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1
Muhammad Andry Nurman. "PENGARUH DESENTRALISASI FISKAL TERHADAP DISPARITAS PENDAPATAN REGIONAL DI INDONESIA TAHUN 2001-200." Jurnal Organisasi dan Manajemen 9, no. 1 (March 17, 2017): 1–20. http://dx.doi.org/10.33830/jom.v9i1.35.2013.
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Studi ini bertujuan untuk menganalisis bagaimanakah pengaruh desentralisasi fiskal terhadap disparitas pendapatan regional di Indonesia selama periode 2001-2008. Studi dilakukan terhadap Kabupaten/Kota di Indonesia yang merupakan titik tolak dari desentralisasi di Indonesia. Sampel yang diteliti sebanyak 253 Kabupaten/Kota. Variabel yang digunakan sebagai proxy dari desentralisasi fiskal adalah: belanja langsung (desentralisasi pengeluaran), serta PAD, DAU dan Dana Bagi Hasil (desentralisasi penerimaan). Studi menggunakan pendekatan data panel dan alat analisis Least Square Dummy Variables (LSDV) atau juga dikenal sebagai Fixed Effect Model (FEM) dan Newey West Method atau juga dikenal sebagai HAC (heteroscedasticity-and autocorrelation-consistent) untuk menghilangkan heteroskedastisitas dan autokorelasi. Hasil studi menunjukkan bahwa variabel belanja langsung telah mampu untuk mengurangi disparitas pendapatan regional, sebaliknya DAU justru mengakibatkan meningkatnya disparitas pendapatan regional. Terdapat indikasi bahwa penyebab utamanya adalah adanya missallocated di dalam mekanisme alokasi DAU. Sementara itu variabel PAD dan Dana Bagi Hasil tidak berpengaruh signifikan terhadap disparitas pendapatan regional.
This study aims to analyze how the influence of fiscal decentralization on regional income disparity in Indonesia during the period 2001-2008. Studies conducted on municipalities in Indonesia. 253 municipalities are used as samples. The variables used as proxies of fiscal decentralization are: direct expenditure (expenditure decentralization), and PAD, DAU and DBH (revenue decentralization). The study is using panel data approach and Least Square Dummy Variables (LSDV) as an analytical tool or also known as the Fixed Effect Modeland Newey West method or also known as HAC (heteroscedasticity-and Autocorrelation-consistent) to remove heteroscedasticity and autocorrelation. The study shows that direct expenditure variable has been able to reduce regional income disparities, on the contrary DAU has increased regional income disparity. There are indications that the main cause is the presence missallocated in DAU allocation mechanism. Meanwhile, PAD and DBH have no significant effect on regional income disparities.
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de Brito, Antônio Clécio, Elano Ferreira Arruda, Ivan Castelar, Nicolino Trompieri Neto, and Cristiano Santos. "Core Inflation, Expectations and Inflation Dynamics in Brazil." International Journal of Economics and Finance 11, no. 6 (April 25, 2019): 1. http://dx.doi.org/10.5539/ijef.v11n6p1.
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This work investigates the adequacy of core inflation measures as indicators of forward-looking expectations in the hybrid new Keynesian Phillips curve (HNKPC) for the Brazilian economy. For that purpose, we use monthly data between January 2002 and August 2015 and the heteroscedasticity and autocorrelation consistent generalized method of moments (HAC-GMM). The results indicate that the HNKPC is a robust mechanism to model Brazilian inflation dynamics in the period analyzed; that the recent increase in the degree of indexation of the Brazilian economy seems to have contributed to the formation of a stronger inertial component of inflation; and also that the core inflation measures appear to be potential indicators to model forward-looking expectations in the HNKPC in Brazil. Furthermore, the inflation forecasts extracted from these models are statistically similar to those generated by models that use market prognoses from the Focus survey published by the Central Bank of Brazil. Therefore, the core inflation measures appear to have adequately anchored the inflation expectations in Brazil in the period analyzed.
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Hua, Nan, Michael C. Dalbor, Seoki Lee, and Priyanko Guchait. "An empirical framework to predict idiosyncratic risk in a time of crisis." International Journal of Contemporary Hospitality Management 28, no. 1 (January 11, 2016): 156–76. http://dx.doi.org/10.1108/ijchm-03-2014-0134.
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Purpose The purpose of this study is to invoke prospect theory to construct an empirical framework to predict idiosyncratic risk, and argue that when a firm performs better than its benchmarks, the firm tends to play safe by avoiding firm-specific risk to maintain its satisfactory performance level, but when a firm performs worse than its benchmarks, the firm may become aggressive with taking more risks to achieve an increased level of performance. Design/methodology/approach This study tested the relationships between restaurant firms’ future idiosyncratic risk and the proposed firm financial characteristics. Heteroscedasticity- and autocorrelation-consistent (HAC) standard errors (Newey and West, 1994) were used to deal with potential problems of autocorrelations and heteroscedasticity. The standard error of residuals from the Fama-French three-factor model (Fama and French, 1993) was estimated to proxy for restaurant idiosyncratic risk. Findings The main analysis reveals that five financial characteristics are significant predictors for restaurant firms’ future idiosyncratic risk in accordance with the proposed, negative relationship based on the prospect theory. Practical implications Managers may predict their competitors’ future risk-taking behaviors using the current study’s findings, which will provide competitive advantage in a highly competitive business environment that we have now. Also, in practice, restaurant investors may consider findings of this study in forecasting future risks of their portfolio to help evaluate and revise their portfolios. Originality/value First, this is a new endeavor of its kind dealing with the restaurant industry, filling the void in the literature in predicting the risk-taking behavior of restaurant firms in a time of crisis. Second, this study forms a prediction model that establishes “predictive causality” (Diebold, 2001) motivated by prospect theory. Third, building upon prior research, this study comprehensively examines relationships between the firm characteristics that capture firm-specific strategies (Ou and Penman, 1989) and the idiosyncratic risk that are “associated with firm-specific strategies” (Luo and Bhattacharya, 2009) in a restaurant setting. Finally, the findings of this study bear significant implications for practitioners and other parties of interest.
