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1
Restrepo, María Isabel, and Diana Constanza Restrepo. "El canal del crédito bancario en Colombia: 1995-2005. Una aproximación mediante modelos de umbral." Lecturas de Economía, no. 67 (July 31, 2009): 99–118. http://dx.doi.org/10.17533/udea.le.n67a2022.
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El canal del crédito bancario, que amplifica los efectos del canal tradicional de la política monetaria, hace énfasis en la estructura y las fricciones del mercado financiero como determinantes del gasto agregado. Este artículo analiza y verifica la existencia del canal del crédito bancario en Colombia estimando un modelo propuesto por Michael Gibson en 19971997, quien utiliza regresiones de umbral para determinar el impacto de la política monetaria sobre la demanda agregada. Los resultados obtenidos no permiten descartar la existencia de este mecanismo de transmisión en Colombia durante el periodo analizado, aunque éste parece operar solo a través de la política monetaria contraccionista. Palabras clave: política monetaria, mecanismos de transmisión, canal de crédito bancario, modelos de umbral. Clasificación JEL: C12, C52, E44, E52, G11. Abstract: The Bank Credit Channel, which amplifies the effects of the traditional channel of monetary policy, emphasizes on the structure and frictions of financial markets as determinants of aggregate spending. This paper aims at analyze and verify the existence of the bank credit channel in Colombia estimating a model proposed by Gibson (1997) which uses threshold regressions as a way to determine the impact of monetary policy on aggregate demand. Results do not allow dismissing the existence of this transmission mechanism in Colombia during the analyzed period, although it seems to operate only through contractionary monetary policy. Keywords: monetary policy, transmission mechanisms, bank lending channel, threshold regressions. JEL classification: C12, C52, E44, E52, G11. Résumé: Le canal du crédit bancaire amplifie les effets du canal traditionnel de la politique monétaire et met l.accent sur la structure et sur les frictions du marché financier, lesquels constituent les éléments qui déterminent de la dépense agrégée. L.objectif de cet article est d.analyser et de vérifier l.existence du canal du crédit bancaire en Colombie en estimant le modèle proposé par Michael Gibson en 1997, lequel utilise des régressions à seuil pour déterminer l.impact de la politique monétaire sur la demande agrégée. Les résultats obtenus ne permettent pas d.écarter l.existence d.un mécanisme de transmission pendant la période analysée, malgré le fait qu.il ne paraisse agir qu.à travers une politique monétaire restrictive. Mots clef: politique monétaire, mécanismes de transmission, canal du crédit bancaire, modèles à seuil. Classification JEL: C12, C52, E44, E52, G11.
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Chaudhuri, Sumana, Shovan Ray, and Ganesh-Kumar. "Integrated Model of Computable General Equilibrium and Social Cost Benefit Analysis of an Indian Oil Refinery: Future Projections and Macroeconomic Effects." Journal of Infrastructure Development 10, no. 1-2 (2018): 96–125. http://dx.doi.org/10.1177/0974930618813749.
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Cost benefit analysis (CBA) has long been used as a useful tool to appraise and evaluate the value of a range of investment projects to a society. Certain aspects of this method such as the appropriate discount rate is an important concern, because the choice of discount rates deeply affect the valuations of future income streams. Other aspects concerning financial flows and appropriate ‘shadow prices’ have also received considerable attention. However, when a megaproject with the character of a ‘universal intermediate’ is considered, its multiplier effects may be wide-ranging and permeate several economic and social layers and may be captured only in the aggregates. This study examines the costs and benefits of Vadinar refinery in Gujarat with a focus on this welfare dimension on society for the project. The framework explores a methodological breakthrough in CBA studies. In constituting the macroeconomic effects of expansion of the mega oil refinery, the wider economic impact (WEI) is estimated using the computable general equilibrium (CGE) model and incorporated into the CBA. This assimilation of CBA with macroeconomic externality obtained from the CGE model framework is perhaps only one of its kind in economic analysis of major infrastructure projects of any country. CBA when combined with CGE as an analytical tool can be gainfully employed to appraise or evaluate large scale projects like oil refineries. JEL Classification: B41, C51, C52, C53, C54, C55, D50, D58, D60, D61, D62, H23, H43, L71, O22, Q43
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Urooj, Amena, and Zahid Asghar. "Evaluation of Test Statistics for Detection of Outliers and Shifts." Journal of Quantitative Methods 4, no. 2 (2020): 54–75. http://dx.doi.org/10.29145/2020/jqm/040203.
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Existence of outliers and structural breaks having mutually unknown nature, in time series data, offer challenges to data analysts in model identification, estimation and validation. Detection of these outliers has been an important area of research in time series since long. To analyze the impact of these structural breaks and outliers on model identification, estimation and their inferential analysis, we use two data generating processes: MA(1) and ARMA(1,1). The performance of the test statistics for detecting additive outlier(AO), innovative outlier(IO), level shift(LS) and transient change(TC) is investigated using simulation strategy through power of a test, empirical level of significance, empirical critical values, misspecification frequencies and sampling distribution of estimators for the two models. The empirical critical values are found higher than the theoretical cut-off points, empirical power of the test statistics is not satisfactory for small sample size, large cut-off points and large model coefficient. We have explored confusion between LS, AO, TC and IO at different critical values(c) by varying sample size. We have also collected empirical evidence from time series data for Pakistan using 3-stage iterative procedure to detect multiple outliers and structural breaks. We find that neglecting shocks lead to wrong identification, biased estimation and excess kurtosis.
 JEL Classification Codes: C15, C18, C63, C32, C87, C51, C52, C82
 AMS Classification Codes: 62, 65, 91, DI, 62-08, 62J20, 00A72, 91-08, 91-10, 91-11 62P20, 91B82, 91B84, 62M07, 62M09, 62M10, 62M15, 62M20
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Bahramgiri, Mohsen, Shahabeddin Gharaati, and Iman Dolatabadi. "Modeling jumps in organization of petroleum exporting countries basket price using generalized autoregressive heteroscedasticity and conditional jump." Investment Management and Financial Innovations 13, no. 4 (2016): 196–202. http://dx.doi.org/10.21511/imfi.13(4-1).2016.05.
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This paper uses autoregressive jump intensity (ARJI) model to show that the oil price has both GARCH and conditional jump component. In fact, the distribution of oil prices is not normal, and oil price returns have conditional heteroskedasticity. Here the authors compare constant jump intensity with the dynamic jump intensity and evidences demonstrate that oil price returns have dynamic jump intensity. Therefore, there is strong evidence of time varying jump intensity Generalized Autoregressive Heteroscedasticity (GARCH) behavior in the oil price returns. The findings have several implications: first, it shows that oil price is highly sensitive to news, and it does settle around a trend in long-run. Second, the model separates variances of high volatilities from smooth volatilities. Third, the model rejects an optimal path for extracting oil and technology transmission. In fact, the lack of a long-term pattern can cause excessive oil extracting which can result in heavy climatic effects. Keywords: generalized autoregressive heteroscedasticity (GARCH), jumps, basket, oil price, Organization of Petroleum Exporting Countries (OPEC), Autoregre-ssive jump intensity (ARJI). JEL Classification: C32, C52, F31
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Pudjono, Alpha Nur Setyawan, Dermawan Wibisono, Ima Fatima, and Ilma Nurul Rachmania. "Examining the Causal Relationships of Balanced Scorecard Perspectives on Organizational Performance Improvement: A Case Study from the Indonesian Public Sector." GATR Journal of Accounting and Finance Review (GATR-AFR) Vol. 8 (4) January - March 2024 8, no. 4 (2024): 23–31. http://dx.doi.org/10.35609/afr.2024.8.4(3).
