The causal nexus between bank indices and geopolitical risk: bootstrap causality analysis under horizontal sector dependence
Tóm tắt
As the global economy thrives and pushes for sustainable growth, there are also a plethora of non-economic challenges arising from the respective dimensions of insecurity and geopolitical tensions such as inter- and intra-country conflicts. Geopolitical risk mostly arises from security tensions, war, and terrorist incidents, which hamper peaceful inter-country and regional cooperation, thus endangering state institutions such as financial institutions. Given this observation, the current study examines the relationship between the geopolitical risk index and bank indices by employing the bootstrap panel causality approach over a monthly period from September 2003 to December 2018. In this case, the causality analysis of the geopolitical risk index and bank indices for six (6) countries (China, Indonesia, Israel, Philippines, Saudi Arabia, and Turkey) was performed. Importantly, the investigation found causality only from the geopolitical risk index to bank indices in Turkey and Israel. Given the statistical evidence from the study, we offer related policy recommendations, especially for the examined countries.
Tài liệu tham khảo
Akdağ S, Yıldırım H, Kesebir M (2018) Jeopolitik Risk ile Borsa Endeksleri Arasındaki İlişki: Panel Eşbütünleşme ve Panel Nedensellik Analizi (E. İnanır, O. Köse, & Y. Ulutürk, Eds.). Siyasi, Sosyal ve Kültürel Yönleriyle Türkiye ve Rusya (pp. 59–74). Berikan Yayınevi
Aysan AF, Demir E, Gozgor G, Lau CKM (2019) Effects of the geopolitical risks on Bitcoin returns and volatility. Res Int Bus Finance 47:511–518
Bouras C, Christou C, Gupta R, Suleman T (2019) Geopolitical risks, returns, and volatility in emerging stock markets: evidence from a panel GARCH model. Emerg Markets Finance Trade 55(8):1841–1856
Bouri E, Demirer R, Gupta R, Marfatia HA (2019) Geopolitical risks and movements in islamic bond and equity markets: a note. Def Peace Econ 30(3):367–379
Breusch TS, Pagan AR (1980) The lagrange multiplier test and its applications to model specification in econometrics. Rev Econ Stud 47:239–253
Caldara D, Iacoviello M (2018) Measuring geopolitical risk (FRB International Finance Discussion Paper No. 1222). SSRN Electron J https://ssrn.com/abstract=3117773
Demir E, Gozgor G, Paramati SR (2019) Do geopolitical risks matter for inbound tourism? Eurasian Bus Rev 9(2):1–9
Emirmahmutoğlu F, Köse N (2011) Testing for Granger Causality in heterogeneous mixed panels. Econ Model 28(3):870–876
Economic Policy Uncertainty Index, Geopolitical Risk Index. Retrieved 1 from http://www.policyuncertainty.com/gpr.html
European Central Bank (2018) Emerging market vulnerabilities – a comparison with previous crises. Retrieved 22 December, 2022, from https://www.ecb.europa.eu/pub/economicbulletin/focus/2018/html/ecb.ebbox201808_01.en.html
Economic Policy Uncertainty (2020) Retrieved 10 January, 2020, from https://www.politiconworld.com/2019-politik-risk-endeksi/
Iltas Y, Arslan H, Kayhan T (2017) The stock return predictability: comparing P/E and EV/Ebitda. J Econ Finance Acc 4(3):262–274
Im KS, Pesaran MH, Shin Y (2003) Testing for unit roots in heterogeneous panels. J Econ 115:53–74
Investing Dünya ve Sektör Endeksleri, Erişim Adresi: https://tr.investing.com/indices/world-indices, Erişim Tarihi: 01.02.2019
Kar M, Nazlıoğlu Ş, Ağır H (2011) Financial development and economic growth nexus in the mena countries: bootstrap panel granger causality analysis. Econ Model 28(1–2):685–693
Kónya L (2006) Exports and growth: granger causality analysis on OECD countries with a panel data approach. Econ Model 23(6):978–992
Lee CC, Olasehinde-Williams G, Akadiri SS (2021) Geopolitical risk and tourism: evidence from dynamic heterogeneous panel models. Int J Tourism Res 23(1):26–38
Menyah K, Nazlioglu S, Wolde-Rufael Y (2014) Financial development, trade openness and economic growth in african countries: new insights from a panel causality approach. Econ Model 37:386–394
Pan WF (2018) Stock Markets, Booms, and Geopolitical Risk: Evidence from Emerging Markets. SSRN Electronic Journal https://ssrn.com/abstract=3222468 or https://doi.org/10.2139/ssrn.3222468
Pesaran HM (2004) General diagnostic tests for cross section dependence in panels (University of Cambridge Working Papers No. 0435)
Pesaran HM (2007) A simple panel unitroot test in the presence of cross-section dependence. J Appl Econ 22:265–312
Pesaran HM, Yamagata T (2008) Testing slope homogeneity in large panels. J Econ 142:50–93
Saint Akadiri S, Eluwole KK, Akadiri AC, Avci T (2020) Does causality between geopolitical risk, tourism and economic growth matter? Evidence from Turkey. J Hospitality Tourism Manage 43:273–277
Tobin J (1969) A general equilibrium approach to monetary theory. J Money Credit Bank 1(1):15–29
Yahoo (2019) Finance. Retrieved 1 February, from https://finance.yahoo.com/