariate regressions to observe the nexus among exports, foreign direct investment, market capitalization, corruption, and wealth of nations. The findings indicate that corruption poses a significant hindrance to prosperity and development, as evaluated with respect to the Transparency International Corruption Perceptions Index. Additionally, the results showed that the world’s poorest nations are becoming less corrupt while the wealthiest ones are growing more corrupt. The paper also concludes that exports and market capitalization are critical for prosperity and development when combined with lower corruption levels. Furthermore, the analysis also suggests that inbound foreign direct investment favors the development of emerging countries. Surprisingly, market capitalization and exports had little impact on wealth of countries before the crisis period. Moreover, integrity also fosters economic growth. Overall, the study concludes that the causes of wealth are country-specific. AcknowledgmentsI thank the editor and the reviewers for the helpful comments and suggestions that significantly enhanced this work. The usual disclaimer applies.

Economic development of a state can be well defined as quantitative alterations in macroeconomic variables, which upsurge the overall production or yield over a certain period, equated to the preceding period. Amongst many some principal macroeconomic aspects that donate towards the progression of economic growth comprise Interest Rate, Forex Rate/Exchange Rate, Consumer Price Index (CPI - Inflation), Current Account Deficit, and Stock Prices. Secondary data were used, USA, Pakistan and rest of the World, from January, 2016 to December, 2022 with monthly frequency was utilized for estimation of coefficients. The empirical results show that equality has a negative impact on economic growth of USA, Pakistan and rest of the World. Results indicate that the pandemic have a significant effect on the interest rate of World, USA and Pakistan which increases in the start and then gradually decline. The exchange rate of USA, Pakistan and rest of the World is devalued significantly along with the rate of unemployment which increase and both affect significantly and negatively impact on the economy. The consumer price Index was decrease because of high uncertainty which have a negative effect on the GDP of USA, Pakistan and rest of the World. This brings the current account deficit to decreased due to less import and it has a significant impact on economy.

In a world scale economy considering interlinkage and interactions between countries, economic shocks will affect various economies through channels. Meantime, the oil price is one of the most important channels. New studies show that the connection between the oil price and the world economy has numerous complications which could not be incorporated in traditional frames with only taking into consideration separated and identified oil supply and demand shocks without considering synchronicity and the source of the main shocks. Therefore it is essential to model a multi-dimensional system. The purpose of this study is to investigate the impact of oil price shocks on the major macroeconomic variables of oil-exporting countries from 1974Q1 to 2019Q4 using the global vector autoregressive (GVAR) approach. The macroeconomic variables include four domestic variables, three foreign variables and one global variable. In particular, it provides a theoretical framework for the global oil market to illustrate how multi-country approach to modeling oil markets can be used to identify country-specific oil price shocks. On the empirical side, it shows the global economic implications of oil price shocks vary considerably depending on which country is subject to the shock. The results of this study indicate that the economic consequences of a positive oil price shock are different on macroeconomic variables in oil-exporting countries in short-run and long-run. However, in response to a positive oil price shock, most of OPEC countries experience long-run inflationary pressures.

Purpose: To study the effect of macroeconomic variables on the non-performing loan portfolio of banks in Mexico between 2001 and 2020. Design/Methodology: Multiple regressions were used to analyze the impact of unemployment, interest rate and Gross Domestic Product (GDP) on the index of non-performing loans of banks in Mexico before COVID-19 pandemic and the period including the pandemic. Results: Only the unemployment rate and GDP were significant. The impact of macroeconomic variables was different for each of the two periods studied, with less impact during the health crisis. Implications: These results have implications for bank credit management and the design of public policies aimed at maintaining a solvent banking system. Originality: This research explores the relationship between macroeconomic variables and the portfolio of overdue bank loans in the context of the coronavirus crisis. The two main contributions of this work, the first focuses on evaluating the effect of GDP and unemployment on the level of non-performing loans in banks during the COVID-19 crisis of which we are still immersed in it, and the definitive effects on the recovery of loans granted by banks are not yet known, so exploratory studies are still considered, and the second contribution was to analyze the effect of these macroeconomic variables in the stage prior to the SARS-CoV-2 pandemic.