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Objective - This research aimed to explore the causal relationships among performance indicators in the Balanced Scorecard framework of the Indonesia Public Sector. Methodology– Quantitative and path analysis were used to collect and analyze primary data. The research included 24 Regional Public Sector Offices and 268 Local Public Sector Offices as part of the sample. Findings - The findings showed substantial causal relationships within the Public Sector Balanced Scorecard perspectives, with training significantly influencing employee performance in taxation dissemination and tax supervision activities. However, the impact of training on tax audit performance was considered insignificant. The empirical evidence suggested that tax audit was the only performance indicator positively associated with tax compliance. Determinant factors for tax revenue included tax compliance, dissemination, audit, and supervision. Novelty - This research contributes crucial insights by showing intricate causal relationships among performance indicators, indicating the significant impact of training on distinct facets of employee performance. Additionally, the study identifies tax audits as an essential factor positively influencing tax compliance. The analysis provides new perspectives on the applicability of the Balanced Scorecard in the public sector context, particularly in developing countries. Type of Paper: Empirical JEL Classification: M40, C52, H30, H20, M49 Keywords: Balanced Scorecard; Path Analysis; Public Sector; Taxation; Performance Indicators. Reference to this paper should be referred to as follows: Pudjono, A.N.S; Wibisono, D; Fatima, I; Rachmania, I.N. (2024). Examining the Causal Relationships of Balanced Scorecard Perspectives on Organizational Performance Improvement: A Case Study from the Indonesian Public Sector, Acc. Fin. Review, 8(4), 23 – 31. https://doi.org/10.35609/afr.2024.8.4(3)
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Korol, M., О. Bazhenova, I. Korol, V. Bazhenov, Yu Yarmolenko, and N. Vasylets. "THE BANKING SYSTEM OF THE UK: ANALYSIS AND MODELLING." Financial and credit activity problems of theory and practice 6, no. 41 (2022): 43–55. http://dx.doi.org/10.18371/fcaptp.v6i41.251390.
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Abstract. The paper deals with the analysis of the banking system of the UK. The UK banking sector is quite diverse, and at the same time oligopolistic. The UK exit from the EU is already having a negative impact on main banking indicators. Uncertainty in the banking sector and among the business community is, definitely, very high. This means that banks will have to work on potential and alternative outcomes, depending on their development. The impact of Brexit on banks and banking in the UK will be determined by both government-level arrangements and the response of individual firms to operating conditions changes. At the same time, the realities of the banking environment after the crisis of 2008—2009 mean that it is necessary not only to strengthen market discipline, but also to avoid excessive proliferation and diversification of commercial banks and concentration of the banking system. The post-crisis environment is characterized by a decrease in the number of commercial banks in the UK. However, the reduction in the number of banks does not prevent an increase in the value of the banking system’s assets and an improvement in their quality. Moreover, the paper explores the crisis of 2008—2009 impact on the functioning of the UK banking system (loans to monetary financial institutions, loans to non-monetary financial institutions, loans to non-monetary financial institutions, loans to the central government, deposits of monetary financial institutions, deposits of non-monetary financial institutions, central government deposits). For this purpose, the system of six vector models of autoregression has been constructed. The results of the simulations have shown that all variables have similar dynamics after the crisis shock, except for central government deposits. In the future, the leveling of the shock is observed for these variables starting from the fourth year. There is only an increase in central government deposits, starting from the second year after the shock The other variables do not respond to the crisis shock. Keywords: financial crisis, banks, bank assets, bank liabilities, problem loans, econometric modelling, VaR-models. JEL Classification C39, C51, C52, E44, E47, G01, G17, G21 Formulas: 6; fig.: 6; tabl.: 1; bibl.: 30.
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Leone, Andrew J., Miguel Minutti-Meza, and Charles E. Wasley. "Influential Observations and Inference in Accounting Research." Accounting Review 94, no. 6 (2016): 337–64. http://dx.doi.org/10.2308/accr-52396.
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ABSTRACT Accounting studies often encounter observations with extreme values that can influence coefficient estimates and inferences. Two widely used approaches to address influential observations in accounting studies are winsorization and truncation. While expedient, both depend on researcher-selected cutoffs, applied on a variable-by-variable basis, which, unfortunately, can alter legitimate data points. We compare the efficacy of winsorization, truncation, influence diagnostics (Cook's Distance), and robust regression at identifying influential observations. Replication of three published accounting studies shows that the choice impacts estimates and inferences. Simulation evidence shows that winsorization and truncation are ineffective at identifying influential observations. While influence diagnostics and robust regression both outperform winsorization and truncation, overall, robust regression outperforms the other methods. Since robust regression is a theoretically appealing and easily implementable approach based on a model's residuals, we recommend that future accounting studies consider using robust regression, or at least report sensitivity tests using robust regression. JEL Classifications: C12; C13; C18; C51; C52; M41. Data Availability: Data are available from the public sources cited in the text.
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Katrakilidis, Constantinos, Kalomoira Kourti, and Athanasios Athanasenas. "The Dynamic Linkages Between Energy, Biofuels and Agricultural Commodities’ Prices." Applied Economics Quarterly: Volume 64, Issue 2 64, no. 2 (2018): 115–26. http://dx.doi.org/10.3790/aeq.64.2.115.
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Abstract This paper investigates the dynamic linkages between the prices of crude oil, biofuels and agricultural commodities. The analysis uses monthly data for crude oil, corn, sugar, ethanol, biodiesel and the general food price index and covers the period 1960 –2013. In the context of the empirical analysis, we apply the ARDL approach to cointegration, in conjunction with Granger causality tests. The results reveal strong dependencies between the examined sectors in both the long and short run time horizon. JEL classifications: C22, C52, Q11, Q42, Q43 Keywords: ARDL Cointegration, Agricultural Commodities, Biofuels, Crude Oil
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Ekpenyong, Benson Edet, and Uduak Michael Ekong. "Public Debt and Economic Growth in Nigeria: Decades of Unending Struggle." International Journal of Contemporary Issues and Trends in Research 3, no. 2 (2025): 36–76. https://doi.org/10.5281/zenodo.15479399.
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<strong>Abstract</strong> This paper examines the role of public debt in Nigeria's economic growth process from 1981 to 2021. Generally, economies resort to debt financing in economic growth to lessen the tax burden on the production chain. Applying autoregressive distributed lag models on annualized country data set, we showed that public debt positively affects economic growth in Nigeria. Total public debt in Nigeria could thus be positive and record nearly a 63% increase in economic growth in the long run. Most of the negative effects of public debt on economic growth reveal that debt servicing is still unsustainable in the Nigerian sub-region. Thus, we argued that deliberate policies be put in place to ensure that the accumulation of debt in Nigeria is consistent with the country's growth objectives. Furthermore, the government is encouraged to put in place fiscal reforms that would help in the better management of domestic debt and the acceleration of economic growth in years following this study.
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Ohiomu, Sylvester, and Sunday Ade Oluyemi. "Resolving Revenue Allocation Challenges in Nigeria: Implications for Sustainable National Development." American Economist 64, no. 1 (2018): 142–53. http://dx.doi.org/10.1177/0569434518775324.
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This study examines the structure and formula for revenue allocation in Nigeria which has been fraught with challenges, proffers solution, and highlights its implications for sustainable national development. The work uses the methodology of Group Unit Root Test, auto regressive distributed lag (ARDL) Bounds Testing and Cointegrating Long Run tests for robust policy recommendations. Using the Gross Domestic Product as the dependent variable and revenue allocation to the three levels of government, and oil revenue as the independent variables, the results from the study show that revenue allocations and the other variables have significant relationship with economic growth in Nigeria. Based on our findings, the study recommends among others that the current revenue allocation formula should be reviewed to embrace autonomy in its entirety to achieve national goals and objectives. Various levels of government should be adequately funded to enable it carry out its expenditure responsibilities to accelerate grass root development. JEL classification: C22, C32, C58
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Tereshchenko, Е., N. Ushenko, M. Dielini, M. Nesterova, О. Lozhachevska, and N. Honcharenko. "BEHAVIORAL MODELS OF DECISION-MAKING BY BUSINESS AND INDUSTRY STAKEHOLDERS." Financial and credit activity problems of theory and practice 5, no. 40 (2021): 300–313. http://dx.doi.org/10.18371/fcaptp.v5i40.245156.