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Irawan, Rismanto, and Deden Dinar Iskandar. "ANALYSIS OF INFRASTRUCTURE EFFECT ON INDONESIA'S ECONOMIC GROWTH YEAR 2007 - 2014." AFEBI Economic and Finance Review 4, no. 02 (November 22, 2019): 121. http://dx.doi.org/10.47312/aefr.v4i02.281.
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<p><em>A production process requires inputs to be used to produce output. The input according to Solow is the capital and labor described in the Cobb – Douglas function. Infrastructure can be said as capital in an effort to increase productivity, since labor requires supporting facilities that can increase their productivity. Therefore infrastructure is seen as having an important role in driving economic growth, so that adequate infrastructure is expected to have a positive impact on economic growth. This study aims to analyze the influence of the availability of infrastructure that is divided into economic infrastructure, social infrastructure and institutional infrastructure, on the economy in Indonesia which is described by the GDP. This study uses secondary data in 33 provinces in Indonesia in 2007-2014. This study uses panel data regression using the fixed effect model and correction of Heteroscedasticity and Autocorrelation Consistent (HAC). </em><em>Based on the results of econometric regression, it is known that the variables of road, electricity, education, health and capital expenditure have a positive and significant effect. While the employee expenditure variable has a positive but not significant relationship. In addition, it is known that telephone variables have a negative and insignificant relationship. The results of this study also show that electricity infrastructure has the biggest influence on economic growth..</em></p>
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Juliannisa, Indri Arrafi. "EFFECT OF CONSUMPTION ON ACCEPTANCE OF VALUE ADDED TAXES ( VAT ) IN INDONESIA DURING 1984-2016." AFEBI Economic and Finance Review 3, no. 01 (September 12, 2018): 67. http://dx.doi.org/10.47312/aefr.v3i01.148.
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<p><span class="fontstyle0">VAT is a tax component that contributes the most to total tax revenue, this study analyzed the relationship of consumption to VAT receipts, but there are other free control variables such as; the money supply, population, and industrial sector revenues. This study refers to previous research that has been carried out by Harju, Kosonen, and Skans (2018) , entitled about “Firm types, pricesetting strategies, and consumption-tax incidence”. This study uses a Time Series Model, that is : is a forecast of future values based on past values of a variable and past mistakes. Time series models are usually use for forecasting. The research method used is quantitative descriptive, by using the Eviews test tool. Because at the beginning of testing this research experienced problems on the classical assumption test, then to overcome the problem of classical assumption test, the test continues using estimation method Newey-West HAC regression model (heteroscedasticity and autocorrelation consistent) standard error or more often called Newey-West HAC. The results of the study show that consumption as the main independent variable has a significant effect, and the control variable that has influence is the money supply and the industrial sector. the increasing amount of consumption each year can stimulate VAT revenues and economic growth in Indonesia</span><span class="fontstyle2">.</span></p><p><span class="fontstyle2"><br /></span><span class="fontstyle3">JEL Classification: </span><span class="fontstyle0">H20, H25, H26</span></p><p><span class="fontstyle0"><br /></span><span class="fontstyle3">Keywords</span><span class="fontstyle0">: Consumption, Industrial sector Money Supply, VAT</span></p>
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Agarwal, Pankaj K., and H. K. Pradhan. "Mutual Fund Performance Using Unconditional Multifactor Models: Evidence from India." Journal of Emerging Market Finance 17, no. 2_suppl (June 21, 2018): S157—S184. http://dx.doi.org/10.1177/0972652718777056.
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In contrast to developed countries, Indian capital markets do not exhibit strong efficiency and therefore it appears possible that fund managers beat the benchmarks. We examine the existence of superior performance of open-ended equity mutual funds in India with various models including traditional Capital Asset Pricing Model (CAPM)-based as well as recent Fama–French–Carhart (FFC)-factors-based models. We use a survivorship-bias free database including all schemes since inception till recently. We found evidence of stock picking and timing abilities in Indian fund managers. Our results are robust to changes in benchmarks, return frequency, and effects of heteroscedasticity and autocorrelation (HAC).
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Kiefer, Nicholas M., and Timothy J. Vogelsang. "HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE." Econometric Theory 18, no. 6 (September 24, 2002): 1350–66. http://dx.doi.org/10.1017/s026646660218604x.
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Asymptotic theory for heteroskedasticity autocorrelation consistent (HAC) covariance matrix estimators requires the truncation lag, or bandwidth, to increase more slowly than the sample size. This paper considers an alternative approach covering the case with the asymptotic covariance matrix estimated by kernel methods with truncation lag equal to sample size. Although such estimators are inconsistent, valid tests (asymptotically pivotal) for regression parameters can be constructed. The limiting distributions explicitly capture the truncation lag and choice of kernel. A local asymptotic power analysis shows that the Bartlett kernel delivers the highest power within a group of popular kernels. Finite sample simulations suggest that, regardless of the kernel chosen, the null asymptotic approximation of the new tests is often more accurate than that for conventional HAC estimators and asymptotics. Finite sample results on power show that the new approach is competitive.
