Inside the EU, the commercial integration of the CEE countries has gained remarkable momentum before the crisis appearance, but it has slightly slowed down afterwards.Consequently, the interest in identifying the factors supporting the commercial integration process is high. Recent findings in the new trade theory suggest that FDI influence the trade intensity but the studies approaching this relationship for the CEE countries present mixed evidence, and investigate the commercial integration of CEE countries with the old EU members. Against this background, the purpose of this paper is to assess the CEE countries' intra-integration, focusing on the Czech Republic, Hungary, Poland and the Slovak Republic.For each country we employ a panel gravitational model for the bilateral trade and FDI, considering its interactions with the other three countries in the sample on the one hand, and with the three EU main commercial partners on the other hand. We investigate different facets of the trade -FDI nexus, resorting to a fixed effects model, a random effects model, as well as to an instrumental variable estimator, over the period 2000-2013. Our results suggest that outward FDI sustains the CEE countries' commercial integration, while inward FDI has no significant effect. In all the cases a complementarity effect between trade and FDI is documented, which is stronger for the CEE countries' historical trade partners. Consequently, these findings show that CEE countries' policymakers are interested in encouraging the outward FDI toward their neighbour countries in order to increase the commercial integration.with a trade-off between focusing on specific countries for which data are in general available for a longer period, or including in the sample more CEE countries, but reducing thus the 3 number of observations. We therefore chose the first option and we test the trade -FDI nexus for the Czech Republic, Hungary, Poland and the Slovak Republic (CEE-4), using Organisation for Economic Co-operation and Development (OECD) statistics for the period 2000-2013. The OECD statistics contain information about the bilateral investments between the OECD members. Six CEE countries are OECD members, namely the Czech Republic, Estonia, Hungary, Poland, the Slovak Republic and Slovenia. However, Slovenia and Estonia are excluded from our sample because of insufficient number of observations. Moreover, we are forced to start with the year 2000 as no previous data are available for the Slovak Republic's inward FDI before this year 1 . The selected countries (to a smaller extent Poland), represent the countries with the highest level of trade openness in the CEE group of countries. According to the World Bank statistics (World Development Indicators), over the period 2000-2013, the trade openness in CEE-4 is above the average level of the entire group of CEE countries (118% compared to 103%), and considerably above the EU level (72%). At the same time, CEE-4 is historically considered as representing the advanced group of CEE countries ...
International audienceIn this paper, we examine the financial contagion and dynamic correlation between three European stock index futures, namely FTSE 100, DAX 30 and CAC 40. For this purpose we resort to a continuous wavelet transform framework and we cover the aftermath of the sovereign debt crisis period. More precisely, we analyze the power spectrum of the series, the wavelet coherency and the average dynamic correlation before and after turbulence episodes occurred after the outburst of the sovereign debt crisis. Our results show that the stock index futures are highly correlated and this correlation increases around financial distress episodes. The contagion phenomenon, associated with a high-frequency correlation, manifested especially after the additional rescue package awarded to Greece. All in all, the dynamic correlation is influenced by the frequency decomposition level and fluctuates considerably in the very long-run
International audienceIn this paper, we explore the co-movements and contagion between six international stock index futures markets. In contrast to the empirical studies which dominate the literature and focus on the case of spot markets, relatively little is known about the returns and the volatility dynamics of the futures markets. To address this deficiency, we employ a time–frequency approach and discover that the co-movements between the international markets manifest especially in the long run. Nevertheless, the contagion phenomenon associated with the very short-run horizon is present in particular in the case of the European markets, due to their higher level of integration. The rolling wavelet correlation increases after severe turbulence episodes, but fluctuates over time and across frequencies. Our findings can guide the international investors in stock index futures markets to accurately diversify their portfolio in crisis periods.Dans cet article, nous explorons les co-mouvements et la contagion entre six marchés de contrats d'avenir d'indice boursier internationaux. Par contraste avec les études empiriques qui dominent la littérature et se concentrent sur le cas des marchés au comptant, relativement on en sait très peu sur les retours et la dynamique de volatilité des marchés de contrats d'avenir. Pour aborder ce manque, nous employons une fréquence de temps qui s'approchent et découvrent que les co-mouvements entre les marchés internationaux se manifestent particulièrement à long terme. Néanmoins, le phénomène de contagion associé au même horizon de course courte est présent en particulier dans le cas des marchés européens, en raison de leur niveau plus haut d'intégration. Les augmentations de corrélation d'ondelette se roulant après des épisodes de turbulence graves, mais fluctuent au fil du temps et à travers des fréquences
We test for the long-run relationship between stock prices, inflation and its uncertainty for different U.S. sector stock indexes, over the period 2002M7 to 2015M10. For this purpose we use a cointegration analysis with one structural break to capture the crisis effect, and we assess the inflation uncertainty based on a time-varying unobserved component model. In line with recent empirical studies we discover that in the long-run, the inflation and its uncertainty negatively impact the stock prices, opposed to the well-known Fisher effect. In addition we show that for several sector stock indexes the negative effect of inflation and its uncertainty vanishes after the crisis setup. However, in the short-run the results provide evidence in the favor of a negative impact of uncertainty, while the inflation has no significant influence on stock prices, except for the consumption indexes. The consideration of business cycle effects confirms our findings, which proves that the results are robust, both for the long-and the short-run relationships.
Résumé Dans cet article, nous rappelons tout d’abord l’essentiel des résultats de la littérature traditionnelle sur les déterminants de l’ ide au regard du cas spécifique des peco s. À cet égard, nous isolons l’étude spécifique des effets de change de celle des autres déterminants. Puis nous proposons une analyse empirique de l’évolution des ide dans les peco s au cours de la période 1995/2002. La prise en compte des effets de change à moyen et long terme est réalisée en distinguant le comportement des investisseurs américains de celui des investisseurs de la zone euro. Le comportement des ide vers les peco s répond à un ensemble de facteurs économiques comparables à ceux habituellement décrits dans la littérature. À travers ces déterminants, l’analyse permet de retrouver la marque de deux logiques de comportement. La distinction opérée entre les ide d’origine européenne et ceux d’origine américaine permet en outre de révéler que ces deux logiques n’opèrent pas de façon identique pour les deux catégories d’investisseurs. Si l’ ide européen apparaît avant tout comme un ide de pénétration, l’ ide américain semble davantage combiner les deux logiques de délocalisation et de pénétration. L’incidence des effets de change apparaît en revanche de façon beaucoup moins claire. Ni le niveau ni la volatilité du taux de change ne semblent déterminants, pas plus que le régime de change officiel. La seule influence significative est celle d’un indicateur du régime de change de facto révélant l’impact favorable d’une relative flexibilité. L’interprétation de ces résultats ne peut ignorer que, dans le cas spécifique des peco s, le problème du risque de change ne se pose pas dans les termes classiques puisque, à terme, il convient de prendre en compte l’ancrage progressivement renforcé des monnaies des peco s, puis leur remplacement à terme par l’euro. Dans cette perspective, on peut se demander si les effets de change observés (ou non) ici ne sont pas voués à se modifier au cours du processus de transition vers l’Union monétaire.
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