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Abstract. The purpose of the study is to substantiate the methodological toolkit for decision-making by business and industry stakeholders, which is based on the development of a dynamic multilateral model of a strategic contract, taking into account the alternatives of agent behavior. In order to achieve the purpose of the study were used following methods: system analysis, logical generalisation, statistical and comparative analysis, principles of contract theory of the firm, the concept of dynamic abilities, methods of the theory of active systems etc. According to findings it is actualized the expediency of the transformational development of transdisciplinarity between behavioral sciences and quantitative methods of management in the context of the development of the contract theory of a firm, namely, regarding the development of a methodological basis for decision-making by business and industry stakeholders. The effectiveness of the use of a dynamic multilateral model of a strategic contract is substantiated, which takes into account the behavioral models of the main stakeholders (investor-owner-employees) based on individual utility functions, which as a result connects three tasks that are consistently solved during each period. For the targeted use of the behavioral effects that arise between the parties to the contract in the process of its implementation, the proposed model of agency relations is based on the relationship between themselves and the overall results of the strategy. It is presented the options for planning the effectiveness of contracts for the interaction of agents based on the use of organizational and economic management tools, which are determined by them independently or under targeted influence in order to create additional behavioral prerequisites. The proposed dynamic multilateral model synthesizes the prerequisites, conditions for the effectiveness of decision-making by business and industry stakeholders in conditions of risk and uncertainty. It allows to consider several behavioral effects that arise between the parties to the contract, based on the individual usefulness of the contribution to the implementation of the business strategy. The practical significance of the obtained results manifests itself in the fact that the use of the developed decision-making models by business and industry stakeholders for the purpose of strategic resource planning based on the optimization of the use of organizational and economic resources will contribute to the concentration on the relevant behavioral aspects of agents and restrictions, taking into account the exchange between the internal and external environments. Keywords: behavioral model, decision-making, agent, stakeholder, strategic planning, contract efficiency, business, industry. JEL Classification A12, C52, D1 Formulas: 31; fig.: 1; tabl.: 0; bibl.: 27.
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Marrero, Osvaldo. "Detection and Analysis of Small-Amplitude Seasonal Variation in a Short Time Series." American Economist 64, no. 1 (2018): 73–81. http://dx.doi.org/10.1177/0569434518754506.
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We discuss a procedure for seasonality analyses of short time-series data with small amplitude. Such analyses are often performed in medical research. In economics, however, time series are typically long and of appreciable amplitude; therefore, economists are used to analyzing such data. Our procedure provides one more tool for the economists’ data-analysis toolbox. We illustrate the procedure’s application with three examples of real economics data. The examples demonstrate that the procedure can be profitably applied to short economics time series. JEL Classifications: C12, C22, C23, C49, F31
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Olkin, Ingram, Ying Lou, Lynne Stokes, and Jing Cao. "Analyses of Wine-Tasting Data: A Tutorial." Journal of Wine Economics 10, no. 1 (2014): 4–30. http://dx.doi.org/10.1017/jwe.2014.26.
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AbstractThe purpose of this paper is to provide a tutorial of data analysis methods for answering questions that arise in analyzing data from wine-tasting events: (i) measuring agreement of two judges and its extension to m judges; (ii) making comparisons of judges across years; (iii) comparing two wines; (iv) designing tasting procedures to reduce burden of multiple tastings; (v) ranking of judges; and (vi) assessing causes of disagreement. In each case we describe one or more analyses and make recommendations on the conditions of use for each. (JEL Classifications: C10, C12, C13, C59, C90)
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Dikolli, Shane S., John H. Evans, Jeffrey Hales, Michal Matejka, Donald V. Moser, and Michael G. Williamson. "Testing Analytical Models Using Archival or Experimental Methods." Accounting Horizons 27, no. 1 (2012): 129–39. http://dx.doi.org/10.2308/acch-50287.
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SYNOPSIS Analytical models can quite naturally complement empirical data, whether archival or experimental. This article begins by discussing the advantages and disadvantages of combining an analytical model with archival or experimental data in a single study. We next describe how models are typically used in empirical research and discuss when including an analytical model is more versus less useful. Finally, we offer examples of more and less successful combinations of analytical models and empirical data, along with a brief discussion of how such studies are likely to fare in the journal review process. JEL Classifications: C02; C51; C99.
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Ohiomu, Sylvester. "External Debt and Economic Growth Nexus: Empirical Evidence From Nigeria." American Economist 65, no. 2 (2020): 330–43. http://dx.doi.org/10.1177/0569434520914862.
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This study models external debt and economic growth nexus for policy analysis on public finance and public debt management. The work uses the methodology of group unit root test, auto-regressive distributed lag (ARDL) bounds testing, and co-integrating long-run tests for robust policy recommendations. The results showed that the debt overhang variable (D_Y) and crowding-out effect variable (DS_X) depress the level of investment. This adversely affects economic growth in Nigeria. The study recommends that Nigeria should embark on strict debt management policy, pursue effective debt reduction strategies, and improve investment drives for economic expansion and sustainable development. JEL Classification: C22, C51, E27, H63, H81
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Lukongo, Onyumbe E., and Thomas Miller. "Evaluating the Spatial Consequence of Interest Rate Ceiling Using a Spatial Regime Change Approach." American Economist 63, no. 2 (2017): 166–86. http://dx.doi.org/10.1177/0569434517745490.
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The article provides the empirical framework and steps toward the evaluation of the spatial consequence of the 17% interest rate ceiling in Arkansas using a new database from the trade association for installment lenders, the American Financial Services Association. The specific contribution of this study is to build and apply the installment loan accessibility index within the context of the spatial regime models. Results suggest strong evidence of spatial clustering of counties with similar (low or high) installment loan usage rates across the study area and two spatial regimes at work. The loan accessibility index is a strong predictor of the installment loan usage in the study area. That is, an increase in the loan acquisition costs due to the 17% interest rate cap puts interior counties’ residents at disadvantage compared with residents of border counties who can cross the borders to get small dollar loans. JEL Classifications: C51, C52, G23, G28
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SOUMARÉ, Amadou. "Évaluation de l’écart de la production de l’UEMOA à l’aide du filtre de Hodrick et Prescott corrigé." Revue d’Economie Théorique et Appliquée 6, no. 1 (2016): 1–16. https://doi.org/10.62519/reta.v6n1a1.
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Résumé : Une bonne évaluation de la position de l’économie sur le cycle est déterminante pour la définition de politiques économiques optimales. Le calcul de l’écart de la production est étroitement lié à une bonne estimation du PIB potentiel. L’approche retenue est celle du Filtre de Hodrick et Prescott corrigé à l’aide de la moyenne mobile autorégressive intégrée (ARIMA). Les résultats des estimations montrent que cette méthode permet une bonne évaluation de la situation conjoncturelle des pays de l’UEMOA. Cependant, elle ne renseigne pas sur les effets différenciés du cycle sur les différentes composantes de l’économie. En conséquence, pour une mise en place de politiques économiques ciblées, les estimations par cette méthode doivent être complétées par une évaluation de la productivité totale des facteurs et du taux de chômage. Mots clés : Cycle économique, Production potentielle, Filtre de Hodrick et Prescott, ARIMA. Classification JEL: E23, E32, C12, C32. Evaluation of the WAEMU Output gaps using the adjusted filter of Hodrick and Prescott Abstract: A good evaluation of the position of the economy in the cycle is decisive for the definition of optimal economic policies. The calculation of the output gap is closely linked to a good estimate of potential GDP. In our research we used the approach by the adjusted Filter of Hodrick and Prescott using auto-regressive integrated moving average. The estimations results show that this methodology allows a good evaluation of the economic situation of the countries of the WAEMU. However, this method does not provide information on the different effects of the cycle on the different components of the economy. Thus, for implementation of targeted economic policies, estimations by the above method must be completed by an assessment of total factor productivity and the unemployment rate. Keywords: the economic cycle, potential GDP, the Hodrick-Prescott filter, process ARIMA JEL Classification: E23, E32, C12, C32.
