Journal articles on the topic 'Interest rates – Australia – Econometric models'
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1
Jones, Colin, Neil Dunse, and Kevin Cutsforth. "The changing relationships between government bond yields and capitalisation rates." Journal of European Real Estate Research 8, no. 2 (August 3, 2015): 153–71. http://dx.doi.org/10.1108/jerer-05-2015-0023.
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Purpose – The purpose of this paper is to analyse the gap between government bonds (index-linked and long-dated) and real estate yields/capitalization rates over time for the UK, Australia and the USA. The global financial crisis was a sharp shock to real estate markets, and while interest rates and government bond yields fell in response around the world, real estate yields (cap rates) have risen. Design/methodology/approach – The absolute yield gap levels and their variation over time in the different countries are compared and linked to the theoretical reasons for the yield gap and, in particular, a changing real estate risk premium. Within this context, it assesses whether there have been structural breaks in long-term relationships during booms and busts based on autoregressive conditionally heteroscedastic (ARCH) models. Finally, the paper provides further insights by constructing statistical models of index-linked and long-dated yield gaps. Findings – The relationships between bond and property yields go through a traumatic time around the period of the global financial crisis. These changes are sufficiently strong to be statistically defined as “structural breaks” in the time series. The sudden switch in the yield gaps may have stimulated a greater appreciation of structural change in the property market. Research limitations/implications – The research focuses on the most transparent real estate markets in the world, but other countries with less developed markets may respond differently. Practical implications – The practical implications relate to how to value real estate yields relative to interest rates. Originality/value – This is the first paper that has compared international yield gaps over time and examined the role of the gap between index-linked government bonds and real estate yields.
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Uribe, Martín. "The Neo-Fisher Effect: Econometric Evidence from Empirical and Optimizing Models." American Economic Journal: Macroeconomics 14, no. 3 (July 1, 2022): 133–62. http://dx.doi.org/10.1257/mac.20200060.
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This paper assesses the presence and importance of the neo-Fisher effect in postwar data. It formulates and estimates an empirical and a New Keynesian model driven by stationary and nonstationary monetary and real shocks. In accordance with conventional wisdom, temporary increases in the nominal interest rate are estimated to cause decreases in inflation and output. The main finding of the paper is that permanent monetary shocks that increase the nominal interest rate and inflation in the long run cause increases in interest rates, inflation, and output in the short run and explain about 45 percent of inflation changes. (JEL E12, E23, E31, E43, E52)
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Artamonov, N. V., D. V. Artamonov, and V. A. Artamonov. "Credit Cycles: Econometric Analysis and Evidence for Russia." MGIMO Review of International Relations, no. 2(35) (April 28, 2014): 113–22. http://dx.doi.org/10.24833/2071-8160-2014-2-35-113-122.
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One of the principal problem in contemporary macroeconomics is concerned with factors increasing or decreasing economic dynamics. The mainstream approach is based on neoclassical assumptions, but recently new approaches appear mostly based on new Keynesian concepts. In present time the influence of monetary market and credit instruments become more and more significant. Credit resources of banking and financial structures can affect and distort to reallocation of resources for national and even for global economic. In present paper an empiric and econometric analysis for some macroeconometric and monetary indices for Russian Federation is done. An econometrical models describing the influence of credit variables onto real GDP is estimated. It is shown that in short-term periods changes in credit variables do influence significantly onto GDP. It is shown that on short-term periods changes in money aggregate M2 brings influence (through credit variables) onto national output. As well it is shown that changes in short-term interest rate brings significant negative influence onto real output. Impulse response functions for GDP on shocks of credit variables, monetary base and short-term interest rate are evaluated. For the present study of credit cycles and their impact to real business cycles statistical data (quarterly time series) on the following factors for Russian Federation are collected: nominal and real GDP, monetary base M2, short-term interest rate, long-term interest rate (10-year treasuries bill rate), total debt outstanding. All time series are seasonally adjusted and collected for the period 2004 Q1 - 2013 Q2. All interest rates are adjusted for inflation (i.e. we deal with real interest rates). The investigation of long-term relationship for the factors under consideration are based on integration. It is important to note that in the present paper all econometric models are estimated on "pure" statistical data, while in many research papers on business and credit cycles all evaluations and inferences are based on "filtered" time series (mostly filtered by Hodrick-Prescott's method). In present paper "causality" always means "Granger causality". All estimations are made in gretl, an open-source multiplatform econometric software.
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Berdinazarov, Zafar, Khasanjon Dodoev, Jamshid Mamasalaev, and Jakhongirmirzo Fakhodjonov. "Determinants of Exchange Rate Fluctuations of Uzbek Sum." Business and Management Studies 5, no. 1 (March 20, 2019): 52. http://dx.doi.org/10.11114/bms.v5i1.4162.
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This paper examines the determinants of exchange rate fluctuations of Uzbek sum by using three econometric models OLS (Ordinary Least Squares), ARIMA (Autoregressive Integrated Moving Average) and ML ARCH (Multivariate Long memory Autoregressive Conditional Heteroskadasticity). Model results show that the effects of money supply and remittances to the nominal and real exchange rates (USD/UZS) are found statistically significant; the impacts of inflation and interest rate are not econometrically meaningful. Also, it should be noted that the level of net trade influences to the exchange rate is not conclusive in our econometric analysis.
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Le Roux, P., and B. Ismail. "Modelling the impact of changes in the interest rates on the economy: An Austrian perspective." South African Journal of Economic and Management Sciences 7, no. 1 (July 23, 2004): 132–50. http://dx.doi.org/10.4102/sajems.v7i1.1433.
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Even though econometric models and yield curve analysis are useful in assessing the impact of interest rate changes on the economic structure, their power to predict the magnitude and direction of swings in the business cycle is often restricted to the use of short-term interest rates. From an Austrian school perspective on interest rates, empirical evidence suggests that the profitability of heavy industries further downstream outperforms that of light industries in the initial stages of monetary easing, due to a rising demand for investment goods and a rise in capacity utilisation levels. This paper assesses the impact of interest rates changes on the productive structure of the economy by taking into account the effect thereof on sector earnings and ultimately share prices.
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JIANG, Heng, and Chunlu LIU. "IDENTIFYING DETERMINANTS OF DEMAND FOR CONSTRUCTION USING AN ECONOMETRIC APPROACH." International Journal of Strategic Property Management 19, no. 4 (December 23, 2015): 346–57. http://dx.doi.org/10.3846/1648715x.2015.1072856.
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Economic variation and its effects on construction demand have received a great deal of attention in construction economics studies. An understanding of future trends in demand for construction could influence investment strategies for a variety of parties, including construction developers, suppliers, property investors and financial institutions. This paper derives the determinants of demand for construction in Australia using an econometric approach to identify and evaluate economic indicators that affect construction demand. The forecasting contribution of different determinants of economic indicators and their categories to the demand for construction are further estimated. The results of this empirical study suggest that changes in consumer's expectation, income and production, and demography and labour force are closely correlated with the movement of construction demand; and 14 economic indicators are identified as the determinants for construction demand. It was found that the changes in construction price, national income, size of population, unemployment rate, value or export, household expenditure and interest rates play key roles in explaining future variations in the demand for construction in Australia. Some “popular” macroeconomic indicators, such as GDP, established house price and bank loans produced inconclusive results.
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Ni, Zhehan, and Weilun Chen. "A Comparative Analysis of the Application of Machine Learning Algorithms and Econometric Models in Stock Market Prediction." BCP Business & Management 34 (December 14, 2022): 879–90. http://dx.doi.org/10.54691/bcpbm.v34i.3108.
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Forecasting the future price trend of a stock traded on a financial exchange is the aim of stock market prediction. In recent decades, stock market prediction has been a fascinating topic in the domain of Data Science and Finance. In reality, the stock movement is ambiguous and chaotic due to various influencing factors such as government policy, current events, interest rates Etc. At the same time, accurate enough forecasting of stock price movement leads to substantial benefits for investors. This paper provides a comprehensive review of the application and comparison of Machine Learning (ML) algorithms and Econometric Models in stock market prediction. The mentioned models are categorized into (i) ML algorithms, including Linear Regression (LR), K-nearest neighbors (KNN), Support Vector Machine (SVM), and Long Short-Term Memory (LSTM). (ii) Econometric Models, including Autoregressive Integrated Moving Average (ARIMA) Model, Capital Asset Pricing Model (CAPM), and Fama-French (FF) Factor Model.
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Chen, An-Sing, and Mark T. Leung. "Dynamic Foreign Currency Trading Guided by Adaptive Forecasting." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (September 1998): 383–418. http://dx.doi.org/10.1142/s0219091598000247.