Purpose – Fama–French model (FFM) has been successful in helping to predict the financial markets, but investors have been interested in creating more sophisticated models to better predict the performance of the stock market. The objective of the extended version is to create a more robust econometric model to better predict the performance of the Mexican Stock Market. Design/methodology/approach – The study divides the Mexican Stock Market into six different portfolios. The criteria to build those portfolios are the same one used in Fama–French (1992). The study comprises 78 stocks listed in the Mexican Stock Market that are analyzed monthly during 1997–2018. The study analyzes the period before and after the 2008–2009 financial crisis to identify whether there are important changes. The estimation applies the traditional and an extended version of the FFM that include macroeconomic variables such as country risk, economic activity, inflation rate, and exchange rate and some financial variables recommended in the literature. Findings – Results indicate that classic FFM variables are statistically significant in most cases, but relevant macroeconomic variables such as the interest rate, exchange rate and country risk stand out for being weakly relevant in most of the portfolios. However, it is noticed that some of these macroeconomic variables became relevant for different portfolios only after the 2008–2009 crisis, especially in portfolios which include small market capitalization firms. Research limitations/implications – The study includes the stocks listed in the Mexican Stock Market. One limitation is the small number of stocks available, which reduces the possibility of creating well diversified portfolios. This study includes 78 stocks. The stocks removed from the sample are from firms that were not listed during six consecutive months or whose market capitalization did not change in the same period. Outlier data were removed from the sample to capture in better way the general performance of the stock market. Practical implications – The objective of the extended version is to create a more robust econometric model than the traditional model. It is expected that such estimations can be helpful to investors to make better decisions when they try to predict performance in the stock market. Social implications – An extended version of the FFM can be helpful to investors to make better decisions when they try to predict performance in the stock market. Originality/value – To the best of our knowledge there are no more studies in the literature of the Mexican financial market that apply the same methodology.

Abstract In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term and long-term momentum returns in Indian stock market. It is also found that Carhart four-factor model’s performance is relatively superior to other factor models such as one factor capital asset pricing model and Fama–French three-factor model in terms of capturing momentum returns. Finally, macroeconomic variables which are considered for analysis do not have any power to explain momentum returns.

This paper seeks to use fixed effect and dynamic panel models to examine role of firm characteristics, macroeconomic variables, control of corruption and political uncertainty in explaining cash holdings of Egyptian firms over the period 2011 – 2020. We find that firm characteristics strongly explain variations in corporate cash ratios and deviations from the target ratios. However, we document no considerable role of macro variables. Egyptian firms tend to hold liquid assets as cash substitutes in managing their working capital and use debt as cash substitute in financing their operations. The findings support the prediction of main corporate finance theory and support both the precautionary and transactionary motives to hold cash. As expected, Egyptian firms tend to hold more cash during periods of high political uncertainty. After sorting according to the most influential independent variables which are tangibility and dividend yield (high and low). We find that cash holdings of the firms respond differently to both the firm specific variables and macro variables. Specifically, the high tangibility firms adjust their cash holding to the optimal level faster than the low tangibility firms while the low dividend yield firms adjust faster than the high dividend yield firms. The results of dynamic panel models indicate that Egyptian firms follow a partial adjustment policy towards the optimal cash levels, which corresponds with trade off theory.

This study explores the dynamic relation between economic growth and stock market depth in the presence of three more macroeconomic indicators such as exchange rate, inflation and interest rate of Bangladesh. We use Johansen and Juselius (1990) test of co-integration and Vector Error Correction Model (VECM) to detect the possible short-run and long-run causal relation among the selected economic forces. The results of the study evidence that the lagged error-correct term of GDP (i.e., the proxy of economic growth) is found statistically significant in all three models. This manifest that GDP tends to converge to its long-run equilibrium path in response to changes in its regressors. But we find a complex network of causal linkage between the variables in the short-run. The findings of this study are of particular interest and importance to policymakers, financial managers, financial analysts and investors dealing with the Bangladesh economy and the Bangladesh stock market.