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Doojav, Gan-Ochir. "The Effect of Real Exchange Rate on Trade Balance in a Resource-Rich Economy: The Case of Mongolia." Foreign Trade Review 53, no. 4 (2018): 211–24. http://dx.doi.org/10.1177/0015732518797184.
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For resource-rich developing economies, the effect of real exchange rate depreciation on trade balance may differ from the standard findings depending on country specific characteristics. This article employs vector error correction model to examine the effect of real exchange rate on trade balance in Mongolia, a resource-rich developing country. Empirical results show that exchange rate depreciation improves trade balance in both short and long run. In particular, the well-known Marshall–Lerner condition holds in the long run; however, there is no evidence of the classic J-curve effects in the short run. The results suggest that the exchange rate flexibility may help to deal effectively with current account deficits and exchange rate risk. JEL Classification: C32, C51, F14, F32
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Khan, Mohsin S., and Axel Schimmelpfennig. "Inflation in Pakistan." Pakistan Development Review 45, no. 2 (2006): 185–202. http://dx.doi.org/10.30541/v45i2pp.185-202.
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This paper examines the factors that explain and help forecast inflation in Pakistan. A simple inflation model is specified that includes standard monetary variables (money supply, credit to the private sector), an activity variable, the interest and the exchange rates, as well as the wheat support price as a supply-side factor. The model is estimated for the period January 1998 to June 2005 on a monthly basis. The results indicate that monetary factors have played a dominant role in recent inflation, affecting inflation with a lag of about one year. Private sector credit growth and broad money growth are also good leading indicators of inflation which can be used to forecast future inflation developments. JEL classification: E31, C22, C32 Keywords: Inflation, Pakistan, Leading Indicators, Forecasting, Monetary Policy
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Panyagometh, Kamphol. "An anatomy of calendar effects in Thailand." Investment Management and Financial Innovations 13, no. 4 (2016): 8–16. http://dx.doi.org/10.21511/imfi.13(4).2016.01.
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This paper aimed to study the interaction and profitability of the five most well-established calendar effects: Halloween effect, January effect, turn-of-the-month effect, weekend effect, and Thai holiday effect. The author found that turn-of-the-month effect (TOM) and weekend effect were the strongest and most profitable effects in Thai stock markets. The equity premium over the sample during 2000–2015 was 4.40 per cent if there was TOM effect or weekend effect, and -2.13 per cent in other cases. This study narrowed down the number of calendar effects from five to two, leading to more effective and less complex summary of different seasonal effects. Keywords: calendar effects, Halloween effect, holiday effect, January effect, turn-of-the-month effect, weekend effect. JEL Classification: C12, C22
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Hermawan, Francisca, Sri Hapsari Wijayanti, and Fransiskus X. Lara Aba. "The Canvas Model as a Strategy for Improving Financial Profits: A Casey Study of Online Businesses in Indonesia." GATR Journal of Business and Economics Review 2, no. 4 (2017): 40–44. http://dx.doi.org/10.35609/jber.2017.2.4(6).
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Objective - The aim of this study is to identify how the strategy of online businesses can be improved to increase financial profits. The focus of this study is on online businesses selling flowers, taking into consideration the fact that the freshness of flowers does not last long, and that the price and quality of flowers fluctuates depending on climatic conditions. Methodology/Technique - The data used in this research is primary data, obtained by distributing questionnaires for market research, tested against 57 respondents. The respondents were selected using non-probability sampling with a purposive sampling technique. The results of the validation test r count > r table, with 5% significance, shows that businesses providing flower arrangements are in high demand. Findings - The results of the model business identification canvas and the profit and loss projections indicate that the choice of the business strategy series for cut flowers on each element is accurate. The results of the analysis of the strengths and threats also identifies that selling price varies depending on the types of flowers used in an arrangement, and accessories used. Novelty - This research studies how the types of flowers used, the design of an arrangement, accessories used, packaging, and family ownership of a business can effect the interest of potential customers in the Fiore shop in Afrodite. Type of Paper: Empirical. Keywords: SWOT; Canvas Models; Communication; Online Business; Indonesia. JEL Classification: C50, C53, C59.
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Hodgson, Robert, and Jing Cao. "Criteria for Accrediting Expert Wine Judges." Journal of Wine Economics 9, no. 1 (2013): 62–74. http://dx.doi.org/10.1017/jwe.2013.26.
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AbstractA test for evaluating wine judge performance is developed. The test is based on the premise that an expert wine judge will award similar scores to an identical wine. The definition of “similar” is parameterized to include varying numbers of adjacent awards on an ordinal scale, from No Award to Gold. For each index of similarity, a probability distribution is developed to determine the likelihood that a judge might pass the test by chance alone. When the test is applied to the results from a major wine competition, few judges pass the test. Of greater interest is that many judges who fail the test have vast professional experience in the wine industry. This leads to us to question the basic premise that experts are able to provide consistent evaluations in wine competitions and, hence, that wine competitions do not provide reliable recommendations of wine quality. (JEL Classifications: C02, C12, D81)
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Zaarour, Fatma, and Adnene Ajimi. "International Financial Integration and Stock Market in Developing Countries." GATR Journal of Business and Economics Review 6, no. 2 (2021): 148–59. http://dx.doi.org/10.35609/jber.2021.6.2(4).
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Objective - This study examines the relation between stock market capitalization and international financial integration for 23 developing countries during 1996 - 2018. Methodology/Technique - By using recently developed econometric panel techniques. The present paper takes into consideration cross section and structural breaks. Findings - Our findings show several interesting results. First, the existence of a long run relationship between the stock market and financial integration, particularly when private capital flows are included. Second, with the presence of structural breaks the result shows that international financial integration has a negative impact on stock market, which means that financial integration loses its explanatory power over the crisis period. Novelty - There is no applied study on the verification of the volatility of international capital flows (foreign direct investments and remittances) in the analysis of the relationship between international financial integration and stock markets. Type of Paper - Empirical Keywords: Cointegration, Cross-Section, International Financial Integration, Panel Unit Root, Structural Breaks, Stock Market. JEL Classification: C23, C51, C58, F02, F21, F24, G01.
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Quandt, Richard E. "Measurement and Inference in Wine Tasting." Journal of Wine Economics 1, no. 1 (2006): 7–30. http://dx.doi.org/10.1017/s1931436100001826.
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The paper has three basic objectives: (1) to discuss and analyze the subtleties of ranking wines in blind tastings, (2) to analyze the degree of agreement or disagreement among the tasters (judges) and (3) to shed some light on the problem of identifying the wines and to determine when the identifications of the judges might be called statistically significant. The first issue utilizes the rank sums or the related measure, “votes against,” and discusses the appropriateness of a statistical test introduced by Kramer. The second introduces Kendall's W coefficient of concordance and discusses some other, related measures. The third derives the finite sample distribution of the number of correct identifications under the null hypothesis of random identifications, from which critical values can be obtained, both for the case in which each wine has to be identified exactly and the case in which there is a small number of different types of wine that have to be identified. (JEL Classification numbers: C12, C15, C49, C59)
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Gökgöz, Fazil, and Fahrettin Filiz. "Electricity price forecasting in Turkey with artificial neural network models." Investment Management and Financial Innovations 13, no. 3 (2016): 150–58. http://dx.doi.org/10.21511/imfi.13(3-1).2016.01.
