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• A note on the Dutch disease

  34-38

  Wim Heijman

  Views:

  189

  Many resource rich countries are poor, where many resource poor countries are rich. One of the possible explanations of this paradox called the ‘resource curse’ is the Dutch Disease. This paper aims to analyse this phenomenon with the help of a simple macroeconomic trade model. It presents a number of Dutch Disease Cases of which the ‘Norwegian Case’ provides an example containing an effective policy against the negative impact of Dutch Disease on the national economy.

  JEL Classification: O11, O24, Q33

• Systematic risk factors and stock return volatility

  61-70

  Syed Kamran Ali Haider

  Shujahat Haider Hashmi

  Ishtiaq Ahmed

  Views:

  417

  This study analyzes the transmission of systematic risk exhaling from macroeconomic fundamentals to volatility of stock market by using auto regressive generalized auto regressive conditional heteroskedastic (AR-GARCH) and vector auto regressive (VAR) models. Systematic risk factors used in this study are industrial production, real interest rate, inflation, money supply and exchange rate from 2000-2014. Results indicate that there exists relationship among the volatility of macroeconomic factors and that of stock returns in Pakistan. The relationship among the volatility of macroeconomic variables and that of stock returns is bidirectional; both affect each other in different dynamics.

  JEL code: C32, C58, G11, G12