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1
Canning, D., L. A. N. Amaral, Y. Lee, M. Meyer, and H. E. Stanley. "Scaling the volatility of GDP growth rates." Economics Letters 60, no. 3 (September 1998): 335–41. http://dx.doi.org/10.1016/s0165-1765(98)00121-9.
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2
Liu, Bin, and Amalia Di Iorio. "Does idiosyncratic volatility predict future growth of the Australian economy?" Studies in Economics and Finance 33, no. 1 (March 7, 2016): 69–90. http://dx.doi.org/10.1108/sef-08-2014-0160.
Повний текст джерелаАнотація:
Purpose – This paper aims to examine whether idiosyncratic volatility and other asset pricing factors predict growth rates of the ten Australian economic indicators. Design/methodology/approach – The authors use the Liew and Vassalou (2000) model augmented with an idiosyncratic volatility factor to investigate the issue. Findings – Using regression analysis, the authors find that the asset pricing factors can be used to predict the growth rates for eight out of the ten economic indicators. Moreover, using portfolio performance analysis, the authors find that high returns of size factor and a book-to-market factor portfolios precede periods of good macroeconomic states, whereas high returns of HIMLI portfolios precede periods of bad macroeconomic states. Originality/value – To the authors’ knowledge, the relationship between idiosyncratic volatility and Australian economic growth has not been investigated explicitly in the literature.
3
Adams, Andrew, Seth Armitage, and Adrian FitzGerald. "An analysis of stock market volatility." Annals of Actuarial Science 6, no. 1 (December 6, 2011): 153–70. http://dx.doi.org/10.1017/s1748499511000339.
Повний текст джерелаАнотація:
AbstractThis paper provides a user-friendly approach to explain how variation in fundamental price-determining variables ‘translates into’ variation in the fundamental value of equities, based on the standard dividend-growth model. The analysis is illustrated with UK data using estimates of real interest rate forecasts and real dividend growth rate forecasts in the past. An important application of this approach is that stock market volatility can be analysed in terms of its component parts. Actual market volatility does not appear to be excessive when compared with the notional volatility implied by changes over time in our estimates of forecast real interest rates and forecast real dividend growth rates.
4
Panda, Ajaya Kumar, Swagatika Nanda, Vipul Kumar Singh, and Satish Kumar. "Evidence of leverage effects and volatility spillover among exchange rates of selected emerging and growth leading economies." Journal of Financial Economic Policy 11, no. 2 (May 7, 2019): 174–92. http://dx.doi.org/10.1108/jfep-03-2018-0042.
Повний текст джерелаАнотація:
Purpose The purpose of this study is to examine the evidences of leverage effects on the conditional volatility of exchange rates because of asymmetric innovations and its spillover effects among the exchange rates of selected emerging and growth-leading economies. Design/methodology/approach The empirical analysis uses the sign bias test and asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models to capture the leverage effects on conditional volatility of exchange rates and also uses multivariate GARCH (MGARCH) model to address volatility spillovers among the studied exchange rates. Findings The study finds substantial impact of asymmetric innovations (news) on the conditional volatility of exchange rates, where Russian Ruble is showing significant leverage effect followed by Indian Rupee. The exchange rates depict significant mean spillover effects, where Rupee, Peso and Ruble are strongly connected; Real, Rupiah and Lira are moderately connected; and Yuan is the least connected exchange rate within the sample. The study also finds the assimilation of information in foreign exchanges and increased spillover effects in the post 2008 periods. Practical implications The results probably have the implications for international investment and asset management. Portfolio managers could use this research to optimize their international portfolio. Policymakers such as central banks may find the study useful to monitor and design interventions strategies in foreign exchange markets keeping an eye on the nature of movements among these exchange rates. Originality/value This is one of the few empirical research studies that aim to explore the leverage effects on exchange rates and their volatility spillovers among seven emerging and growth-leading economies using advanced econometric methodologies.
5
Kou, S. C., and S. G. Kou. "Modeling growth stocks via birth-death processes." Advances in Applied Probability 35, no. 03 (September 2003): 641–64. http://dx.doi.org/10.1017/s0001867800012477.
Повний текст джерелаАнотація:
The inability to predict the future growth rates and earnings of growth stocks (such as biotechnology and internet stocks) leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. This paper attempts to demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process. Numerical illustrations of the cross-sectional size distribution are also presented.
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Kou, S. C., and S. G. Kou. "Modeling growth stocks via birth-death processes." Advances in Applied Probability 35, no. 3 (September 2003): 641–64. http://dx.doi.org/10.1239/aap/1059486822.
Повний текст джерелаАнотація:
The inability to predict the future growth rates and earnings of growth stocks (such as biotechnology and internet stocks) leads to the high volatility of share prices and difficulty in applying the traditional valuation methods. This paper attempts to demonstrate that the high volatility of share prices can nevertheless be used in building a model that leads to a particular cross-sectional size distribution. The model focuses on both transient and steady-state behavior of the market capitalization of the stock, which in turn is modeled as a birth-death process. Numerical illustrations of the cross-sectional size distribution are also presented.
7
HO, Kin Yip, and Albert K. C. TSUI. "Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach." China Economic Review 15, no. 4 (January 2004): 424–42. http://dx.doi.org/10.1016/j.chieco.2004.06.011.
