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Moyo, Vusani. "Dynamic Capital Structure Adjustment: Which estimator yields consistent and efficient estimates?" Journal of Economic and Financial Sciences 9, no. 1 (December 18, 2017): 209–27. http://dx.doi.org/10.4102/jef.v9i1.38.
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The partial adjustment model is key to a number of corporate finance research areas. The model is by its nature an autoregressive-distributed lag model that is characterised by heterogeneity among individuals and autocorrelation due to the presence of the lagged dependent variable. Finding a suitable estimator to fit the model can be challenging, as the existing estimators differ significantly in their consistency and bias. This study used data drawn from 143 non-financial firms listed on the Johannesburg Stock Exchange (JSE) to test for the consistency and efficiency of the leading partial adjustment model estimators. The study results confirm the bias-corrected least squares dummy variable (LSDVC) initialised by the system generalised method of moments (GMM) estimator, the random effects Tobit estimator and the system GMM estimator as the most suitable estimators for the partial adjustment model. The difference GMM estimator and the Anderson-Hsiao instrumental variables estimator are inconsistent and biased in the context of the partial adjustment model.
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Shina, Arya Fendha Ibnu. "ESTIMASI PARAMETER PADA SISTEM MODEL PERSAMAAN SIMULTAN DATA PANEL DINAMIS DENGAN METODE 2 SLS GMM-AB." MEDIA STATISTIKA 11, no. 2 (December 30, 2018): 79–91. http://dx.doi.org/10.14710/medstat.11.2.79-91.
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Single equation models ignore interdependencies or two-way relationships between response variables. The simultaneous equation model accommodates this two-way relationship form. Two Stage Least Square Generalized Methods of Moment Arellano and Bond (2 SLS GMM-AB) is used to estimate the parameters in the simultaneous system model of dynamic panel data if each structural equation is exactly identified or over identified. In the simultaneous equation system model with dynamic panel data, each structural equation and reduced form is a dynamic panel data regression equation. Estimation of structural equations and reduced form using Ordinary Least Square (OLS) resulted biased and inconsistent estimators. Arellano and Bond GMM method (GMM AB) estimator produces unbiased, consistent, and efficient estimators.The purpose of this paper is to explain the steps of 2 SLS GMM-AB method to estimate parameter in simultaneous equation model with dynamic panel data. Keywords:2 SLS GMM-AB, Arellano and Bond estimator, Dynamic Panel Data, Simultaneous Equations
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Tan, Yong, and John Anchor. "Stability and profitability in the Chinese banking industry: evidence from an auto-regressive-distributed linear specification." Investment Management and Financial Innovations 13, no. 4 (December 15, 2016): 120–29. http://dx.doi.org/10.21511/imfi.13(4).2016.10.
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The important role played by the Chinese commercial banks in the development of China’s economy has made the government and banking regulatory authority concerned about the performance of these banks.Indeedthe stability of the banking sector has attracted greater attention since the financial crisis of 2007-2009. The principal objective of this study is to investigate the inter-relationships between profitability and stability in the Chinese banking industry. Using a sample of Chinese commercial banks over the period 2003-2013, the study examines the inter-relationships under an auto-regressive-distributed linear model. Both Z-score and stability inefficiency were used as measures of stability, while Return on Assets (ROA) was used as the indicator of profitability. Different types of Generalized Method of Moments (GMM) estimators including difference GMM, one-step system GMM, two-step system GMM as well as two-step robust GMM were used. In order to the check the robustness of the results, alternative econometric techniques were used, such as ordinary least square (OLS) estimator, between effect estimator, as well as fixed effect estimator. The results show that higher insolvency risk/lower bank stability leads to higher profitability of Chinese commercial banks and also that higher profitability leads to higher bank fragility. Keywords: bank profitability, bank risk, China. JEL classification: G21, C23
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Hayakawa, Kazuhiko. "THE ASYMPTOTIC PROPERTIES OF THE SYSTEM GMM ESTIMATOR IN DYNAMIC PANEL DATA MODELS WHEN BOTH N AND T ARE LARGE." Econometric Theory 31, no. 3 (September 15, 2014): 647–67. http://dx.doi.org/10.1017/s0266466614000449.
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In this paper, we derive the asymptotic properties of the system generalized method of moments (GMM) estimator in dynamic panel data models with individual and time effects when both N and T, the dimensions of cross-section and time series, are large. Specifically, we show that the two-step system GMM estimator is consistent when a suboptimal weighting matrix where off-diagonal blocks are set to zero is used. Such consistency results theoretically support the use of the system GMM estimator in large N and T contexts even though it was originally developed for large N and small T panels. Simulation results indicate that the large N and large T asymptotic results approximate the finite sample behavior reasonably well unless persistency of data is strong and/or the variance ratio of individual effects to the disturbances is large.
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Leitão, Nuno Carlos. "GMM Estimator: An Application to Intraindustry Trade." Journal of Applied Mathematics 2012 (2012): 1–12. http://dx.doi.org/10.1155/2012/857824.
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This paper investigates the determinants of intraindustry trade (IIT), horizontal IIT (HIIT), and Vertical IIT (VIIT) in the automobile industry in Portugal. The trade in this sector between Portugal and the European Union (EU-27) was examined, between 1995 and 2008, using a dynamic panel data. We apply the GMM system to solve the problems of serial correlation and the endogeneity of some explanatory variables. The findings are consistent with the literature. The difference between per capita incomes and factor endowments present a positive sign. These results are according to Heckscher-Ohlin predictions. The economic dimension has a positive impact on trade. A negative effect of the distance on bilateral trade was expected and the results confirm this, underlining the importance of neighbour partnerships for all trade.
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Ataünal, Levent, and Aslı Aybars. "Testing Target-Adjustment and Pecking Order Models of Capital Structure and Estimating Speed of Adjustment." International Journal of Corporate Finance and Accounting 4, no. 1 (January 2017): 1–15. http://dx.doi.org/10.4018/ijcfa.2017010101.
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This article examines the explanation power of the pecking order and target adjustment models on 148 Borsa Istanbul (BIST) firms' capital structure over the period of 2005 to 2015. The article also estimates the speed of adjustment (SOA) to the targeted leverage level. Although a firm's capital structure is jointly determined by both theories, target adjustment model appear to have relatively higher power in explaining capital structures of BIST firms. Estimates of the adjustment speeds suggests that firms move toward their target debt ratios at a fast pace. Adjustment speeds estimated with market leverage were significantly higher (44% - 83%). Share price volatility was found to have a rather short-term impact on market leverage. Firms rapidly revert back to their targets and offset these fluctuations within few years. Adjustment speed estimates vary with the estimation method. System generalized methods of moment estimator (GMM-SYS) provided the slowest SOA estimation whereas firm-fixed effects estimators imparted the fastest adjustment speed.
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Kruiniger, Hugo. "GMM ESTIMATION AND INFERENCE IN DYNAMIC PANEL DATA MODELS WITH PERSISTENT DATA." Econometric Theory 25, no. 5 (October 2009): 1348–91. http://dx.doi.org/10.1017/s0266466608090531.