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The difficulty in predicting exchange rates has been a long-standing problem in international finance as most standard econometric methods are unable to produce significantly better forecasts than the random walk model. Recent studies provide some evidence for the ability of multivariate time-series models to generate better forecasts. At the same time, artificial neural network models have been emerging as alternatives to predict exchange rates. In this paper we propose a nonlinear forecast model combining the neural network with the multivariate econometric framework. This hybrid model contains two forecasting stages. A time series approach based on Bayesian Vector Autoregression (BVAR) models is applied to the first stage of forecasting. The estimates from BVAR are then used by the nonparametric General Regression Neural Network (GRNN) to generate enhanced forecasts. To evaluate the economic impact of forecasts, we develop a set of currency trading rules guided by these models. The optimal conditions implied by the investment rules maximize the expected profits given the expected changes in exchange rates and the interest rate differentials between domestic and foreign countries. Both empirical and simulation experiments suggest that the proposed nonlinear adaptive forecasting model not only produces better forecasts but also results in higher investment returns than other types of models. The effect of risk aversion is also considered in the investment simulation.
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Masson, Paul, and Kevin Clinton. "Un modèle mensuel du secteur financier au Canada." Articles 52, no. 2 (June 25, 2009): 169–84. http://dx.doi.org/10.7202/800669ar.
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Abstract In this article we describe preliminary estimates of a model of the Canadian financial system. At the present time, the model explains the behaviour of the authorities, the chartered banks, the public, and the trust and mortgage loan companies. The variables explained include monetary aggregates, several interest rates, and the major assets of the chartered banks and of the trust and mortgage loan companies. The model differs from existing Canadian models in that we use monthly data rather than quarterly or annual data. We think the shorter observation period permits the econometric estimates to capture the dynamic adjustment processes more accurately. In particular, the mean lags implied by our equations tend to be considerably shorter than those in existing models. Another difference with conventional models is the larger influence given to asset and liability management of the chartered banks in the determination of short-term interest rates. The model is intended primarily for forecasting, and results are presented which indicate its usefulness in that regard.
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Atkinson, Paul, and Adrian Blundell-Wignall. "What Problem Is Post-Crisis QE Trying to Solve?" Journal of Risk and Financial Management 15, no. 2 (January 18, 2022): 40. http://dx.doi.org/10.3390/jrfm15020040.
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What problem the Fed and other central banks are solving by printing money and letting interest rates fall to zero is the focus of this paper. This activity does not appear to affect nominal GDP or inflation prior to COVID, and yet central bank liabilities have continued to rise. This suggests the presence of rising cash demand that has prevented excess cash and inflation pressures from emerging. While there was some hope that quantitative easing would be a new instrument in addition to interest rates as far as monetary policy goals were concerned, this has not proved to be the case. Instead, banking system demand for central bank liabilities keeps rising as an endogenous response to the changed business models of banks forced on them by post-crisis re-regulation and extremely low interest rates. These ideas were tested with cointegration and error correction econometric techniques. Examples of the growing risk of leverage and counterparty risks in this disequilibrium process are provided.
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Gavkalova, Nataliia, Yuliia Lola, Svitlana Prokopovych, Oleksandr Akimov, Vainius Smalskys, and Liudmyla Akimova. "Innovative Development of Renewable Energy During The Crisis Period and Its Impact on the Environment." Virtual Economics 5, no. 1 (April 6, 2022): 65–77. http://dx.doi.org/10.34021/ve.2022.05.01(4).
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The article examines the innovative trends in the renewable power generation, taking into account the impact of crises, as well as the impact of renewable energy on air pollution in the world (environmental change). Hierarchical agglomerative and iterative methods of cluster analysis, as well as econometric models were used to test the hypotheses. Carbon dioxide emissions and renewable power generation for 78 countries during 2000-2020 are taken into account as the database of the study. The results showed that there are groups of countries with sharp, high, moderate and low growth rates of renewable power generation. In addition, the results of econometric analysis indicate that the growth of renewable power generation does not always cause a decrease in carbon dioxide emissions. For a number of countries (Australia, Canada, Mexico, Poland) such connection is not essential at all. The results of the study can be useful in shaping and adapting environmental strategies around the world.
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Kocabas, Ceren. "Testing for contagion in economic literature." Journal of Governance and Regulation 8, no. 3 (2019): 42–46. http://dx.doi.org/10.22495/jgr_v8_i3_p3.
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The contagion of the financial crisis is an unavoidable fact for the economies of the global system anymore. Therefore measuring contagion, analyzing the propagation of volatility across countries became mainly important research topics among economists. There are many different econometric techniques used to test for contagion effect of financial crises. Transmission of shocks from one country to another can be calculated with four different techniques. The empirical literature mostly based on the techniques of measuring cross-market correlations, GARCH models, cointegration and probit models. In these models, economists use financial or real indicators or both of them in their analyses. As the financial indicators, they generally use share price indices, interest rates, exchange rates, and inflation rate. As the real indicators, they generally use the values of GDP, imports, exports, unemployment rate, etc. The aim of this paper is to underline the prominent empirical studies in the field of contagious crises
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Hacioglu, Umit, Hasan Dincer, and Ismail Erkan Celik. "Conflict Risk and Its Implication on Economy and Financial System." International Journal of Finance & Banking Studies (2147-4486) 2, no. 2 (November 16, 2016): 109. http://dx.doi.org/10.20525/ijfbs.v2i2.638.
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<p>Considering the impacts of the conflict on the economic parameters in terms of macroeconomics, the following factors might affect the profitability of the company: foreign capital outflows, decrease in exports, increase in the interest rates, disruption of the investment climate, increase in the exchange rates, increase in the costs of import entry etc. Due to the expectable decrease in profit shares as to the investors, the contraction in the risk appetite will cause volatility in the prices of equity securities markets based on the impacts of the conflict, and the equity securities will depreciate. In this study, the main contributions on conflict risk and related econometric models have been discussed.</p>
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Penezić, Nenad, Goran Anđelić, Marko Milošević, and Vilmoš Tot. "Application of modified GARCH methodology: Developed financial markets versus emerging financial markets." Serbian Journal of Management 15, no. 2 (2020): 241–61. http://dx.doi.org/10.5937/sjm15-20566.
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The subject of this research is to analyze and test the modified GARCH methodology in terms of quantifying the impact of inflation rates, interest rates on government bonds, reference interest rates, and exchange rates on daily rates of return on investment activities in the observed financial markets of North America, Serbia and Croatia. The aim of the research, i.e. a special focus in the research, is to compare the obtained results between the developed financial markets and the financial markets of developing countries, as well as to test the modified GARCH methodology in the observed financial markets. The key indicators in the research, presumed to affect the daily return rates, were the following: inflation rate, interest rates on government bonds, reference interest rate and exchange rate. The time period covered by the research is from 2005 to 2017, where the width of the research time horizon allows testing the modified GARCH methodology in the periods before, during and after the global financial crisis. In addition to the use of modified GARCH econometric models, the research methodology includes the use of AIC, SIC and HQC (Akaike, Schwarz and Hannan-Quinn) criteria for selecting the best models, as well as the appropriate tests that are suitable for and/or adapted to the specific characteristics of financial markets of both developed and developing countries. The research results confirm the role and importance of the modified GARCH methodology for effective investment risk quantification in developed financial markets versus the financial markets of developing countries. In this sense, the obtained research results will be useful to both the academic community and the professional public in the context of investment decision making.
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Ishaq, Maryam, Asad Ali, and Ismat Nasim. "Interest Spread and the Banking Sector Profitability- An Empirical Investigation for Pakistan." Review of Education, Administration & Law 5, no. 3 (September 30, 2022): 355–70. http://dx.doi.org/10.47067/real.v5i3.260.
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The paper is an empirical exploration around the commercial banks’ interest spread and the profitability performance for Pakistani banking industry. Earlier studies have evidently proven the sensitivity of commercial banks financial performance towards the gap between their deposit rate and the lending rate. The present study therefore aims at validating (invalidating) the subject relationship using advance time-series econometric procedures. The study attempts to yield a robust statistical analysis since three different measures of banks’ profitability are employed for the purpose of econometric testing i.e. return on assets, return on equity and earnings per share. The study sample comprises seven major participants from commercial banking sector of Pakistan and the sample study period rangers from year 2002 to 2018. From the series of robust regression models, Newey-West Hetroskedasticity and Autocorrelation Consistent (HAC) estimator is used to test the hypothesized relationship. Valid statistical support is yielded in case of all three measures of profitability; however, return on assets as indicator of profitability receives highest amount of statistical support. The results hold strong policy implications for commercial banking sector of the country, calling for wise management decisions whilst deciding the deposit and the lending and rates since they are key to determining the interest spread observed by a bank which in return determines its profitability margins.
