Explore the vast range of titles available.

Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that of macroeconomic variables. Technical indicators display statistically and economically significant in-sample and out-of-sample predictive power, matching or exceeding that of macroeconomic variables. Furthermore, technical indicators and macroeconomic variables provide complementary information over the business cycle: technical indicators better detect the typical decline in the equity risk premium near business-cycle peaks, whereas macroeconomic variables more readily pick up the typical rise in the equity risk premium near cyclical troughs. Consistent with this behavior, we show that combining information from both technical indicators and macroeconomic variables significantly improves equity risk premium forecasts versus using either type of information alone. Overall, the substantial countercyclical fluctuations in the equity risk premium appear well captured by the combined information in technical indicators and macroeconomic variables. Data, as supplemental material, are available at http://dx.doi.org/10.1287/mnsc.2013.1838 . This paper was accepted by Wei Jiang, finance.

This research analyses the effect of oil price volatility and macroeconomic variables (Trade balance, private sector investment and public sector investment) on economic growth of Pakistan. Linear regression describes the Public sector investment and Trade Balance has significant and oil price volatility and private sector investment has insignificant effect on gross domestic production of Pakistan. Johenson co integration test described the long run relation among the variables. Vector Autoregression, impulse response function and variance decomposition conclude that effect of variables was stable within 10 years and the major part on the variable is due to itself rather than other variables.

Purpose The purpose of this paper is to investigate the potential determinants of FDI, in developed and developing countries. Design/methodology/approach This paper investigates FDI determinants based on panel data analysis using static and dynamic modeling for 20 countries (11 developed and 9 developing), over the period 2004-2013. For static model estimations, Hausman (1978) test indicates the applicability of fixed effect/random effect, while generalized moments of methods (GMM) (dynamic model) is used to capture endogeneity and unobserved heterogeneity. Findings The outcome across different countries depicts diverse results. In developed countries, FDI seeks policy-related determinants (GDP growth, trade openness, and freedom index), and in developing country FDI showed positive association for economic determinants (gross fixed capital formulation (GFCF), trade openness, and efficiency variables). Research limitations/implications The destination of FDI is limited to 20 countries in the present paper. The indicator of the institutional environment, namely economic freedom index, used in this paper has received some criticism in calculations. Practical implications The paper enlists recommendations for future FDI policies and may assist government in providing a tactical framework for skill development, thereby increasing manufacturing growth rate. The paper also throws light on vertical and horizontal capital inflows considering resource, strategy, and market-seeking FDI. Social implications FDI may bring significant benefits by creating high-quality jobs, introducing modern production and management practices. It highlights how multinational corporations and government contribute to better working conditions in host countries. Originality/value The paper uncovers important features like macroeconomic variables, especially country-wise efficiency scores, policy variables, GFCF, and freedom index, for determining FDI inflows in 20 countries using panel data methods and provides a roadmap for developed and developing countries. The study highlights endogeneity and unobserved heteroscedasticity by applying GMM one- and two-step procedure.

The accelerated development of information and communication technology (ICT) over the past two decades has encouraged an increasing number of researchers to examine and measure the impact of this technology on economic growth. Our study aims to identify and evaluate the effect of using ICT infrastructure on economic growth in European Union (EU) countries for a period of 18 years (2000–2017). Using panel-data estimation techniques, we investigate empirically how various indicators of ICT infrastructure affect economic growth, proxied in our study by GDP per capita. Within the estimates, we have included some macroeconomic control variables. Our results indicate a positive and strongly effect of using ICT infrastructure on economic growth in the EU member states, but the magnitude of the effect differs depending on the type of technology examined. Regarding the impact of macroeconomic factors, our estimates indicate that inflation rate, unemployment rate, the degree of trade openness, government expenditures, and foreign direct investments would significantly affect GDP per capita at EU level. The findings are broadly similar to the theoretical predictions, but also to the findings of some relevant empirical studies. Our research reveals that ICT infrastructure, along with other macroeconomic factors, is an important driver of economic growth in EU countries.

Objective: This study explores the relationship between Mutual Funds' (UCITS) performance and nine macroeconomic variables using a Vector Autoregressive (VAR) model. It aims to understand the dynamics between these variables and UCITS performance.   Theoretical Framework: The study is grounded in economic theories and concepts relevant to macroeconomics and financial markets. The VAR model serves as the theoretical framework, facilitating the analysis of the interdependencies among variables.   Method: The research methodology involved the application of a VAR model to 92 quarterly observations from January 2000 to December 2022. Non-stationarity tests indicated that all variables were non-stationary in levels but became stationary after first-order differencing. Data collection methods included obtaining information on macroeconomic variables and OPCVM performance.   Results and Discussion: The findings indicate a long-term causality between OPCVM performance, and the macroeconomic variables studied. Significant variables affecting OPCVM performance include money supply, GDP, inflation rate, discount rate, and bond interest rate. However, interest rate and exchange rate showed no significant impact. The presence of an inertia effect suggests the utilization of Box-Jenkins ARMA modeling.   Research Implications: This study provides insights into the influence of macroeconomic factors on OPCVM performance, offering implications for investors, financial analysts, and policymakers. Understanding these relationships can aid in making informed investment decisions and formulating effective economic policies.   Originality/Value: The research contributes to the literature by employing a VAR model to analyze the relationship between OPCVM performance and macroeconomic variables in the context of the Moroccan market. The findings offer practical implications for stakeholders and advance the understanding of financial market dynamics.