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Phillips, Peter C. B., Xiaohu Wang, and Yonghui Zhang. "HAR Testing for Spurious Regression in Trend." Econometrics 7, no. 4 (December 16, 2019): 50. http://dx.doi.org/10.3390/econometrics7040050.
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The usual t test, the t test based on heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators, and the heteroskedasticity and autocorrelation robust (HAR) test are three statistics that are widely used in applied econometric work. The use of these significance tests in trend regression is of particular interest given the potential for spurious relationships in trend formulations. Following a longstanding tradition in the spurious regression literature, this paper investigates the asymptotic and finite sample properties of these test statistics in several spurious regression contexts, including regression of stochastic trends on time polynomials and regressions among independent random walks. Concordant with existing theory (Phillips 1986, 1998; Sun 2004, 2014b) the usual t test and HAC standardized test fail to control size as the sample size n → ∞ in these spurious formulations, whereas HAR tests converge to well-defined limit distributions in each case and therefore have the capacity to be consistent and control size. However, it is shown that when the number of trend regressors K → ∞ , all three statistics, including the HAR test, diverge and fail to control size as n → ∞ . These findings are relevant to high-dimensional nonstationary time series regressions where machine learning methods may be employed.
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Jenish, Nazgul. "SPATIAL SEMIPARAMETRIC MODEL WITH ENDOGENOUS REGRESSORS." Econometric Theory 32, no. 3 (December 18, 2014): 714–39. http://dx.doi.org/10.1017/s0266466614000905.
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This paper proposes a semiparametric generalized method of moments estimator (GMM) estimator for a partially parametric spatial model with endogenous spatially dependent regressors. The finite-dimensional estimator is shown to be consistent and root-n asymptotically normal under some reasonable conditions. A spatial heteroscedasticity and autocorrelation consistent covariance estimator is constructed for the GMM estimator. The leading application is nonlinear spatial autoregressions, which arise in a wide range of strategic interaction models. To derive the asymptotic properties of the estimator, the paper also establishes a stochastic equicontinuity criterion and functional central limit theorem for near-epoch dependent random fields.
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Godil, Danish Iqbal, Salman Sarwat, Muhammad Umer Quddoos, and Muhammad Hanif Akhtar. "A Comparative Study on the Behavior of Islamic and Conventional Stocks in the Presence of Oil Price, Gold Price, and Financial Risk Factors: Evidence from Dow Jones Indices." Review of Applied Management and Social Sciences 2, no. 2 (December 31, 2019): 117–28. http://dx.doi.org/10.47067/ramss.v2i2.35.
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The research aims to analyze the influence of the gold price, oil price and financial risk on Islamic and conventional securities on comparative as well as on individual bases. Monthly prices of oil and gold are extracted from the websites of West Texas Intermediate and World Gold Council, whereas time series data for financial risk is derived from the Volatility Index of S&P 500. All these variables are found to be cointegrated at the first difference with both the Dow Jones indices, which means that gold, oil and financial risk have long term association with Islamic and conventional stocks. In order to find the direction and magnitude, this study applied the Newey-West HAC test, which also handles autocorrelation and heteroscedasticity issues in the time series data. The findings of the study suggest that gold prices are positively associated whereas oil prices and financial risk are negatively associated with both types of securities. Though the direction of the nexus is similar for Islamic and conventional stocks, but the magnitude differs especially in case of oil and financial risk. Nevertheless, it can be concluded that there is no diversification prospect between conventional and Islamic stocks under the influence of oil prices, financial risk, and gold prices.
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Distaso, Walter, Rustam Ibragimov, Alexander Semenov, and Anton Skrobotov. "COVID-19: Tail risk and predictive regressions." PLOS ONE 17, no. 12 (December 1, 2022): e0275516. http://dx.doi.org/10.1371/journal.pone.0275516.
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The paper focuses on econometrically justified robust analysis of the effects of the COVID-19 pandemic on financial markets in different countries across the World. It provides the results of robust estimation and inference on predictive regressions for returns on major stock indexes in 23 countries in North and South America, Europe, and Asia incorporating the time series of reported infections and deaths from COVID-19. We also present a detailed study of persistence, heavy-tailedness and tail risk properties of the time series of the COVID-19 infections and death rates that motivate the necessity in applications of robust inference methods in the analysis. Econometrically justified analysis is based on heteroskedasticity and autocorrelation consistent (HAC) inference methods, recently developed robust t-statistic inference approaches and robust tail index estimation.
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Murnane, Richard J., John B. Willett, and Kathryn Parker Boudett. "Do High School Dropouts Benefit From Obtaining a GED?" Educational Evaluation and Policy Analysis 17, no. 2 (June 1995): 133–47. http://dx.doi.org/10.3102/01623737017002133.
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This article uses longitudinal data from the National Longitudinal Survey of Youth for the years 1979-1991 to study whether male high school dropouts’ trajectories of wages, annual number of hours worked, and annual earnings are affected by acquisition of the General Educational Development (GED) credential. Our analysis takes into account potential heteroscedasticity and possible autocorrelation among the error terms pertaining to different years of longitudinal data on the same individual. We find that acquisition of the GED is associated with an increase in the rate of wage growth. Our findings are consistent with the hypothesis that some dropouts, after obtaining a GED, search for a better paying job or enter a training program.