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Kazmi, Aqdas Ali. "An Econometric Estimation of Tax-discounting in Pakistan." Pakistan Development Review 34, no. 4III (December 1, 1995): 1067–77. http://dx.doi.org/10.30541/v34i4iiipp.1067-1077.
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The debt neutrality hypothesis which has been a source of major controversies in the theory of public finance, and macroeconomics has at the same time generated a vast literature on the implications of budgetary deficits and public debt on various subsectors/ variables of the economy, such as inflation, interest rates, current account deficit, etc. Tax discounting has been one of the fields of research associated with debt neutrality. The econometric estimation of some of the standard models of taxdiscounting has shown that consumer response to fiscal policy in Pakistan reflects neither the extreme Barro-like rational anticipation of future tax liabilities nor the Buchanan-type extreme fiscal myopia. It broadly follows a middle path between these extremes. The controversy relating to debt neutrality is quite old in economic theory. However, due to its serious and far-reaching implications for the formulation of fiscal policy and macroeconomic management, the issues of debt neutrality have assumed a foremost position in economic theoretisation and empirical testing. This controversy is based on two important questions: (a) Who bears the burden of the debt? (b) Should debt be used to finance public expenditure? The first question centres on whether the debt can be shifted forward in time, while the second question explores whether taxation is equivalent to debt in its effects on the national economy.
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Bozhechkova, A. V., S. G. Sinelnikov-Murylev, and P. V. Trunin. "Factors of the Russian ruble exchange rate dynamics in the 2000s and 2010s." Voprosy Ekonomiki, no. 8 (August 3, 2020): 5–22. http://dx.doi.org/10.32609/0042-8736-2020-8-5-22.
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The article discusses the key factors of the ruble exchange rate dynamics, analyzes the features of Russian currency market in the context of inflation targeting and the application of the budget rule. The basic theoretical approaches to modeling the dynamics of real and nominal exchange rates are presented, including behavioral models of the exchange rate, the monetary model of the exchange rate, and the hypothesis of uncovered interest parity. The most important factors of long-term and short-term dynamics of the exchange rate are revealed. The results of an econometric evaluation of the models of the real and nominal ruble exchange rates using dynamic least squares method (DOLS) are presented. It is shown that the key factors shaping the dynamics of the nominal ruble exchange rate are the terms of trade, the interest rate spread, the VIX volatility index, and the operations of the Russian Ministry of Finance under the budget rule. The long-term trajectory of the real exchange rate is formed by the terms of trade conditions, the Balassa—Samuelson effect, the dynamics of net foreign assets of the private sector.
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Pažický, Martin. "The consequences of unconventional monetary policy in euro area in times of monetary easing." Oeconomia Copernicana 9, no. 4 (December 31, 2018): 581–615. http://dx.doi.org/10.24136/oc.2018.029.
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Research background: In this research paper, an attempt is made to evaluate the impacts of ECB’s unconventional monetary policy which has been applied after Global Financial Crisis. Because of the new economic and monetary conditions, the effectiveness of conventional monetary tools has been questioned.
Purpose of the article: Designed models examine the consequences of unconventional monetary policy for macroeconomic variables, monetary variables and interest rates in the euro area. Particular attention is paid to the response of the price level, represented by HICP, to various monetary policy innovations. Except a shock in credit multiplier and asset purchase programme (APP), also the effectiveness of a conventional monetary tool, such as main refinancing operation (MRO) interest rate, is inspected.
Methods: Use has been made of impulse responses from structural VAR models to analyze a large sample that covers the time horizon of 1999 to 2016. Several econometric tests are performed to provide a profound analysis. The conclusions from baseline models are verified in multiple robustness check models, which are specified under alternative conditions.
Findings & Value added: It has been found that, in the aftermath of the Global Financial Crisis, conventional monetary instruments are effective in the short-run. In the long-run, unconventional monetary policy has a greater potential to stabilize the economy than the traditional interest rate transmission channel. The conclusions from the baseline models are verified in multiple robustness check models, which are specified under alternative conditions.
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Świtała, Filip, Iwona Kowalska, and Karolina Malajkat. "Size of Banks as a Factor Which Impacts the Efficiency of the Bank Lending Channel." e-Finanse 16, no. 1 (March 1, 2020): 36–44. http://dx.doi.org/10.2478/fiqf-2020-0005.
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AbstractIn most economies the banking sector plays the major role in the financial system. Therefore, it is of great importance to analyse and understand the mechanism of transmission of monetary policy and its impact on the banking sector. One of the possible repercussions of changing the level of official interest rates is the ability to influence the size of bank lending, by means of the bank lending channel. The key aspect our research is a thorough understanding of the functioning of the bank lending channel, with the main goal of this study being an examination of the efficiency of monetary policy transmission through the bank lending channel depending on the size of banks in the sector. This paper examines the abovementioned relation using annual data from 1995-2015 by 1709 commercial and cooperative banks from 27 EU countries and analyzing them in various econometric models. The results indicate that there is a positive impact of a bank’s size on loan growth (defined as the bank size increases, the impact of changes in interest rates in the bank’s lending policy is getting smaller), however, interaction between the variables of size and the interest rate, was proved to be insignificant (in the group of all analysed banks, as well as in commercial and cooperative banks separately).
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Wang, Justine, Alla Koblyakova, Piyush Tiwari, and John S. Croucher. "Is the Australian housing market in a bubble?" International Journal of Housing Markets and Analysis 13, no. 1 (April 12, 2018): 77–95. http://dx.doi.org/10.1108/ijhma-03-2017-0026.
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Purpose This paper aims to explore principal drivers affecting prices in the Australian housing market, aiming to detect the presence of housing bubbles within it. The data set analyzed covers the past two decades, thereby including the period of the most recent housing boom between 2012 and 2015. Design/methodology/approach The paper describes the application of combined enhanced rigorous econometric frameworks, such as ordinary least square (OLS), Granger causality and the Vector Error Correction Model (VECM) framework, to provide an in-depth understanding of house price dynamics and bubbles in Australia. Findings The empirical results presented reveal that Australian house prices are driven primarily by four key factors: mortgage interest rates, consumer sentiment, the Australian S&P/ASX 200 stock market index and unemployment rates. It finds that these four key drivers have long-term equilibrium in relation to house prices, and any short-term disequilibrium always self-corrects over the long term because of economic forces. The existence of long-term equilibrium in the housing market suggests it is unlikely to be in a bubble (Diba and Grossman, 1988; Flood and Hodrick, 1986). Originality/value The foremost contribution of this paper is that it is the first rigorous study of housing bubbles in Australia at the national level. Additionally, the data set renders the study of particular interest because it incorporates an analysis of the most recent housing boom (2012-2015). The policy implications from the study arise from the discussion of how best to balance monetary policy, fiscal policy and macroeconomic policy to optimize the steady and stable growth of the Australian housing market, and from its reconsideration of affordability schemes and related policies designed to incentivize construction and the involvement of complementary industries associated with property.
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DE ALMEIDA, CAIO IBSEN RODRIGUES. "AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING." International Journal of Theoretical and Applied Finance 08, no. 02 (March 2005): 161–84. http://dx.doi.org/10.1142/s0219024905002949.
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Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modelled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. [22] in exploring their conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives.
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OSABOHIEN, Romanus, Isaiah O. OLURINOLA, and Oluwatoyin A. MATTHEW. "Agro-Financing and Agricultural Output in Nigeria." Journal of Advanced Research in Law and Economics 11, no. 4 (June 15, 2020): 1262. http://dx.doi.org/10.14505//jarle.v11.4(50).22.
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This study examined the impact of agro-financing on agricultural output in Nigeria. The data for the study was sourced from the Central of Nigeria (CBN) Statistical Bulletin and the World Development Indicators (WDI) of the World Bank for the period between 1990 and 2019. The study applied the Canonical Cointegration approach to achieve its objectives. Findings showed that agro-financing significantly affect the level of agricultural output in Nigeria. The result of the econometric models estimated in this study showed that, on average, a 1% increase in agro-financing may increase agricultural output by between 0.12%. Therefore, the study recommended that more agro-funding at low-interest rates will motivate farmers to invest in high-yield seedlings, farm implements, organic inputs that are capable of positively impacting total yield leading to more output.
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Sultan, Julius Jhonny Sarungu, Albertus Maqnus Soesilo, and Siti Aisyah Tri Rahayu. "Oil price and Indonesian economic growth." Problems and Perspectives in Management 17, no. 1 (March 5, 2019): 152–62. http://dx.doi.org/10.21511/ppm.17(1).2019.14.