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In this paper we consider generalized method of moments–based (GMM-based) estimation and inference for the panel AR(1) model when the data are persistent and the time dimension of the panel is fixed. We find that the nature of the weak instruments problem of the Arellano–Bond (Arellano and Bond, 1991,Review of Economic Studies58, 277–297) estimator depends on the distributional properties of the initial observations. Subsequently, we derive local asymptotic approximations to the finite-sample distributions of the Arellano–Bond estimator and the System estimator, respectively, under a variety of distributional assumptions about the initial observations and discuss the implications of the results we obtain for doing inference. We also propose two Lagrange multiplier–type (LM-type) panel unit root tests.
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Han, Chirok, Peter C. B. Phillips, and Donggyu Sul. "X-DIFFERENCING AND DYNAMIC PANEL MODEL ESTIMATION." Econometric Theory 30, no. 1 (August 7, 2013): 201–51. http://dx.doi.org/10.1017/s0266466613000170.
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This paper introduces a new estimation method for dynamic panel models with fixed effects and AR(p) idiosyncratic errors. The proposed estimator uses a novel form of systematic differencing, called X-differencing, that eliminates fixed effects and retains information and signal strength in cases where there is a root at or near unity. The resulting “panel fully aggregated” estimator (PFAE) is obtained by pooled least squares on the system of X-differenced equations. The method is simple to implement, consistent for all parameter values, including unit root cases, and has strong asymptotic and finite sample performance characteristics that dominate other procedures, such as bias corrected least squares, generalized method of moments (GMM), and system GMM methods. The asymptotic theory holds as long as the cross section (n) or time series (T) sample size is large, regardless of then/Tratio, which makes the approach appealing for practical work. In the time series AR(1) case (n= 1), the FAE estimator has a limit distribution with smaller bias and variance than the maximum likelihood estimator (MLE) when the autoregressive coefficient is at or near unity and the same limit distribution as the MLE in the stationary case, so the advantages of the approach continue to hold for fixed and even smalln. Some simulation results are reported, giving comparisons with other dynamic panel estimation methods.
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Chávez, Carlos Cesar. "The Impact of Macroeconomics Factors on Real Exchange Rate in Latin America:." Latin American Journal of Trade Policy 3, no. 8 (December 31, 2020): 6. http://dx.doi.org/10.5354/0719-9368.2020.57342.
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This paper studies the determinants of the real exchange rate using macroeconomic variables, and whether they can predict it. A panel data is used, which estimator is system GMM that allows controlling the endogeneity of the variables. In turn, we transformed the variables with forward orthogonal deviations (FOD) and first difference (FD), which allows us to eliminate unobserved effects that are invariant in time. To check the robustness of the estimates, different periods were used, from 1980-2019, 2000-2019 and 2010-2019. For the period 1980-2019, it is found that the past values of the real exchange rate, the current values of inflation, economic growth, fiscal and monetary policy have positive effects on the current values of the real exchange rate, while the money supply and the terms of trade have negative impacts on the real exchange rate. For the period 2000-2019, we had similar results and for the period 2010-2019, we found that economic growth has negative impacts on the real exchange rate. It is also presented the Arellano-Bond test and the Sargan test to estimate model over-identification. Using the Pedroni test, we estimated the cointegration of the variables with respect to the real exchange rate, finding cointegration with inflation in the long run. The originality of this paper is that we focused on Latin American countries, analyzing short-term relationships with the System GMM estimator and long-term relationships with the Pedroni Test.
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Al Farooque, Omar, Wonlop Buachoom, and Lan Sun. "Board, audit committee, ownership and financial performance – emerging trends from Thailand." Pacific Accounting Review 32, no. 1 (December 21, 2019): 54–81. http://dx.doi.org/10.1108/par-10-2018-0079.
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Purpose This study aims to investigate the effects of corporate board and audit committee characteristics and ownership structures on market-based financial performance of listed firms in Thailand. Design/methodology/approach It applies system GMM (generalized method of moments) as the baseline estimator approach, and ordinary least squares and fixed effects for robustness checks on a sample of 452 firms listed on the Thai Stock Exchange for the period 2000-2016. Findings Relying mainly on the system GMM estimator, the empirical results indicate some emerging trends in the Thai economy. Contrary to expectations for an emerging market and prior research findings, ownership structures, particularly ownership concentration and family ownership, appear to have no significant influence on market-based firm performance, while managerial ownership exerts a positive effect on performance. Moreover, as expected, board structure variables such as board independence; size; meeting and dual role; and audit committee meeting show significant explanatory power on market-based firm performance in Thai firms. Practical implications These findings are important for policymakers in constructing an appropriate set of governance mechanisms in an emerging market context, and for corporate entities and investors in shaping their understanding of corporate governance in the Thai institutional context. Originality/value Unlike previous literature on the Thai market, this study is the first to use the more advanced econometric method known as system GMM estimator for addressing causality/endogeneity issues in governance–performance relationships. The findings indicate new trends in the explanatory power of ownership structure variables on market-based firm performance in Thai-listed firms.
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Garfatta, Riadh, and Imen Zorgati. "Employee stock ownership and value creation: evidence from system GMM estimates." Managerial Finance 47, no. 9 (April 1, 2021): 1270–85. http://dx.doi.org/10.1108/mf-10-2020-0517.
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PurposeThis paper attempts to examine the nature of the relationship between employee stock ownership (ESO) and value creation in the context of shareholder governance.Design/methodology/approachThe research sample includes 129 French CAC All-Tradable index companies observed from 2015 to 2019. The system generalised moment (GMM) estimator (Blundell and Bond, 1998) is used in the dynamic panel.FindingsThe results estimated from the system GMM model show a threshold effect in the ESO–value creation relationship. For an employee shareholding ratio less than 3%, ESO has a positive impact on value creation; above this level, the impact becomes negative. Furthermore, the nature of the relationship largely depends on the form of employee shareholding.Research limitations/implicationsThese results are with strong economic implications. The risk of CEO entrenchment increases with the rise in share parts owned by employees. Companies with high shareholder value creation are companies with low employee ownership.Originality/valueThe main contribution in this study is that the form of ESO was considered in our analysis, which was not done in previous research. Another contribution is the use of recent data (2015–2019), which takes into account the large-scale development of French ESO practices, especially the absence of crises that may bias the results.
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ADJEI-FRIMPONG, KOFI, CHRISTOPHER GAN, and BAIDING HU. "EFFICIENCY AND COMPETITION IN THE GHANAIAN BANKING INDUSTRY: A PANEL GRANGER CAUSALITY APPROACH." Annals of Financial Economics 08, no. 01 (June 2013): 1350004. http://dx.doi.org/10.1142/s2010495213500048.
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This study examines the causal link between bank efficiency and bank competition. The study estimates bank competition with the Lerner index and bank cost efficiency with data envelopment analysis using annual data over the period 2001–2010. Using system generalized method of moments (system GMM) estimator, the results suggest that bank cost efficiency positively Granger-causes market power and hence causality negatively runs from bank cost efficiency to bank competition indicating that bank cost efficiency precedes bank competition. However, the reverse causality running from bank competition to bank cost efficiency is not supported.