This study empirically investigates the determinants of non-performing loans (NPLs) within the Cypriot banking sector by employing Pearson’s correlation analysis and Generalized Method of Moments (GMM) estimations. Utilizing a sample of 200 NPLs granted to individuals by a Cypriot banking institution from 2013 to 2019, the study examines both macroeconomic and borrower-specific factors influencing NPLs. The findings reveal significant associations between borrower profile characteristics - such as gender, age, education level, professional and financial standing, and place of residence - and loan-specific details, including loan purpose, type of collateral, and NPL status and rescheduling. The study also identifies that lower economic growth, higher inflation, and higher interest rates correlate with an increase in NPLs. Moreover, borrower-specific variables like return on assets and loan growth significantly affect NPL levels. These results offer valuable insights into management in taking corrective actions and have important policy implications for regulatory authorities in formulating effective economic policies. Additionally, the study guides potential investors by highlighting key risk factors associated with NPLs in Cyprus.

The inability of macroeconomic policy in influencing macroeconomic indicators in Nigeria has been attributed to weak institutional quality which has consequences for the achievement of inclusive growth. Thus, this study investigates the link between macroeconomic policy, inclusive growth, and institutional quality in Nigeria. The period of this study spanned 1996 to 2021. The study utilised fully modified ordinary least square and the results showed that macroeconomic policy variables and institutional quality contributed significantly in enhancing inclusive growth in Nigeria. More so, it was observed that the interactive terms between macroeconomic policy variables and institutional quality enhanced inclusive growth Therefore, the study concludes that macroeconomic policy and institutional quality are important drivers of inclusive growth in Nigeria. This study recommends that institutional quality should be improved using appropriate anti-corruption policies through institutions like the Economic and Financial Crime Commission (EFCC) and the Independent Corrupt Practices and Other Related Offences Commission (ICPC).

Building on the GJR-GARCH model, this paper uses the mixed-data sampling (MIDAS) approach to link monthly realized volatility of EU carbon future prices and macroeconomic variables to the volatility of EU carbon futures market and proposes the GJR-GARCH-MIDAS model incorporating macroeconomic variables including the economic sentiment indicator of the EU, the harmonized index of consumer prices of the EU, the European economic policy uncertainty index and ECB’s marginal lending facility rate (GJR-GARCH-MIDAS-X models). An empirical analysis based on the monthly macroeconomic variables and daily EUA futures data shows that the above four low-frequency macroeconomic variables have significant positive or negative impacts on the long-term volatility of EUA future prices, respectively. The GJR-GARCH-MIDAS-X models significantly outperform other competing models, including the GJR-GARCH model, GARCH-MIDAS model and standard GJR-GARCH-MIDAS model, in terms of out-of-sample volatility forecasting, which suggests that macroeconomic variables contain important information for EUA future price volatility forecasts. In particular, the GJR-GARCH-MIDAS model with harmonized index of consumer prices (HICP) (GJR-GARCH-MIDAS-HICP model) performs best in out-of-sample volatility forecasting, and our findings are robust to different forecasting windows.

Purpose – This study examines the influence of macroeconomics and population demographics on demand for Islamic life insurance in Indonesia.Methodology – This study uses time-series data analysis using the autoregressive distributed lag (ARDL)method. The study period is from January 2015 to December 2022.Findings – According to the ARDL model, inflation and education levels have a positive effect on the demand for Islamic life insurance in the long run, while the Muslim population has a negative effect. In the short term, gross domestic product (GDP) per capita has a positive effect, while inflation and the Muslim population have a negative effect on the demand for Islamic life insurance in Indonesia.Implications – This study provides valuable insights for the Islamic life insurance industry and policymakers. The industry should develop inclusive and affordable products tailored to diverse financial capacities and preferences, including those of the younger generations. Policymakers should promote public awareness and collaboration with financial institutions in order to expand access. These findings can guide strategies to enhance market penetration and financial inclusion.Originality – This study fills the research gap by analyzing the relationship between Islamic life insurance demand, macroeconomics, and population demographics, where Muslim population has never been discussed by previous studies.

The purpose of this paper is to identify the long-run and short-run relationship between the values of the Macedonian Stock Exchange Index composed of 10 most liquid listed stocks (MBI10), the Zagreb Stock Exchange Index (CROBEX) composed of the most liquid listed stocks, the Sarajevo Stock Exchange Index (SASX-10) composed of 10 most liquid listed stocks and the Belgrade Stock Exchange Index composed of 15 most liquid listed stocks (BELEX 15) and the selected macroeconomic variables. In order to identify the macroeconomic variables that affect the values of the selected stock indices, the analytical-synthetic method and the statistical method are applied. The statistical method uses econometric models for data analysis and interpretation and includes the application of the following econometric tools: Panel unit root test, Fisher -Johansen cointegration test, application of the panel vector error correction model (PVECM) and the Wald test statistics. The results of PVECM between the values of the selected stock indices and independent variables such as industrial production index 2015=100, average monthly gross wages, shows existence of conditionality or causal relationship on the long-run, when independent variable Harmonized Index of Consumer Prices (HICP) according to the COICOP classification 2015=100 is exluded from the model. By applying PVECM, it can be concluded that there is a long run causality running from independent variable to dependent variable, meaning that between the values of the selected stock indices and industrial production and average gross wages there is speed of adjustment towards long run equilibrium.