Purpose: This study attempts to explore the relationships among stock market, investor sentiments and economic activity in Indian context. The study investigates the relationships between the Indian stock market prices (NSE Nifty 50; NSE 100 and NSE 500) and significant macroeconomic variables, along with market expectations measured by Volatility Index (VIX). Design/methodology/approach: Monthly time series data spanning from March 2009 to March 2017 has been used. The unit root test for stationarity, ARDL bound test for co-integration and Granger Causality have been employed to study the short run and long run dynamics. Findings : The findings of the study confirm the existence of co-integration among the variables, indicative of a long-run relationship. The long-run coefficients suggest Indian share prices are influenced positively by FIIs, Volatility Index and Inflation and negatively by Crude Oil Prices, Gold Prices and Exchange Rate. Money supply, Call Money Rate, Gross Fiscal Deficit and Index of Industrial Production prove to be insignificant in affecting the stock prices for all three indices. In Granger causality sense, it was found that the stock prices Granger Cause Crude Oil, Exchange Rate and Industrial Production for all three indices. It was also found that Exchange Rate and VIX Granger cause stock prices for NSE50 and NSE100. But for NSE500, the causality runs from stock prices to VIX. Originality/value: This study emphasizes the impact of macroeconomic variables and investor sentiments on the stock market in a developing economy.

This study aims to analyze the correlation between control corruption and political stability, macro variables on economic growth in Asia. Study population consist of 47 countries, employing secondary data from Worldwide Governance Indicators, World Development Indicators, and United Nations Development Programme. The data were analyzed using dynamic panel regression (GMM) during 2002-2018 period with Stata 14 software. The result of the analysis shows control corruption and political stability positively affect economic growth. Macroeconomic variables consist of foreign direct investment and human capital positively affects economic growth. While government size has no significant effect on economic growth. The findings of this study confirms that economic growth can be increased through reducing levels of corruption, strong political stability, increase capital inflow, optimally government consumption especially increasing portion of the education budget and creating jobs widely.

This paper provides useful insights on the determinants of macroeconomic variables on Islamic stock index evidence from frontier market. The aims of this study is to examine the effect of macroeconomic variables namely gross domestic product (GDP), inflation (consumer price index), exchange rate (USD exchange rate), oil price (crude palm oil) and money supply (M2) on frontier market Islamic index (FMII). This study employs Fixed Effect (FE) model of 17 countries listed under FMII. The study cover a ten (10) years period from 2008 until 2017. The study have shown significant relationship between inflation, money supply and exchange rate with FMII and managed to reject null hypotheses for the three variables. Inflation and exchange rate is negatively related with FMII while money supply, gross domestic product and oil price is positively related to FMII. However, the study fails to find any significant relationship between gross domestic product and oil price with FMII. The findings of this study will provide better understanding on the frontier market and helps to improve their performance. Therefore, it can encourage countries in frontier market to be able to compete and achieve similar advancement as countries in developed and emerging market did.

The Malaysian household saving growth has shown weakened patterns from year to year. Low-income level, overspending and black swan economic events result in nosedived household savings. To explain this issue, this study empirically examined factors affecting household savings in Malaysia. The analysis was based on time-series data gathered from World Bank Data, CEIC Data and Department of Statistic of Malaysia from 1970 until 2018. The ordinary least square (OLS) regression analysis was used to examine the significant relationship among dependent variable (household savings, proxy gross domestic savings) and independent variables which consist of interest rate, inflation rate, age dependency ratio, consumption expenditure and income. The findings from this study reveal that the interest rate and household consumption expenditure have significant negative relationships with the household savings, while age dependency ratio, inflation rate and income have insignificant relationships with the household savings.

This paper is a first-cut analysis of wilful defaulters’ quarterly data disclosed by the Credit Information of Bureau of India Limited (CIBIL) from June 2003 to March 2016. A substantial number of wilful defaulters are unlisted and private limited companies, financed largely by government-owned banks and concentrated in specific regions. We argue that borrowers turn into wilful defaulters by taking undue advantage of weak governance structures such as ineffective functioning of the economic, legal and political institutions of the country. Our empirical analysis supports the hypothesis that wilful loan defaults are largely caused by the weak country level governance factors.