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Pham, Huy Tiet, Christopher Gan, and Baiding Hu. "Causality between Financial Development and Foreign Direct Investment in Asian Developing Countries." Journal of Risk and Financial Management 15, no. 5 (April 20, 2022): 195. http://dx.doi.org/10.3390/jrfm15050195.
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This study investigated the linkages between foreign direct investment (FDI) and financial development measured by banks and stock markets in 30 Asian developing countries from 1986 to 2019. We used a bivariate model with Granger causality tests to test the reverse causality between FDI and financial development and multivariate models with the system generalized method of moments (GMM) estimator to identify how one factor affected the other. Our Granger test results showed a bidirectional linkage between FDI and financial development. Using the system GMM estimator, we showed that greater financial development drew more inward FDI to host countries. Similarly, local financial markets benefited from FDI by improving capital mobilization and financial services and products to intensify economic activity. Our findings suggest that, to attract FDI, policymakers should improve local banks and the stock market environment with strong institutional backgrounds to enhance foreign investors’ confidence and provide incentives to increase cross-border investments in host economies.
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Sardo, Filipe, and Zélia Serrasqueiro. "A European empirical study of the relationship between firms’ intellectual capital, financial performance and market value." Journal of Intellectual Capital 18, no. 4 (October 9, 2017): 771–88. http://dx.doi.org/10.1108/jic-10-2016-0105.
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Purpose The purpose of this paper is to analyze the relationship between firms’ intellectual capital (IC), financial performance (FP) and market value (MV) as well as the relationship between ownership concentrations on IC performance. Design/methodology/approach A large sample of non-financial listed firms belonging to 14 countries in Western Europe, for the period between 2004 and 2015, was investigated using the GMM system (1998) dynamic estimator and the effect of lagged explanatory variables on firm’s FP and MV. Findings The results reveal that IC is an important resource for firms’ value creation. Human capital is found to be a key factor of firms’ wealth. Results show that capital employed efficiency positively impacts on firms’ FP in the short run. The impact of IC components on firms’ MV may not be immediate. The structural capital positively affects firms’ FP in the long run. Also, the results reveal that ownership concentration and owners’ management involvement constrain firms’ IC performance. Originality/value The current study contributes to IC research by exploring a large sample of firms across countries in Western Europe using econometric modeling. Considering that the effect of IC on firms’ FP needs time to be realized, thus to be measured, the effect of lagged explanatory variables on performance was tested, using dynamic panel estimators, specifically the GMM system (1998) dynamic estimator.
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Kumar, Manish, and Rishabh Goswami. "EARNINGS MANAGEMENT AND FIRM’S SUBSEQUENT PERIOD PERFORMANCE: A STUDY ON NON-FINANCIAL INDIAN LISTED FIRMS." JOURNAL OF INTERNATIONAL BUSINESS AND ECONOMY 23, no. 1 (November 19, 2022): 1–19. http://dx.doi.org/10.51240/jibe.2022.1.1.
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While studies internationally have found an association between earnings management and the firm’s future performance, there is limited literature concerning Indian firms. Prior research in the Indian context has revealed the existence of opportunistic accruals management. However, its impact on a firm’s future performance remains unexplored. Thus, this study examines the impact of accrual-based earnings management on future performance among listed non-financial Indian firms. This study estimates accruals management proxies for 2006-2017 using the widely accepted modified-Jones model of discretionary accruals. Firm performance is measured using ROA, ROE, and PE ratio. This study uses a one-step System Generalised Method of Moments (GMM) to address the problem of endogeneity in the dynamic panel model. The result from the estimator indicates that discretionary accruals have a negative impact on accounting-based performance measures (ROA and ROE) and a positive impact on the market-based performance measure (PE ratio). These results are consistent for the three estimators (OLS, FE, and GMM), establishing a robust relationship between accrual management and firm performance. The findings of this study are consistent with the signaling hypothesis and suggest the likelihood of accruals reversal.
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Bun, Maurice J. G., and Frank Windmeijer. "The weak instrument problem of the system GMM estimator in dynamic panel data models." Econometrics Journal 13, no. 1 (February 1, 2010): 95–126. http://dx.doi.org/10.1111/j.1368-423x.2009.00299.x.
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Hayakawa, Kazuhiko. "Small sample bias properties of the system GMM estimator in dynamic panel data models." Economics Letters 95, no. 1 (April 2007): 32–38. http://dx.doi.org/10.1016/j.econlet.2006.09.011.
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Ijaz, Shahzad, Arshad Hassan, Amine Tarazi, and Ahmad Fraz. "LINKING BANK COMPETITION, FINANCIAL STABILITY, AND ECONOMIC GROWTH." Journal of Business Economics and Management 21, no. 1 (February 4, 2020): 200–221. http://dx.doi.org/10.3846/jbem.2020.11761.
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This paper investigates the effect of bank competition and financial stability on economic growth by examining panel-data from 38 European countries over 2001 to 2017. Bank competition is measured with the Boone indicator, and bank stability with Z-scores and non-performing loan ratios, all at the country level. This study employs a fixed-effect estimator, as well as a system generalized method of moment (GMM) estimator to control unobserved heterogeneity, endogeneity, the dynamic effect of economic growth, and reverse causality in its estimation. Results show that bank stability significantly contributes to economic growth in Europe. Economic growth falls during crisis periods (both the global financial crisis and the local banking crisis), highlighting the importance of a resilient banking system during crisis periods. Moreover, empirical outcomes show that lower banking competition supports economic growth and increases financial stability. This study provides a framework for banks and regulators to boost economic growth through the channel of banking stability.
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Luu, Hiep Ngoc, Ngoc Minh Nguyen, Hai Hong Ho, and Vu Hoang Nam. "The effect of corruption on FDI and its modes of entry." Journal of Financial Economic Policy 11, no. 2 (May 7, 2019): 232–50. http://dx.doi.org/10.1108/jfep-05-2018-0075.
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Purpose The purpose of this paper is to empirically investigate the impact of corruption on foreign direct investment (FDI) and its two major modes of entry: greenfield investment (greenfield) and cross-border mergers and acquisitions (M&As). Design/methodology/approach Data are collected from 131 countries. Modern econometric techniques, including the generalized method of moments (GMM) estimator, two-stage least square estimator and two-step system GMM estimator, are used to evaluate the impact of corruption on FDI activities. Findings The empirical results illustrate that corruption is a deterioration factor that significantly hinders FDI inflows. However, this finding turns out to be contradictory when the two major components of FDI – greenfield investment and cross-border M&As – are separately examined. Specifically, while corruption consistently discourages cross-border M&As over time, it appears to exert positive effect on greenfield investments. Originality/value This is among the first to empirically examine the impact of corruption on FDI and its modes of entry in a number of countries spanning different time windows. In this sense, this paper also captures the changing nature of societies and economic conditions overtime and, therefore, enable academic researchers, policy-makers and business practitioners to draw broad inferences from the empirical results.
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Tran Hung, Son, Liem Nguyen Thanh, and Nghia Hoang Trung. "Factors Affecting Bank Risk-Taking: Evidence from Southeast Asian Countries." Journal of Asian Business and Economic Studies 23, no. 02 (April 1, 2016): 120–36. http://dx.doi.org/10.24311/jabes/2016.23.2.08.
