Ekonomika

Journal Information
ISSN / EISSN : 1392-1258 / 1392-1258
Published by: Vilnius University Press (10.15388)
Total articles ≅ 1,546
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Senem Çakmak Şahin, Ibrahim Engin Kılıç
Published: 6 September 2021
Ekonomika, Volume 100, pp 133-143; https://doi.org/10.15388/ekon.2021.100.2.6

Abstract:
The availability of longitudinal data allows researchers to analyse the dynamics of poverty. By using the Turkish Statistical Institute’s (TurkStat) Income and Living Conditions Survey micro dataset, we analyse the households’ long-term monetary poverty conditions. We categorise poverty as transitory and chronic and employ the multinomial logit method to analyse determinants of each types of poverty. Results indicate that education and household size are the most effective factors for reducing transitory poverty, and for chronic poverty, the most effective factors are having a regular job and having a skilled occupation; insurance, home ownership, and number of children are important determinants for both types of poverty.
Cuma Demirtaş, Munise Ilıkkan Özgür, Esra Soyu
Published: 6 September 2021
Ekonomika, Volume 100, pp 144-170; https://doi.org/10.15388/ekon.2021.100.2.7

Abstract:
In this study, the effects of COVID-19 (mortality rate, case rate, and bed capacity) on the stock market was examined within the framework of the efficient market hypothesis. Unlike other studies in the literature, we used the variable of bed capacity besides the mortality rate and case rate variables. The relationship between the mentioned variables, using daily data between December 31 of 2019 and November 10 of 2020, has been analyzed with time-varying symmetric and asymmetric causality tests for China, Germany, the USA, and India. Considering that the responses to positive and negative shocks during the pandemic process may be different and that the results may change depending on time, time-varying symmetric and asymmetric causality tests were used. According to the time-varying symmetric causality test, stock markets in all countries were affected in the period when the cases first appeared. A causal relationship between COVID-19 and country stock markets was found. The results showed that the effects of the case rate and bed capacity on the stock market occurred around the same time in Germany and the United States; however, these dates differed in China and India. According to time-varying asymmetric causality test findings, the asymmetric effect of the pandemic on the stock market in countries emerged during the second wave. The findings showed that the period during which positive and negative information about the pandemic intensified coincided with the period during which the second wave occurred; besides, the results show the effect of this information on the stock market differed as positive and negative shocks.
Metin Tetik, Reşat Ceylan
Published: 6 September 2021
Ekonomika, Volume 100, pp 101-132; https://doi.org/10.15388/ekon.2021.100.2.5

Abstract:
The problem of coordination between policymakers seems to have created fundamental problems related to economic and social costs, targeted inflation, potential growth, and a high budget deficit. To resolve these problems in this framework, it is important to see the results of the interaction between policymakers and to propose an optimal policy strategy. In this study, the interactions between monetary and fiscal policymakers are examined game theoretically within the framework of the New Keynesian model. The strategic interaction between these policymakers is assessed using the DSGE (Dynamic Stochastic General Equilibrium) model for a small open economy. From this point of view, the interaction between policymakers is assessed within the framework of hypothetical scenarios. The optimal monetary and fiscal policies for a small open economy are derived from the leader-follower mechanism solution known as the Stackelberg solution. Optimal Stackelberg policy rules derived for a small open economy contribute to the literature of economics. The performance of the game theoretically derived optimal policy rules is evaluated through dynamic simulation within the framework of counterfactual experiments. The parameters developed for the model are calibrated for the Turkish economy. Dynamic simulation of the models, the impulse response functions, and the social loss analysis shows that the optimal policy mix for the Turkish economy is when the monetary policymaker is the leader, and the fiscal policymaker is the follower.
Yasuhito Tanaka
Published: 6 September 2021
Ekonomika, Volume 100, pp 63-83; https://doi.org/10.15388/ekon.2021.100.2.3

Abstract:
We show the existence of involuntary unemployment based on consumers’ utility maximization and firms’ profit maximization behavior under monopolistic competition with increasing, decreasing or constant returns to scale technology using a three-periods overlapping generations (OLG) model with a childhood period as well as younger and older periods, and pay-as-you-go pension for the older generation, and we analyze the effects of fiscal policy financed by tax and budget deficit (or seigniorage) to achieve full-employment under a situation with involuntary unemployment. Under constant prices we show the following results. 1) If the realization of full employment will increase consumers’ disposable income, in order to achieve full-employment from a state with involuntary unemployment, we need budget deficit (Proposition 1). 2) If the full-employment state has been achieved, we need balanced budget to maintain full-employment (Proposition 2). We also consider fiscal policy under inflation or deflation. Additionally, we present a game-theoretic interpretation of involuntary unemployment and full-employment. We also argue that if full employment should be achieved in equilibrium, the instability of equilibrium can be considered to be the cause of involuntary unemployment.
Martin Janíčko, Petr Maleček, Pavel Janíčko
Published: 6 September 2021
Ekonomika, Volume 100, pp 84-100; https://doi.org/10.15388/ekon.2021.100.2.4

Abstract:
Taking into consideration the specifics of the Russian economy such as dependency on oil and gas drilling & production, and including the current context of the Western sanctions, COVID-19 pandemic, as well as somewhat idiosyncratic potential output development, the main aim of this paper is to quantify recent output gap for Russia. We use three mainstream methodologies: the Hodrick-Prescott filter as a benchmark, the Kalman filter to follow, and the Cobb-Douglas production function. The sample time span ranges from 1995Q1 until 2020Q3, while all calculations are performed on quarterly frequencies. The analysis suggests that given low fixed investment ratios, limited R&D spending in non-military sectors, and adverse demographic development, under a “no policy change” scenario there might soon be even more downward pressures on the country’s potential output growth, and the economy may continue increasing only at a snail’s pace even after a possible withdrawal of the Western sanctions and the end of the COVID-19 pandemic.
Jaunius Karmelavičius
Published: 6 September 2021
Ekonomika, Volume 100, pp 6-39; https://doi.org/10.15388/ekon.2021.100.2.1