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The electricity market has experienced significant changes towards deregulation with the aim of improving economic efficiency. The electricity pricing is a major consideration for consumers and generation companies in deregulated electric markets, so that offering the right price for electricity has become more important. Various methods and ideas have been tried for electricity price forecasting. Artificial neural networks have received much attention with its nonlinear property and many papers have reported successful experiments with them. This paper introduces artificial neural network models for day-ahead electricity market in Turkey. Using gradient descent, gradient descent with momentum, Broydan, Fletcher, Goldfarb and Shanno (BFGS) and Levenberg-Marquardt algorithm with different number of neuron and transfer functions, 400 different models are created. Performances of different models are compared according to their Mean Absolute Percentage (MAPE) values; the most successful models MAPE value is observed as 9.76%. Keywords: electricity price forecasting, neural networks, day-ahead electricity market, Turkey. JEL Classification: C02, C13, C45, C53
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Gómez-Zamudio, Luis M., and Raúl Ibarra. "Are Daily Financial Data Useful for Forecasting GDP? Evidence from Mexico." Economía 17, no. 2 (2017): 173–203. http://dx.doi.org/10.31389/eco.70.
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This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of quarterly GDP for Mexico. The model uses both quarterly and daily sampling frequencies while remaining parsimonious. In particular, the mixed data sampling (MIDAS) regression model is employed to deal with the multi-frequency problem. To preserve parsimony, factor analysis and forecast combination techniques are used to summarize the information contained in a data set containing 392 daily financial series. Our findings suggest that the MIDAS model incorporating daily financial data leads to improvements in quarterly forecasts of GDP growth over traditional models that either rely only on quarterly macroeconomic data or average daily frequency data. The evidence suggests that this methodology improves the forecasts for the Mexican GDP notwithstanding its higher volatility relative to that of developed countries. Furthermore, we explore the ability of the MIDAS model to provide forecast updates for GDP growth (nowcasting).
 JEL Classifications: C22, C53, E37
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Duasa, Jarita, and Salina H. Kassim. "Foreign Portfolio Investment and Economic Growth in Malaysia." Pakistan Development Review 48, no. 2 (2009): 109–23. http://dx.doi.org/10.30541/v48i2pp.109-123.
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This study examines the relationship between foreign portfolio investment (FPI) and Malaysia’s economic performance. In particular, the study analyses the relationship between FPI and real gross domestic product (GDP) using the widely adopted Granger causality test and the more recent Toda and Yamamoto’s (1995) non-causality test to establish the direction of causation between the two variables. Similar method is also applied on the relationship between volatility of FPI and real GDP. Additionally, the study uses an innovation accounting by simulating variance decompositions and impulse response functions for further inferences. Using quarterly data covering the period from 1991 to 2006, the study finds evidence that economic growth causes changes in the FPI and its volatility and not vice versa.. The findings suggest that economic performance is the major pull factor in attracting FPI into the country. Thus, it must be ensured that the Malaysian economy remains on a healthy and sustainable growth path so as to maintain investor confidence in the economy. JEL classification: G15, C32, C12 Keywords: Foreign Portfolio Investment, Economic Growth, Granger Causality, Toda-Yamamoto Non-causality, Variance Decomposition
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Rashid, Abdul, and Fazal Husain. "Capital Inflows, Inflation, and the Exchange Rate Volatility: An Investigation for Linear and Nonlinear Causal Linkages." Pakistan Development Review 52, no. 3 (2013): 183–206. http://dx.doi.org/10.30541/v52i3pp.183-206.
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This paper empirically examines the effect of foreign capital inflows on domestic price levels, monetary expansion, and the exchange rate volatility for Pakistan using linear and nonlinear causality tests. The key message emerging from the analysis is that there is a significant inflationary impact of capital inflows, in particular during the period of surges in capital inflows. Specifically, we find evidence of a significant nonlinear Granger causality running from capital inflows to the change in domestic prices. We also show that domestic prices are nonlinearly caused (in Granger sense) by the growth of domestic debt and money supply-to-GDP ratio. Our results, however, suggest that the market interest rate and the nominal exchange rate do not have significant relationships with domestic prices. The findings suggest that there is a need to manage the capital inflows in such a way that they should neither create an inflationary pressure in the economy nor fuel the exchange rate volatility. JEL Classification: C22, C32, F21, F31, F32 Keywords: Capital Inflows, Inflationary Pressures, the Exchange Rate Volatility, Monetary Expansion, Nonlinear Dynamics
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Fang, Hao, Tsang-Yao Chang, Yen-Hsien Lee, and Wei-Jui Chen. "The impact of macroeconomic factors on the real estate investment trust index return on Japan, Singapore and China." Investment Management and Financial Innovations 13, no. 4 (2016): 242–53. http://dx.doi.org/10.21511/imfi.13(4-1).2016.11.
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This study contributes to the existing literature by combining the multiple methods to clarify the influence of the macroeconomic factors on the real estate investment trust (REIT) index in three Asian countries. The authors, first, use an autoregressive distributed lag (ARDL) bounds test to find that a long-run equilibrium exists between the REIT index and the interest rate, inflation rate, and stock index for China and Singapore. The authors, then, analyze the long- and short-run elasticity of the macroeconomic variables on the REIT index. Finally, using the Granger non-causality test, the authors demonstrate that a unidirectional relationship, in which inflation-rate shifts cause REIT index changes, exists in Japan and Singapore and that a wealth effect, in which stock index movements cause REIT index changes, exists in Singapore. The findings have economic implications for investors seeking to gain from REITs using macroeconomic factors. Keywords: REITs, macroeconomic factor, ARDL bounds test, ARDL long-run model, error-correction model, Granger non-causality test. JEL Classification: C22, G11, L85, D53, C58, F14
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Qayyum, Abdul. "Money, Inflation, and Growth in Pakistan." Pakistan Development Review 45, no. 2 (2006): 203–12. http://dx.doi.org/10.30541/v45i2pp.203-212.
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This paper attempts to investigate the linkage between the excess money supply growth and inflation in Pakistan and to test the validity of the monetarist stance that inflation is a monetary phenomenon. The results from the correlation analysis indicate that there is a positive association between money growth and inflation. The money supply growth at first-round affects real GDP growth and at the second round it affects inflation in Pakistan. The important finding from the analysis is that the excess money supply growth has been an important contributor to the rise in inflation in Pakistan during the study period, thus supporting the monetarist proposition that inflation in Pakistan is a monetary phenomenon. This may be due to the loose monetary policy adopted by the State Bank of Pakistan to show the high priority of the growth objective. The important policy implication is that inflation in Pakistan can be cured by a sufficiently tight monetary policy. The formulation of monetary policy must consider development in the real and financial sector and treat these sectors as constraints on the policy. JEL classification: E31, C22, C32 Keywords: Money Supply, Inflation, Growth, Quantity Theory, Monetary Policy, Pakistan
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Khundrakpam, Jeevan Kumar. "Examining the Asymmetric Impact of Monetary Policy in India." Margin: The Journal of Applied Economic Research 11, no. 3 (2017): 290–314. http://dx.doi.org/10.1177/0973801017703500.