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In this paper we use a dynamic panel data model (system GMM estimator) to analyze bank-specific and macroeconomic determinants of bank risk as measured by the Z-score of 70 listed commercial banks operating in six Southeast Asian countries over the period from 2005 to 2013. Our results indicate that asset structure, capitalization, size, and the stock market development are negatively and significantly related to bank risk, which is, in turn, positively related to efficiency, revenue diversification, and the banking system development.
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Huhtilainen, Matias. "The determinants of bank insolvency risk: evidence from Finland." Journal of Financial Regulation and Compliance 28, no. 2 (January 2, 2020): 315–35. http://dx.doi.org/10.1108/jfrc-02-2019-0021.
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Purpose This paper aims to contribute to the literature on the determinants of bank-specific insolvency risk. Design/methodology/approach By applying a dynamic two-step System GMM estimator on a novel, representative panel of 339 Finnish unlisted cooperative and savings banks over the period 2002-2018. Findings This study contributes to the literature on the determinants of bank-specific insolvency risk by applying a dynamic two-step System GMM estimator on a novel, representative panel of 339 Finnish unlisted cooperative and savings banks over the period 2002-2018. The key findings suggest that Finnish banks have become less fragile under the renewed EU banking regulation. In particular, the CRD IV has affected banks’ equity levels. This study also captures the detrimental effect of cost inefficiency as well as a positive relationship between the income diversification and insolvency risk. A negative relationship between the GDP growth rate and the insolvency risk is also reported although results suggest that the effect is not immediate. Originality/value This result is discussed together with other macroeconomic factors. The consequent conclusion underlines the fundamental significance of overall macroeconomic dynamics. From the perspective of regulatory harmonization, more research is needed to address the level of homogeneity of macroeconomic dynamics between different geographical and cultural regions.
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Fatima, Sumbal, Bateer Chen, Muhammad Ramzan, and Qamar Abbas. "The Nexus Between Trade Openness and GDP Growth: Analyzing the Role of Human Capital Accumulation." SAGE Open 10, no. 4 (October 2020): 215824402096737. http://dx.doi.org/10.1177/2158244020967377.
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The objective of this study is to explore the empirical impact of trade openness on gross domestic product (GDP) growth. Researchers have not given the externalities of trade openness the deserved scholarly attention. In this work, we propose to account for human capital accumulation (HCA) as an additional dimension of economic trade integration. To address the potential endogeneity issue, we use the system generalized method of moments (GMM) estimator developed for dynamic panel data models. The results outline an intriguing indirect relationship between trade openness and GDP growth. If HCA is taken into account as an intervening variable, trade may have a negative impact on GDP growth when countries exhibit a low level of HCA. Thus, the indirect relationship between trade openness and HCA was studied in depth, and to the best of our knowledge, this research is the first to examine this relationship in both developed and developing countries over a 34-year period (1980–2014). The established GMM-centric thresholds are robust to alternative estimation techniques and measurements of trade openness. Policy implications are discussed.
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Thrikawala, Sujani, Stuart Locke, and Krishna Reddy. "Dynamic endogeneity and corporate governance-performance relationship." Journal of Economic Studies 44, no. 5 (October 9, 2017): 727–44. http://dx.doi.org/10.1108/jes-12-2015-0220.
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Purpose The purpose of this paper is to examine the relationship between corporate governance (CG) and microfinance institution (MFI) performance, using a dynamic panel generalised method of moments (GMM) estimator to mitigate the serious issues with endogeneity. Design/methodology/approach Inconsistent findings and a general lack of empirical results for the microfinance industry leave an unclear message regarding the impacts of CG on MFI performance, especially in emerging economies. The authors use GMM estimation techniques to examine whether CG has an influence on MFI performance. Findings This study confirms that the MFIs’ contemporaneous performance and CG characteristics are statistically significantly positively linked with their past performance. This study finds statistically significant governance effects on MFI performance, including the presence of international directors and/or donor representatives on the board, client representatives on the board, percentage of non-executive directors and the quality of the national governance system. Practical implications These findings provide some insights for policy-makers and practitioners to develop suitable policies and guidelines to streamline MFIs’ operations in emerging countries. Moreover, national and international investors and donors may use these finding as a benchmark for their investment and funding decisions. Originality/value This paper is the first to estimate the CG and performance relationship of MFIs in a dynamic framework by applying the GMM estimation method. This approach improves upon traditional estimation methods by controlling the likely sources of endogeneity. Further, this paper examines whether quality of national-level governance characteristics is related to performance measures of profitability and outreach of MFIs.
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CÉLINE BONNEFOND. "GROWTH DYNAMICS AND CONDITIONAL CONVERGENCE AMONG CHINESE PROVINCES: A PANEL DATA INVESTIGATION USING SYSTEM GMM ESTIMATOR." Journal of Economic Development 39, no. 4 (December 2014): 1–25. http://dx.doi.org/10.35866/caujed.2014.39.4.001.
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Simangunsong, Damayanti, and Chen Kuang-Hui. "Inequality and Economic Growth in Indonesia in The 2000’s." Signifikan: Jurnal Ilmu Ekonomi 7, no. 2 (March 25, 2018): 201–12. http://dx.doi.org/10.15408/sjie.v7i2.6177.
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The income inequality in Indonesia reached the highest level during the decentralization era and suspected to be the cause of the slowdown of the economic growth in the last five years to 2015. This paper investigates whether increasing inequality had a positive or negative impact on economic growth in Indonesia. Using dynamic panel and applying Generalized Method of Moments (GMM) estimator, the result concluded that there is a significant positive relationship between income inequality and economic growth. However, this study cannot draw a definite conclusion about the association for the different classes (bottom, middle, and top level) since only one-step system GMM is significant. Based on the result, it implies that the government should be more careful in regulating the inequality policy and understand more about the right mechanism of inequality and economy growth.DOI: 10.15408/sjie.v7i2.6177
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Aderajew, Tamirat S., Andres Trujillo-Barrera, and Joost M. E. Pennings. "Dynamic target capital structure and speed of adjustment in farm business." European Review of Agricultural Economics 46, no. 4 (October 20, 2018): 637–61. http://dx.doi.org/10.1093/erae/jby035.
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Abstract This paper quantifies the determinants and speed of adjustment to the target capital structure for a panel of 1,500 Dutch farms over the years 2001–2015. Using the System General Method of Moments (System-GMM) estimator, the results show that farm profitability, earnings volatility, asset tangibility and growth opportunity are important determinants of leverage. Leverage is highly persistent, i.e. the average adjustment speed is relatively low, with variations among farm types. This variation is mainly attributed to the difference in adjustment costs. Further, we show that the pecking order and signalling theories explain these leverage dynamics.
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Saadaoui, Zied, and Hichem Hamza. "Lending cyclicality in dual banking system: empirical evidence from GCC countries." Journal of Islamic Accounting and Business Research 11, no. 9 (November 11, 2020): 2113–35. http://dx.doi.org/10.1108/jiabr-03-2020-0082.
