BoV Review
Four informative papers tackling a number of economic issues of interest to enthusiasts of economic matters are featured in the 37th edition of the Bank of Valletta Review. The first paper - Does The ECB Require A Separate Monetary Pillar For Its...
Four informative papers tackling a number of economic issues of interest to enthusiasts of economic matters are featured in the 37th edition of the Bank of Valletta Review.
The first paper - Does The ECB Require A Separate Monetary Pillar For Its Monetary Policy Strategy? - which is authored by Brian Micallef, analyses the rationale behind a separate monetary pillar in the ECB's monetary policy in light of the poor performance of monetary aggregates since the start of the EMU. Some of the observations of this paper are that it is unlikely that a single indicator is able to incorporate all the relevant information to forecast future inflation. In addition, it is argued that historical euro area time series derived from the aggregation of pre-euro national data fall prey to the Lucas Critique. A comment is also made in the context of globalisation and financial liberalisation, where high money growth may lead to asset price inflation and worldwide inflation.
The Computation Of A Housing Affordability Index For Malta was written by Joseph Darmanin and applies the Housing Affordability Index (HAI) to the Maltese real estate market. Mr Darmanin explains that the HAI is an indicator which assesses affordability for various income groups and household categories. The computation takes into consideration factors such as house prices, income levels, mortgage rates and other lending standards by banks. The paper indicates that escalation in house prices coupled with sluggish income growth suggests that affordability is becoming a problem in Malta.
Chris Meilak prepared the third paper, Measuring Export Concentration: The Implications For Small States. This study presents pragmatic evidence of the phenomenon of export concentration of export goods and services. Export concentration, as measured by eight indices, exhibits a negative link with country size variables, indicating higher export concentration in smaller countries. The results of this study also point towards higher export concentration in less developed countries, indicating that both size and stage of economic development are relevant factors in determining export concentration.
Month-Related Seasonality of Stock Price Volatility: Evidence From The Malta Stock Exchange is sourced by Silvio John Camilleri. This analysis applies different statistical tests to investigate whether monthly volatility patterns prevailing in a cross-section of stock markets are present on the Malta Stock Exchange. A January effect is detected, together with a variant of the turn-of-the-month effect, in that volatility tends to increase towards the end of the month. While these effects may be attributed to sources identified in previous literature, it also shows that this seasonality is related to announcement patterns of listed companies.
The BoV Review also provides a useful index of the articles and their respective authors as featured in past issues. Furthermore, articles from Issue 23 onwards are available online on the BoV website www.bov.com. For more information or to obtain a hard copy of the BoV Review, kindly contact Victoria Azzopardi of Strategy at Bank of Valletta on 2275 5779 or by e-mail victoria.azzopardi@bov.com.
The first paper - Does The ECB Require A Separate Monetary Pillar For Its Monetary Policy Strategy? - which is authored by Brian Micallef, analyses the rationale behind a separate monetary pillar in the ECB's monetary policy in light of the poor performance of monetary aggregates since the start of the EMU. Some of the observations of this paper are that it is unlikely that a single indicator is able to incorporate all the relevant information to forecast future inflation. In addition, it is argued that historical euro area time series derived from the aggregation of pre-euro national data fall prey to the Lucas Critique. A comment is also made in the context of globalisation and financial liberalisation, where high money growth may lead to asset price inflation and worldwide inflation.
The Computation Of A Housing Affordability Index For Malta was written by Joseph Darmanin and applies the Housing Affordability Index (HAI) to the Maltese real estate market. Mr Darmanin explains that the HAI is an indicator which assesses affordability for various income groups and household categories. The computation takes into consideration factors such as house prices, income levels, mortgage rates and other lending standards by banks. The paper indicates that escalation in house prices coupled with sluggish income growth suggests that affordability is becoming a problem in Malta.
Chris Meilak prepared the third paper, Measuring Export Concentration: The Implications For Small States. This study presents pragmatic evidence of the phenomenon of export concentration of export goods and services. Export concentration, as measured by eight indices, exhibits a negative link with country size variables, indicating higher export concentration in smaller countries. The results of this study also point towards higher export concentration in less developed countries, indicating that both size and stage of economic development are relevant factors in determining export concentration.
Month-Related Seasonality of Stock Price Volatility: Evidence From The Malta Stock Exchange is sourced by Silvio John Camilleri. This analysis applies different statistical tests to investigate whether monthly volatility patterns prevailing in a cross-section of stock markets are present on the Malta Stock Exchange. A January effect is detected, together with a variant of the turn-of-the-month effect, in that volatility tends to increase towards the end of the month. While these effects may be attributed to sources identified in previous literature, it also shows that this seasonality is related to announcement patterns of listed companies.
The BoV Review also provides a useful index of the articles and their respective authors as featured in past issues. Furthermore, articles from Issue 23 onwards are available online on the BoV website www.bov.com. For more information or to obtain a hard copy of the BoV Review, kindly contact Victoria Azzopardi of Strategy at Bank of Valletta on 2275 5779 or by e-mail victoria.azzopardi@bov.com.