This study, examines the dynamic effects of macroeconomic factors on the overall tax revenue performance of thirty-three (33) Sub-Saharan African countries for eighteen years that range from 2000-2017 employing the system generalized method of moments methodology. This study provides empirical evidence for the dynamic and significant effects of macroeconomic variables on tax revenue performance in SSA countries. Arising from our empirical findings, the study recommends that, on the average, governments of SSA countries should establish the necessary macroeconomic preconditions for the effective and efficient administration of the countries’ tax systems to further boost her taxable capacity and fiscal surpluses.

Emerging market economies (EMEs) are increasingly important drivers of global economic growth, as witnessed by the substantial increases in their share of world output during the last four decades. The choice of an exchange rate regime is a recurring issue in international macroeconomics. Recently, the currency crisis in Asia, Russia, Brazil and Argentina has increased interest in this area and the effects of exchange rate regimes become even more important in developing countries. Hence, the purpose of this study is to revisit the effects of exchange rate regimes on inflation in BRICS countries. The data used for this research covers over the period from 1970 to 2012. This study finds that BRICS countries under the Pegged exchange rate regime have lower inflation rate compare to those under the non-Pegged exchange rate regime. The analysis in this study proposes that exchange rate regimes choice and money supply influence the inflation dynamics in the BRICS countries. In addition, the empirical results attained from the analysis of inflation show that the real depreciation resulting from a nominal depreciation will be unwound in a short-time which will reduce the advantages of a flexible exchange rate regime. The analysis in this study also shows that there is a positive relationship between monetary expansion and inflation in the BRICS countries.

Fiscal policy influences economic conditions through public spending and taxes, generating positive or negative impulses, both on short and long term. The present research focuses on analysing the effects of the discretionary changes in the fiscal policy in seven post-communist countries of the European Union during the period 2000–2018. The autoregressive distributed lag model (ARDL) has been applied in order to obtain the convergence rates to equilibrium with a clear analysis of the periods needed to achieve the long-run fiscal sustainability. Also, the error correction vector model (VECM), which is based on the autoregressive vector (VAR) model, has been used in the second part of the analysis focusing on the Cholesky factorization of innovations. Impulse-response functions aiming to estimate the response of government expenditures to the shock produced by three macroeconomic variables have been identified.

Abstract The aim of this paper is to analyze the influence of the recent recession and of macroeconomic variables over the indebtedness in Brazilian industry sectors. The gap derives from the preference for investigating the reaction of capital structure according to economic sectors. However, it has to be considered that industry sectors react differently to variations in the economic context, since they have different optimal points of capital structure composition. The relevance of the chosen topic lies in carrying out a sectorial analysis of the effect of recession and of macroeconomic variables on capital structure composition, identifying the most sensitive sectors. It is also relevant in terms of being based on classical financial theories applied to the current context, in order to help predict the proportion of debt given fluctuations in a set of macroeconomic variables. Standing out among the main contributions of this article are the analysis of the level of indebtedness of Brazilian companies given the occurrence of recession and variations in the macroeconomy, identifying sectors that are most exposed to modifying their capital structure due to these factors. Six research hypotheses were formulated and tested using multiple linear regression, with two-stage fixed effects based on panel data collected from 211 companies, classified into six sectors, with data relating to the first quarter of 2010 up to the first quarter of 2018. The results revealed that the recent Brazilian recession was relevant for the capital structure of the sectors studied, with inflation only being significant for the health sector. The level of indebtedness of the basic materials sector was shown to be the most dependent on economic fluctuations and that of telephony and utilities was shown to be the least dependent. In addition, it was verified that the company-specific variables have greater relevance in determining capital structure compared to the macroeconomic ones.

Research purpose. Stocks as well as other securities are a crucial part of the financial market that helps to redistribute financial resources amongst market participants, which in a modern economy include not only professional stock players but also many common individuals seeking to increase their capital. Previous studies found a strong relationship between the macroeconomic variables and stock returns but often the explanatory power of those models seems to be limited in the applicable region. The aim of this article is to establish whether each region’s stock indices have to be predicted based on a separate set of variables.