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Purpose The purpose of this paper is to check if there is a procyclical lending behaviour in dual banking systems of the Golf Cooperation Council (GCC) countries. The study also tries to control for the role of Islamic banks in amplifying or mitigating the procyclicality of dual banking systems. Design/methodology/approach Estimation of a dynamic panel model using annual observations on a sample of 81 banks based in the GCC countries between 2005 and 2018. The study uses two business cycle indicators as dependent variables, namely, output gap and oil price gap. Findings The system generalilzed method of moments (GMM) estimator and robustness checks confirm the procyclical lending pattern of dual banking systems in the GCC. Estimation outputs also indicate that this procyclicality is more pronounced during economic slowdowns. However, it is found that Islamic banks’ lending is less procyclical, giving support for the stability view of Islamic banking systems. The authors think that the implementation and conduct of macroprudential policies are very challenging for banking authorities when Islamic banks and conventional banks operate under the same regulatory framework. Research limitations/implications The research paper may suffer from some limitations. Indeed, exploring panel data instead of country-case data may lead to a problem of heterogeneity that may underpin the credibility of the econometrical estimations. To deal with this problem by introducing a set of bank-specific and time-specific dummies. Furthermore, small N samples (N = number of individuals) may affect the reliability of the tests for the validity of instruments and autocorrelation used under the GMM estimator, leading to inefficient results. Consequently, the number of selected banks is extended as much as possible (81 banks), becoming important comparing to the time dimension of the panel. Practical implications Policymakers and regulators are incited to embed the perspectives of Islamic finance regarding lending cyclicality in dual banking systems, which promote the efficiency of resource allocation to the financing of assets and by consequence enabling financial stability. The stability view of the Islamic banking system could prompt policymakers and regulators to encourage the implementation and development of Islamic banks. Originality/value The present paper tries to overcome the lack of empirical studies on the procyclicality of dual banking. The study contributes to this novel literature in two ways. First, it focuses exclusively on GCC banking systems. In fact, compared to other emerging markets, business cycles characterizing GCC are specific because of the role played by the oil and gas revenues in the economic growth and financial system is crucial. Second, this paper brings into evidence the procyclicality of GCC banking systems also when the oil price is taken as a business cycle indicator.
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Diallo, Oumar. "Poverty and Real Exchange Rate: Evidence from Panel Data." Journal of African Development 9, no. 1 (April 1, 2007): 67–104. http://dx.doi.org/10.5325/jafrideve.9.1.0067.
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The paper explores the relationship between economic policies and poverty by using the dependant economy model framework. Accordingly, it focuses on two variables: the real exchange rate and the absorption, and explores the links between these two variables and poverty. This method has particularly the advantage of addressing model uncertainty. Using the System general method of moments (SY-GMM) estimator (Blundell and Bond, 1998), the paper shows that real exchange rate depreciation favours the poor, provided that income is fairly distributed and institutions are sound.
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Nomran, Naji Mansour, and Razali Haron. "Financial Performance in Islamic Banking and Shari’ah Supervision under Interventionist Regulatory Approach: A System-GMM Dynamic Panel Analysis." Turkish Journal of Islamic Economics 8, no. 1 (February 15, 2021): 59–86. http://dx.doi.org/10.26414/a095.
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The relationship between Shari’ah supervision and Islamic banks’ (IBs) performance is still ambiguous particularly for banks across countries that have different regulatory environments. Pakistan adopts an interventionist regulatory approach which is exclusive to Shari’ah governance (SG) system in Pakistan. This approach differs from the other adopted approaches in countries that have either high or low degree of regulatory interference. Thus, this study examines how Shari’ah supervision mechanism, as represented by the Shari’ah supervisory board, and its characteristics, can influence the performance of IBs in Pakistan. The sample comprises 67 Islamic bank-year observations for the period from 2007 to 2015. The performance-governance relationship is estimated using a range of econometric techniques including the dynamic system-GMM estimator. The results reveal modest support for a positive association between Shari’ah supervision and performance. The study concludes that SG practices in the Pakistani IBs still suffer from some drawbacks which require more improvements by the respective regulators. Most of these drawbacks are related to the SG regulatory frameworks which are related to the SSBs’ roles and characteristics.
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Hayakawa, Kazuhiko, and Meng Qi. "Further Results on the Weak Instruments Problem of the System GMM Estimator in Dynamic Panel Data Models." Oxford Bulletin of Economics and Statistics 82, no. 2 (September 6, 2019): 453–81. http://dx.doi.org/10.1111/obes.12336.
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Akram, Vaseem, and Badri Narayan Rath. "DOES EXPORT DIVERSIFICATION LEAD TO INCOME CONVERGENCE? EVIDENCE FROM CROSS-COUNTRY ANALYSIS." Buletin Ekonomi Moneter dan Perbankan 23, no. 3 (December 2, 2020): 319–46. http://dx.doi.org/10.21098/bemp.v23i3.1251.
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In this study, we examine the role of export diversification in the convergence of per capita income (output). By applying the dynamic system Generalized Method of Moments (GMM) estimator to a panel dataset consisting of 95 countries, we find evidence of both absolute and conditional divergence for the full sample and the subsamples based on income and regions. Thus, our findings suggest that, although high export diversification boosts the per capita income (output), it does not significantly reduce per capita income (output) gap between rich and poor countries.
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Dang, Rey, L’Hocine Houanti, Nhu-Tuyen Lê, and Jean-Michel Sahut. "Does Board Composition Influence CSR Disclosure? Evidence from Dynamic Panel Analysis." La Responsabilité Sociale de L’entreprise comme système ordonné dans un environnement chaotique 25, no. 2 (May 27, 2021): 52–69. http://dx.doi.org/10.7202/1077784ar.
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Given the importance of corporate social responsibility (CSR) and corporate governance, this study examines the association between board composition and CSR disclosure on a sample of S&P 500 firms over the period from 2004 to 2015. Unlike existing studies, we control for potential sources of endogeneity using a system-generalized method of moments (system GMM) estimator. In doing so, we find no evidence that board size, board independence or CEO duality has any significant influence on CSR disclosure. Rather, our results suggest that, when the problem of endogeneity is correctly taken into account, the link between board composition and CSR disclosure is neutral.
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Sawadogo, Relwendé, and Samuel Guerineau. "Does Insurance Development Affect Financial Market in Developing Countries?" International Finance and Banking 3, no. 1 (May 31, 2016): 136. http://dx.doi.org/10.5296/ifb.v3i1.9533.
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This paper investigates the impact of insurance on stock market development in 37 developing countries over the period 1987-2011. By controlling for the potential endogeneity bias by System GMM estimator, we show that the insurance premiums significantly increase the stock market value traded. This result is robust to the use of alternative measure of stock market development and control of the political and legal system quality. In addition, the results highlight that an improvement in property rights promotes the deepening of the financial market. Thus, the results argue for insurance policies promoting and an improvement of the legal environment to benefit from the financial market development.
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Huay, Chong Siew, and Yasmin Bani. "Remittances, poverty and human capital: evidence from developing countries." International Journal of Social Economics 45, no. 8 (August 13, 2018): 1227–35. http://dx.doi.org/10.1108/ijse-10-2017-0454.