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Though an accumulating body of work has analysed monetary policy transmission in India, there are few studies examining the asymmetric aspect of the transmission. Against this backdrop, segregating the interest rate setting process captured by a Taylor rule type into unanticipated and anticipated components, this article analyses the asymmetric effects of monetary policy on aggregate demand and its components, and inflation in India using quarterly data from 1996–97Q1 to 2013–14Q3. It finds that unanticipated hikes and cuts in the policy rate have a symmetric impact on aggregate demand, but differentially impact the components. While the impacts on investment are negative and symmetric, they are asymmetric on private consumption, with only an unanticipated cut in policy rate having a significant negative impact. Government consumption is unaffected by monetary policy shocks. The impact of unanticipated interest rate changes on inflation is negative and symmetric. Anticipated policy rate changes also have a negative impact on aggregate demand and its components, except for government consumption, but between certain levels, such changes are ineffective, indicating a neutral impact. Anticipated policy rate changes have a negative impact on inflation at all levels. JEL Classification: C32, C51, E31, E52
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Gómez Zaldivar, Manuel, Oscar Manjarrez Castro, and Daniel Ventosa-Santaulària. "Regresión espuria en especificaciones dinámicas." Ensayos Revista de Economía 28, no. 1 (2009): 1–10. http://dx.doi.org/10.29105/ensayos28.1-1.
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La regresión espuria ha sido documentada en econometría desde el trabajo de Granger y Newbold (1974). Dicho fenómeno ha sido identificado usando una vasta diversidad de Procesos Generadores de Datos que van desde una simple raíz unitaria sin deriva (unit root without drift), hasta una serie estacionaria en tendencia con rompimientos estructurales (broken trend stationary). No obstante, la especificación bajo la cual se han realizado estos trabajos es la regresión simple con una sola variable explicativa. En este documento se demuestra que, usando series estacionarias en tendencia independientes entre sí, la regresión espuria también ocurre cuando se estima una especificación dinámica. Dicha especificación dinámica es empleada frecuentemente en el estudio de las expectativas. Los resultados amplían y complementan dos cuestiones que con frecuencia son sugeridas en los manuales de econometría: cuando el proceso es estacionario en tendencia con quiebres estructurales, (i) en especificaciones dinámicas, el estadístico Durbin-Watson no tiende a cero, por lo que no es una prueba fiable de regresión espuria, y (ii) la inclusión de la variable dependiente rezagada en el conjunto de explicativas no siempre corrige el problema de la regresión espuria. JEL classification: C12, C13, C22.
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Lalwani, Vaibhav, and Vedprakash Vasantrao Meshram. "Stock Market Efficiency in the Time of COVID-19: Evidence from Industry Stock Returns." International Journal of Accounting & Finance Review 5, no. 2 (2020): 40–44. http://dx.doi.org/10.46281/ijafr.v5i2.744.
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Using industry portfolios as test assets and a battery of statistical tests, we study if the informational efficiency of stock prices has declined after the COVID-19 crisis began. The results suggest that the predictability of stock returns in some industries has increased during the COVID-19 period. Markets appear to have become less informationally efficient during the COVID-19 crisis.
 JEL Classification Code: C58, G01, G10, G14.
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Voon, Derby, and James Fogarty. "A Note on Forecasting Alcohol Demand." Journal of Wine Economics 14, no. 2 (2019): 208–13. http://dx.doi.org/10.1017/jwe.2019.15.
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AbstractA recent study in the Journal of Wine Economics presented forecasts of future alcohol consumption derived using the ARIMA (Box–Jenkins) method. Alcohol consumption forecasts can be developed using many different methodologies. In this Note we highlight the value of using multiple methods to develop alcohol consumption forecasts, and demonstrate the capability of the R software platform as a general forecasting tool. (JEL Classifications: D12, C53)
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Shaik, Muneer, and S. Maheswaran. "Modelling the Paradox in Stock Markets by Variance Ratio Volatility Estimator that Utilises Extreme Values of Asset Prices." Journal of Emerging Market Finance 15, no. 3 (2016): 333–61. http://dx.doi.org/10.1177/0972652716666464.
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We document the presence of the random walk effect in stock indices and, at the same time, find that the constituent stocks of the indices are excessively volatile. This gives rise to a paradox in stock markets between the behaviour of the stock index and its constituent stocks. We address this phenomenon in this article and reconcile the seemingly contradictory inferences by extending the Binomial Markov Random Walk (BMRW) model. JEL Classification: C15, C58, G15
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Tovar, Luís, and Gustavo García. "El entorno regional y la percepción del estado de salud en Colombia, 2003." Lecturas de Economía, no. 65 (October 29, 2009): 177–208. http://dx.doi.org/10.17533/udea.le.n65a2645.
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En este artículo se estudia el impacto de un conjunto de variables sobre la percepción del estado de salud de los individuos en las regiones que establece la Encuesta Nacional de Calidad de Vida (ECV), realizada por el Departamento Administrativo Nacional de Estadísticas, DANE, en 2003. En el trabajo econométrico se utilizaron modelos Probit ordenados donde las variables adoptadas denotan diferentes factores socioeconómicos, demográficos, institucionales y familiares. El análisis por regiones sirvió para probar que existen elementos locales o regionales que hacen que el impacto de los factores que inciden en las condiciones de salud de los individuos difiera de una región a otra. Palabras clave: determinantes de la salud, seguridad social en salud, modelo probit ordenado, economía de la salud, región. Clasificación JEL: I11, I12, C25. Abstract: In this article the impact of a set of variables over the perception of individuals’ health state in the regions established by the National Life Quality Survey (ECV) performed by the Administrative National Department of Statistics (DANE) in 2003 is studied. The variables denote socioeconomic and demographic characteristics of individuals, institutional characteristics of the health system, and household characteristics. The econometric exercise is based on the use of ordered probit models for the determination of such impact. The analysis by regions was useful to prove the existence of local or regional elements that make the impact of the factors that impinge on the health conditions of people to differ from region to region. Keywords: health determinants, social security in health, ordered probit models, health economics, region. JEL classification: I11, I12, C25. Résumé: Cet article étudie l’impact d’un ensemble de variables socio-économiques sur la santé des individus. Pour amener à bien cette étude, nous utilisons la classification des régions établit par l’Enquête Nationale de Qualité de Vie (ECV), réalisée en 2003 par le Département Administratif National de Statistique -DANE. Nous utilisons dans le travail économétrique des modèles Probit Ordonnés dont les variables adoptées contiennent différents facteurs socio-économiques, démographiques, institutionnels et familiaux. L’analyse prouve que ces facteurs expliquant la santé des individus diffère entre les régions. Mots clés: déterminants de la santé, sécurité social, modèle probit ordonné, économie de la santé, région. Classification JEL: I11, I12, C25.
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Cuellar, Steven S., Dan Karnowsky, and Frederick Acosta. "The Sideways Effect: A Test for Changes in the Demand for Merlot and Pinot Noir Wines." Journal of Wine Economics 4, no. 2 (2009): 219–32. http://dx.doi.org/10.1017/s193143610000081x.
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AbstractThis paper examines the effect of the movie Sideways on US wine consumption. Specifically, we examine the affects of the movie on the consumption of Merlot, which is derided in the movie and the affect on Pinot Noir, which is praised. We examine the trends in consumption before and after the movie and perform statistical tests for structural changes in consumption. We also test for changes in consumption of each varietal by price point. (JEL Classification: C22)
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Valencia-Herrera, Humberto, and Francisco López-Herrera. "Markov Switching International Capital Asset Pricing Model, an Emerging Market Case: Mexico." Journal of Emerging Market Finance 17, no. 1 (2018): 96–129. http://dx.doi.org/10.1177/0972652717748089.