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Tan, Khee Giap, Sasidaran Gopalan, and Jigyasa Sharma. "Impact of exchange rates on exports from India’s sub-national economies." South Asian Journal of Business Studies 8, no. 2 (June 3, 2019): 166–84. http://dx.doi.org/10.1108/sajbs-09-2018-0100.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to examine the impact of real effective exchange rates (REER), both in terms of levels and volatility, on the export performance of India’s sub-national economies, given the recent slowdown in India’s exports. Design/methodology/approach India’s export distribution is highly asymmetric, with 90 percent of India’s exports concentrated in 11 sub-national economies. Exploiting this concentration, this paper constructs a panel data set using available data between 2002 and 2014 to understand the relationship between REER and exports from the top exporting cluster. Moreover, the paper constructs a sub-national competitiveness index to capture the supply capacity of the states. Findings The empirical findings of this paper reveal that a higher REER volatility deters exports and movements in REER do not matter as much as volatility. The most significant finding of the paper is that state competitiveness is the most crucial factor affecting trade. Therefore, policy makers at the state level must lay more emphasis on the supply side such as addressing logistical bottlenecks to help revive exports growth. Originality/value This study makes a departure from the plethora of extant aggregate-level studies by examining the relationship between REER and exports at the sub-national level for India. Considering the highly skewed distribution of India’s exports, the study provides important insights into the exporting patterns and determinants that are at play at the sub-national level.
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Yan, C., W. Nie, A. L. Vogel, L. Dada, K. Lehtipalo, D. Stolzenburg, R. Wagner, et al. "Size-dependent influence of NOx on the growth rates of organic aerosol particles." Science Advances 6, no. 22 (May 2020): eaay4945. http://dx.doi.org/10.1126/sciadv.aay4945.
Повний текст джерелаАнотація:
Atmospheric new-particle formation (NPF) affects climate by contributing to a large fraction of the cloud condensation nuclei (CCN). Highly oxygenated organic molecules (HOMs) drive the early particle growth and therefore substantially influence the survival of newly formed particles to CCN. Nitrogen oxide (NOx) is known to suppress the NPF driven by HOMs, but the underlying mechanism remains largely unclear. Here, we examine the response of particle growth to the changes of HOM formation caused by NOx. We show that NOx suppresses particle growth in general, but the suppression is rather nonuniform and size dependent, which can be quantitatively explained by the shifted HOM volatility after adding NOx. By illustrating how NOx affects the early growth of new particles, a critical step of CCN formation, our results help provide a refined assessment of the potential climatic effects caused by the diverse changes of NOx level in forest regions around the globe.
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Davis, Steven J., John Haltiwanger, Ron Jarmin, Javier Miranda, Christopher Foote, and Éva Nagypál. "Volatility and Dispersion in Business Growth Rates: Publicly Traded versus Privately Held Firms [with Comments and Discussion]." NBER Macroeconomics Annual 21 (January 2006): 107–79. http://dx.doi.org/10.1086/ma.21.25554954.
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Bang, Vasant V., and Alok Kumar Mishra. "Does Economic Growth Pay Political Dividends in India?" Indian Economic Journal 67, no. 1-2 (June 2019): 166–69. http://dx.doi.org/10.1177/0019466220941429.
Повний текст джерелаАнотація:
Since independence in 1947, India has witnessed several changes in economic policies of governments. Economic reforms were started in India in 1984 and were accelerated later in 1991. It is believed that Bharatiya Janata Party won the 2014 parliamentary elections on the promise of economic development and growth. In this article, an attempt has been made to investigate the link between economic and electoral performances in Indian elections. The data for 1951–2014 period has been analysed by establishing regression equations using vote percentage received by a ruling party as dependent variable and sectoral economic growth during the ruling tenure as independent variables. Comparisons have been made between the pre- and post-1984 eras. An important contribution of this article is that it highlights the fact that electoral performances can be better explained using sectoral growth data as compared to overall GDP growth rates. The article also highlights a significant role played by volatility in growth rates.
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Abaidoo, Rexford. "Loan delinquency and macroeconomic conditions." American Journal of Business 33, no. 3 (August 6, 2018): 82–95. http://dx.doi.org/10.1108/ajb-03-2018-0006.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to examine how specific macroeconomic indicators and conditions impact short- and long-run loan delinquency rates among US commercial banks under various economic episodes. Design/methodology/approach The study employs an autoregressive distributed lag framework (ARDL) and error correction model in its examination of how loan delinquency rates are impacted by specific macroeconomic variables and conditions. Findings This study finds that in both the short and long run, a percentage growth in macroeconomic indicators, such as industrial productivity and private domestic investments, reduces loan delinquency rates among commercial banks, given all things being equal. Additionally, this study also finds that adverse macroeconomic conditions, such as inflation, economic policy uncertainty and volatility, associated with specific macroeconomic variables, such as investment growth, etc., tend to worsen loan delinquency rates. Empirical results further suggest that among the various macroeconomic conditions examined, inflationary pressures tend to have the most significant heightening impact on loan delinquency rates among commercial banks. Originality/value The uniqueness of this study, compared to similar studies found in the literature, has to do with its verification of potential association between loan delinquency rates and specific hitherto unexamined macroeconomic conditions. Compared to similar studies on loan delinquency, this study collectively examines how conditions of uncertainty, volatility and expectations of macroeconomic conditions shape loan delinquency rates among commercial banks.
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Chen, Carl R., Peter P. Lung, and F. Albert Wang. "Stock Market Mispricing: Money Illusion or Resale Option?" Journal of Financial and Quantitative Analysis 44, no. 5 (October 2009): 1125–47. http://dx.doi.org/10.1017/s0022109009990238.
