Public Economics
Ramin Amani; Saman Ghaderi; Khaled Ahmadzadeh
Abstract
Covid-19 has affected the world’s economy since 2019. The coronavirus pandemic is one of the most severe and dangerous problems that humanity has faced in the last century. Therefore, this paper aims to investigate the impact of Covid-19 on the inflation rate in the 36 OECD member countries. Monthly ...
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Covid-19 has affected the world’s economy since 2019. The coronavirus pandemic is one of the most severe and dangerous problems that humanity has faced in the last century. Therefore, this paper aims to investigate the impact of Covid-19 on the inflation rate in the 36 OECD member countries. Monthly data on Covid-19 and the inflation rate from February 2020 to August 2021 and the quantile panel regression method have been used to achieve this purpose. The results show that new cases of Covid-19 decrease the inflation rate in all quantiles, which means that by increasing the number of Covid-19 cases, economic activities decrease because of the business restrictions. Moreover, the new deaths of Covid-19 have a dual impact on the inflation rate in OECD countries. With increasing in Covid-19 deaths, business restrictions have increased, the economy has entered a recession, and inflation has decreased. On the other hand, the growth of Covid-19 casualties could increase economic uncertainty and inflation. Furthermore, Covid-19 vaccinations have positive and significant effects on the inflation rate in OECD countries. Accordingly, policymakers are advised to include increasing vaccine injections, especially booster doses, to increase economic activity and prosperity in OECD and world economies. Furthermore, Covid-19 showed the necessity of preparing the world against infectious diseases in the future.
Monetary economics
Elham Kamal; Vahid Taghinejadomran
Abstract
This paper studies the main fiscal determinants of central bank credibility (CBC) from 1990 to 2014. Covering 25 inflation-targeting (IT) economies, we mainly focus on sovereign debt holders and fiscal rules since adopting the IT framework. As the CBC indicator is highly concentrated in the right tail ...
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This paper studies the main fiscal determinants of central bank credibility (CBC) from 1990 to 2014. Covering 25 inflation-targeting (IT) economies, we mainly focus on sovereign debt holders and fiscal rules since adopting the IT framework. As the CBC indicator is highly concentrated in the right tail of the distribution, the mean-based approaches are incapable of unearthing the fact that the effect of fiscal factors may be asymmetric across the distribution of the credibility index. In departing from the problem, we use a quantile regression method to estimate parameters over the entire conditional distribution of CBC. The asymmetric response using the quantile regression is state-dependent and conditional on the credibility distribution. Having provided a comprehensive survey on the fiscal factors potentially related to the credibility in the literature, we find that fiscal rules are almost prominent at the lower quantiles while debt holders' composition is strongly significant at the upper tails of CBC distribution. These findings are further supported by the slope equality tests, discussed in Koenker & Bassett (1982). These results could be attributed to the more sensitivity of the private sector expectations to the debt holders’ composition. Therefore, central bankers could reduce public expectations by taking into account the non-linear impact of fiscal factors on their credibility.
Maryam Davallou
Abstract
The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is ...
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The present study aims at investigating the relationship between firm specific risk and stock return using cross-sectional quantile regression. In order to study the power of firm specific risk in explaining cross-sectional return, a combination of Fama-Macbeth (1973) model and quantile regression is used. To this aim, a sample of 270 firms listed in Tehran Stock Exchange during 1999-2010 was investigated. The results revealed that the relationship between firm specific risk and stock return is significantly affected by the quantile so that the direction of changes in low quantiles is negative, and in high quantiles, is positive. Moreover, using the specific risk measure based on return’s standard deviation, the interactive effects of industry and the fourth moment lead to removal of this relationship. One can attribute this relation to the mutual effect of industry and kurtosis. However, using measures based factor models, industry and kurtosis cannot eliminate the explanatory power of specific risk.