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The article shows how the international capital asset pricing model (ICAPM) with Markov regime switching can model the asset returns in the emerging market of Mexico. For most assets, although significant, the international risk premium factor is not subject to regime switching, but the domestic factor is. The probabilities of regimes are correlated with the volatility of assets. A GARCH(1,1) Markov regime switching model offers better adjustment than a non-GARCH. JEL Classification: C58, F36, F65, G12, G15
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Kumar, Dilip. "Structural Breaks in Volatility Transmission from Developed Markets to Major Asian Emerging Markets." Journal of Emerging Market Finance 18, no. 2 (2019): 172–209. http://dx.doi.org/10.1177/0972652719846308.
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The study investigates the volatility transmission from developed markets (the United States [US], the United Kingdom [UK] and Japan) to the major Asian emerging markets (India, China, Malaysia, Thailand and Indonesia) during a period from 1996 to 2015. We make use of the opening, high, low and closing prices to estimate unbiased extreme value volatility estimator and implement heterogeneous autoregressive distributed lag (HAR-DL) framework to study the spillover effects. Based on time-varying spillover analysis, we observe sudden changes in the spillover effect during the periods of major crises. Initially, we find evidence of contagion during the period of global financial crisis of 2007–2009. However, after accounting for conditional heteroscedasticity, we observe a decline in the strength of volatility transmission from developed markets to the Asian emerging markets. Moreover, the initial evidence of contagion is not detectable anymore. We also test the economic significance of the findings by implementing three trading strategies based on risk averse and risk-taking investors that make use of the forecasted variance based on HAR-DL specification. Our findings indicate that substantial average annualised gains in returns can be earned based on the lagged volatility components of the USA and the UK. JEL Classification: C32, C58, G01, G15
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OPUE, JOB AGBA, ENYA NDEM BASSEY, GERMAN EFFA ANAGBOGU, AJA ACCORD ACCORD, HELEN WALTER MBOTO, and REBECCA OLIVER ENUOH. "TRADE FLOWS, OPTIMAL MACROECONOMIC POLICY AND BUSINESS CYCLES SYNCHRONIZATION IN WEST AFRICA MONETARY ZONE." Xi'an Shiyou Daxue Xuebao (Ziran Kexue Ban)/Journal of Xi'an Shiyou University, Natural Sciences Edition 66, no. 08 (2023): 202–41. https://doi.org/10.5281/zenodo.8289155.
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<strong>Abstract</strong> This work provides an answer to the possibility of creating a second West African monetary union in West Africa. The business cycles in the West African Monetary Zone (WAMZ) using real GDP growth within 1980-2022, detrended by Hodrick–Prescott filters were analyzed. This work also examined the effect of the level of symmetry in macroeconomic policies and the level of symmetry in trade flows on the level of synchronization of business cycles between pairs of countries in WAMZ, the seemingly unrelated regression estimation was computed on Autoregressive Distributed Lag models. The cusum of squares test indicated the absence of structural breaks in the models while the system Portmanteau test for autocorrelation indicated the absence of serial correlations up to the 10th order lag. The empirical results provide clear support for Ghana, Guinea and Nigeria to proceed in the creation of the second West African monetary union with their various currencies tied to the WAMZ-eco while also creating an enabling environment for other countries within WAMZ to join in due course. The cyclical thrift scheme for ECOWAS countries to boost industrialization and trade protection/restriction was also recommended. <strong>JEL Classification:</strong> C32, C51, E32, F15, F42, F53.
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OPUE, JOB AGBA, ENYA NDEM BASSEY, GERMAN EFFA ANAGBOGU, AJA ACCORD ACCORD, HELEN WALTER MBOTO, and REBECCA OLIVER ENUOH. "TRADE FLOWS, OPTIMAL MACROECONOMIC POLICY AND BUSINESS CYCLES SYNCHRONIZATION IN WEST AFRICA MONETARY ZONE." Xi'an Shiyou Daxue Xuebao (Ziran Kexue Ban)/ Journal of Xi'an Shiyou University, Natural Sciences Edition 66, no. 08 (2023): 202–41. https://doi.org/10.5281/zenodo.8289277.
Full textAbstract:
<strong>Abstract</strong> This work provides an answer to the possibility of creating a second West African monetary union in West Africa. The business cycles in the West African Monetary Zone (WAMZ) using real GDP growth within 1980-2022, detrended by Hodrick–Prescott filters were analyzed. This work also examined the effect of the level of symmetry in macroeconomic policies and the level of symmetry in trade flows on the level of synchronization of business cycles between pairs of countries in WAMZ, the seemingly unrelated regression estimation was computed on Autoregressive Distributed Lag models. The cusum of squares test indicated the absence of structural breaks in the models while the system Portmanteau test for autocorrelation indicated the absence of serial correlations up to the 10th order lag. The empirical results provide clear support for Ghana, Guinea and Nigeria to proceed in the creation of the second West African monetary union with their various currencies tied to the WAMZ-eco while also creating an enabling environment for other countries within WAMZ to join in due course. The cyclical thrift scheme for ECOWAS countries to boost industrialization and trade protection/restriction was also recommended. <strong>JEL Classification:</strong> C32, C51, E32, F15, F42, F53.
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Bentzen, Jan, and Valdemar Smith. "The Military Action in Iraq 2003: Did the US Consumer Boycott of French Wines Have any Economic Effects?" Journal of Wine Economics 2, no. 1 (2007): 75–83. http://dx.doi.org/10.1017/s1931436100000304.
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AbstractThe public opinion in the US turned against France and to some extent Germany for not supporting the armed intervention in Iraq. From early 2003 a boycott of French goods, especially wines, by American consumers became an issue which affected sales of French wines in the US. This paper analyses how the boycott affected the demand for French wine on the American market using international trade data. The effect may have been only temporary. We estimate it at some 120 million US dollars. (JEL classification: C22, D12)
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Maynard, Leigh J., and Kelly Davidson. "Consumer-Level Determinants of Wine Purchases in Canadian Restaurants." Journal of Wine Economics 4, no. 1 (2009): 10–24. http://dx.doi.org/10.1017/s193143610000064x.
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AbstractLogistic regressions identified determinants of red and white wine purchases in formal and casual restaurants, using a detailed dataset of over 26,000 consumer-level food away-from-home purchases in two Canadian provinces during 2000–2005. Meal context regressors, and prior behavior associated mainly with unobserved heterogeneity, contributed most of the explanatory power, with observable demographic regressors playing a modest role. The main strategic recommendation is thus to focus wine marketing resources on the restaurant environment, with less emphasis on targeting specific audiences. (JEL Classification: C25, D12)
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Alberola, Ricardo. "Estimating Volatility Returns Using ARCH Models. An Empirical Case: The Spanish Energy Market." Lecturas de Economía, no. 66 (October 23, 2009): 251–76. http://dx.doi.org/10.17533/udea.le.n66a2607.