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Purpose The purpose of this paper is to analyze the relationship between remittances and poverty through the human capital channel in developing countries, which has received less attention in the literature. Design/methodology/approach The paper applied the system GMM developed by Arellano and Bond (1991) and Arellano and Bover (1995) containing 54 developing countries. This estimator is appropriate compared to a cross-section technique because it controls for the endogeneity of all explanatory variables, includes unobserved country-specific effects and allows for the inclusion of lagged dependent variables. Findings The results suggest that, while remittances reduced poverty, the effect is moderated via education. A 1 percent increase in remittances reduces the poverty headcount by 0.47 percent, while the reduction is 0.33 percent via education. The marginal effect of remittances is negatively related to the level of education, indicating that education mitigates the effect of remittances on poverty. Practical implications This paper includes the implications for the policymakers to justify the need for more effective approaches. It is useful to identify whether and how remittances and human capital interact in their effect on poverty when deciding the most desirable allocation of available resources between these two priorities. Originality/value This paper takes a step forward filling the limited evidence on the role of human capital in remittances–poverty relationship in developing countries. Different from the existing studies which have used the traditional panel estimators, this study utilizes the dynamic panel estimators such as system GMM to tackle the specification issues of endogeneity, measurement errors and heterogeneity.
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Kwaw-Nimeson, Enoch, and Ze Tian. "The impact of agricultural producer price on sustainable food security in Africa – a system GMM approach." Agricultural and Resource Economics: International Scientific E-Journal 7, no. 3 (September 20, 2021): 60–76. http://dx.doi.org/10.51599/are.2021.07.03.04.
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Purpose. Given the efforts towards achieving the United Nations’ Sustainable Development Goals (SDGs) for food security by 2030, this study investigates the moderating impact of public investments in agriculture on the agricultural producer price – agricultural sustainability nexus in 40 African countries covering the period from 2000 till 2019.
Methodology / approach. In this study we used multiple regression techniques to explore a dynamic panel data model based on the one-step system Generalized Method of Moments (System-GMM). Proposed by Arellano and Bover and further developed by Blundell and Bond, the System-GMM estimator was preferred over other techniques because of its efficiency in eliminating the simultaneous biases that are associated with regression model estimations. Specifically, the one-step System-GMM was preferred over the two-step System-GMM for our estimation due to the efficiency of its optimal weighting matrices.
Results. The study discovered that although the interactions between public investments on agriculture and agricultural sustainability amplify the positive impact of a set of explanatory variables on agricultural producer price to an extent, the impact on food security in Africa is insignificant. The study also discovers that the net effects of a set of interactive terms on producer price in the developing countries in Africa are slightly lower than in the least-developed countries. The weighted average food security index for the period under study was abysmal 44.54%, indicating moderate food insecurity in Africa.
Originality / scientific novelty. In the context of food security literature in Africa, this study is the first attempt at exploring the agricultural producer price – agricultural sustainability nexus based on the moderating impact of public investments on agriculture with the Global Food Security Index (GFSI), a composite food security model developed by the Economist Intelligence Unit (EIU). Among our study proposals it is a call for a detour from the current agricultural investment and producer price policies especially the current ‘one-size-fits-all’ regional frameworks which have proved to be less progressive and less transformative to more robust country/sector-specific frameworks that have the potential to better the fortunes of agriculture and improve food security.
Practical value / implications. The current state of agricultural producer price in most African countries is ample proof that the role and importance of the producer price have been gravely diminished. Despite governments’ efforts towards improving food security, the evidence as presented in this study supports the fact that those efforts have not achieved much success. The study, which contains a number of recommendations, highlights agricultural producer price as a potentially important driver of agricultural sustainability and sustainable food security in Africa.
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Niu, Jijun. "Corporate governance and bank profitability: Evidence from the U.S." Corporate Ownership and Control 9, no. 2 (2012): 206–15. http://dx.doi.org/10.22495/cocv9i2c1art5.
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This paper examines the effect of corporate governance on bank profitability using a panel of U.S. banks over the period 1990-2009. We measure corporate governance using the G-index developed by Gompers, Ishii, and Metrick (2003), and the E-index developed by Bebchuk, Cohen, and Ferrell (2009). We specify a dynamic model that allows for persistence in bank profitability, and estimate the model using the system GMM estimator. Overall, we find no evidence that corporate governance is related to bank profitability. In contrast, we find strong evidence that operation efficiency and credit risk affect bank profitability
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Lin, Woon Leong. "Is Corporate Political Activity an Investment or Agency? An Application of System GMM Approach." Administrative Sciences 9, no. 1 (January 8, 2019): 5. http://dx.doi.org/10.3390/admsci9010005.
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Corporate political activity (CPA) has been recognized as bearing a significant impact on financial performance (FP). Nevertheless, there has been a lack of considerable research to date. The results of the research regarding the relationship between CPA and FP have been contradictory and this has necessitated further investigation of this relationship. Nonetheless, rather than examining the relationship between CPA and FP, research scholars have revealed that a contingency perspective must be employed for revealing the conditions and the context which enhance the relationship between these two constructs. This study offers a quite distinctive viewpoint with respect to the link between CPA and FP as regards the corporate reputation perspective. For this reason, the study obtained data from the Fortune list of top 100 World Most Admired Companies (WMAC) for the period of 2007 and 2016. This data was utilized to examine the relationship between CPA and FP using the dynamic panel data system GMM (Generalized Method of Moments) estimator. This study finds virtually no support for the hypothesis that lobbying and PACs (political action committees) represent an investment in political capital. Instead, CPA is symptomatic of agency problems within firms. This study also argues that corporate reputation moderates the effect of CPA on the FP and the analysis supports the argument. Our results are particularly useful in light of the reputable corporation, which is greatly to likely increase the use of corporate funds for political contributions.
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Tan, Omer Faruk, Hakan Cavlak, Yasin Cebeci, and Necati Güneş. "The Impact of Geopolitical Risk on Corporate Investment: Evidence from Turkish Firms." Indonesian Capital Market Review 14, no. 1 (January 31, 2022): 16–32. http://dx.doi.org/10.21002/icmr.v14i1.1138.
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This study analyzes the effects of geopolitical risk on the corporate investment of 164 Turkish manufacturing firms listed in Borsa Istanbul (BIST). The time covers the period from 2005 to 2019, applying the system Generalized Methods of Moments (GMM) estimator. The results indicate that geopolitical risk hurts corporate investment in Turkey. Under uncertainty induced by geographical risk, firms prefer to decline their investment. Additionally, financially constrained (non-dividend, small, young) firms are more negatively affected than financially unconstrained firms. Our findings are robust under alternative measures of geopolitical risk. Overall, this study reveals that geopolitical risk is a significant uncertainty affecting the investment decisions of manufacturing firms in Turkey
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Osei-Assibey, Eric, William Bekoe, and Michael Armah. "Does foreign banks entry influence domestic banks' efficiency? Evidence from Ghana." African Journal of Management Research 27, no. 1 (January 17, 2022): 56–74. http://dx.doi.org/10.4314/ajmr.v27i1.4.