The evidence of lagged effect regarding firm size between macroeconomic factors and stock returns is found with GARCH model for the UAE firms. More precisely, the exchange rate significantly affected stock returns irrespective of size group and lag level. However, a positive effect is observed at lag four and a negative impact on lag five and two for small and large firms. For the majority of the firms in small size, the risk-free rate showed a negative lagged effect on stock returns; however, for the majority of the firms in large size, it showed a positive lagged effect on stock returns. Inflation also showed a significant effect on stock returns on each lag level except for large firms where at lag fiveit is insignificant. Moreover, as the lags increase from 1- 4 and size from small to large, the negative effect of inflation converts to a positive effect on stock returns. The lag effect of real activity showed both positive and negative impacts on small firms’ relatively larger stock returns than big firms. Money supply showed a significant positive impact on stock returns of all firms irrespective of the size group; however, this relationship is even more prominent at lag five. Finally, the oil prices showed a positive effect on stock returns (large size) which further maximizes at lag two; whereas, a negative maximization takes place at lag three. Hence, investors can make informed and effective decisions, and UAE policymakers developed effective measures to control and promote macroeconomic growth and stability.

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in India (together with oil futures, agricultural commodity futures and metal futures). The monetary policies, financial market information and economic environments are determined by the macroeconomic variables. The low-frequency macroeconomic variables and daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long-run variance or not. The current study reveals the effect on long-run volatility factor in the commodity market, and the majority of verified data have shown that low-frequency variables have a positive impact in the long-run variance of the commodity futures market. The outcome of the study suggested that the national and international economic variables perform a substantial part in assessing the price volatility of the commodity futures market in India.

This study aim to explore the role of the macroeconomic variables and stock prices for emerging economies perspective. Further, the study examines the association between the macroeconomic variable and stock prices across the panel of India and Brazil. The study utilizes monthly data from 2000M1-2016M08. We employ various panel econometric techniques. The findings confirm that the long run relationship between variables and unidirectional causality. The results also reveal that GDP, inflation, exchange rate, interest rate and stock prices play an important role in economic development.

Attitude towards the role of government and reasons for the existence of government have experienced several changes and revisions during the last century. Attitude changes alter the duties and responsibilities assigned to the government and thus change the size and composition of public expenditure. In the context of these attitudes, there are factors that could explain the changes in the size and the growth of government and consequently the government intervention in the economy over time and among different countries. This study investigates the relationship between government size and macroeconomic variables including economic growth, growth of oil revenues, growth of tax revenues, inflation in Iran using seasonal data during the period of 1990:1 – 2014:4 by applying Markov Regime Switching model. The results show that in the selected model consisting of two regimes with different government sizes, economic growth has a significant negative impact on government size in both regimes of zero and one. But inflation has different effects on government size: it has a negative effect in the regime zero (smaller government) and a positive effect in the regime one (bigger government). Moreover, the growth of oil revenues has a positive effect in both regimes, but the growth of tax revenues has a positive effect only in the regime one. Also, the results indicate that the government size in Iran has often been in the regime one with bigger government size and it is predicted that bigger government will be more sustainable than smaller government.

The economic growth of India has positioned it as one of the rapidly growing economies the world over and it is expected to be one of the top three economies globally over the next decade. Contrary to a slowdown in the earnings of Indian corporates due to excess existing capacity and the inability of banks to lend, the stock market ie Bombay Stock Exchange has performed well. The objective of the present research is to investigate the link that exists, if any, between BSE Sensex and macroeconomic variables such as Index of Industrial Production (IIP), inflation, the rate of interest, the price of gold, rate of exchange, FII and supply of money for the period April 1999-March 2017. The study also seeks to determine the strength of the link between the independent parameters and the dependent parameter ie BSE Sensex in the short run and long run based on the test of Johansen Cointegration, Granger Causality, and the Vector Error Correction mechanism. The analysis through the Vector Error Correction Model (VECM) confirms that there exists a long-run causality between the macroeconomic variables of Index of Industrial Production (IIP), inflation, interest rates, gold prices, exchange rate, foreign institutional investment, money supply and BSE Sensex. It establishes that there does exist a short run causality between Inflation and BSE Sensex and Money Supply and BSE Sensex. The results importantly show that BSE Sensex causes changes in the exchange rate and money supply, FII, gold prices and IIP.