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Este artículo analiza las regularidades más comunes en las series de tiempo del rendimiento diario de las acciones del mercado de energía de España, desde un punto de vista empírico. Al ser una herramienta poderosa para modelar su volatilidad, ajustamos una selección de procesos de heterocedasticidad condicional autorregresiva (ARCH) a las series. Se encuentra que solo dos series tienen una relación significativa, aunque diferente, entre el rendimiento condicional esperado de la acción y su varianza condicional: Enagas, cuya relación es negativa y Cepsa, cuya relación es positiva. Se encuentra, además, que el mercado eléctrico ha sido el más volátil durante el período analizado. Palabras clave: series financieras, acciones, rendimiento, riesgo, volatilidad, modelos ARCH, puntos de cambio estructural. Clasificación JEL: C22. Abstract: This paper analyzes the most common regularities of daily stock returns time series in the Spanish Energy Market from an empirical point of view. As they are a powerful tool, we fit a selection of developments of Autoregressive Conditional Heteroscedastic (ARCH) processes to the series in order to model their volatility. The paper finds that just two series have a significant and different relationship between the expected conditional stock return and its own conditional variance: Enagas (negative) and Cepsa (positive). It also finds that the electric market has been the most volatile market during the period under analysis. Keywords: financial series, stock, return, risk, volatility, ARCH model, structural change points. JEL classification: C22. Résumé: Cet article analyse, du point de vue empirique, les fréquences les plus communes dans les séries de temps du rendement journalier des actions du marché espagnol de l’énergie. Etant donné qu’il s’agit d’un outil puissant pour modeler leur volatilité, nous avons ajusté les séries à travers une sélection de processus d’heterocedasticité conditionnelle autorégressive (ARCH). Nous trouvons qu’il n’y a que deux séries qu’on une relation significative mais différente entre le rendement conditionnel attendu de l’action et sa variance conditionnelle : il s´agit de Enagas dont sa relation est négative et Cepsa dont sa relation est positive. Nos trouvons également que le marché d’électricité a été parmi tous les plus volatil pendant la période d’étude. Mots clés: séries financières, actions, rendement, risque, volatilité, modèles ARCH, points de changement structurel. Classification JEL: C22.
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Pawlisiak, Mieczysław. "ARIMA MODEL USED TO ANALYZE THE DEMAND FOR SWIMMING POOL SERVICES." Współczesna Gospodarka 10, no. 1 (32) (2019): 55–68. http://dx.doi.org/10.26881/wg.2019.1.06.
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Many factors influence customer preferences among those who choose active leisure. A wide range of market productsmakes for many opportunities, and sports facilities are required to be fully prepared to provide services. It is helpful to create forecasts that enable to determine the predictable number of clients. An example prediction made with respect to swimming pools is presented in this article. For this purpose, the ARIMA model was used, based on the assumption that the value of the endogenous variable is affected by the value of this variable laggedin time.
 JEL classification: C2, C22.
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Grzelak, Małgorzata. "FORECASTING PRODUCTION VOLUME IN A PLASTICS ENTERPRISE." Współczesna Gospodarka 10, no. 1 (32) (2019): 69–78. http://dx.doi.org/10.26881/wg.2019.1.07.
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The functioning of production enterprises is based on satisfying the needs of customers through the timely manufacture of products in accordance with the demand existing on the market. The availability of the offered range of products is guaranteed by a correct preparation of forecasts of potential orders. This article presents a multiple-regression-method-based tool supporting the planning of production volumes in an enterprise depending on the calendar month. Reliability analysis of the developed model through the analysis of residuals and their autocorrelations and partial autocorrelations is also presented.
 JEL classification: C2, C22.
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Yadav, Arvind Kumar, Kirtti Ranjan Paltasingh, and Pabitra Kumar Jena. "Incidence of Communicable and Non-communicable Diseases in India: Trends, Distributional Pattern and Determinants." Indian Economic Journal 68, no. 4 (2020): 593–609. http://dx.doi.org/10.1177/0019466221998841.
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The recent trends and distributional patterns of communicable diseases (CD) and non-communicable diseases (NCD) in India are analysed in this study. Utilising the unit-level health-specific data from three rounds (1995, 2004 and 2014) of the National Sample Survey Office, it is found that the incidence of CDs is declining while that of NCDs increasing over time. The state-wise pattern shows that both the least-developed states and relatively developed states have a high incidence of diseases. But the incidence of CDs is relatively high in backward states like Rajasthan, Odisha, Assam, Bihar and UP, whereas the prevalence of NCDs is high in advanced states like Kerala, Maharashtra, Tamil Nadu and others. The multinomial logistic regression results also confirm that income, sex and availability of safe drinking water are key determinants of the presence of diseases. Thus, the policy implication of the study calls for the availability and accessibility of adequate medical facilities at affordable costs, development of a strong network of public health facilities in rural India primarily. Bringing the rural as well as urban poor into the fold of health insurance schemes would ensure a huge benefit to the masses who struggle to get the basic treatment. The development of an effective ‘health information system’ can be a better policy instrument in arresting the rising incidence of NCDs. JEL Classification codes: C12, C51, I15, I18
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Jentsch, Carsten, and Julia Steinmetz. "A connectedness analysis of German financial institutions during the financial crisis in 2008." Banks and Bank Systems 11, no. 4 (2016): 8–19. http://dx.doi.org/10.21511/bbs.11(4).2016.01.
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For core financial market activities like risk management and asset pricing, it appears to be crucial to investigate the “connectedness” among financial institutions. In times of economic crises, a suitable measure of connectedness can provide valuable insights of financial markets and helps to understand how institutions influence each other. In particular, depending on contractual obligations between financial institutions, the financial distress at a bank with large systemic impact is likely to cause also distress at other institutions. In the literature, the latter phenomenon is generally tagged by ’contagion’ and can eventually result in severe economic crises. The purpose of this paper is to investigate the connectedness among German financial institutions during the global financial crisis 2007-2009, where the authors focus particularly on 2008 and its height in September 2008 with the bankruptcy of Lehman Brothers. They make use of the definition of connectedness, as it was recently proposed by Diebold and Yilmaz (2014). Their approach relies on analyzing multiple time series of volatilities by a vector autoregressive (VAR) model and a generalized forecast error variance decompositions. It provides several meaningful measures of connectedness and allows for static (average), as well as dynamic (daily time-varying) analyses. The authors show that the connectedness in Germany can be described well by the model. Keywords: сonnectedness, contagion, generalized variance decomposition, networks, spillover effects. JEL Classification: C32, C58, G32, G33
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KOUASSI, Ya Assanhoun Guillaume. "Analysis of the joint effect of the quality of the environment and of health on economic growth in Côte d'Ivoire." African Scientific Journal Vol 3, N° 3 (2020): 001. https://doi.org/10.5281/zenodo.5535547.
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<strong>Résumé</strong> Cette étude utilise des données annuelles couvrant la période 1974-2014 pour examiner l’effet conjoint de la dégradation de l’environnement et de la santé sur la croissance économique en Côte d’Ivoire. Nous montrons à partir d’un modèle autorégressif à retards échelonnés et du test de Granger, que la qualité de l’environnement et la santé, n’affectent pas conjointement la croissance économique. Ces résultats suggèrent la formulation de Politiques conjointes vigoureuses de protection de l’environnement, de la santé et de promotion d’une croissance durable. <strong>Mots clés : </strong>Croissance économique ; santé ; émissions de (CO2) ; modèle ARDL ; Test de Granger. Classification JEL: C32; I15; O13; O44; Q54; Q56 <strong>Abstract</strong> This study uses annual data covering the period 1974-2014 to examine the joint effect of environmental degradation and health on economic growth in Côte d'Ivoire. We show from an autoregressive step-lag model and the Granger test that environmental quality and health do not jointly affect economic growth. These results suggest the formulation of strong joint policies for the protection of environment, health and promotion of sustainable growth <strong>Keywords</strong>: (CO2) emissions; Economic growth; Health; ARDL model; Granger test. JEL Classification : C32 ; I15 ; O13 ; O44 ; Q54 ; Q56
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Basu, Sudipta. "How Can Accounting Researchers Become More Innovative?" Accounting Horizons 26, no. 4 (2012): 851–70. http://dx.doi.org/10.2308/acch-10311.
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SYNOPSIS: This essay is based on a presentation at the American Accounting Association Strategy Retreat in May 2011 on the assertion “Accounting research as of 2011 is stagnant and lacking in significant innovation that introduces fresh ideas and insights into our scholarly discipline.” It poses the question “How can accounting researchers become more innovative?” and discusses why accounting researchers may have become less innovative. It also outlines some changes in incentive structures and editorial processes needed to achieve greater innovation in accounting research. JEL Classifications: A11; A12; B23; C12; I23; J44; M4; O31.