Повний текст джерелаАнотація:
AbstractWe examine two hypotheses to explain stock mispricing: i) the money illusion hypothesis (Modigliani and Cohn (1979)) and ii) the resale option hypothesis (Scheinkman and Xiong (2003)). We find that the money illusion hypothesis may explain the level, but not the volatility, of mispricing in the U.S. market. In contrast, the stock resale option hypothesis, which stems from heterogeneous beliefs about future dividend growth rates and short-sale constraints, can explain both the level and the volatility of mispricing. The evidence suggests that while the two hypotheses complement each other in explaining the level of mispricing, the resale option hypothesis provides a more coherent explanation for asset price bubbles, in which extraordinarily high price levels are often accompanied by excessive volatility and frenzied trading.
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Serletis, Apostolos, and Sajjadur Rahman. "THE CASE FOR DIVISIA MONEY TARGETING." Macroeconomic Dynamics 17, no. 8 (September 7, 2012): 1638–58. http://dx.doi.org/10.1017/s1365100512000247.
Повний текст джерелаАнотація:
In this paper we investigate the relationship between money growth uncertainty and the level of economic activity in the United States. We pay explicit attention to the Divisia monetary aggregates. In doing so, we use the new vintage of the data [called MSI (monetary services indices) by the St. Louis Fed], together with the simple sum monetary aggregates, over the period from 1967:1 to 2011:3. In the context of a bivariate VARMA, GARCH-in-mean, asymmetric BEKK model, we show that increased Divisia money growth volatility (irrespective of the level of aggregation and the method of calculation) is associated with a lower average growth rate of real economic activity. However, there are no effects of simple-sum money growth volatility on real economic activity, except with the Sum M1 and perhaps Sum M2M aggregates. We conclude that monetary policies that focus on the Divisia monetary aggregates and target their growth rates will contribute to higher overall economic growth.
15
Burren, Daniel, and Klaus Neusser. "THE ROLE OF SECTORAL SHIFTS IN THE DECLINE OF REAL GDP VOLATILITY." Macroeconomic Dynamics 17, no. 3 (January 30, 2012): 477–500. http://dx.doi.org/10.1017/s1365100511000289.
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U.S. production has shifted from goods-producing to service-producing industries. We assess whether this shift contributed to the decline in U.S. output volatility over the period 1949–2005 and provide an estimate of its relative importance. Growth rates of GDP by industry are analyzed in a seemingly unrelated multivariate autoregression framework with time-varying innovation covariance matrices. These changing unobserved covariance matrices are modeled as a Wishart autoregressive process of order one, which results in a nonlinear state-space system. The particle filter is used to obtain estimates of the innovation covariance matrix at each point in time. Several counterfactual experiments make it possible to apportion the decline in output volatility between the shift in the sectoral composition and changes in innovations. Our main finding is that the shift into the service sector can explain about 30% of the decline in GDP's volatility, despite the fact that some sectors became even more volatile. This result is robust across a wide variety of alternative specifications.
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Barrell, Ray, Catherine Guillemineau, and Dawn Holland. "Decomposing Growth in France, Germany and the United Kingdom Using Growth Accounting and Production Function Approaches." National Institute Economic Review 199 (January 1, 2007): 99–113. http://dx.doi.org/10.1177/0027950107077129.
Повний текст джерелаАнотація:
This paper uses Growth Accounting and Production Function Analysis to decompose the factors behind differences in growth between the UK, France and Germany between 1992 and 2005. Most of the growth differential between the United Kingdom, Germany and France since 1993 can be explained by structural factors. The United Kingdom's higher growth has originated essentially in the finance and business sector, which is ICT-intensive. Germany's weak growth reflects in large part the aftermath of the unification shock and a continued fall in the labour input. At the same time there has been a sharp slowdown in knowledge accumulation, which seems to have restrained labour productivity growth. After EMU, the performance of German manufacturing improved relative to both France and the United Kingdom, while capital deepening became less supportive to growth because of lower investment in infrastructures and dwellings. France's higher growth relative to Germany since 1999 comes essentially from the non-tradable sectors and from a higher labour input. This may be partly related to a more significant decline in the volatility of real interest rates.
17
Sekkat, Khalid. "On the Aggregate Impact of Exchange Rate Variability on EU Trade." German Economic Review 2, no. 1 (February 1, 2001): 57–78. http://dx.doi.org/10.1111/1468-0475.00027.
Повний текст джерелаАнотація:
Abstract The paper assesses the aggregate impact of exchange rate variability on EU trade. A small econometric model is constructed and estimated for five countries: France, Italy, Germany, the UK and Belgium. The results show that there exists a long-term relationship between trade variables and relative costs, demand, exchange rates and expected exchange rates. No such relation exists with respect to volatility. It is also found that while the most important determinants of trade variables are relative wages and demand, variability is also responsible for a decrease in the growth rate of these variables.
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Evgenidis, Anastasios, and Costas Siriopoulos. "An explanation of spread’s ability to predict economic activity." Journal of Economic Studies 43, no. 3 (August 8, 2016): 488–503. http://dx.doi.org/10.1108/jes-10-2014-0175.
Повний текст джерелаАнотація:
Purpose – For over two decades numerous studies have provided evidence on the predictive ability of the yield spread for real economic growth. While all this large literature has focussed on how well the spread helps predict real activity, none of these has given an answer on why the spread predicts. The purpose of this paper is to deal with this issue by trying to find an answer on the reason and the economic conditions under which the spread proves to be so powerful predictor of economic activity. Design/methodology/approach – The authors examine whether the explanation of spread’s predictive ability lies behind interest rate volatility supposing that the economy oscillates between high- and low-volatility regimes. For this reason the authors nest GARCH models into Markov regime switching models. Findings – When the authors assume that the economy simply oscillates between different regimes, interest rate volatility does not explain the spread’s predictive ability. However, the authors obtain a very interesting result when the authors augment the conditional variance with a level effects term. This ensures that in an environment with high levels of interest rates – in which the rational agents expect the economy to slow down – there is a greater possibility for the economy to switch to a high-volatility regime. Under these economic conditions, interest rate volatility appears to be the reason of spread’s predictive power from one up to three years. Originality/value – This study contributes to the relevant literature by providing an explanation on the reason and the economic conditions under which the spread proves to be so powerful predictor of economic activity.