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Ahmed, S. M. Moin Uddin. "Impact of Natural Disasters on Foreign Direct Investment in South and South-East Asian Countries." International Journal for Research in Applied Science and Engineering Technology 9, no. 10 (October 31, 2021): 300–307. http://dx.doi.org/10.22214/ijraset.2021.38304.
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Abstract: This paper examines the empirical relationship between natural disasters and FDI in 14 South and South-East Asian countries, 7 from South Asia, are Bhutan, Bangladesh, India, Maldives, Nepal, Pakistan and Sri Lanka and the rest 7 from South East Asian countries, these are Cambodia, Indonesia, Lao PDR, Malaysia, the Philippines, Thailand and Vietnam taking panel data from 2000-2011. The two key variables are used in the analysis, foreign direct investment is the dependent variable; the total net inflows of FDI as a percentage of GDP is taken. The second key variable indicates natural disasters, the independent variable. Fixed effects model and Heteroskedasticity-Autocorrelation-Consistent (HAC) standard error are employed to estimate lagged and immediate impact of natural disaster on FDI. The empirical results show that natural disasters have a negative and statistically significant impact on FDI with two years of lag. The results indicate that post disasters management matters for attracting FDI inflow. Post disasters recovery systems and relevant policies should be able to improve the confidence of foreign investors and attractiveness of affected areas by establishing reliable and strong infrastructures and institutions. This would guide the policymakers for better fiscal decisions, mainstreaming the economic impacts of natural disasters in long-term economic planning for attracting FDI inflows and preparedness aftermath of natural disasters. Keywords: Foreign Direct Investment; Natural disasters; Panel data; Fixed effects model; HAC standard error
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Satyadini, Agung Endika, Restu Rea Erlangga, and Brigitta Steffi. "WHO AVOID TAXES? AN EMPIRICAL STUDY FROM THE CASE OF INDONESIA." Scientax 1, no. 1 (October 14, 2019): 1–26. http://dx.doi.org/10.52869/st.v1i1.2.
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This paper investigated the propensity and the magnitude of tax avoidance risk exposure among different taxpayers by analyzing both enterprise-related and government-related variables. Providing far-reaching analysis and examining a relatively unexplored area of conforming tax avoidance, this study employs two measurements of tax avoidance including non-conforming and conforming tax avoidance. In the brain area of empirical analysis, this paper combined a fixed-effect model to control omitted variable bias together with adoption of heteroskedasticity and autocorrelation-consistent standard errors (HAC/clustered SE). The results depict that the magnitude of tax avoidance risks varies depending on the characteristics of taxpayers. Higher risks were found in so-called foreign-controlled enterprises and foreign invested enterprises. With respect to entities’ sector, this study also demonstrates that the propensity of higher risk exposure was depicted in financial and mining sector relative to full sample taxpayers.
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Mohsin, Muhammad, Li Naiwen, Muhammad Zia-UR-Rehman, Sobia Naseem, and Sajjad Ahmad Baig. "The volatility of bank stock prices and macroeconomic fundamentals in the Pakistani context: an application of GARCH and EGARCH models." Oeconomia Copernicana 11, no. 4 (December 30, 2020): 609–36. http://dx.doi.org/10.24136/oc.2020.025.
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Research Background: The banking sector plays a crucial role in the world?s economic development. This research paper evaluates the volatility spillover, symmetric, and asymmetric effects between the macroeconomic fundamentals, i.e., market risks, interest rates, exchange rates, and bank stock returns, for the listed banks of Pakistan.
Purpose of the article: The main purpose of this study is to examine the volatility of Pakistani banking stock returns due to the influence of market risk, interest rates, and exchange rates. Pakistan is selected for the study because the volatility of its banking stock returns is strongly influential in achieving sustainable economic development.
Methods: By applying the OLS with the Heteroskedasticity and Autocorrelation Consistent (HAC) covariance matrix, the GARCH (1, 2), and the EGARCH (1, 1), analysis is conducted for the period from January 1, 2009 to December 31, 2019 using samples of 13 listed banks.
Findings & Value added: The ARCH parameter is significant in the OLS with the HAC covariance matrix estimation, which is a clear indication of the existence of heteroskedasticity in the squared residuals and the inaccuracy of the OLS with the HAC covariance matrix. The results of the OLS with the HAC covariance matrix suggest using the GARCH model family to accurately measure the volatility of bank stock prices. The results of the mean equation in the GARCH (1, 2) and EGARCH (1, 1) indicate the positive significance of market risk and the low significance of interest and exchange rates, confirming that market returns strongly affect the sensitivity of bank stock returns compared to interest and exchange rates. It should be noted that the ARCH (?) and GARCH (?) parameters of the variance equation fulfill the non-negative conditions of the GARCH model. Furthermore, the leverage parameter (?) is found to be positively significant for all banks, and volatility is found to be influenced by positive shocks compared to negative shocks. Conclusively, it can be stated that market returns determine the dynamics of the conditional returns of bank stocks. Nevertheless, the interest and exchange rate volatilities determine the conditional bank stock returns? volatility.
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Setyawan, Andi Rachman. "EFEKTIFITAS KEBIJAKAN MONETER TERHADAP INFLASI DI INDONESIA." Jurnal Ekonomi Pembangunan 8, no. 1 (July 1, 2010): 281. http://dx.doi.org/10.22219/jep.v8i1.3603.