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Oil prices and economic growth are important indicators to see the success of Indonesia’s development performance. The use of oil as the world’s main energy source in general and Indonesia in particular is driven by industrialization. The more industries, the greater the energy resources needed. In the same context, economic growth will also increase oil demand. The purpose of this study is to examine and create empirical evidence of the relationship between world oil prices and economic growth towards domestic oil prices. Furthermore, to test and create empirical evidence on the relationship of domestic oil prices, agriculture, trade, investment, inflation, interest rates, industry, labor, exchange rates and balance of payments to economic growth. The expected output of this research will be to provide information on the policy of the transmission mechanism of oil prices and economic growth in Indonesia. The method used is descriptive and econometric approach to the analysis of simultaneous equation models with two stages of the least squares method. The results of the study indicate that there is a simultaneous relationship between oil prices and economic growth. Economic growth, world oil prices and domestic oil prices a year ago had a positive effect on domestic oil prices. The second result shows that domestic oil, agriculture, investment, interest rates, industry, exchange rates, balance of payments and economic growth in the previous year have a positive effect on economic growth, while trade, inflation and labor have a negative influence on economic growth.
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Prevedouros, Panos D. "Origin-Specific Visitor Demand Forecasting at Honolulu International Airport." Transportation Research Record: Journal of the Transportation Research Board 1600, no. 1 (January 1997): 18–27. http://dx.doi.org/10.3141/1600-03.
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The development of a PC-based and easy-to-use-and-update econometric model system for forecasting arrivals at the Honolulu International Airport is presented. A model system instead of a single model was designed so that differential growth rates from various origins as well as arrivals affected by curfews at the origin or the destination, or both, can be estimated. The airport system of the state facilitates the only mode of transportation into and out of Hawaii. Planning based on reliable demand forecasts is therefore essential. Separate models of arrivals from Australia and New Zealand, Canada, Germany, Korea, and the United Kingdom were specified and estimated using the Cochrane-Orcutt regression method. Several diagnostic tests were employed to arrive at the final models, as problems of correlation (over time) and collinearity (among variables) were present. Independent variables include the gross domestic product, population, monetary exchange rate, and unemployment rate of the origin countries. Historical values for the independent variables were taken from the publications of international organizations. Variables for wars that tend to affect flying security and natural disasters in Hawaii that affect the supply of tourist accommodations were included in the model specifications.
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Demertzidis, Anastasios, and Vahidin Jeleskovic. "Empirical Estimation of Intraday Yield Curves on the Italian Interbank Credit Market e-MID." Journal of Risk and Financial Management 14, no. 5 (May 8, 2021): 212. http://dx.doi.org/10.3390/jrfm14050212.
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This paper introduces a major novelty: the empirical estimation of spot intraday yield curves based on tick-by-tick data on the Italian electronic interbank credit market (e-MID). To analyze the consequences of the recent financial crisis, we split the data into four periods, which include events before, during, and after the recent financial crisis starting in 2007. Our first result is that, from a practical point of view, the intraday yield curve can be modeled by standard models for yield curves providing advantages for intraday trading on intraday interbank credit markets. Moreover, the estimates show that the systematic dynamics in the intraday yield curves during the turmoil were highly noticeable, resulting in a significantly better goodness-of-fit. Based on this fact, we infer that investors in the interbank credit market base their investment decisions on the effects of the intraday dynamics of intraday interest rates more intensively during a financial crisis. Therefore, the systematic impact on the e-MID appears to be stronger and econometric modeling of the intraday interest rate curve becomes even more attractive during a turmoil.
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Tadeu, Hugo Ferreira Braga, and Jersone Tasso Moreira Silva. "Determinants of Productivity in Brazil: an empyrical analysis of the period 1996-2020." International Journal of Economics and Statistics 9 (April 16, 2021): 30–40. http://dx.doi.org/10.46300/9103.2021.9.6.
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Empirical studies regarding the determinants of productivity in developing countries, including Brazil, have demonstrated the negative impact of high inflation rates on the industrial capacity. However, the recent Brazilian experience clearly shows that stabilization since 1996, in and of itself, is not capable of recovering the investment rates. With this in mind, this study's goal is to answer, with the help of econometric simulation models, the questions: (i) what are the key-drivers to assess the Brazilian economy since 1996?; and (ii) what are the key-factors to be considered when investments are made, particulary in productivity? To answer the questions we evaluated the impacts of macro-economic variables on private investments, using a strategic bias and a long term vision plan. The estimates demonstrate empirical crowding-in evidence of public investments in infrastructure over private investments as a real impact to productivity. As for public invetsments (noninfrastructural) we suggest that the crowding-in impact dislocates private investments. All these indicators were obtained as presented in the therory, with the exception of the real interest rates variable (r), in which we observed that the coefficient is positive and insignificant in the estimated equation.
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Tadeu, Hugo Ferreira Braga, and Jersone Tasso Moreira Silva. "Determinants of Productivity in Brazil: An empirical analysis of the period 1996-2021." International Journal of Advanced Engineering Research and Science 9, no. 2 (2022): 182–92. http://dx.doi.org/10.22161/ijaers.92.22.
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Empirical studies regarding the determinants of productivity in developing countries, including Brazil, have demonstrated the negative impact of high inflation rates on the industrial capacity. However, the recent Brazilian experience clearly shows that stabilization since 1996, in and of itself, is not capable of recovering the investment rates. With this in mind, this study's goal is to answer, with the help of econometric simulation models, the questions: (i) what are the key-drivers to assess the Brazilian economy since 1996?; and (ii) what are the key-factors to be considered when investments are made, particulary in productivity? To answer the questions we evaluated the impacts of macro-economic variables on private investments, using a strategic bias and a long term vision plan. The estimates demonstrate empirical crowding-in evidence of public investments in infrastructure over private investments as a real impact to productivity. As for public invetsments (non-infrastructural) we suggest that the crowding-in impact dislocates private investments. All these indicators were obtained as presented in the therory, with the exception of the real interest rates variable (r), in which we observed that the coefficient is positive and insignificant in the estimated equation.
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RICHARDS, GORDON R. "FRACTALITY IN A MACROECONOMIC MODEL: NONLINEAR OSCILLATION AROUND A LONG-TERM EQUILIBRIUM." Fractals 10, no. 02 (June 2002): 235–51. http://dx.doi.org/10.1142/s0218348x02001063.
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Recent studies have established that macroeconomic time series exhibit fractal properties. Empirical tests here demonstrate that interest rates, exchange rates, output and prices all show evidence of a non-integer fractal dimension. Several classes of volatility models widely used in econometrics can give rise to fractality. In the paradigm proposed here, fractality results from multiplicative relationships between residual noise terms in simultaneous equation systems. The emergence of fractality in a large-scale econometric model is analyzed. The model uses well-established structural equations, so that all variables converge toward their equilibrium paths in the long run. The forecasted paths are then embedded in noise, and the model is re-simulated at a higher frequency. The simultaneity of the model equations causes the embedding noise to take on fractal properties. Multi-scaling demonstrates that the model simulations reproduce the fractal properties of the real-world time series reasonably well. Finally, it is possible to forecast at short horizons using an algorithm that exploits two aspects of fractality, scaling symmetries and intermittency. Ratios of rates of change capture proximate symmetries. A logit regression is used to predict the conditional probability of extreme events.
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Bishop, Christine E. "INTEREST GROUP SESSION—ECONOMICS OF AGING: EVOLVING CARE SYSTEMS FOR OLDER ADULTS: UTILIZATION IMPACTS OF MEDICARE AND MEDICAID PAYMENT TRENDS." Innovation in Aging 3, Supplement_1 (November 2019): S547. http://dx.doi.org/10.1093/geroni/igz038.2015.
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Abstract With the promise of better care coordination, better member outcomes, and lower costs, Medicare and state Medicaid programs are implementing population-based payment systems for older adults. Medicare Advantage (MA) plans are responsible for Medicare services for their members, Medicaid managed long-term services and supports (MLTSS) programs cover a broad span of Medicaid benefits, and some state initiatives enroll beneficiaries dually eligible for both Medicaid and Medicare and integrate benefits from the two programs. Simultaneously, Medicaid programs are attempting to shift LTSS utilization away from nursing homes and toward home and community based services (HCBS). The presentations for this symposium address aspects of this changing landscape using Medicare and Medicaid claims and other data and causal econometric models. The first paper considers the effect of MA utilization on SNF staffing, quality, and financial health. The second paper compares medical care utilization outcomes, specifically risk of hospitalization, for Medicaid nursing home residents to outcomes for similar Medicaid members receiving HCBS. The third paper presents an MLTSS initiative in one state in the context of national developments and considers the challenges of evaluating its impact. The fourth paper compares hospitalization rates for MLTSS populations to rates for dually eligible-beneficiaries not enrolled in MLTSS. The discussion will bring findings together to assess early gains and costs as these systems of care evolve.
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Nocoń, Aleksandra. "Sustainable Approach to the Normalization Process of the UK’s Monetary Policy." Sustainability 12, no. 21 (November 6, 2020): 9229. http://dx.doi.org/10.3390/su12219229.