19
LEUNG, TIM, and HYUNGBIN PARK. "LONG-TERM GROWTH RATE OF EXPECTED UTILITY FOR LEVERAGED ETFs: MARTINGALE EXTRACTION APPROACH." International Journal of Theoretical and Applied Finance 20, no. 06 (September 2017): 1750037. http://dx.doi.org/10.1142/s0219024917500376.
Повний текст джерелаАнотація:
This paper studies the long-term growth rate of expected utility or expected return from holding a leveraged exchanged-traded fund (LETF), which is a constant proportion portfolio of the reference asset. We develop a martingale extraction approach to tackle the path-dependence in the expectation and determine the long-term growth rate through the eigenpair associated with the infinitesimal generator of a time-homogeneous Markovian diffusion. The long-term growth rates are derived explicitly under a number of models for the reference asset, including the geometric Brownian motion model, GARCH model, inverse GARCH model, extended CIR model, 3/2 model, quadratic model, as well as the Heston and [Formula: see text] stochastic volatility models. We also investigate the impact of stochastic interest rate such as the Vasicek model and the inverse GARCH short rate model. Additionally, we determine the optimal leverage ratio that maximizes the long-term growth rate, and examine the effects of model parameters.
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GALLEGATI, MAURO, GIANFRANCO GIULIONI, and NOZOMI KICHIJI. "COMPLEX DYNAMICS AND FINANCIAL FRAGILITY IN AN AGENT-BASED MODEL." Advances in Complex Systems 06, no. 03 (September 2003): 267–82. http://dx.doi.org/10.1142/s0219525903000888.
Повний текст джерелаАнотація:
We model an agent-based economy in which heterogeneous agents (firms and a bank) interact in the financial markets. The heterogeneity is due to the balance sheet conditions and to size. In our simulations, at the aggregate level, output displays changes in trend and volatility giving rise to complex dynamics. The average solvency and liquidity ratios peak during recessions as empirical analysis shows. At the firm level the model generates: (i) firm sizes left-skewed distributed, (ii) growth rates Laplace distributed. Furthermore, small idiosyncratic shocks can generate large aggregate fluctuations.
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Greenhalgh, Paul Michael, Kevin Muldoon-Smith, and Sophie Angus. "Commercial property tax in the UK: business rates and rating appeals." Journal of Property Investment & Finance 34, no. 6 (September 5, 2016): 602–19. http://dx.doi.org/10.1108/jpif-03-2016-0014.
Повний текст джерелаАнотація:
Purpose The purpose of this paper is to investigate the impact of the introduction of the business rates retention scheme (BRRS) in England which transferred financial liability for backdated appeals to LAs. Under the original scheme, business rates revenue, mandatory relief and liability for successful appeals is spilt 50/50 between central government and local government which both share the rewards of growth and bear the risk of losses. Design/methodology/approach The research adopts a microanalysis approach into researching local government finance, conducting a case study of Leeds, to investigate the impact of appeals liability and reveal disparities in impact, through detailed examination of multiple perspectives in one of the largest cities in the UK. Findings The case study reveals that Leeds, despite having a buoyant commercial economy driven by retail and service sector growth, has been detrimentally impacted by BRRS as backdated appeals have outweighed uplift in business rates income. Fundamentally BRRS is not a “one size fits all” model – it results in winners and losers – which will be exacerbated if local authorities get to keep 100 per cent of their business rates from 2020. Research limitations/implications LAs’ income is more volatile as a consequence of both the rates retention and appeals liability aspects of BRRS and will become more so with the move to 100 per cent retention and liability. Practical implications Such volatility impairs the ability of local authorities to invest in growth at the same time as providing front line services over the medium term – precisely the opposite of what BRRS was intended to do. It also incentivises the construction of new floorspace, which generates risks overbuilding and exacerbating over-supply. Originality/value The research reveals the significant impact of appeals liability on LAs’ business rates revenues which will be compounded with the move to a fiscally neutral business rates system and 100 per cent business rates retention by 2020.
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Altunyan, Armen, Tatiana Kotcofana, and Viktoria Bazzhina. "The impact of economic policy instruments on the conditions of sustainable economic growth." SHS Web of Conferences 74 (2020): 06003. http://dx.doi.org/10.1051/shsconf/20207406003.
Повний текст джерелаАнотація:
Given the low rates of economic growth in Russia and the aggravation of the geopolitical situation, the question of the prospects for its stimulation with fiscal and monetary policy tools is of particular relevance. The main priority of the economic policy is to ensure financial stability and prevent destabilization, taking into account the volatility of hydrocarbons prices and the geopolitical tensions. The article uses dialectical materialistic and concrete historical methods to protect that the current economic policies should be focused on sustainable economic growth. It is necessary to form a new strategy of monetary regulation and budget policy that would contribute to the sustainable development of the Russian economy and ensure the economic security of the country. In the perspective of maintaining sustainable economic growth, it is important to solve the problem of equitable distribution, expressed in a strong stratification of society and the violation of social stability, the implementation of economic policy at the level of macroeconomic planning; it is advisable for the Central Bank to follow the link between the possible range of inflation and economic growth; to stimulate consumer and investment demand by reducing interest rates, to form money supply not due to linking gold and foreign currency reserves, but under the issue of securities, to increase budget expenditures and increase public debt for the sake of investment in education and health care.