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The purpose of this research is to determine the effect of monetary policy through the discount rate and reserve requirement by the Central Bank as well as the previous inflation towards the inflation rate, and to investigate the effectiveness of monetary policy through the discount rate and reserve requirement as well as the previous inflation in influencing the rate of inflation. The data that is used to determine the discount rate and reserve requirements affect inflation in Indonesia is using multiple linear regression model with the approach of the Partial Adjustment Model (PAM) and statistical (partial, simultaneous tests and the coefficient of determination) as well as classical assumption or econometrics (test normality, linearity, autocorrelation, multicolinearity and heteroscedasticity). From these results, it is known that monetary policy from the first quarter 1985 to first quarter 2010 was still less effective direct influence on inflation, this can be known from a partial test done even though the relationship of monetary policy is consistent with monetarist theory.
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He, Siyun, and Rustam Ibragimov. "Predictability of cryptocurrency returns: evidence from robust tests." Dependence Modeling 10, no. 1 (January 1, 2022): 191–206. http://dx.doi.org/10.1515/demo-2022-0111.
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Abstract The paper provides a comparative empirical study of predictability of cryptocurrency returns and prices using econometrically justified robust inference methods. We present robust econometric analysis of predictive regressions incorporating factors, which were suggested by Liu, Y., & Tsyvinski, A. (2018). Risks and returns of cryptocurrency. NBER working paper no. 24877; Liu, Y., & Tsyvinski, A. (2021). Risks and returns of cryptocurrency. The Review of Financial Studies, 34(6), 2689–2727, as useful predictors for cryptocurrency returns, including cryptocurrency momentum, stock market factors, acceptance of Bitcoin, and Google trends measure of investors’ attention. Due to inherent heterogeneity and dependence properties of returns and other time series in financial and crypto markets, we provide the analysis of the predictive regressions using both heteroskedasticity and autocorrelation consistent (HAC) standard-errors and also the recently developed t t -statistic robust inference approaches, Ibragimov, R., & Müller, U. K. (2010). t-statistic based correlation and heterogeneity robust inference. Journal of Business and Economic Statistics, 28, 453–468; Ibragimov, R., & Müller, U. K. (2016). Inference with few heterogeneous clusters. Review of Economics and Statistics, 98, 83–96. We provide comparisons of robust predictive regression estimates between different cryptocurrencies and their corresponding risk and factor exposures. In general, the number of significant factors decreases as we use more robust t-tests, and the t-statistic robust inference approaches appear to perform better than the t-tests based on HAC standard errors in terms of pointing out interpretable economic conclusions. The results in this paper emphasize the importance of the use of robust inference approaches in the analysis of economic and financial data affected by the problems of heterogeneity and dependence.
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Hounnou, Fèmi E., Houinsou Dedehouanou, Afio Zannou, Sofwaan Bakary, and Elisée F. Mahoussi. "Influence of Climate Change on Food Crop Yield in Benin Republic." Journal of Agricultural Science 11, no. 5 (April 15, 2019): 281. http://dx.doi.org/10.5539/jas.v11n5p281.
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World climate is projected to be more harmful and unforeseeable. A threefold combination of temperature, precipitation and potential evapotranspiration leads to climate change with a negative effect on staple food crop production. To understand the sensitivity of staple food crop yield to future change in climate, this paper uses the feasible generalized least square (FGLS) and heteroskedasticity and autocorrelation (HAC) consistent standard error techniques function to quantify the effects of climate variables on the mean and variance of crop yields. Data from FAOSTAT website and national institutions such as temperature, precipitation and crop areas cultivated for period 1961-2015 for Benin country are used. Climate variables are computed according to each crop growing season. The results showed that climate change could significantly influence the mean crop yields and could significantly affect the crop yield variability. The contribution of climate variables to crop yield varies across staple crop yields and they were predicted to decrease about 2025. In order to ensure food availability in the context of climate change, support to agricultural sector and especially to staple food crops production should be focused on seeds improvement by generating, developing and extending drought and flood-tolerant varieties. The results also implicate the promoting of irrigated agriculture.
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Ishaq, Maryam, Asad Ali, and Ismat Nasim. "Interest Spread and the Banking Sector Profitability- An Empirical Investigation for Pakistan." Review of Education, Administration & Law 5, no. 3 (September 30, 2022): 355–70. http://dx.doi.org/10.47067/real.v5i3.260.
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The paper is an empirical exploration around the commercial banks’ interest spread and the profitability performance for Pakistani banking industry. Earlier studies have evidently proven the sensitivity of commercial banks financial performance towards the gap between their deposit rate and the lending rate. The present study therefore aims at validating (invalidating) the subject relationship using advance time-series econometric procedures. The study attempts to yield a robust statistical analysis since three different measures of banks’ profitability are employed for the purpose of econometric testing i.e. return on assets, return on equity and earnings per share. The study sample comprises seven major participants from commercial banking sector of Pakistan and the sample study period rangers from year 2002 to 2018. From the series of robust regression models, Newey-West Hetroskedasticity and Autocorrelation Consistent (HAC) estimator is used to test the hypothesized relationship. Valid statistical support is yielded in case of all three measures of profitability; however, return on assets as indicator of profitability receives highest amount of statistical support. The results hold strong policy implications for commercial banking sector of the country, calling for wise management decisions whilst deciding the deposit and the lending and rates since they are key to determining the interest spread observed by a bank which in return determines its profitability margins.