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It has been more than a decade since central banks, in the face of the global financial crisis, implemented a set of unconventional initiatives that included a rapid and significant decrease in their main interest rates and an unprecedented balance sheet policy. Thus far, they still have not returned their monetary policy to the pre-crisis framework and have not implemented a normalization process. Currently, a trend of using econometric models in monetary policy for forecasting purposes has been observed. Among these models, Bayesian vector autoregression models (BVAR models) are increasingly being used by central banks. The main aim of this study was to conduct an empirical verification of the BVAR model’s usage for short-term prediction which could then be used for a sustainable (ordered) normalization process for the UK’s monetary policy. This study verifies a research hypothesis which states that the BVAR model might be a useful tool in the Bank of England’s decision-making process regarding the normalization of its monetary policy. Additionally, the cause and effect analysis, observation method, document analysis method, and synthesis method were also considered. The conducted research indicates that a large BVAR model has a significant predictive value for short-term forecasting.
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Abu Asab, Noura. "Evidence of customer sophistication behaviour in deposit markets: the case of Qatar." Journal of Economic Studies 47, no. 5 (May 26, 2020): 1181–96. http://dx.doi.org/10.1108/jes-08-2019-0371.
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PurposeThe paper investigates the interest rate policy transmission mechanism and the role of market structure of the banking industry in Qatar.Design/methodology/approachCompetitiveness indexes are used to measure the degree of market power in the banking industry in Qatar. The momentum threshold autoregressive model is applied over the monthly period from January 2005 to June 2018 to examine the magnitude of intermediation and adjustment to disequilibria in the deposit market. In addition, to model interest rate volatility and overcome the problem of heteroscedastic errors in the error correction standard models, an asymmetric EC-EGARCH-M model is applied.FindingsThe findings suggest incomplete pass-through and asymmetric response to monetary shocks. The asymmetric adjustment mechanism is found to be downward rigid which suggests a high degree of customer sophistication and an elastic supply of deposits. The results of the EC-EGARCH-M show that the impact of monetary policy shocks has a significant positive impact on deposit interest rates and that negative monetary shocks trigger more conditional interest rate volatility in the next period than positive monetary shocks for a short maturity rate.Originality/valueThe paper is the first to highlight the behaviour of the interest rate pass through channel and measures the degree of competitiveness of the banking industry for the case of a small, rich country. In addition, using recent data, the paper applies different econometric methodologies and overcomes the problem of heteroskedastic errors by modelling the interest rate volatility using the EC-EGARCH-M model.
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Carruthers, Bruce G., Timothy W. Guinnane, and Yoonseok Lee. "Bringing “Honest Capital” to Poor Borrowers: The Passage of the U.S. Uniform Small Loan Law, 1907–1930." Journal of Interdisciplinary History 42, no. 3 (November 2011): 393–418. http://dx.doi.org/10.1162/jinh_a_00256.
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The Uniform Small Loan Law (usll)—the primary tool of the Russell Sage Foundation (rsf) intended to improve credit conditions for poor people in the United States during first decades of the twentieth century—created a new class of lenders who could legally make small loans at interest rates exceeding those allowed for banks. By the 1930s, about two-thirds of the states had passed the usll. Econometric models show that urbanization, state-level economic characteristics, and the nature of a state's banking system all affected the chance of passage. That party-political affiliations had no effect is consistent with the usll's “progressive” character. The passage of the usll in one state, however, made passage less likely in neighboring or similar states. The evidence suggests that the rsf only imperfectly understood the political economy of the usll, and that a different overall approach might have produced a result closer to its real aims.
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Attamah, Nick, Anthony Igwe, and Wilfred Isioma Ukpere. "The impact of fiscal and monetary policies on unemployment problem in Nigeria (managerial economic perspective)." Risk Governance and Control: Financial Markets and Institutions 5, no. 2 (2015): 101–9. http://dx.doi.org/10.22495/rgcv5i2c1art4.
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This paper investigates the impact of fiscal and Monetary Policies on Unemployment Problem in Nigeria and covers the periods 1980 to 2013. To achieve this, fiscal policy was captured here by government expenditures and revenues respectively while monetary policy was proxied by broad Money Supply (M2), Interest and Exchange rates respectively. The methodology adopted was econometric analysis employing OLS techniques and unit roots of the series were examined using the Augmented Dickey-Fuller after which the co-integration tests was conducted using the Engle Granger approach. Error correction models were estimated to take care of the short run dynamics. It was found that while government expenditure had a positive relationship with unemployment problem in Nigeria, the result of government revenue was negative and insignificant on unemployment problem. For monetary policy, it was found that money supply and exchange rate had positive and significant impact while interest rate has only a positive relationship on unemployment problem in Nigeria. This meets the a priori expectation. The study also revealed that increases in interest and exchange rates escalate unemployment by increasing cost of production which discourages the private sector from employing large workforce. On the other hand, national productivity measured by real GDP had a negative and significant impact on unemployment rate in Nigeria. This paper recommends that for an effective combat to unemployment problem in Nigeria, there should be a systematic diversion of strategies, thus more emphasis should be laid on aggressively pursuing entrepreneurial development and increased productivity. Again government should aggressively focus on investment, employment generation and economic growth that has mechanism to trickle does to the masses.
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Ibragimov, Rustam, and Peter C. B. Phillips. "REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS." Econometric Theory 24, no. 4 (April 4, 2008): 888–947. http://dx.doi.org/10.1017/s0266466608080365.
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Weak convergence of partial sums and multilinear forms in independent random variables and linear processes and their nonlinear analogues to stochastic integrals now plays a major role in nonstationary time series and has been central to the development of unit root econometrics. The present paper develops a new and conceptually simple method for obtaining such forms of convergence. The method relies on the fact that the econometric quantities of interest involve discrete time martingales or semimartingales and shows how in the limit these quantities become continuous martingales and semimartingales. The limit theory itself uses very general convergence results for semimartingales that were obtained in the work of Jacod and Shiryaev (2003, Limit Theorems for Stochastic Processes). The theory that is developed here is applicable in a wide range of econometric models, and many examples are given. %One notable outcome of the new approach is that it provides a unified treatment of the asymptotics for stationary, explosive, unit root, and local to unity autoregression, and also some general nonlinear time series regressions. All of these cases are subsumed within the martingale convergence approach, and different rates of convergence are accommodated in a natural way. Moreover, the results on multivariate extensions developed in the paper deliver a unification of the asymptotics for, among many others, models with cointegration and also for regressions with regressors that are nonlinear transforms of integrated time series driven by shocks correlated with the equation errors. Because this is the first time the methods have been used in econometrics, the exposition is presented in some detail with illustrations of new derivations of some well-known existing results, in addition to the provision of new results and the unification of the limit theory for autoregression.
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Climent-Serrano, Salvador, and Jose M. Pavía. "DETERMINANTS OF PROFITABILITY IN SPANISH FINANCIAL INSTITUTIONS. COMPARING AIDED AND NON-AIDED ENTITIES." Journal of Business Economics and Management 16, no. 6 (December 24, 2015): 1170–84. http://dx.doi.org/10.3846/16111699.2013.801881.
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The last financial crisis has led to the greatest contribution of public funds ever made to Spanish banks. This paper studies why the need for support has been asymmetric, with not all of the institutions requiring aid. Based on profitability of assets (ROA), we determine using panel data econometric and logit response models the components of profit and loss accounts that generated profitability as well as the factors leading to some entities to ask for aid. The analyses show that before the beginning of the crisis there were significant differences between entities that needed aid and those that did not. The most profitable banks grounded their success in the traditional revenue components of financial institutions (such as margin on interest rates and commissions), as well as in revenues obtained from participated companies and extraordinary results. The model offers a tool to detect entities in difficulties in advance, reducing the financial and social costs of public interventions. The factors more impacting on profitability of Spanish institutions are also identified.
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Latour, Robert J., John M. Hoenig, Daniel A. Hepworth, and Stewart D. Frusher. "A novel tag-recovery model with two size classes for estimating fishing and natural mortality, with implications for the southern rock lobster (Jasus edwardsii) in Tasmania, Australia." ICES Journal of Marine Science 60, no. 5 (January 1, 2003): 1075–85. http://dx.doi.org/10.1016/s1054-3139(03)00093-6.