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Wingenbach, Rachel, Jong-Min Kim, and Hojin Jung. "Living longer in high longevity risk." Journal of Demographic Economics 86, no. 1 (February 7, 2020): 47–86. http://dx.doi.org/10.1017/dem.2019.20.
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AbstractThere is considerable uncertainty regarding changes in future mortality rates. This article investigates the impact of such longevity risk on discounted government annuity benefits for retirees. It is critical to forecast more accurate future mortality rates to improve our estimation of an expected annuity payout. Thus, we utilize the Lee–Carter model, which is well-known as a parsimonious dynamic mortality model. We find strong evidence that female retirees are likely to receive more public lifetime annuity than males in the USA, which is associated with systematic mortality rate differences between genders. A cross-country comparison presents that the current public annuity system would not fully cover retiree's longevity risk. Every additional year of life expectancy leaves future retirees exposed to high risk, arising from high volatility of lifetime annuities. Also, because the growth in life expectancy is higher than the growth of expected public pension, there will be a financial risk to retirees.
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Alonso-García, Jennifer, and Pierre Devolder. "GUARANTEE VALUATION IN NOTIONAL DEFINED CONTRIBUTION PENSION SYSTEMS." ASTIN Bulletin 46, no. 3 (August 5, 2016): 677–707. http://dx.doi.org/10.1017/asb.2016.21.
Повний текст джерелаАнотація:
AbstractThe notional defined contribution pension scheme combines pay-as-you-go financing and a defined contribution pension formula. The return on contributions is based on an index set by law, such as the growth rate of GDP, average wages or contribution payments. The volatility of this return compromises the system's pension adequacy and therefore guarantees may be needed. Here, we provide a minimum return guarantee to the pension contributions. The price is calculated in a utility indifference framework. We obtain a closed-form solution for a general dependence structure with exponential preferences and in presence of stochastic short interest rates.
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Adrian, Tobias, Fernando Duarte, Nellie Liang, and Pawel Zabczyk. "NKV: A New Keynesian Model with Vulnerability." AEA Papers and Proceedings 110 (May 1, 2020): 470–76. http://dx.doi.org/10.1257/pandp.20201023.
Повний текст джерелаАнотація:
We present a New Keynesian model with endogenous risk. The conditional output gap volatility depends on the price of risk, giving rise to a vulnerability channel of monetary policy. Lower interest rates not only shift consumption intertemporally but also shift conditional output risk. The model fits estimates of the conditional output gap distribution 1 to 12 quarters ahead and suggests an intertemporal risk return trade-off for policymakers. Via the impact on risk taking, easy monetary policy lowers short-term downside risks to growth but increases medium-term risks. The framework can be used to jointly consider macroprudential and monetary policy.
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Donaldson, R. Glen, Mark J. Kamstra, and Lisa A. Kramer. "Estimating the Equity Premium." Journal of Financial and Quantitative Analysis 45, no. 4 (June 8, 2010): 813–46. http://dx.doi.org/10.1017/s0022109010000347.
Повний текст джерелаАнотація:
AbstractExisting empirical research investigating the size of the equity premium has largely consisted of a series of innovations around a common theme: producing a better estimate of the equity premium by using better data or a better estimation technique. The equity premium estimate that emerges from most of this work matches one moment of the data alone: the mean difference between an estimate of the return to holding equity and a risk-free rate. We instead match multiple moments of U.S. market data, exploiting the joint distribution of the dividend yield, return volatility, and realized excess returns, and find that the equity premium lies within 50 basis points of 3.5%, a range much narrower than was achieved in previous studies. Additionally, statistical tests based on the joint distribution of these moments reveal that only those models of the conditional equity premium that embed time variation, breaks, and/or trends are supported by the data. In order to develop the joint distribution of the dividend yield, return volatility, and excess returns, we need a model of price and return fundamentals. We document that even recently developed analytically tractable models that permit autocorrelated dividend growth rates and discount rates impose restrictions that are rejected by the data. We therefore turn to a wider range of models, requiring numerical solution methods and parameter estimation by the simulated method of moments.
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Mishra, P. K., and S. K. Mishra. "Corona Pandemic and Stock Market Behaviour: Empirical Insights from Selected Asian Countries." Millennial Asia 11, no. 3 (November 7, 2020): 341–65. http://dx.doi.org/10.1177/0976399620952354.
Повний текст джерелаАнотація:
On the onset of the year 2020, the unprecedented outbreak of novel coronavirus, initially as a human health epidemic and later as a global pandemic, has wobbled the economies of affected countries across the globe. The consequential unexpected occurrences of supply- and demand-side shocks forced the economies to trim down their growth prospects. The interplay of these shocks has generated spirals of downturns in all major economic sectors, including the financial sector in affected countries. Specifically, the stock markets immediately nosedived, following the outbreak of the global spread of coronavirus disease 2019 (COVID-19). Thus, we examine the behaviour of the selected Asian stock markets amid the huge uncertainties of the corona pandemic and find the occurrences of volatility clustering in these markets. Such volatility clustering primarily occurred, owing to the pessimistic and panic sentiments of investors, and the increase in the number of COVID-19 confirmed cases, changes in oil prices, and exchange rates were found to be significant in channelizing the fears and uncertainties of coronavirus pandemic to cause unexpected nosedives in Asian stock markets.
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Masiak, Christian, Joern H. Block, Tobias Masiak, Matthias Neuenkirch, and Katja N. Pielen. "Initial coin offerings (ICOs): market cycles and relationship with bitcoin and ether." Small Business Economics 55, no. 4 (May 23, 2019): 1113–30. http://dx.doi.org/10.1007/s11187-019-00176-3.