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Sally Ann Yu-Ing Yap, Norazirah Ayob, and Chin-Hong Puah. "Event Tourism Demand and Selected Macroeconomic Variables: An Econometrics View of the Long-Run and Short-Run Relationships." International Journal of Business and Society 21, no. 1 (April 25, 2021): 183–96. http://dx.doi.org/10.33736/ijbs.3246.2020.
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Assessing the substantial economic benefits of event tourism will provide insight into the effectiveness of tourism event in Malaysia.The significance of the tourism event sector has the potential to boost Malaysia’s economic growth, increase the arrivalof international tourists, increase tourist expenditure and further job creations.This study empirically investigates determinantsof event tourism demand in Malaysia during the period of 1991Q1to 2016Q4. The Autoregressive Distributed Lag (ARDL) techniqueis used to find the long-run cointegration relationshipsof the model. The model is further tested by employing diagnostic tests(Normality test, Serial Autocorrelation, Heteroscedasticity and Ramsey’s RESET test) and stability tests(CUSUM and CUSUMSQ). The empirical analysis of the boundstest indicatesthat there is a long-run cointegration among the variables under study. Besides that, the ARDL model produces reliable results,as all of the computed coefficientsof the independent variables are statistically significant with the expected signs. The findings are consistent witheconomic theory and the model passed all of the diagnostic tests.The findings of this study imply that event demand can be improved significantly when government spending,theexchange rate and tourist receipts increaseand the crude oil price decreases. Hence, government authorities and the private sector should createan integrated plan to enhancethe profit gained through the Malaysian economyfrom event tourism.
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Diaz, Patrick. "Selected Factors Affecting the Subsectors of the Philippine Agriculture: A Panel Regression Analysis." International Journal of Academe and Industry Research 3, no. 3 (September 6, 2022): 43–64. http://dx.doi.org/10.53378/352911.
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The study examined the effects of exports to Gross Domestic Product (GDP), employment, and production loans granted in the GDP agriculture of the Philippines. This paper employed descriptive and quantitative techniques to analyze the behavior of GDP, production loans granted (PLG), exports to GDP (EGDP), and employment (EMP) from 2005 to 2015 totalling 33 observations of agriculture, forestry, and fishery sectors. Specifically, panel data analysis was used to assess the effects of APLG, EMP, GDPt-1 and AEGDPt-1 in GDP. The fixed effect model corrected from autocorrelation and heteroscedasticity, a one percentage unit increase in the exports to GDP, on the average, leads to Php 774.96 increase in the GDP, other things equal; and a one-unit increase in employment, on the average, leads to PhP23.55 increase in the GDP, other things equal; a one peso increase in the production loans granted lagged by one period, on the average, leads to Php 0.4760 increase in the GDP, other things equal. Using the fixed effect model, all the explanatory variables such as, exports to GDP, employment and production loans granted lagged by one period exhibited significant effect on the GDP agriculture. Hence, the model is considered satisfactory from statistical perspective. The results from the fixed effect model were consistent with the priori expectations that exports to GDP, employment and production loans granted lagged by one period positively affect the GDP agriculture.
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Kimani, Grace Wambui, and James Maingi. "Effect of Various Categories of Government Expenditure on Economic Growth in Kenya." International Journal of Current Aspects in Finance, Banking and Accounting 3, no. 1 (July 17, 2021): 21–40. http://dx.doi.org/10.35942/ijcfa.v3i1.178.
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In Kenya, government expenditure has been changing tremendously in its composition and size. Noticeably, since Kenya’s independence, government expenditure has witnessed great expansion. However, the country has not achieved consistent economic growth for a long duration of time. Despite the increase in allocation of resources through increasing public spending, economic growth has not grown at the same rate. As such, economic growth did not consummate with the increase in allocation of resources through government expenditure. The study sought to determine the effect of education expenditure, defense expenditure, health expenditure and infrastructure expenditure on economic growth. It used an explanatory research design and secondary time-series data for the period between 1985 and 2018. Data on education expenditure, defense expenditure, health expenditure as well as infrastructure expenditure and economic growth was acquired from Kenya National Bureau of Statistics. The quantitative data was collected, edited and coded into Statistical software known as STATA version 14. Analysis of the quantitative data was based on descriptive as well as inferential statistics. Correlation analysis was employed to assess the strength of correlation between independent and dependent variables whereas regression analysis determined the weight of association between independent and dependent variables. Diagnostic test was performed to test for the regression model assumptions before carrying out regression analysis. The research focused on autocorrelation test, stationarity test, autocorrelation test, normality as well as heteroscedasticity test. The study revealed that education expenditure had a positive effect on economic growth in Kenya. The study found that defense expenditure had a positive effect on economic growth in Kenya. The results revealed that health expenditure had a positive effect on economic growth in Kenya. In addition, the study found that infrastructure expenditure had a positive effect on economic growth. The study concludes that government expenditure has a significant effect on economic growth in Kenya. The study policy implication of the study is that Kenyan government as well as policy makers should formulate policies and guidelines geared towards increasing education expenditure. This will help in ensuring adequacy in a trained, qualified and productive labor that is important in ensuring an improvement in economic growth. In addition, the government of Kenya should allocate at least 15 percent of their total expenditure to the healthcare so as to ensure a productive and healthy workforce. The government also needs to increase infrastructure funding as recommended by the World Bank to between 7 and 9 percent.
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Indiana, Firdha, and Triandi . "Analisis Pengaruh Kompleksitas Perusahaan, Profitabilitas dan ukuran Perusahaan terhadap Audit Delay." Jurnal Ilmiah Akuntansi Kesatuan 5, no. 1 (April 1, 2017): 1–7. http://dx.doi.org/10.37641/jiakes.v5i1.11.