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Abstract Multi-year tag-recovery models can be used to derive estimates of age- and year-specific annual survival rates and year-specific instantaneous fishing and natural mortality rates. The latter, which are often of interest to fisheries managers, usually can only be estimated when the tag-reporting rate (λ) and the short-term tag-induced mortality and tag-shedding rate (φ) are known a priori. We present a new multi-year tagging model that permits estimation of instantaneous mortality rates independently of φλ, provided tagged animals from two adjacent size groups are released simultaneously. If the two size groups comprise animals just above and below the minimum harvestable size limit, then it is possible to estimate year-specific instantaneous fishing and natural mortality rates after 2 yr of tagging and tag-recovery. In addition to the standard assumptions of multi-year tag-recovery models, it is necessary to assume that recruited animals have equal selectivity, pre-recruited animals become fully recruited in 1 or 2 yr, and the size groups experience the same natural mortality rate. Applicability of the model to the Tasmania southern rock lobster (Jasus edwardsii) fishery is evaluated using a simulation model and parameters based on data from the lobster fishery; assumptions are likely to be met and precision should be adequate if at least 1000 animals are tagged per year in each size group.
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Shen, Mei-Li, Cheng-Feng Lee, Hsiou-Hsiang Liu, Po-Yin Chang, and Cheng-Hong Yang. "An Effective Hybrid Approach for Forecasting Currency Exchange Rates." Sustainability 13, no. 5 (March 4, 2021): 2761. http://dx.doi.org/10.3390/su13052761.
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Accurately forecasting the movement of exchange rates is of interest in a variety of fields, such as international business, financial management, and monetary policy, though this is not an easy task due to dramatic fluctuations caused by political and economic events. In this study, we develop a new forecasting approach referred to as FSPSOSVR, which is able to accurately predict exchange rates by combining particle swarm optimization (PSO), random forest feature selection, and support vector regression (SVR). PSO is used to obtain the optimal SVR parameters for predicting exchange rates. Our analysis involves the monthly exchange rates from January 1971 to December 2017 of seven countries including Australia, Canada, China, the European Union, Japan, Taiwan, and the United Kingdom. The out-of-sample forecast performance of the FSPSOSVR algorithm is compared with six competing forecasting models using the mean absolute percentage error (MAPE) and root mean square error (RMSE), including random walk, exponential smoothing, autoregressive integrated moving average (ARIMA), seasonal ARIMA, SVR, and PSOSVR. Our empirical results show that the FSPSOSVR algorithm consistently yields excellent predictive accuracy, which compares favorably with competing models for all currencies. These findings suggest that the proposed algorithm is a promising method for the empirical forecasting of exchange rates. Finally, we show the empirical relevance of exchange rate forecasts arising from FSPSOSVR by use of foreign exchange carry trades and find that the proposed trading strategies can deliver positive excess returns of more than 3% per annum for most currencies, except for AUD and NTD.
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Tanjung, Dahri, and Yeti Lis Purnamadewi. "Impact of Covid-19 Pandemic on Mses and Cooperatives and Strategic Recovery in New Normal Era." Jurnal Manajemen dan Organisasi 12, no. 3 (December 29, 2021): 220–31. http://dx.doi.org/10.29244/jmo.v12i3.39197.
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The purpose of this study is to examine the economic impact of Covid-19 on the performance of micro, and small enterprises (MSEs) and cooperative institutions; how the strategies and formulate a recovery strategy in the new normal era. The main data used are primary data collected through interviews to MSE and microfinance institutions. The analytical method used is descriptive statistics and econometric models. The before and after analysis shows the significantly different costs and benefits of MSEs before and after the pandemic. The analysis shows that in the pandemic Covid-19 period, all MSEs decreased performance, most experienced a decrease in business turnover (6 percent) and similarly with cooperative institutions, their turnover decreased to 55%. The strategy of the cooperatives to maintaining its performance is to provide relaxation, improve efficiency by reducing employees, and ask for a reduction in profit-sharing payments to creditors; while the MSE strategy if the cooperatives does not provide loans for a while is 60 percent of MSEs seeking loans from relatives, 25 percent borrowing from other microfinance despite high-interest rates and 15 percent selling their household assets.
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Sesay, Alhassan, Suhartono Suhartono, and Dedy Dwi Prastyo. "Forecasting Exchange Rate Across Countries with Gold Price as Exogenous Variable Using Transfer Function and VARI-X Model." MATEMATIKA 36, no. 3 (December 1, 2020): 181–96. http://dx.doi.org/10.11113/matematika.v36.n3.1211.
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Investors and collectors hold gold as protection for their savings and wealth atlarge. Gold does not pay interest like treasure bonds or savings accounts, but current goldprices often reflect increases and decreases of an asset. This research aims to provide amodel for the relationship between the exchange rate, which is vital in exporting gold, andgold prices across countries. The Australia, Brazil, and South Africa exchange rates areused as a case study against the gold price. The ARIMA model is used for forecasting goldprice as an input for the Transfer Function and VARIX models. The Transfer Functionmodel only considers the relationship between gold prices as input with the exchange ratein each country, whereas the VARIX model also considers the interrelationship betweenexchange rates in these countries. Daily data is used for the period 1st June 2010 to the28th February 2018. The RMSE and MAPE are used as criteria for selecting the bestmodel. The results show that VARIX is the best model for forecasting the Australianexchange rate, while the Transfer function is the best model for forecasting South Africanand Brazilian exchange rates.
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KICHURCHAK, Marianna. "Household bank deposit market in Ukraine: structural and regional peculiarities." Fìnansi Ukraïni 2020, no. 8 (October 23, 2020): 26–41. http://dx.doi.org/10.33763/finukr2020.08.026.
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The household bank deposit market belongs to one of the important components of the financial system of each country, leading to the need to clarify the dynamics of its development in the national economy and its regions. The purpose of the article is to determine the main regularities of functioning the household bank deposit market in terms of regions and the nature of structural changes in it, to develop recommendations for improving its environment and working conditions in the economy of Ukraine. Scientific methods of deduction and induction, analysis and synthesis, comparison and econometric modelling have been used. Structural peculiarities of the evolution of this market in 2009-20118 are evaluated at the regional level and its development is compared with similar markets in Belarus and Poland. The author has established this market had a tendency towards gradual decrease based on the reaction of households due to changes in social and economic and political conditions and violation of the banking system integrity in the years after 2014. It is determined that there was a gradual increase of regional concentration indices caused by raising differences of regional social and economic characteristics and household expectations. The following scientific and methodological approach to determining the nature of the development of the household bank deposit market by regions of Ukraine is worked out: specification of the main factors, their subsequent concretization by finding chief parameters of econometric models and clarifying the impact of identified factors on the regional structure of this market. It is found out that the improvements of social and economic conditions and activation of the labour market at the regional level, prudent policy of commercial banks concerning interest rates on deposits will create a favourable environment for the development of this market by region and achievement of positive structural transformations.
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Moore, Andrew D. "Opportunities and trade-offs in dual-purpose cereals across the southern Australian mixed-farming zone: a modelling study." Animal Production Science 49, no. 10 (2009): 759. http://dx.doi.org/10.1071/an09006.
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Dual-purpose cereals are employed in the high-rainfall zone of southern Australia to provide additional winter forage. Recently there has been interest in applying this technology in the drier environments of South and Western Australia. It would therefore be useful to gain an understanding of the trade-offs and risks associated with grazing wheat crops in different locations. In this study the APSIM (Agricultural Production Systems Simulator) crop and soil simulation models were linked to the GRAZPLAN pasture and livestock models and used to examine the benefits and costs of grazing cereal crops at 21 locations spanning seven of the regions participating in the Grain & Graze research, development and extension program. A self-contained part of a mixed farm (an annual pasture–wheat rotation plus permanent pastures) supporting a breeding ewe enterprise was simulated. At each location the consequences were examined of: (i) replacing a spring wheat cultivar with a dual-purpose cultivar (cv. Wedgetail or Tennant) in 1 year of the rotation; and (ii) either grazing that crop in winter, or leaving it ungrazed. The frequency of early sowing opportunities enabling the use of a dual-purpose cultivar was high. When left ungrazed the dual-purpose cultivars yielded less grain on average (by 0.1–0.9 t/ha) than spring cultivars in Western Australia and the Eyre Peninsula but more (by 0.25–0.8 t/ha) in south-eastern Australia. Stocking rate and hence animal production per ha could be increased proportionately more when a dual-purpose cultivar was used for grazing; because of the adjustments to stocking rates, grazing of the wheat had little effect on lamb sale weights. Across locations, the relative reduction in wheat yield caused by grazing the wheats was proportional to the grazing pressure upon them. Any economic advantage of moving to a dual-purpose system is likely to arise mainly from the benefit to livestock production in Western Australia, but primarily from grain production in south-eastern Australia (including the Mallee region). Between years, the relationship between increased livestock production and decreased grain yield from grazing crops shifts widely; it may therefore be possible to identify flexible grazing rules that optimise this trade-off.
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Bukina, I. S., and P. A. Orekhovsky. "Specific features of the Russian Economic Growth Model." Finance: Theory and Practice 22, no. 6 (December 26, 2018): 6–24. http://dx.doi.org/10.26794/2587-5671-2018-22-6-6-24.