Повний текст джерелаАнотація:
Abstract We apply a vector autoregression (VAR) model to investigate the market cycles of Initial Coin Offerings (ICOs) as well as their relationships with bitcoin and ether. Our sample covers 104 weekly observations between January 2017 and December 2018. Our results show that ICO market cycles exist and that shocks to the growth rates of ICO volumes are persistent. In addition, shocks in cryptocurrency returns have a substantial and positive effect on ICO volumes. In contrast, the volatility of cryptocurrency returns does not significantly affect ICO volumes. Our results are robust to using (i) the number of successfully completed ICO campaigns instead of ICO volumes and (ii) ICO data from a different data source. Our study has implications for financial practice, in particular for cryptocurrency investors and entrepreneurial firms conducting ICOs.
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Lee, Yung-Hsin, Lily Shui-Lien Chen, I. Fei Chen, and Bing-Huei Lin. "Incremental performance of an eChannel addition." Internet Research 24, no. 1 (January 28, 2014): 46–62. http://dx.doi.org/10.1108/intr-11-2012-0227.
Повний текст джерелаАнотація:
Purpose – The purpose of this paper is to use the Black-Scholes-Merton option pricing model to evaluate the incremental performance of an eChannel addition. Design/methodology/approach – Data were collected from 53 Taiwan financial services firms. In total, 33 of them introduced their online services, whereas the other 20 firms did not introduce their online services during the period under examination. Findings – The research findings show that firm asset values increase following eChannel additions. Thus, eChannel additions enhance firm financial performance. A further analysis comparing the performance between firms with and without eChannel additions also shows that firms with eChannel additions have higher asset value growth rates, which further validates the capacity of eChannel additions to enhance financial performance. Practical implications – Managers and shareholders in firms making eChannel additions are not required to be concerned regarding stock price volatility, and managers in firms without any eChannel investment could use eChannels to enhance their stock price and seize future opportunities. Using eChannel is a valid approach for firms to provide enhanced services to current customers, access new markets, and extend market coverage, thus enhancing overall financial performance. Investors could confide those firms implementing eChannel additions. Originality/value – Studies investigating whether eChannel additions enhance firm financial performance are scant. No study has evaluated performance from a long-term perspective or from a volatility aspect (both are important considerations in eChannel performance evaluation). The research represents a pioneering work that empirically investigates these issues.
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I. Motelle, Sephooko, and Nicholas Biekpe. "Financial intermediation spread and stability of the banking system in the Southern Africa Customs Union." Managerial Finance 40, no. 3 (March 4, 2014): 276–99. http://dx.doi.org/10.1108/mf-06-2013-0147.
Повний текст джерелаАнотація:
Purpose – Asymmetric information impedes the efficiency of financial intermediation by widening the gap between lending and deposit rates. The cost of information gathering is high and often translates into high borrowing costs. Consequently, high borrowing costs may make it hard for borrowers to repay loans and increase the volume of non-performing loans – a recipe for financial instability. This study first compares the application of the simple GARCH (1,1) and BGARCH (1,1,1) models in the estimation of macroeconomic volatility and finds that the latter is more suitable for this purpose. Moreover, the choice of BGARCH (1,1,1) over the simple GARCH (1,1) implies different outcomes for Granger causality tests. This finding implies that the BGARCH (1,1,1) model minimises loss of important information when estimating macroeconomic volatility in developing countries. Second, the study uses bootstrap panel Granger causality to test the hypothesis that there is a causal relationship between financial instability and the financial intermediation spread in Southern African Customs Union (SACU). The findings support this hypothesis and underscore the importance of implementing sound macroeconomic policies for high and stable growth as well as effective monetary policy to attain and maintain low and stable prices in order to narrow the financial intermediation spread in SACU. The paper aims to discuss these issues. Design/methodology/approach – This study uses bootstrap panel Granger causality to test the hypothesis that there is a causal relationship between financial instability and the financial intermediation spread in SACU. Findings – The findings support this hypothesis and underscore the importance of implementing sound macroeconomic policies for high and stable growth as well as effective monetary policy to attain and maintain low and stable prices in order to narrow the financial intermediation spread in SACU. Originality/value – Application of panel bootstrap Granger causality test to test for a casual relationship between financial intermediation spread and financial stability in the context of SACU.
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Sen Gupta, Abhijit, and Ganesh Manjhi. "Negotiating the Trilemma: The Indian Experience." Global Economy Journal 12, no. 1 (March 2012): 1850249. http://dx.doi.org/10.1515/1524-5861.1760.
Повний текст джерелаАнотація:
Increased integration with the global capital markets in recent years has forced India to negotiate the trilemma, balancing the objectives of monetary independence, exchange rate stability, and orderly capital flows. India’s calibrated approach towards liberalization of capital account, wherein certain flows and agents were accorded priority in the liberalization process, has helped India to deal with the trilemma. In this paper, we examine India’s experience in negotiating the trilemma during the last three decades. In doing so, we deviate from the existing literature by quantifying the various policy objectives under the trilemma. This allows us to analyze the extent to which pursuit of an objective has entailed giving up two other objectives. Using empirical methods, we find that India has been constrained by the trilemma during the last three decades. However, instead of adopting corner solutions, India has juggled the various policy objectives under the trilemma as per the demands of the macroeconomic situation. The overall policy architecture encompassed active management of capital flows, especially volatile flows and debt flows, a moderately flexible exchange rate regime with the Reserve Bank of India (RBI) intervening at times to prevent excessive volatility, sterilization of these interventions through multiple instruments, and building up of a stockpile of reserves. This intermediate approach has suited India well as it has been able to maintain a healthy growth rate, targeted monetary and credit growth rates, a moderate inflation rate through most of the period, and a sustainable current account deficit.
