Template-Type: ReDIF-Article 1.0 Title: The Effect of Disaggregated Country Risk on the Returns of the South African Exchange Traded Fund Market Author-Name: Damien KUNJAL Author-Name: Faeezah PEERBHAI Author-Name: Paul Francois MUZINDUTSI Author-Workplace-Name: University of KwaZulu-Natal Author-Workplace-Name: University of KwaZulu-Natal Author-Workplace-Name: University of KwaZulu-Natal Author-Email: KunjalD@ukzn.ac.za Author-Email: Peerbhai@ukzn.ac.za Author-Email: MuzindutsiP@ukzn.ac.za Classification-JEL: E44, G10, G11. Keywords: Economic Risk; Exchange Traded Fund; Financial Risk; Market Return; Political Risk, EFT. Abstract: In recent years, investors have drifted towards investments in emerging markets with better risk-return trade-offs, however, these markets are generally characterized by high political, financial, and economic risk. Given the rising popularity of Exchange Traded Funds (ETFs), the objective of this study is to investigate the effect of disaggregated country risk on the returns of the South African ETF market. The study utilises a sample of South African ETFs which are segregated based on their benchmarking strategy (that is, purely domestic benchmarks or international benchmarks), and the sample period ranges from the inception of the first ETF in the respective market till December 2019. A linear and non-linear Autoregressive Distributed Lag (ARDL) approach is used to explore the long- and short-run effects; however, the findings of this study suggest that country risk shocks have significant asymmetric effects on returns. Further analysis suggests that, in the long-run, ETFs with domestic benchmarks are most sensitive to political risk decreases whilst ETFs with international benchmarks are most sensitive to political risk increases. In the short-run, ETFs with domestic benchmarks are only influenced by political and financial shocks whilst all country risk components impact ETFs with international benchmarks. Overall, these findings can assist investors, rating agencies, multi-national enterprises, and policymakers in understanding the effects of country risk components on ETF markets. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 1 Pages: 1-34 DOI: 10.1991/jefa.v8i1.a64 File-URL: https://ojs.tripaledu.com/jefa/article/download/88/102 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0069 Template-Type: ReDIF-Article 1.0 Title: The Dynamic Linkages among Gold Prices, Stock Prices, the Exchange Rate and Interest Rate in South Africa Author-Name: Thabang NDLOVU Author-Name: Nozibusiso Mavuso NDLOVU Author-Workplace-Name: Competition Commission South Africa Author-Workplace-Name: Competition Commission South Africa Author-Email: thabsam16@gmail.com Author-Email: Mavusotasha@gmail.com Classification-JEL: C11, E3, F31, G11, Q30. Keywords: Exchange Rate; Interest Rate; Gold Market; Stock Market; Bayesian Analysis; Vector Autoregression. Abstract: The fundamental aim of this study is to examine the intricate interplay among gold prices, interest rates, exchange rates, and stock price indices within the context of South Africa. To achieve this, both a conventional Vector Autoregression Model and a Bayesian Vector Autoregression Model were applied to monthly data spanning from June 1995 to December 2022. The findings indicate that a positive shock in stock prices triggers positive reactions in exchange rates, gold prices, and interest rates. Conversely, a positive shock in interest rates induces negative reactions in both gold prices and stock prices. Moreover, a positive shock in gold prices elicits negative responses in both interest rates and stock prices. Additionally, a positive shock in exchange rates prompts positive reactions in gold prices and interest rates, while simultaneously resulting in a negative response in stock prices. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 1 Pages: 35-56 DOI: 10.1991/jefa.v8i1.a65 File-URL: https://ojs.tripaledu.com/jefa/article/download/89/98 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0070 Template-Type: ReDIF-Article 1.0 Title: Bond Indices Maturities and Changing Macroeconomic Conditions: Evidence from South Africa Author-Name: Fabian MOODLEY Author-Workplace-Name: North-West University Author-Email: 55232345@nwu.ac.za Classification-JEL: G11, G12. Keywords: Two-Stage Markov Regime Switching Model; JSE; Adaptive Market Hypothesis; Bond Returns; GDP; Inflation Rate; Interest Rate. Abstract: This paper examines the effect of macroeconomic variables on government bond yields of different maturities