Abstract:
Following the financial crisis of 2009 there was an emergence of macroprudential policy tools, as well as a need to model the macroeconomy and the financial sector in a coherent framework. This paper develops and calibrates a small open economy DSGE model for Lithuania to shed some light on the interactions between the macroeconomy and the banking sector, regulated by macroprudential policy. The model features housing market, and endogenous credit risk a la de Walque et al. (2010), whereby the household can default on mortgage repayments, what leads to housing collateral seizure. Foreign-owned banks, that are subject to risk-sensitive macroprudential capital requirements, take into account not only the mortgage default rate but also the cap on loan to value (LTV) ratio when making lending decisions. Using this mechanism, we show that while a more stringent LTV constraint reduced credit demand, it can also lead to an expansion in credit supply via lower credit risk. Therefore, a tightening of LTV requirement should result in only a slight reduction in mortgage lending, coupled with lower interest rate margins. The article compares the impact of the tightening of three macroprudential tools, namely, bank capital requirements, mortgage risk weights and LTV limit. We find that broad-based capital requirements, such as the counter-cyclical capital buffer, are less efficient in leaning against the housing credit cycle, because of a relatively large cost incurred on the firm sector.
Maurizio Pompella, Lorenzo Costantino
Published: 6 September 2021
Ekonomika, Volume 100, pp 40-62; https://doi.org/10.15388/ekon.2021.100.2.2

Abstract:
Innovation and technology have led to the redefinition of business models and development of new ones in many bricks and mortar sectors. Similarly, blockchain and fintech have impacted the finance and banking industries and are expected to further affect them in the future, leading some media to coin the expression “Uberization of banking”. The authors extrapolate from sharing economy models to conclude that while blockchain and fintech are poised to advance finance and banking, there are no disruptive features that corroborate the term. By analogy and successive approximations, this article identifies the limitations of the arguments for disruption in finance and banking. Besides, hinging upon stylized facts, the article establishes similarities with sharing economy models to identify potential threats stemming from financial innovations such as Tokenomics, tagged as “no-ABSs”. Eventually, the authors identify entry points and ways forward arising from the COVID-19 pandemic for policy makers and regulators to regain their pivotal role in policing the market and ensuring transparency while driving innovation.
Yasin Şeker, Evren Dilek Şengür
Published: 6 September 2021
Ekonomika, Volume 100, pp 190-212; https://doi.org/10.15388/ekon.2021.100.2.9

Abstract:
This study investigates the relationship between environmental, social, and governance (ESG) performance and financial reporting quality (FRQ) through the use of data from Datastream, Refinitive Eikon and ASSET4 databases. The initial sample of the study covers all available firms in ASSET4. After eliminating firms with missing data, the final sample of the study consists of 16,072 firm-year observations from 35 countries, covering the years from 2010 to 2017. Several FRQ proxies and firms’ ESG performance indicators are used in the study. The panel regression findings reveal that firms’ ESG performance has a positive impact on FRQ. In other words, it has been found that improving the ESG performance of firms yields higher FRQs. As for ESG pillars, this study finds a positive and statistically significant relationship between FRQ and environmental and governance pillars. The study extends the literature by providing international evidence not only about the aggregate effects of firms’ ESG performance on FRQ but also the effects of each of the three ESG pillars on FRQ.
Darja Demcenko
Published: 25 March 2021
Ekonomika, Volume 100, pp 156-174; https://doi.org/10.15388/ekon.2021.1.9

Abstract:
This paper provides a deep analysis of ten globally diversified portfolios, composed of different financial instruments: bonds, shares, ETF’s, commodities, indexes, currencies, constructed applying various optimization techniques. Statistical moments, such as mean, standard deviation, kurtosis and skewness of portfolios are compared and discussed. Moreover, performance of the portfolios within the time horizon of one year estimating Sharpe ratio, Treynor ratio, Sortino ratio is presented. Furthermore, a risk analysis of created portfolios is evaluated in terms of historical VaR and CVaR applying confidence interval 95%. The main results of this paper reveal that the portfolio, which is optimized to minimize VaR produces high expected shortfall. Secondly, the Risk Parity portfolio, despite reducing volatility, has delivered the highest kurtosis of the return, which may indicate the possible tail loss. Furthermore, the maximum Sharpe ratio portfolio has delivered extremely high kurtosis in comparison with the kurtosis of the other portfolios. Finally, it is observed that for the Naïve diversification portfolio it has been typical to have the highest downside deviation.
Jose Garcia-Louzao, Linas Tarasonis
Published: 25 March 2021
Ekonomika, Volume 100, pp 31-53; https://doi.org/10.15388/ekon.2021.1.2

Abstract:
This document explores the incidence of the minimum wage in Lithuania. The descriptive analysis exploits high-frequency data on monthly labor income coming from Social Security records between July 2013 and July 2020 to characterize (i) the evolution of the monthly minimum wage, (ii) the percentage of workers who earn the minimum wage, (iii) the bite of the minimum wage in the wage distribution, and (iv) the heterogeneity of the findings with respect to gender and age. The evidence shows that the minimum wage was raised 7 times with an average (real) increase of 7.3% and, on average, less than 10% of the workers earn at most the minimum wage but low-pay incidence is around 20%. In terms of the impact of the wage distribution, the minimum wage relative to the average wage in the economy fluctuates between 45 and 50 percent. Females and young workers exhibit a larger low-pay incidence and minimum wage bite.
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