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Thompson, Kirsten, Renee Van Eyden, and Rangan Gupta. "Identifying an index of financial conditions for South Africa." Studies in Economics and Finance 32, no. 2 (June 1, 2015): 256–74. http://dx.doi.org/10.1108/sef-07-2013-0098.
Повний текст джерелаАнотація:
Purpose – The purpose of this study is to construct a financial conditions index (FCI) for the South African economy to enable the gauging of financial conditions and to better understand the macro-financial linkages in the country. The global financial crisis that began in 2007-2008 demonstrated how severe the impact of financial markets’ stress on real economic activity can be. In the wake of the financial crisis, policy-makers and decision-makers across the world identified the critical need for a better understanding of financial conditions, and more importantly, their impact on the real economy. Design/methodology/approach – The FCI is constructed using monthly data over the period 1966 to 2011, and is based on a set of 16 financial variables, which include variables that define the state of international financial markets, asset prices, interest rate spreads, stock market yields and volatility, bond market volatility and monetary aggregates. The authors explore different methodologies for constructing the FCI, including full sample and rolling-window principal components analysis. Furthermore, the authors investigate whether it is beneficial to purge the FCI of the real effects of inflation, economic growth and interest rates, and evaluate the performance of our constructed FCIs by comparing their ability to pick up turning points in the South African business cycle, and by running in-sample causality (forecast) tests. Findings – The authors find that the estimated FCIs are good predictors of economic activity; with the rolling-window FCI being the “best” performing index. Causality tests indicate that this FCI is a good in-sample predictor of industrial production growth and the Treasury Bill rate, but a weak predictor of inflation. Practical implications – The authors find that the resulting FCI can act as an “early warning system”. This, in turn, may serve to indicate that monetary policy should take broader financial conditions into account. Originality/value – This study offers three main contributions to the existing literature on financial conditions in South Africa: the authors construct an FCI over a sample period that is three decades longer than existing indices, the FCI of this paper comprises a wider coverage of financial variables than others and the authors make use of rolling-window estimation techniques that allow them to account for parameter instability and to capture the real-time constraints faced by a policymaker.
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Jackson, Peter M., and Leta K. Smith. "Exploring the undulating plateau: the future of global oil supply." Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences 372, no. 2006 (January 13, 2014): 20120491. http://dx.doi.org/10.1098/rsta.2012.0491.
Повний текст джерелаАнотація:
In this paper, we analyse the factors that will influence long-term oil supply and describe the future form of the global oil supply profile as an ‘undulating plateau’ rather than an irreversible, short-term peak or an ever upward trend of increasing production. The ultimate transition from a world of relatively plentiful and cheap oil to one of tight supply and high cost will be slow and challenging. An understanding of the signposts for the future path of supply and the drivers of that profile will be critical to managing the transition. The ultimate form of the global supply curve may well be dictated by demand evolution rather than a limited resource endowment in the longer term. Several factors will probably control future global oil supply. We believe that the scale of global oil resource will not constitute a physical supply limit for at least the next two or three decades. However, all categories of oil resources are already more expensive to develop than in the past, requiring high oil prices to stimulate supply growth. Lower rates of oil demand growth relative to economic growth, combined with more challenging supply growth, will probably lead to an undulating plateau sometime after 2040, with demand from non-Organization for Economic Cooperation and Development states continuing to dominate. Upstream investment requirements and oil price volatility will increase towards and beyond the undulating production plateau. In this new world, high oil prices will induce demand destruction, fuel substitution and ever increasing energy efficiency. As we discuss below, the fundamental differences between the IHS Cambridge Energy Research Associates' (IHS CERA) view of the future of oil supply and many peak oil supply models are the timing of the onset of a dramatic slowdown in the rate of growth of supply and the existence or otherwise of a production plateau. We do not dispute that supply will plateau and eventually fall; the question is when, how and at what price? As the plateau approaches, oil prices are likely to increase strongly, with some very severe spikes along the way.
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Ahmed, Walid M. A. "Asymmetric impact of exchange rate changes on stock returns: evidence of two de facto regimes." Review of Accounting and Finance 19, no. 2 (December 19, 2019): 147–73. http://dx.doi.org/10.1108/raf-02-2019-0039.
Повний текст джерелаАнотація:
Purpose This study focuses on Egypt’s recent experience with exchange rate policies, examining the existence of spillover effects of exchange rate variations on stock prices across two different de facto regimes and whether these effects, if any, are asymmetric. Design/methodology/approach The empirical analysis is carried out using a nonlinear autoregressive distributed lag modeling framework, which permits testing for the presence of short- and long-run asymmetries. Relevant local and global factors are also included in the analysis as control variables. The authors divide the entire sample into a soft peg period and a free float one. Findings Over the soft peg regime period, both positive and negative changes in EGP/USD exchange rates seem to have a significant impact on stock returns, whether in the short or long run. Short-term asymmetric effects vanish in the free float period, while long-term asymmetries continue to exist. By and large, the authors find that currency depreciation tends to exercise a stronger influence on stock returns than does currency appreciation. Practical implications The results offer important insights for investors, regulators and policymakers. With the domestic currency depreciation having a negative impact on stock prices, investors should contemplate implementing appropriate currency hedging strategies to abate depreciation risks and, hence, preserve their expected rate of return on the Egyptian pound-denominated investments. In the current post-flotation era, the government could pursue a flexible inflation targeting monetary policy framework, with a view to both lowering the soaring inflation toward an announced target rate and stabilizing economic growth. The Central Bank of Egypt (CBE) could adopt indirect monetary policy instruments to secure tightened liquidity conditions. Besides, the CBE could raise policy rates to incentivize people to keep their money in local currency-denominated instruments, instead of dollarizing their savings, thereby relieving banks of foreign currency demand pressures. Nevertheless, while being beneficial to the country’s real economy on several aspects, such contractionary monetary measures may temporarily impinge on stock market performance. Accordingly, policymakers should consider precautionary measures that reduce the potential for price distortions and unnecessary volatility in the stock market. Originality/value To the best of the authors’ knowledge, the current study represents the first attempt to explore the potential impact of exchange rate changes under different regimes on Egypt’s stock market, thus contributing to the relevant research in this area.