Household consumption is generally considered to be the final purpose of economic activity, and the level of consumption per person is often viewed as a central measure of an economy’s productive success. Thus, consumption is among the key determinants of well-being of citizens at the global level. This study used a multivariate cointegration approach to analyse the macroeconomic determinants of household consumption expenditure in Ghana. The sample period consists of annual time series from 1961 to 2013. The vector autoregressive (VAR) model and Johansen cointegration approach were used to capture the short- and long-run relationships between selected macroeconomic variables and the household consumption in Ghana. The cointegration analysis revealed a significant long-run relationship between real household consumption and selected macroeconomic variables with a marginal propensity to consume of 0.7971. Granger causality, impulse response analysis and variance decomposition showed that, in the short run, household consumption is only affected by changes in price levels, while it has a significant effect on the real exchange rate and real economic growth. Findings reported in this study are helpful in understanding the macroeconomic role of household consumption expenditure in the Ghanaian economy.

One of the main policies for solving the problem of economic growth obstacles and eliminating the sole dependence of the economy on oil revenues is to improve the country's tax system performance. The purpose of the present study was to investigate the factors affecting the tax system performance in Iranian economy with special reference to Tanzi inflation effect. In order to achieve the research objectives, an Autoregressive Distributed Lag Model (ARDL) was used to estimate the short-term as well as long-term effects of macroeconomic variables on tax system performance for the period 1984-2014, emphasizing on the Tanzi inflation effect as substantial factor. The results showed that in the long term and short term, the inflation rate and agriculture sector's value added have negative significant effects, while human development indicator, industry and service sector's value added and government's expenditures have positive significant effects on tax system performance in Iran during the period of the study.Therefore,effective measures are required to be adopted for the extension of tax bases in the industry as well as service sectors on the one hand, and timely collection of tax revenues through shortening the courses of tax collection is also recommended on the other. These steps along with removal of unnecessary tax exemptions would certainly cause strengthening the efficiency level of tax system performance in the Iranian economy.

This paper examines the volatility of the Bangladesh stock market returns in response to the volatility of the macroeconomic variables employing monthly data of general index of Dhaka Stock Exchange (DSE) and four macroeconomic variables (Call Money Rate, Crude Oil Price, Exchange Rate and SENSEX of Bombay Stock Exchange) from January 2001 to December 2015. The results of GARCHS models reveal that the volatility of DSE return is significantly guided by the volatility of macroeconomic variables, such as, exchange rate and SENSEX. Specifically, volatility of the DSE is expected to 19% increase by 1% increase of exchange rate. Moreover, the volatility of the Bangladesh stock market returns is expected to dampen down by 2% with an increase in the volatility of Indian stock market of 1%. Thus, we can comment that adding exchange rate or stock returns of India in the GARCH model provides significant knowledge about the behaviour of the DSE volatility.

This paper aims to examine the effect of macroeconomic variables namely inflation, money supply, and exchange rate on both conventional and Islamic stock market returns in the three selected ASEAN countries (Singapore, Malaysia, Indonesia) by utilising monthly data over the period of January 2005 to December 2015. Applying the panel least square regression techniques, the results show that both stock market returns are significantly affected by the exchange rate and inflation rate. Money supply is found to be insignificant. The findings of this paper also conclude that inflation poses a greater effect and inversely related to the stock market returns. In this case, there is a need for amendment in monetary policy to ensure that inflation rate is set at a low level, since the results would be able to bring an impact to boost the capital market in the selected ASEAN countries.

The study examines the linkages among the nominal exchange rate, oil prices, terrorism and three selected macroeconomic variables: real growth rate, inflation rate and interest rate. The paper employed Auto Regressive Distributed Lag to test the long run and short run dynamics over the period 1980 to 2015 in the context of Pakistan. A novel technique to this research is that we demarcate the relationship among macroeconomic variables, financial variable and socio-economic variable. The findings of the research depict a robust long run relationship among variables. Furthermore, the results showed that the adjustment process is slow and short run adjustment indicating that the discrepancies adjust completely in the same period. Hence, the efficient monetary and fiscal policy should keep into consideration before devising policies that have a greater influence on the variability of exchange rate.