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The study investigates the effect of foreign bank entry on the efficiency of domestic banks in Ghana. The study applies the Stochastic Frontier Analysis (SFA) technique and the system Generalized Method of Moments (GMM) estimator on bank specific level data, spanning the period 2000 to 2015. The results show that foreign banks with an average profit efficiency of 74.7% are more profit efficient than domestic banks with a score of 71% which conforms to the global advantage hypothesis. This suggests that foreign banks are able to maximize revenue through the generation of interest income on loans and investments better than domestic banks due to the foreign banks' comparative advantage in terms of international expertise. Further, the system GMM results indicate that the entry of foreign banks has contributed to the profit efficiency of domestic banks in Ghana. This positive spillover effect of foreign banks is manifested in their transfer of international expertise, technological knowledge, quality banking services and competitive pressure to domestic banks. In addition, bank size and liquidity are essential determinants of the profit efficiency of domestic banks in Ghana. The findings of the study imply that bank regulators in developing countries should push for reforms that eliminate implicit and explicit barriers that may hinder the entry of foreign or new banks.
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Maijama'a, Danjuma, Shamzaeffa Samsudin, and Shazida jan Mohd Khan. "HIV/AIDS and Economic Growth: Empirical Evidence from Sub-Saharan Africa." Research in Applied Economics 7, no. 4 (December 8, 2015): 30. http://dx.doi.org/10.5296/rae.v7i4.8426.
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<p>This study investigates the effects of the HIV and AIDS epidemic on economic growth in 42<br />sub-Saharan African countries using data spanning from 1990-2013. Unlike previous studies,<br />we use a longer data horizon and take the time lag effect of the epidemic’s incubation period<br />that is, after it might have developed to AIDS into consideration in our estimations. We<br />estimated an empirical growth equation within an augmented Solow model and applied the<br />dynamic system GMM estimator. The results suggest that current HIV prevalence rate –<br />associated with rising morbidity, has a negative effect on GDP per capita growth, conversely<br />AIDS – associated with higher mortality in addition to morbidity, increases per capita GDP<br />growth.</p>
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Andabaka, Ana, Martina Basarac Sertić, and Martina Harc. "Eco-innovation and Economic Growth in the European Union." Zagreb International Review of Economics and Business 22, no. 2 (November 1, 2019): 43–54. http://dx.doi.org/10.2478/zireb-2019-0019.
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Abstract Eco-innovation, as a new concept, and green technologies are central to the Europe’s future and at the core of the European Union policies to boost competitiveness, create jobs, and generate sustainable growth for years to come. In this context, eco-innovation is a significant tool that combines decreased environmental impact with a positive socioeconomic impact. This paper highlights the prominent role of eco-innovation and investigates still scarcely explored impact assessment of GDP growth, quality of institutions, and recycling rates on the eco-innovation index in the 28 European Union member states. Specifically, the set of regression analyses that use panel estimation models was undertaken and the system GMM estimator with robust standard errors was used. Econometric analysis indicates that GDP growth rate, quality of institutions, and recycling rate of municipal waste had a statistically significant and positive effect on eco-innovation in the period 2010-2016.
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Ehizuelen, Michael Mitchell Omoruyi. "China's Infrastructure Financing and the Role of Infrastructure in Awakening African Economies." Journal of Comparative Asian Development 18, no. 2 (July 2021): 1–25. http://dx.doi.org/10.4018/jcad.20210701.oa2.
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African economies, through Agenda 2063, recognize that developing infrastructure – transport, electricity, energy, water, and e-connectivity – will be critical for the region to assume a lasting place in the global economic system. As a result, this paper addresses the continent’s infrastructure gap and provides an important insight into the rapidly growing presence of China’s official infrastructure financing in Africa as well as the distinctive character of its involvement. In addition, the paper provides an empirical evaluation of the role of infrastructure in awakening African economies. The generalized-method-of-moments (GMM) estimator for dynamic models of panel data developed by Arellano and Bond (1991), and Arellano and Bover (1995) was employed to estimate an infrastructure-increased growth model.
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Laghari, Fahmida, Ye Chengang, Ye Chenyun, Yiding Liu, and Li Xiang. "Corporate Liquidity Management in Emerging Economies under the Financial Constraints: Evidence from China." Discrete Dynamics in Nature and Society 2022 (June 18, 2022): 1–17. http://dx.doi.org/10.1155/2022/6086191.
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The main purpose of this article is to investigate the impact of the optimum level of cash holdings on corporate performance. Moreover, in this paper, the impact of financial constraints is tested as moderating factor between the relationship of cash holdings and corporate performance. The present study uses the system generalized method of moments (GMM) as the main estimation methodology. Using a sample of companies listed on stock exchanges of China, empirical pieces of evidence find that cash holdings-corporate performance relation is a nonlinear concave and depicts similar evidence for firms with financial constraints. The financially constrained firms maintain optimal cash holding at a higher level, which corresponds to debt rationing, difficulty to access financial markets, and the high cost of external finance. Moreover, propensity-score-matching depicts statistically significant differences in the level of cash holdings amid financially constrained and unconstrained firms. Finally, the difference-in-difference estimator shows that financial crisis affects less financially constrained firms due to low reliance on external financing.
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Čechura, Lukáš, Zdeňka Žáková Kroupová, and Michaela Lekešová. "Productivity and efficiency in Czech agriculture: Does farm size matter?" Agricultural Economics (Zemědělská ekonomika) 68, No. 1 (January 25, 2022): 1–10. http://dx.doi.org/10.17221/384/2021-agricecon.
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This paper deals with the sources of total factor productivity (TFP), namely technical efficiency, scale efficiency, and technological change, considering the size of agricultural producers and using balanced panel data in the period 2014–2018 drawn from the Farm Accountancy Data Network (FADN) database for three sectors of Czech agriculture – cereals, milk, and beef. The investigation is based on the stochastic frontier (SF) modelling of an input distance function (IDF) with four error components (heterogeneity, statistical noise, persistent and transient inefficiency). The sector-specific models are estimated by a four-step estimating procedure with a system generalised method of moments (GMM) estimator to address the endogeneity problem. The results reveal inter- and intra-sectoral differences in productivity drivers. In particular, the smallest producers lag considerably behind the largest ones due to the scale effect (SEC). While large farms should focus on technological change, improvements in scale and technical efficiency have been identified as the main sources of coping with productivity losses for small farmers.
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Čechura, Lukáš, Zdeňka Žáková Žáková Kroupová, and Antonella Samoggia. "Drivers of Productivity Change in the Italian Tomato Food Value Chain." Agriculture 11, no. 10 (October 13, 2021): 996. http://dx.doi.org/10.3390/agriculture11100996.
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This study evaluated productivity dynamics and identified sources of productivity growth in Italian tomato production and processing. We used a stochastic frontier input distance function with four error components—heterogeneity, statistical noise, persistent and transient inefficiency—and a four-step estimation procedure with a system generalized method of moments (GMM) estimator in the first step to address the endogeneity problem. The results reveal significant differences in the productivity and efficiency of tomato production and processing. Moreover, there are considerable differences among the different sizes of tomato producers, with the main variations observed for scale efficiency. While tomato processors operate at an optimal production size, tomato producers are characterized by considerable economies of scale, especially small producers. These results thus suggest that there is significant opportunity for technical efficiency improvements at both stages of the value chain. Finally, due to improvements made to scale efficiency, extensive productivity growth was observed for the group of small tomato producers.