under two regimes in South Africa. The study employs a Two-Stage Markov regime-switching model to analyze monthly time series data from March 2009 to October 2022. It attempts to explain variations in 1-3 year, 3-7 year, 7-12 year and +12 year government bond yields with six independent variables such as inflation, real GDP, real short-term interest rates, real long-term interest rates, real money supply, and the real Rand/Dollar exchange rate. As a result, the study finds that the performance of government bond yields varies with market conditions, as per the adaptive market hypothesis (AMH). More specifically, the returns of the 1-3 year bond index are influenced by real GDP in a bull regime, while the performance of the 3-7 year government bond yield is affected by real GDP in a bear market condition. Additionally, the inflation growth rate influences the performance of the 7-12 year government bond yield in a bull market regime, but not in a bear regime. It also documents that the bear market conditions prevail among selected bond index returns, with the 12-year government bond yield staying in a bull state for 12 months, while the 7-12 year government bond yield stays the longest in a bear state (19 months). These findings demonstrate that the South African bond market is affected by changing conditions. Therefore, the interaction between the macroeconomy and bond performance is better explained by AMH, and there is potential for improved explanatory power through the use of nonlinear modeling techniques. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 1 Pages: 57-73 DOI: 10.1991/jefa.v8i1.a66 File-URL: https://ojs.tripaledu.com/jefa/article/download/90/99 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0071 Template-Type: ReDIF-Article 1.0 Title: Financial Inclusion and Economic Growth: Exploring a New Pattern of Functional Relationships Author-Name: Mohammed Diab KHELKHAL Author-Workplace-Name: University of Bechar Author-Email: khelkhal.mohammed@univ-bechar.dz Classification-JEL: G20, O43, C51. Keywords: Financial Inclusion; Financial Service; Economic Growth; Gross Domestic Product; Mixed Relationship. Abstract: This paper endeavours to investigate the nexus between financial inclusion and economic growth, elucidating the positive effects stemming from the broadening utilization of financial services within society using panel data encompassing ten countries —Argentina, Armenia, Chile, Costa Rica, Georgia, India, Moldova, Montenegro, Poland, and Saudi Arabia— over the periods of 2010-2019. The findings reveal that there exist initial positive effects on GDP concomitant with the expansion of financial services usage, followed by subsequent positive effects that may manifest irrespective of further expansion. From an econometric standpoint, this implies a positive response of the GDP indicator to the augmentation of financial services expansion indicators and conversely, a negative response to their decline. Thus, it concludes mixed relationships, characterized by the amalgamation of two distinct responses of the dependent variable concerning its association with the independent variable. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 1 Pages: 75-105 DOI: 10.1991/jefa.v8i1.a67 File-URL: https://ojs.tripaledu.com/jefa/article/download/91/100 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0072 Title: Decision-making under Rice Contract and Non-Contract Farming Arrangements in Ekiti State, Nigeria: A Game Theory Approach Author-Name: James Idowu FASAKIN Author-Name: Sulaiman Adesina YUSUF Author-Name: T. K. Akintayo Author-Workplace-Name: University of Ibadan Author-Workplace-Name: University of Ibadan Author-Workplace-Name: University of Ibadan Author-Email: idowujamesfasakin@gmail.com Author-Email: sa.yusuf@ui.edu.ng Author-Email: tkakintayo@gmail.com Classification-JEL: Profitability; Rice Farming; Optimist; Pessimist; Maximax; Minima. Keywords: C70. Abstract: Farmers face considerable challenges in negotiating contracts, determining production levels, and fulfilling contractual obligations due to the inherent uncertainties associated with agricultural activities, including fluctuations in weather conditions, pest infestations, and crop diseases. Thus, this research delves into the decision-making processes within the rice farming sector in Nigeria, specifically examining the comparative profitability between contract and non-contract farming systems through Gross Margin analysis and the Maximax and Minima criteria. Utilizing Ordinary Least Squares (OLS) technique