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The article presents the study of the specific features of the Russian economic growth in 1998–2017. The study objective is to substantiate the growth and decline mechanism in business activity in the Russian economy. This mechanism is determined by the gap in the growth rates of wages and labor productivity in the open economy. Four hypotheses have been formulated: 1) significant cause and effect relationship between exchange rate and economic growth in Russia; 2) wage growth outrunning productivity has a depressing effect on the profitability of the commercial sector; 3) significant differences between the Russian economic growth in 1998–2009 and in 2009–2017, determined by the connection between the excess of the domestic interest rate over the world rate and investments; 4) substantial connection between the domestic interest rate and investment in 1998–2009 which disappeared in 2009–2017. The theoretical analysis and the hypotheses have been based on neoclassical synthesis models. Statistical testing of the hypotheses has been carried out by means of statistical and correlation analysis and methods of econometric analysis of time series. A problem related to wage growth outrunning labor productivity has been identified. Probable significant changes in the Russian growth model in 2018–2020 have been forecasted. They will be caused by the infrastructure development and housing construction. The major conclusion of the study is that there will be a positive effect of the ruble depreciation on labor productivity in the medium term. However, it will be over by the end of 2019 and beginning of 2020. Domestic currency strengthening and outrunning wage growth with the slowing labor productivity reduce the profitability of the commercial sector and put brakes on the economic growth.
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Castroman, J. Lopez. "A Review of Advances in Social Sciences and their Application for Research in Suicidal Behavior." European Psychiatry 41, S1 (April 2017): S49. http://dx.doi.org/10.1016/j.eurpsy.2017.01.210.
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Suicidal behavior and its prevention constitute a major public health issue, and the moderating effect of sociodemographic factors has been studied for more than a century. In the last years it has become evident that the relationship between social factors and suicidal behavior is complex and highly dependent on the context. For instance, minorities suffering marginalization, such as the Inuit in Canada or the aborigines in Australia, present high rates of suicide. However, other minorities, such as immigrants arriving to tightened communities, can be protected from suicide compared to the social majority. Other contradictory effects have been reported concerning income per capita and the evolution of the economy. Unfortunately, the interplay of social factors in suicidal behavior and the social consequences of suicide attempts are rarely represented in theoretical models of suicidal behavior, despite their importance to adapt suicide prevention policies to social groups at risk. In this presentation, recent advances and new and integrative avenues for future research in the social aspects of suicidal behavior will be summarized.Disclosure of interestThe author declares that he has no competing interest.
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Gashi, Adelina, Saranda Tafa, and Roberta Bajrami. "The Impact of Macroeconomic Factors on Non-performing Loans in the Western Balkans." Emerging Science Journal 6, no. 5 (August 2, 2022): 1032–45. http://dx.doi.org/10.28991/esj-2022-06-05-08.
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This paper analyzes the relationship of macroeconomic factors to the level of non-performing loans (NPLs) using the econometric models GMM, the Fixed Effect model, and the Random Effect model. This study aims to identify macroeconomic factors at the level of non-performing loans in the Western Balkans, measure their impact on non-performing loans, and thus fill the gap that exists between macroeconomic factors (consisting of economic growth) and those with more impact on NPLs. The methodology used to carry out this research was desk research. We used World Bank data from 2000–2019, processed with STATA software. Results show that macroeconomic factors have an impact on non-performing loans. It also proves that even when interacting with other variables, the level of bad debt has not been completely eliminated, despite economic growth in many countries. Third, throughout the study period, fixed effects estimates show that variables are not significant in a static context. According to the findings, the annual rates of GDP growth, final government consumption, the real interest rate, gross domestic savings, and the unemployment rate all have a favorable impact on NPLs. This research contributes to a deeper understanding of the relationship between macroeconomic factors and non-performing loans in the Western Balkans. Based on this, to help reduce loan risk and bad debt by the proper criteria, we propose a series of policy implications. These implications aim to improve the efficiency of banks in particular and the banking system as a whole. Doi: 10.28991/ESJ-2022-06-05-08 Full Text: PDF
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Wang, Liying, Yushuang Song, Qingan Qiu, and Li Yang. "Warranty Cost Analysis for Multi-State Products Protected by Lemon Laws." Applied Sciences 13, no. 3 (January 25, 2023): 1541. http://dx.doi.org/10.3390/app13031541.
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The implementation of lemon laws in America has played an important role in improving the quality of after-sales service. Nowadays, many countries, such as China, Canada, Europe, Australia, Singapore, and South Korea, have adopted lemon laws in various industries to protect the interest of consumers. From the perspective of manufacturers, accurate estimation of the cost of the warranty service is of great importance in guiding product pricing, quality control, and design of warranty policies. According to the terms of different lemon laws, two warranty models considering the repair time and numbers for failures are proposed in this paper. Products under these models are multi-state, and Markov processes are used to model the degradation processes of products. In the first model, a product will be replaced by a new one if the time for a repair or the number of failures exceeds their respective thresholds over the warranty period. Under the second model, both catastrophic and minor failures are considered. A product will be replaced if one of the following three conditions is met over the warranty period: the time of one repair action (regardless of failure type) is longer than a time threshold; the number of minor failures is larger than a preset threshold; a catastrophic failure occurs. The expected warranty cost rates under the two proposed warranty models are derived under the assumption of renewable warranty terms. Numerical examples are given to illustrate the results obtained.
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Vanderlee, Lana, Christine M. White, Sharon I. Kirkpatrick, Vicki L. Rynard, Alejandra Jáuregui, Jean Adams, Gary Sacks, and David Hammond. "Nonalcoholic and Alcoholic Beverage Intakes by Adults across 5 Upper-Middle- and High-Income Countries." Journal of Nutrition 151, no. 1 (November 26, 2020): 140–51. http://dx.doi.org/10.1093/jn/nxaa324.
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ABSTRACT Background Despite considerable public health interest in sugary drink consumption, there has been little comparison of intake across countries. Objectives This study aimed to compare the consumption frequency and amounts of commonly consumed beverages among adults in 5 upper-middle- and high-income countries, and examine differences in consumption between population subgroups. Methods Adults aged 18–65 y completed online surveys in December 2017 in Australia (n = 3264), Canada (n = 2745), Mexico (n = 3152), the United Kingdom (n = 3221), and the USA (n = 4015) as part of the International Food Policy Study. The frequency of consuming beverages from 22 categories in the past 7 d was estimated using the Beverage Frequency Questionnaire. Regression models were used to examine differences in the likelihood of any consumption and in the amounts consumed of sugar-sweetened beverages (SSBs), sugary drinks (SSBs and 100% juice), diet, and alcoholic beverages between countries and across sociodemographic subgroups. Results The prevalence of reported SSB consumption in the past 7 d ranged from 47% (United Kingdom) to 81% (Mexico), and that of sugary drinks ranged from 62% (United Kingdom) to 87% (Mexico). Rates of consumption of diet drinks ranged from 26% (Mexico) to 37% (United Kingdom), whereas alcoholic drink consumption rates ranged from 45% (USA) to 52% (Canada). Respondents in Mexico were more likely to consume SSBs and sugary drinks, and in greater amounts, than those in other countries. Respondents in the United Kingdom were more likely to consume diet drinks than those in Australia, Canada, and Mexico, and greater amounts of diet drinks were consumed in the United Kingdom and the USA. Across countries, younger respondents and males were more likely to consume greater amounts of SSBs and sugary drinks. Conclusions Most adult respondents across all countries consumed SSBs and sugary drinks, with greater consumption in Mexico and the USA. Consumption varied greatly across countries, but patterns of association among subpopulations were relatively similar.
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Suhendra, Indra, Cep Jandi Anwar, Navik Istikomah, Eka Purwanda, and Lilis Nur Kholishoh. "The Short-Run and Long-Run Effects of Central Bank Rate on Exchange Rate Volatility in Indonesia." International Journal of Innovative Research and Scientific Studies 5, no. 4 (October 28, 2022): 343–53. http://dx.doi.org/10.53894/ijirss.v5i4.851.
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This research measures the short and long-run effects of central bank policy rate on the volatility of the exchange rate in Indonesia using the quarterly data from Q1 1992 to Q4 2019. The process involves applying an Autoregressive Distribution Lag estimation to investigate the effects of the variables. The exchange rate volatilities include Indonesia Rupiah to US Dollar (IDR-USD), Indonesia Rupiah to Singapore Dollar (IDR-SGD), Indonesia Rupiah to Australia Dollar (IDR-AUD), Indonesia Rupiah to British Pound Sterling (IDR-GBP), and Indonesia Rupiah to Euro (IDR-EURO). Several results were obtained and the first to show the adjustment time for exchange rate volatility to achieve long-run equilibrium was 1.77 quarters to 2.26 quarters using the ARDL estimation. Secondly, a decrease in the central bank rate was found to significantly reduce the exchange rate volatility in the short run and long run. These results are robust since Full Modified Ordinary Least Square (FMOLS) estimation was applied for all five models. Furthermore, it was found that in the long run, the central bank policy rate had a significant positive effect on the volatility of the Indonesia Rupiah against five foreign exchange rates. Therefore, it was suggested that the policymakers need to keep the interest rate of the central bank low and stable to ensure the Rupiah exchange rate stability.