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Martínez-Malvar, Mariña, and Laura Baselga-Pascual. "Bank Risk Determinants in Latin America." Risks 8, no. 3 (September 7, 2020): 94. http://dx.doi.org/10.3390/risks8030094.
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Systemic Banking crises are a recurrent phenomenon that affects society, and there is a need for a better understanding of the risk factors to support prudential regulation and reduce unnecessary risk intake in the financial system. This paper examines the main bank risk determinants in Latin America. The period analysed covers the timespan from 1999 to 2013, including the systemic banking crisis episodes in Argentina (2001–2003) and Uruguay (2002–2005). We apply a new data-driven comparable methodology to classify and select commercial banks from the sample. We study bank risk proxied by the Z-score. We use the system-GMM estimator as our main empirical analysis method. According to our results, well capitalized, liquid, and traditional commercial banks are less risky. We perform robustness tests by applying OLS, and the results resemble our original model.
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Huay, Chong Siew, Jonathan Winterton, Yasmin Bani, and Bolaji Tunde Matemilola. "Do remittances promote human development? Empirical evidence from developing countries." International Journal of Social Economics 46, no. 10 (October 20, 2019): 1173–85. http://dx.doi.org/10.1108/ijse-12-2018-0673.
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Purpose The purpose of this paper is to analyse the impact of remittances on human development in developing countries using panel data from 1980 to 2014 and to address the critical question of whether the increasing trend of remittances has any impact on human development in a broad range of developing countries. Design/methodology/approach Usual panel estimates, such as pooled OLS, fixed or random effects model, possess specification issues such as endogeneity, heterogeneity and measurement errors. In this paper, we, therefore, apply dynamic panel estimates – System generalised method of moment (Sys-GMM) developed by Arellano and Bond (1991) and Arellano and Bover (1995). This estimator is able to control for the endogeneity of all the explanatory variables, account for unobserved country-specific effects that cannot be done using country dummies due to the dynamic structure of the model (Azman-Saini et al., 2010). Findings The effect of remittances is statistically significant with positive coefficients in developing countries. The significant coefficient of remittances means that, holding other variables constant, a rise in remittance inflows is associated with improvements in human development. A 10 per cent increase in remittances will lead to an increase of approximately 0.016 per cent in human development. These findings are consistent with Üstubuci and Irdam (2012) and Adenutsi (2010), who found evidence that remittances are positively correlated with human development. Practical implications The paper considers implications for policymakers to justify the need for more effective approaches. Policymakers need to consider indicators of human development and to devise public policies that promote income, health and education, to enhance human development. Originality/value The question of whether remittances affect human development has rarely been subject to systematic empirical study. Extant research does not resolve the endogeneity problem, whereas the present study provides empirical evidence by utilising dynamic panel estimators such as Sys-GMM to tackle the specification issues of endogeneity, measurement errors and heterogeneity. The present study provides a benchmark for future research on the effect of remittances on human development.
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Muñoz Mendoza, Jorge Andrés, Sandra María Sepúlveda Yelpo, Carmen Lissette Veloso Ramos, and Carlos Leandro Delgado Fuentealba. "Market Concentration and Income Diversification: Do They Always Promote the Financial Stability of Banking Industry?" Revista Finanzas y Política Económica 12, no. 2 (August 14, 2020): 341–65. http://dx.doi.org/10.14718/revfinanzpolitecon.v12.n2.2020.3270.
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This paper analyzes the effects of market concentration and income diversification on the financial stabilityof the world banking system. It uses the GMM estimator proposed by Arellano and Bover (1995) to study 206 countries between 1994 and 2015. The results show that market concentration and income diversification have a positive and nonlinear effect on financial stability; and a negative and nonlinear effect on bank risk. The nonlinearity shape suggests that the effects are reversed when the banking industry has a higher market concentration and income diversification. In these cases, lower levels of stability and higher risks would characterize the banking industry. Nonlinearity establishes threshold values that are relevantfor the empirical discussion oriented to an optimal design of financial policies and banking strategies.
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Ehrl, Philipp, Greisson Almeida Pereira, and Vinícius Vizzotto Zanchi. "Lending and regional growth in Brazil: the development bank BNDES versus private and public banks." Estudos Econômicos (São Paulo) 52, no. 3 (September 2022): 503–32. http://dx.doi.org/10.1590/1980-53575232pgv.
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Abstract The present paper distinguishes how the type of bank that provides loans is related to GDP per capita in Brazilian municipalities between 2007 and 2016. A unique data set allows us to discriminate between the effects of credits operated by either private or public commercial banks, and loans provided by the national development bank BNDES either directly or indirectly through accredited financial institutions. Using the system GMM estimator, we find that credit from public commercial banks has the highest effect on economic growth but it is concentrated in the most populated municipalities. Moreover, indirect BNDES loans show a robust and significantly positive relation to local GDP given that this lending facility especially targets firms in small, credit constrained regions, and it was provided non-cyclically.
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Yadava, Thimmaraja G., and H. S. Jayanna. "Improvements in Spoken Query System to Access the Agricultural Commodity Prices and Weather Information in Kannada Language/Dialects." Journal of Intelligent Systems 29, no. 1 (June 20, 2018): 664–87. http://dx.doi.org/10.1515/jisys-2018-0120.
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Abstract In this paper, the improvements in the recently developed end to end spoken query system to access the agricultural commodity prices and weather information in Kannada language/dialects is demonstrated. The spoken query system consists of interactive voice response system (IVRS) call flow, automatic speech recognition (ASR) models and agricultural commodity prices, and weather information databases. The task specific speech data used in the earlier spoken query system had a high level of background and other types of noises as it is collected from the farmers of Karnataka state (a state in India that speaks the Kannada language) under uncontrolled environment. The different types of noises present in collected speech data had an adverse effect on the on-line and off-line recognition performances. To improve the recognition accuracy in spoken query system, a noise elimination algorithm is proposed in this work, which is a combination of spectral subtraction with voice activity detection (SS-VAD) and minimum mean square error spectrum power estimator based on zero crossing (MMSE-SPZC). The noise elimination algorithm is added in the system before the feature extraction part. In addition to this, alternate acoustic models are developed using subspace Gaussian mixture models (SGMM) and deep neural network (DNN). The experimental results show that these modeling techniques are more powerful than the conventional Gaussian mixture model (GMM) – hidden Markov model (HMM), which was used as a modeling technique for the development of ASR models to design earlier spoken query systems. The fusion of noise elimination technique and SGMM/DNN-based modeling gives a better relative improvement of 7% accuracy compared to the earlier GMM-HMM-based ASR system. The least word error rate (WER) acoustic models could be used in spoken query system. The on-line speech recognition accuracy testing of developed spoken query system (with the help of Karnataka farmers) is also presented in this work.