This paper examines the long-run impact of macroeconomic indicators such as interest rate, foreign capital flows, exchange rate, GDP growth, inflation and trade on stock market performance (market capitalization) in Nigeria. Using data drawn from the World Development Indicators (WDI, 2018) and the Central Bank of Nigeria (CBN) Statistical Bulletin 2018, the study employed the VECM analysis. The results found suggest that 1) macroeconomic variables and stock market performance are cointegrated and thus linked in the long run; 2) interest rate, inflation and trade bear a negative relationship with stock market performance; and 3) exchange rate, GDP growth rate and foreign capital flows are positively related to stock market performance. Our results show that when there is a deviation from the long-run relation between stock market performance and mafcroeconomic fundamentals, it is primarily the stock market, interest rate and foreign capital flows that adjust to ensure that the long-run link is restored, whereas exchange rate, GDP growth, inflation and trade are weakly exogenous. We estimate that any disequilibrium emanating from interest rate is more than fully corrected in one year, in the oscillating convergence sense, while 29% and 5% of the disequilibrium from stock market and foreign capital flows are corrected in one year. A policy recommendation that emerges from the study is the need to strengthen policies aimed at improving the country’s macroeconomic environment. Specifically, this will involve policies aimed at lowering interest rate, increasing foreign capital flows and improving the country’s terms of trade.

The research conducted in the present paper is mainly aimed at analyzing the causal relationships between the budget deficit and following macroeconomic variables: the gross domestic product, the harmonised index of consumer prices, the public debt and the real effective exchange rate, for Greece, during the period 2001-2014. The empirical study, conducted using the Vector Autoregressive Model (VAR) indicates that the analyzed variables are cointegrated, existing a reverse proportionate relationship between the budget deficit and the gross domestic product, and a directly proportional relationship between the budget deficit and the public debt. Therefore, the comparative approach of the effects determined by an unexpected rise in the budget deficit indicates a high speed and amplitude, with great persistence of the effect generated by the increase in the deficit on the real economy. Regarding the impact on public debt, it appears to be faster and with an increased amplitude and persistence. The study results do not illustrate any direct connection between the budget deficit and the other two macroeconomic variables - inflation and real effective exchange rate in the case of Greece. Hence, the exchange rate and the inflation variable react with a lower speed, less powerful and for a shorter period of time to the unanticipated increase in the budget deficit. The results reinforce the problem the arises increasingly more often, that is, if the Greek exit from the eurozone will come true or not. In terms of the accumulated debt default, the exit from the euro zone's most indebted member state of the Union seems inevitable, and the so-called Grexit could have serious consequences on both the Greek State and the stability of the whole European economy.

The Impact of Macroeconomics Variables to Islamic Stock Index in IndonesiaThis research aim is to analyze the impact of macroeconomics variable to Islamic stock’s index in Indonesia. The macroeconomic variables are BI-rate, inflation, foreign exchange, sharia Bank of Indonesia certificate and oil world price. The methods that used in this research is error correction model to analyze the short-run and long-run impact of macroeconomics variables to Islamic stock’s index. The result shown that the foreign exchange rate and sharia Bank of Indonesia certificate influence the to Islamic stock’s index in short-run. Otherwise the interest rate, shariah Bank of Indonesia certificate, and oil world price influence the to Islamic stock’s index in long-runDOI: 10.15408/ess.v6i1.3118

The aim of this study is to investigate that how economic conditions change when crude oil shocks occured in 1980-2013 for MIST countries. Another objective of the study is to determine accurately the functional forms of the relationships between oil prices and macroeconomic variables. For this aim, the relationships between crude oil price and macroeconomic variables were estimated by using Additive Model being a nonparametric model. In order to make comparisons, estimation results of the OLS model being parametric were also given. The F test statistics showed that relationships between crude oil price and macroeconomic variables were explained by nonparametric models better than parametric models. Teraesvirta Neural Network test (1993) shows also that oil price shocks can cause to be symmetric effects on macroeconomic variables while asymmetric effects on some macroeconomic variables.