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Timeliness in financial reporting is an obligation for companies listed in the Indonesia Stock Exchange to submit periodic financial reports. Delay in financial reporting will have a negative effect on a company, because it may indicate the existence of financial problem within the company. The length of time of an audit conducted by an auditor can be seen from the time difference between the financial statement date and the date the auditor’s report was signed in the financial statement. The time difference is often called an audit delay or audit report lag. The longer the auditor completes the audit, the longer the delay is. If the audit delay is long, the delay in submitting financial statement to stakeholders will be longer. Prompt financial reporting is essential to maintain the accuracy of information presented in the financial statement. According to previous studies, there are many factors affecting audit delay, including company’s complexity, auditor’s opinion, reputation of public accounting firm, solvability or leverage, profitability, and company’s size. This motivates the author to identify what factors affect audit delay and whether the factors known from previous studies remain consistent. This study aims to analyze the effect of company’s complexity, profitability, and company’s size on audit delay in manufacturing companies in Indonesia Stock Exchange in 2012 and 2013. The data sample is taken from 102 companies. The method of analysis used is multiple linear regression analysis, which is preceded by the classical assumption test, namely normality test, heteroscedasticity test, multicollinearity test, and autocorrelation test. The result gathered from the manufacturing companies listed on Indonesia Stock Exchange in 2012 and 2013 show that, in partially conducted tests, company’s complexity has no effect on audit delay. Profitability has an effect on audit delay. Company’s size however, has an effect on audit delay. On the other hand, from simultaneously conducted test, it is known that company’s complexity, profitability, and company’s size have simultaneous effect on audit delay.
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Ziesemer, Thomas H. W. "Worker Remittances and Growth: The Physical and Human Capital Channels." Jahrbücher für Nationalökonomie und Statistik 229, no. 6 (January 1, 2009). http://dx.doi.org/10.1515/jbnst-2009-0606.
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SummaryRemittances may have an impact on economic growth through channels to physical and human capital. We estimate an open economy model of these two channels consisting of seven equations using the general method of moments with heteroscedasticity and autocorrelation correction (GMM-HAC) with pooled data for four different samples of countries receiving remittances in 2003. The countries with per capita income below $ 1200 benefit most from remittances in the long run because they have the largest impact of remittances on savings. Their changes in remittances account for about 2%of the steady-state level of GDP per capita when compared to the counterfactual of having no changes of remittances. Their ratio of the steady-state growth rates with and without changes of remittances is 1.39. Transitional gains are higher than the steady-state gains only for the human capital variables of this sample. As savings react much more strongly than investment an important benefit of remittances is that less debt is incurred and less debt service is paid than without remittances. All effects are much weaker for the richer countries.
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Babii, Andrii, Eric Ghysels, and Jonas Striaukas. "High-Dimensional Granger Causality Tests with an Application to VIX and News." Journal of Financial Econometrics, July 4, 2022. http://dx.doi.org/10.1093/jjfinec/nbac023.
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Abstract We study Granger causality testing for high-dimensional time series using regularized regressions. To perform proper inference, we rely on heteroskedasticity and autocorrelation consistent (HAC) estimation of the asymptotic variance and develop the inferential theory in the high-dimensional setting. To recognize the time-series data structures, we focus on the sparse-group LASSO (sg-LASSO) estimator, which includes the LASSO and the group LASSO as special cases. We establish the debiased central limit theorem for low-dimensional groups of regression coefficients and study the HAC estimator of the long-run variance based on the sg-LASSO residuals. This leads to valid time-series inference for individual regression coefficients as well as groups, including Granger causality tests. The treatment relies on a new Fuk–Nagaev inequality for a class of τ-mixing processes with heavier than Gaussian tails, which is of independent interest. In an empirical application, we study the Granger causal relationship between the VIX and financial news.
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Rahman, Mohammad Mafizur, Khosrul Alam, and Eswaran Velayutham. "Is industrial pollution detrimental to public health? Evidence from the world’s most industrialised countries." BMC Public Health 21, no. 1 (June 18, 2021). http://dx.doi.org/10.1186/s12889-021-11217-6.
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Abstract Background Industrial pollution is considered to be a detrimental factor for human health. This study, therefore, explores the link between health status and industrial pollution for the top 20 industrialised countries of the world. Methods Crude death rate is used to represent health status and CO2 emissions from manufacturing industries and construction, and nitrous oxide emissions are considered to be indicators of industrial pollution. Using annual data of 60 years (1960–2019), an unbalanced panel data estimation method is followed where (Driscoll, J. C. et al. Rev Econ Stat, 80, 549–560, 1998) standard error technique is employed to deal with heteroscedasticity, autocorrelation and cross-sectional dependence problems. Results The research findings indicate that industrial pollution arising from both variables has a detrimental impact on human health and significantly increases the death rate, while an increase in economic growth, number of physicians, urbanisation, sanitation facilities and schooling decreases the death rate. Conclusions Therefore, minimisation of industrial pollution should be the topmost policy agenda in these countries. All the findings are consistent theoretically, and have empirical implications as well. The policy implication of this study is that the mitigation of industrial pollution, considering other pertinent factors, should be addressed appropriately by enunciating effective policies to reduce the human death rate and improve health status in the studied panel countries.
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Yalçin, Muhammet O., Nevin Güler Dincer, and Serdar Demir. "Fuzzy panel data analysis." Kuwait Journal of Science 48, no. 3 (June 25, 2021). http://dx.doi.org/10.48129/kjs.v48i3.8810.