on a randomly selected sample of 126 rice farmers from Ekiti State, Southwest Nigeria, our analysis reveals that rice farming in the region is economically viable, with contract farming demonstrating greater profitability compared to non-contract farming. The profitability of paddy rice cultivation is notably influenced by several factors, including farming experience, participation in cooperative associations, age, access to extension services, and agricultural training. Specifically, we observe that years of farming experience, membership in the association, and access to extension service positively influence profitability of paddy rice production of contracted farmers; while farmer age and formal training positively influence profitability of paddy rice production of non-contracted farmers. Moreover, our study indicates that optimistic farmers are inclined towards adopting the contract farming model, while pessimistic farmers tend to favor non-contract arrangements. Thus, we recommend that optimistic farmers consider engaging in contract farming, while a non-contract approach is advisable for pessimistic rice farmers. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 1 Pages: 107-132 DOI: 10.1991/jefa.v8i1.a68 File-URL: https://ojs.tripaledu.com/jefa/article/download/92/101 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0073 Template-Type: ReDIF-Article 1.0 Title: Factors Affecting Non-Performing Loans: Empirical Evidence from Commercial Banks in Uzbekistan Author-Name: Olmas ISAKOV Author-Workplace-Name: Westminster International University Author-Email: o.isakov@wiut.uz Classification-JEL: C23, G21. Keywords: Banking; Credit Risk Management; Central Asia, Uzbekistan, Non-Performing Loans; Dynamic Panel Data. Abstract: This paper applies a dynamic panel data approach to examine the main factors affecting non-performing loans (NPL) of commercial banks in Uzbekistan. The paper utilizes both bank-specific factors such as loan-to-deposit ratio, size, leverage, and type of ownership as well as macroeconomic factors, such as GDP growth rate and exchange rate to determine their significance in credit risk of commercial banks. The results indicate that current loan-to-deposit ratio (LDR) and leverage have positive impact on NPL ratio while higher GDP growth rate is associated with lower rate of NPL. However, lagged LDR and leverage ratios have shown negative relationship with NPL. Size, bank ownership type and exchange rate have not exhibited any significant impact on NPL. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 2 Pages: 1-21 File-URL: https://ojs.tripaledu.com/jefa/article/download/93/103 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0074 Template-Type: ReDIF-Article 1.0 Title: Fiscal Councils and Creative Accounting in EU Member States Author-Name: Dominik MALTRITZ Author-Workplace-Name: University of Erfurt Author-Email: Dominik.Maltritz@uni-erfurt.de Classification-JEL: H60, H62, H63, H83. Keywords: Fiscal Councils; Creative Accounting; European Monetary Union; Fiscal Rules; Stock-Flow Adjustments. Abstract: We study the relationship between fiscal councils and creative accounting in 27 European Union (EU) countries. We use stock-flow adjustments to indicate creative accounting and relate them to our fiscal council indicator in a panel framework. Regarding the fiscal rules that trigger creative accounting, we distinguish between external (resulting from European Monetary Union membership) and internal fiscal rules. While fiscal councils are not significant when used as stand-alone variable their interaction with fiscal rules is significant. Our findings indicate that fiscal councils reduce creative accounting triggered by fiscal rules and thus help to enforce fiscal rules and sound fiscal policies. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 2 Pages: 23-45 File-URL: https://ojs.tripaledu.com/jefa/article/download/94/104 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0075 Template-Type: ReDIF-Article 1.0 Title: Health Expenditure and Infant Mortality in Sub Saharan Africa: Evidence from Threshold Regression Author-Name: Adewale Mathew ADEKANMBI Author-Name: Abayomi Toyin ONANUGA Author-Name: Ibrahim Abidemi ODUSANYA Author-Workplace-Name: Olabisi Onabanjo University Author-Workplace-Name: Olabisi Onabanjo University Author-Workplace-Name: Olabisi Onabanjo University Author-Email: adekbi@yahoo.com Author-Email: onanuga.toyin@oouagoiwoye.edu.ng Author-Email: ibrahim.odusanya@oouagoiwoye.edu.ng Classification-JEL: A13, I15, I18, O55. Keywords: Threshold Regression; Health Expenditure; Infant Mortality; Healthcare; Sub Saharan Africa. Abstract: This study aims to determine the impact of healthcare spending on infant mortality rates in 45 sub-Saharan African nations from 2000 to 2020. Utilizing threshold regression, it reveals that lower regime dependents exhibit a decrease in public health spending below a certain threshold, leading to a positive correlation between total public health expenditure and infant mortality rates. Conversely, external medical funding significantly reduces infant mortality in higher threshold regimes but not in lower threshold regimes. Private health expenditure negatively and significantly impacts both lower and higher income groups, placing undue pressure on residents. However, the study does not fully account for sociocultural factors influencing infant mortality in the region. The research highlights that direct healthcare costs in the region meet the minimum threshold for health expenditure and are inversely related to infant mortality rates. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 2 Pages: 47-67 File-URL: https://ojs.tripaledu.com/jefa/article/download/95/105 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0076 Template-Type: ReDIF-Article 1.0 Title: Evaluating the Effects of Inflation on Economic Growth in South Africa Author-Name: Fabian MOODLEY Author-Name: Surendran PILLAY Author-Workplace-Name: North-West University Author-Workplace-Name: University of KwaZulu Natal Author-Email: 55232345@nwu.ac.za Author-Email: pillays18@ukzn.ac.za Classification-JEL: E31, E39. Keywords: Gross Domestic Product; Consumer Price Index; Interest Rate; Money Supply; Exchange Rate; Macroeconomic Policy. Abstract: This study investigates interaction between inflation and economic growth in South Africa during 1970-2021 periods. Utilizing Autoregressive Distributed Lag (ARDL) model, it finds that inflation, long-term interest rate and money supply have negatively impact on South African economic growth. Furthermore, the study conducts causality tests which reveal a bidirectional relationship between money supply and South African economic growth. On the other hand, it documents a unidirectional causality running from inflation to economic growth and from long-term interest rate to economic growth. The study found no causal relationship between real effective exchange rate and South African economic growth. As a result, the study recommends a more aggressive inflation targeting policy in order to improve economic growth in South Africa. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 2 Pages: 69-87 File-URL: https://ojs.tripaledu.com/jefa/article/download/96/106 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0077 Template-Type: ReDIF-Article 1.0 Title: Spillover Volatility Effect Return Of Stock, Gold, and Cryptocurrency: Evidence of Peak Pandemic and Transition towards Endemic COVID-19 in Indonesia Author-Name: Farah Amira FIRDAUSIA Author-Name: Nasrudin NASRUDIN Author-Workplace-Name: Politeknik Statistika STIS Author-Workplace-Name: Politeknik Statistika STIS Author-Email: farahamira15@gmail.com Author-Email: nasrudin@stis.ac.id Classification-JEL: Volatility; BEKK-AGARCH; Stocks; Gold; Cryptocurrency; COVID-19. Keywords: G11, C22, C32. Abstract: This study examines the volatility spillover effects among stock, gold, and cryptocurrency returns during the peak of the COVID-19 pandemic and the transition to the endemic phase. The objective is to identify and model the volatility of these three investment instruments using GARCH/EGARCH for univariate modeling and BEKK-GARCH/BEKK-Asymmetric GARCH for multivariate modeling. The study utilizes daily highest price data from November 1, 2020, to April 30, 2022, and from May 1, 2022, to December 31, 2022. The findings reveal that cryptocurrency is the most volatile asset during both the peak of the pandemic and the transitional period towards endemic COVID-19. Gold serves as a safe haven for cryptocurrency in both periods. Additionally, gold acts as a diversifier for stocks, and vice versa, while stocks also diversify cryptocurrency risk during the pandemic peak. These insights hold significant implications for portfolio risk management, enabling investors to diversify portfolios across instruments with varying risk profiles. Journal: Journal of Economics and Financial Analysis Year: 2024 Volume: 8 Issue: 2 Pages: 89-113 File-URL: https://ojs.tripaledu.com/jefa/article/download/97/107 File-Format: application/pdf Handle: RePEc:trp:01jefa:jefa0078