The aim of our paper is to empirically investigate the impact of the changes in macroeconomic environment on the financial soundness of the banking sector (as measured by bank Z-score) in 11 Central and Eastern European countries, over the period 2000-2014. The results of our empirical study indicate that the financial soundness of the banking sector in our sample countries is heavily influenced by unemployment and inflation rates, foreign exchange rate, current account balance, public debt, and financial depth. Overall, our study underlines the crucial importance of ensuring a healthy and sound macroeconomic environment for the financial soundness of banks. Also, our research highlights that, out of all the macroeconomic factors analyzed, the dynamics of bank credit to the private sector is the main risk factor for the soundness of the banking sector in CEE countries, which calls for its rigorous monitoring.

This paper sheds light on how the macroeconomic variables affect the capital structure decisions in context to the Equity Market Timing Theory, for the firms of an emerging economy- India. The analysis is done through analytical and causal research design using Vector Error Correction Model / Vector Autoregressive Model. Further, the effect is also analyzed when the firms are categorised into the varied sectors of economy- primary, secondary and tertiary. The period for the study is from the year 1992-2013. The results show that changes in macroeconomic environment cause changes in the firm’s choice of finance both in long run as well as in short run. The analysis shows that for primary sector firms, leverage is pro-cyclical; secondary sector firms imply a counter-cyclical leverage and for tertiary sector firms equity is pro-cyclical. Therefore, the managers must identify the windows of opportunity depending upon the sector to which the firms belong to.

This paper aims to define long-term determinants of Moroccan commercial banks performance, for the period 2005-2015, using the Johansen cointegration test. For this purpose, we use bank performance ratios (ROA, ROE and NIM) as dependent variables, and deposits, liquidity ratios, bank-specific and macroeconomic variables as explicative variables. Results obtained show that long-term performance of Moroccan commercial banks depends on deposits, short-term, long-term and funding liquidity, the size of the bank and its square, internal and external funding, deposits interest rates and foreign direct investments. These results show the significance of bank-specific variables as long-term determinants of the performance of Moroccan commercial banks.

Palm oil commodity is still one of the largest foreign exchange contributors to the Indonesian states and remains as an attractive industry. In 2016, Indonesia was the main exporter of CPO with the highest production volume in the world. Palm oil issuers face business challenges from external and internal factors. This research was conducted to analyze whether the stock price of oil palm issuer in Indonesia was influenced by macroeconomic variables (crude oil price, exchange rate, inflation, and interest rate) and financial performance variables (DER, ROA, ROE, EPS, and AUR). This is important because if the macroeconomic variables and financial performance of the company have an impact on the company's performance reflected in the stock price movement of the issuer, this will be an important consideration for investors to take decisions. The results of this research using panel data regression (2010-2016 with quarter data) indicated that only one macroeconomic variable of Exchange Rate that had a negative significant effect on the price of palm oil stock while the financial performance variables in this research affecting the palm oil stock price significantly were DER, ROA, ROE, EPS, EPS t-1, and Stock Price t-1. All variables used in this research can represent the influence of the stock price of palm oil by 99.21%.

Studies on moderating effect of ownership structure on bank performance are scanty. To fill this glaring gap in this vital area of study, the authors used linear multiple regression model and Generalized Least Square on panel data to estimate the parameters. The findings showed that bank specific factors significantly affect the performance of commercial banks in Kenya, except for liquidity variable. But the overall effect of macroeconomic variables was inconclusive at 5% significance level. The moderating role of ownership identity on the financial performance of commercial banks was insignificant. Thus, it can be concluded that the financial performance of commercial banks in Kenya is driven mainly by board and management decisions, while macroeconomic factors have insignificant contribution.

In this paper, we examined the relationship between ISE 100 Index and a set of four macroeconomic variables using Vector Autoregressive (VAR) model. Variables we used in our model are Exchange, Gold, Import, Export and ISE 100 Index. ISE 100 Index is a dependent variable and the others are independent variables. In this study we used 190 observations for the sample period from January, 1996 to October, 2011. All variables have seasonal movements. After seasonal adjustments, all series have had stationary in their first difference. After determining optimal lag order, it was given one standard deviation shock for each series and their response. And in variance decomposition carried out subsequently, it has been determined that especially as of the second default of exchange, it was explained 31% by share indices.