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Hasan, Arshad, and Zafar Mueen Nasir. "Macroeconomic Factors and Equity Prices: An Empirical Investigation by Using ARDL Approach." Pakistan Development Review 47, no. 4II (December 1, 2008): 501–13. http://dx.doi.org/10.30541/v47i4iipp.501-513.
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The relationship between macroeconomic variables and the equity prices has attracted the curiosity of academicians and practitioners since the publication of seminal paper of Chen, et al. (1986). Many empirical studies those tested the relationship reveal that asset pricing theories do not properly identify macroeconomic factors that influence equity prices [Roll and Ross (1980); Fama (1981); Chen, et al. (1986); Hamao (1986); Faff (1988); Chen (1991); Maysami and Koh (2000) and Paul and Mallik (2001)]. In most of these studies, variable selection and empirical analyses is based on economic rationale, financial theory and investors’ intuition. These studies generally apply Eagle and Granger (1987) procedure or Johanson and Jusilieus (1990, 1991) approach in Vector Auto Regressor (VAR) Framework. In Pakistan, Fazal (2006) and Nishat (2001) explored the relationship between macroeconomic factors and equity prices by using Johanson and Jusilieus (1990, 1991) procedure. The present study tests the relationship between macroeconomic variables such as inflation, industrial production, oil prices, short term interest rate, exchange rates, foreign portfolio investment, money supply and equity prices by using Auto Regressive Distributive Lag (ARDL) bounds testing procedure proposed by Pesaran, Shin, and Smith (1996, 2001). The ARDL approach in an errorcorrection setting has been widely applied to examine the impact of macroeconomic factors on economic growth but it is strongly underutilised in the capital market filament of literature. This methodology has a number of advantages over the other models. First, determining the order of integration of macroeconomic factors and equity market returns is not an important issue here because the Pesaran ARDL approach yields consistent estimates of the long-run coefficients that are asymptotically normal irrespective of whether the underlying regressors are I(0) or I(1) and of the extent of cointegration. Secondly, the ARDL approach allows exploring correct dynamic structure while many econometric procedures do not allow to clearly distinguish between long run and short run relationships.
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Gordon, Louisa G., Amy J. Spooner, Natasha Booth, Tai-Rae Downer, Adrienne Hudson, Patsy Yates, Alanna Geary, Christopher O’Donnell, and Raymond Chan. "Do nurse navigators bring about fewer patient hospitalisations?" Journal of Health Organization and Management 33, no. 1 (March 18, 2019): 51–62. http://dx.doi.org/10.1108/jhom-02-2018-0063.
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Purpose Nurse navigators (NNs) coordinate patient care, improve care quality and potentially reduce healthcare resource use. The purpose of this paper is to undertake an evaluation of hospitalisation outcomes in a new NN programme in Queensland, Australia. Design/methodology/approach A matched case-control study was performed. Patients under the care of the NNs were randomly selected (n=100) and were matched to historical (n=300) and concurrent (n=300) comparison groups. The key outcomes of interest were the number and types of hospitalisations, length of hospital stay and number of intensive care unit days. Generalised linear and two-part models were used to determine significant differences in resources across groups. Findings The control and NN groups were well matched on socio-economic characteristics, however, groups differed by major disease type and number/type of comorbidities. NN patients had high healthcare needs with 53 per cent having two comorbidities. In adjusted analyses, compared with the control groups, NN patients showed higher proportions of preventable hospitalisations over 12 months, similar days in intensive care and a smaller proportion had overnight stays in hospital. However, the NN patients had significantly more hospitalisations (mean: 6.0 for NN cases, 3.4 for historical group and 3.2 for concurrent group); and emergency visits. Research limitations/implications As many factors will affect hospitalisation rates beyond whether patients receive NN care, further research and longer follow-up is required. Originality/value A matched case-control study provides a reasonable but insufficient design to compare the NN and non-NN exposed patient outcomes.
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Whiteley, Jennifer, Debanjali Mitra, Shrividya Iyer, Sean D. Candrilli, and James A. Kaye. "Treatment Response and Predictors of Response Among Patients with Chronic Myeloid Leukemia: A Retrospective Medical Record Review." Blood 120, no. 21 (November 16, 2012): 4450. http://dx.doi.org/10.1182/blood.v120.21.4450.4450.
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Abstract Abstract 4450 Objective: To assess treatment responses and predictors of response among patients with chronic myeloid leukemia (CML) in Australia, Canada, and South Korea. Methods: Oncologists and hematologists abstracted data from medical records of patients diagnosed with CML between 1/1/2005 and 9/30/2010 via a web-based data collection tool. Patients included were at least 18 years old; had chronic phase, Philadelphia chromosome and/or BCR-ABL positive CML at the time of diagnosis; received imatinib as first-line therapy; and were not enrolled in a clinical trial between the date of CML diagnosis and the end of available chart data. A subset of patients received second- and/or third-line therapy with dasatinib or nilotinib. We assessed rates of complete hematological response (CHR), complete cytogenetic response (CCyR), and complete or major molecular response (MMR) at 3, 6, 12, and 18 months. Multivariable logistic regression models were fitted to assess predictors of response (CHR, CCyR, and MMR) to 1stline therapy with imatinib. The independent and control variables incorporated into the models were age, gender, employment status, Charlson comorbidity index (CCI) score, time to initiation of therapy, imatinib dose at treatment initiation, and presence of treatment-related side effects. Follow-up was truncated if the patient had a change in dose. Only those still in chronic phase at the time of imatinib initiation who had non-missing data on the variables of interest (n=387) were included in the regression analyses. Results: Ninety-three physicians (31 in Australia, 28 in Canada, and 34 in S. Korea) provided data on 609 patients (203 in Australia, 199 in Canada, and 207 in S. Korea). The average patient age was 57 years, and 59% of the patients were male. At 3 months after imatinib initiation, CHR was attained by 67%, 83%, and 86% of patients in Australia, S. Korea, and Canada respectively. Over 85% of all patients maintained CHR at 6, 12, and 18 months. Cytogenetics were not commonly evaluated at 3 and 6 months in the three countries studied. At month 12, 48% of patients achieved CCyR (42% in Australia and Canada, 60% in S. Korea), and a similar proportion of patients had CCyR at 18 months. Overall, MMR was achieved by 59% of patients at month 12, increasing to 70% at month 18. Multivariable regressions showed that receipt of previous treatment (odds ratio [OR]=1.88, 95% CI=1.08–3.25; reference [ref]: no previous treatment), and low Sokal score (OR=2.04, 95% CI=1.13–3.69; ref: intermediate) were associated with a greater likelihood of CHR at 3 months while initial dose > 400mg (OR=0.37 95% CI=0.13–1.03; ref: initial dose <= 400 mg), CCI score of 2 or higher (OR=0.23, 95% CI=0.11–0.51; ref: CCI score 0), and presence of treatment-related side effects (OR=0.41, 95% CI=0.18–0.95; ref: no side effects) predicted a lower likelihood of CHR at 3 months. High Sokal score (OR=0.39, 95% CI=0.18–0.87; ref: intermediate) was found to be associated with a lower likelihood of achieving CCyR at 12 months while the presence of treatment-related side effects (OR=1.86, 95% CI=1.04 – 3.33; ref: no side effects) was found to be associated with a higher probability of achieving CCyR at 12 months. Low Sokal score (OR=1.85, 95% CI=1.10–3.10; ref: intermediate) was the only significant prognostic indicator that was associated with a greater likelihood of MMR at 18 months while age >65 years was the only significant adverse prognostic indicator of MMR by 18 months (OR=0.42, 95% CI=0.20–0.86; ref: age 45–65). Conclusions: The favorable prognostic indicators of response among patients with chronic phase CML included previous treatment, low Sokal score, lower initial imatinib dose (< 400 mg), and no comorbidities. Better understanding of predictors of response may enable physicians to better tailor therapy to optimize patient outcomes. Disclosures: Whiteley: Pfizer Inc: Employment, Equity Ownership. Mitra:Pfizer Inc: Research Funding. Iyer:Pfizer Inc: Employment. Candrilli:Pfizer Inc: Research Funding. Kaye:Pfizer Inc: Research Funding.