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In statistical and econometric researches, three types of data are mostly used as cross-section, time series and panel data. Cross-section data are obtained by collecting the observations related to the same variables of many units at constant time. Time series data are data type consisted of observations measured at successive time points for single unit. Sometimes, the number of observations in cross-sectional or time series data is insufficient for carrying out the statistical or econometric analysis. In that cases, panel data obtained by combining cross-section and time series data are often used. Panel data analysis (PDA) has some advantages such as increasing the number of observations and freedom degree, decreasing of multicollinearity, and obtaining more efficient and consistent predictions results with more data information. However, PDA requires to satisfy some statistical assumptions such as “heteroscedasticity”, “autocorrelation”, “correlation between units”, and “stationarity”. It is too difficult to hold these assumptions in real-time applications. In this study, fuzzy panel data analysis (FPDA) is proposed in order to overcome these drawbacks of PDA. FPDA is based on predicting the parameters of panel data regression as triangular fuzzy number. In order to validate the performance of efficiency of FPDA, FPDA, and PDA are applied to panel data consisted of gross domestic production data from five country groups between the years of 2005-2013 and the prediction performances of them are compared by using three criteria such mean absolute percentage error, root mean square error, and variance accounted for. All analyses are performed in R 3.5.2. As a result of analysis, it is observed that FPDA is an efficient and practical method, especially in case required statistical assumptions are not satisfied.
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Abid, Souhir, and Saîda Dammak. "Corporate social responsibility and tax avoidance: the case of French companies." Journal of Financial Reporting and Accounting ahead-of-print, ahead-of-print (July 8, 2021). http://dx.doi.org/10.1108/jfra-04-2020-0119.
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Purpose The purpose of this paper is to shed light on the effect of tax avoidance on corporate social responsibility performance. It also investigates whether audit quality affects tax avoidance practices by socially responsible performance. Design/methodology/approach Based on a sample of French non-financial companies over the period 2005 to 2016, this paper uses panel data regressions. The authors apply generalized least square panel regression to overcome autocorrelation and heteroscedasticity problems. For further robustness, this paper runs instrumental variable regressions using the three-stage instrument variable method (three-stage least square). Findings The results show that firms with high CSR scores are more likely to engage in aggressive tax avoidance. The findings also show that firms audited by high-quality auditors are more likely to get involved in CSR for hedging against the potential consequences of aggressive tax avoidance practices. Research limitations/implications The findings are consistent with risk management theory, which suggests that firm’s hedge against any reputational risks that might arise from avoiding taxes by engaging more in CSR. Practical implications Results have implications for policymakers in that CSR firms audited by high-quality auditors may engage in CSR to overcome any negative reactions that could be caused as a result of tax avoidance. Thus, they need to be cautious about managers’ opportunistic behavior and enhance monitoring to enforce social compliance and to be tax compliant. Originality/value This paper extends the existing literature by examining the effect of audit quality on the relationship between CSR performance and corporate tax avoidance. Audit quality is deemed to be an important governance feature that is likely to constraint managerial opportunistic behaviors. Audit quality, along with CSR performance, are associated with a higher level of tax avoidance.
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Majid, Abdul. "ANALISIS RASIO KEUANGAN UNTUK MEMPREDIKSI TINGKAT LABA PADA PERUSAHAAN SUBSEKTOR OTOMOTIF DAN KOMPONEN DI BEI TAHUN 2010 SAMPAI 2016." BUANA ILMU 2, no. 1 (March 30, 2018). http://dx.doi.org/10.36805/bi.v2i1.279.
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ABSTRACT
The purpose of this study was to examine the effect of Working Capital to Total Asset (WCTA), Current Liabilities To Inventory (CLI), Operating Income to Total Assets (OITL), Total Asset Turnover (TAT), Net Profit Margin (NPM) and Gross Profit Margin (GPM) to the profit rate.
Data obtained by purposive sampling method with criterion (1) Automotive Manufacturing Company and Component which listed in Indonesia Stock Exchange (BEI) and consistent exist during period of research (2010 until 2016), (2) Automotive Company and Component that provide financial statement data during the study period (2010 to 2016).
The results of the analysis show that the data used in this study has met the classical assumptions, which include: no multicollinearity symptoms, no autocorrelation, no heteroscedasticity symptoms, and normal distributed data. The research was conducted by using descriptive and verification methods, namely; collecting, presenting, analyzing and testing hypotheses, and making conclusions and suggestions.
From the results of the analysis of research data, obtained the following conclusions: partially positively insignificant to profit growth: Working Capital to Total Assets (WCTA), Current Liability to Inventory (CLI), Operating Income to Total Liability (OITL), Total Asset Turnover (TAT), Partially significant positive effect on profit growth: Net Profit Margin (NPM), Partially negatively insignificant to profit growth: Gross Profit Margin (GPM). Simultaneously, the ratio of WCTA, CLI, OITL, TAT, NPM and GPM have a significant influence on Profit level. Contribution given by WCTA, CLI, OITL, TAT, NPM and GPM variable to profit rate equal to 62,9%. Continuity of this research further needs to be done to see the consistency of Ratio results to Profit level for the coming year or other subsector in BEI.
Keywords: Working Capital to Total Assets (WCTA), Current Liabilities To Inventory (CLI), Operating Income to Total Assets (OITL), Total Asset Turnover (TAT), Net Profit Margin (NPM), Gross Profit Margin (GPM) and profit growth.