Now showing 1 - 8 of 8
  • Publication
    Do sovereign wealth funds dampen the effect of oil market volatility on gross domestic product growth?
    ( 2022) ;
    Ahlem Harrouch-Trabelsi
    This paper examines the effect of oil price volatility on gross domestic product (GDP) growth in some oil-exporting countries. The analysis becomes more pertinent when we consider the role of sovereign wealth funds (SWFs) as a driver to counter the exhaustibility of revenue by transforming nonrenewable resources into sustainable income. The main contribution made by this paper is our assessment of the role of SWF asset growth in dampening the effect of oil market volatility on GDP growth. To test this effect, we rely on a panel smooth transition regression model which is useful for describing heterogeneous panels, with regression coefficients that fluctuate between a limited number of “extreme regimes” depending on the SWF assets’ size. Our findings demonstrate that this effect is nonlinear and depends on the threshold level of SWF asset growth. The estimated coefficient is negative in the first regime and becomes positive beyond the threshold value (ie, 19%) in the second regime. We also test a second specification of the model by considering the effect of the volatility of per capita oil export revenue on GDP growth and show that SWF asset growth plays a significant role in dampening the effect of oil market volatility on GDP growth, mainly in the second regime when SWF asset growth reaches a high growth level.
  • Publication
    Do commodity price volatilities impact currency misalignments in commodity-exporting countries?
    This paper aims to investigate the relationship between misalignments of real effective exchange rates and real commodity price volatilities in a sample of 46 commodity-exporting countries by considering financial development as the transition variable. We first estimate currency misalignments as deviations of the observed real effective exchange rates from their equilibrium values estimated using the behavioural equilibrium exchange rate (BEER) approach. Then, we rely on panel data and a smooth-transition regression model to estimate commodity price volatilities' non-linear impacts on currency misalignments. Our results indicate that the estimated coefficients are highly significant, and demonstrate that real commodity prices' volatility has a non-linear impact on currency misalignments depending on the country's degree of financial development.
      102  7
  • Publication
    Non-linear relationship between real commodity price volatility and real effective exchange rate: The case of commodity-exporting countries
    ( 2019) ;
    Guillaumin, Cyriac
    Silanine, Alexandre
    The aim of this paper is to contribute to the existing literature by exploring the relationship between the real commodity price volatilities and the real effective exchange rate (REER) of commodity-exporting countries, taking into account the transition variable of financial market integration. To this end, we consider a sample of 42 commodity-exporting countries subdivided into 4 panels: food and beverages, energy, metals, and raw materials. Our results highlight that the relationship between real commodity price volatility and REER is non-linear and depends on the degree of financialization of the commodity market. Specifically, when a country is poorly integrated financially, the volatility of the real commodity price has a strong and negative impact on the variation in REER. However, for periods when a country is better integrated financially, we observe a decrease in the impact of real commodity price volatility on REER, especially for the two panels of food and beverages as well as energy. Our findings also highlight the growth of financialization of commodities post-2000, particularly in the case of the energy sector.
    Scopus© Citations 16  830
  • Publication
  • Publication
    The reality and future of the Qatari crisis economically
    (UAEU Center for Public Policy and Leadership, 2017)
  • Publication
    Effects of financial turmoil on financial integration and risk premia in emerging markets
    (Elsevier, 2016) ;
    Raymond, H.
    Couharde, C.
    The aim of this article is to analyze how financial crises affect the dynamics of international financial integration and of the risk premia in emerging markets. Accordingly, we estimate a variant of the International Asset Pricing Model developed by Carrieri et al. (2007), allowing for time-varying stock market integration, in which we include the foreign currency risk. Our sample consists of monthly data for 12 emerging stock markets over the period 1988M3-2015M3. We find that while the financial integration of emerging stock markets has registered short-term reversals episodes in countries that have been exposed to national or/and regional financial crises, it has decreased in most of the emerging countries of our sample since the global crisis. Moreover, the upward trend in financial integration has not reduced the local market risk premium component as much as could be expected. However, the recent global crisis has induced a reassessment of the world market risk premium for all emerging countries, highlighting the global nature of the crisis. © 2016 Elsevier B.V..
    Scopus© Citations 9  92  5
  • Publication
    Regional integration of the East Asian stock markets: An empirical assessment
    (Elsevier Ltd, 2015) ;
    Guillaumin, C.
    The aim of this paper is to study the dynamics of regional financial integration in East Asia over the 1990:01-2012:08 period. To this end, we use the international capital asset pricing model (ICAPM) to assess the evolution of financial market integration through time and evaluate their risk premia. We also construct an Asian currency basket in order to obtain a reference currency in this area. Our empirical analysis is based on the multivariate GARCH-DCC approach with time-varying correlations. Our results show that the East Asian stock markets were partially segmented (except for Japan) within their region until approximately 2008. However, the last years are characterized by an upward trend in the regional integration of stock markets. Our findings also show that the risk premium related to regional stock markets is significant for all countries. © 2015 Elsevier Ltd.
    Scopus© Citations 36  560  6
  • Publication
    The Impact of Labor Nationalization Policies on Female Participation Rates in the Arab Gulf
    (Imperial College Press, 2015) ;
    Rutledge, Emilie
    Based on interviews with policymakers in Saudi Arabia and the United Arab Emirates, this chapter finds that although existing labor nationalization policies have led to small increases in female participation rates, these countries will need to undertake more systemic socioeconomic reform if they are to better capitalize on the ‘valuable human resource asset’ that women are said to constitute. Compared with male nationals, female nationals in the Arabian Gulf achieve higher grades in education and obtain considerably more vocationally oriented tertiary-level qualifications. But cultural attitudes, alongside structural issues, continue to bar their employment in the private sector. The issue is of contemporary importance, as the key domestic policy challenge faced by the region is said to be growing levels of national unemployment. The challenge is compounded by the Gulf's pyramid-style demographic profile and the fact that the respective public sectors, which have been the de facto employer to date, can no longer accommodate most of the people now seeking to join the workforce. The consensus view among interviewees is that labor nationalization policy will need to feature strategies to normalize the role of women nationals pursuing a private-sector career.
      54  8