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Langston, Craig. "Construction efficiency: a tale of two developed countries." Engineering, Construction and Architectural Management 21, no. 3 (May 13, 2014): 320–35. http://dx.doi.org/10.1108/ecam-02-2013-0014.
Повний текст джерелаАнотація:
Purpose – The measurement of construction performance is a vexed problem. Despite much research effort, there remains little agreement over what to measure and how to measure it. The problem is made even more complicated by the desire to benchmark national industry performance against that of other countries. As clearly construction cost forms part of the analysis, the mere adjustment of cost data to an “international currency” has undermined past attempts to draw any meaningful conclusions. The paper aims to discuss these issues. Design/methodology/approach – This paper introduces a new method for comparing international construction efficiency, tested on a data set of 337 modern high-rise buildings in both Australia and the USA, and in so doing demonstrates that the ratio of cost over time is capable of ranking the efficiency of projects, building contractors, cities and even entire industries – not only today, but retrospectively over time. Findings – It is concluded that, based on data from the largest five cities in each country, efficiency on site is improving in both countries. The growth in baseline cost/m2 suggests a possible rise in project complexity over time. While the trend in efficiency improvement is similar, there is evidence that base costs in Australia have outstripped the USA, meaning that “real” construction efficiency in Australia is relatively less. If Australia held an advantage in the past, then it seems that advantage might be disappearing. The USA is outperforming Australia in terms of construction efficiency by 1.10 per cent per annum. Originality/value – Cost is measured as the number of standard “citiBLOC” baskets necessary to construct a project, where a standard basket comprises common and globally applicable construction items priced in each city in local currency, removing the need to apply currency exchange rates that otherwise introduce volatility and erroneous outcomes. Time is measured as the number of months between commencement on site and handover, inclusive of delays related to the construction process on site. Construction efficiency is defined as the ratio of construction cost per month, and is used to comment on the relative performance of the procurement process in different locations.
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"Book Reviews." Journal of Economic Literature 49, no. 4 (December 1, 2011): 1303–5. http://dx.doi.org/10.1257/jel.49.4.1230.r24.
Повний текст джерелаАнотація:
Marti Mestieri of Toulouse School of Economics reviews “Understanding Growth and Poverty: Theory, Policy, and Empirics” by Raj Nallari and Breda Griffith. The EconLit abstract of the reviewed work begins, “Presents an introduction to the theories and policies that affect economic growth and poverty. Discusses poverty and how we measure it; national income and how we measure it; growth, poverty, and inequality--an overview; government and the economy--a focus on fiscal policy; monetary policy, inflation, and exchange rates; financial development; development assistance; external debt; trade policy; institutions and growth; education; health; labor markets; land and agriculture; technology, entrepreneurship, and productivity; urbanization and growth; corruption and poverty; regulation and economic growth; shocks, volatility, and growth; the politics of growth and poverty; and climate change and the wealth of nations. Glossary; index.”
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Nisticò, Sergio. "Non-DC notional accounts: relaxing the trade-off between fairness and solvency of pay-as-you-go pension systems." Journal of Pension Economics and Finance, October 8, 2020, 1–23. http://dx.doi.org/10.1017/s147474722000027x.
Повний текст джерелаАнотація:
Abstract Existing pay-as-you-go (PAYG) schemes based on notional accounts (NAs) have chosen the defined-contribution (DC) setting that forces the rate of interest credited to all individual accounts to change over time to ensure solvency. On the other hand, volatility of the rate of interest is the source of non-negligible disparities of individual internal rates of return (IRRs) both within and across generations. It is argued that these disparities represent a threat to the political appeal of PAYG DC systems, in particular in the present situation characterized by low growth rates of the contribution base. The paper uses a four-overlapping-generations model to prove that the DC setting is not a necessary ingredient of NAs and that their political appeal could be enhanced by extending their use to non-DC pension systems. In fact, redistributions can be avoided by crediting all individual accounts with a constant rate of interest while ensuring financial solvency by fine-tuning of the contribution rate to make the system's revenues grow at the same (constant) rate credited to all accounts. The proof requires constancy of the employment growth rate but not of average earnings. Changes in the employment growth rate produce small oscillations around perfect balance between contribution revenue and pension expenditure manageable with a small buffer fund.
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"The World Economy." National Institute Economic Review 200 (April 1, 2007): 7–30. http://dx.doi.org/10.1177/0027950107080381.
Повний текст джерелаАнотація:
The global economy expanded by 5.3 per cent in 2006, one of the fastest rates of growth in the past 35 years. We project further expansions of 5 per cent this year and 4¾ per cent in 2008. The key risks to the forecast that we highlight in this Review relate to global housing markets and the current stance of monetary policy. The US economy is restrained by the recent correction in its housing market, which is expected to continue to weigh on the economy through 2008. There is some concern that the housing investment downturn may spread to other economies, and in this report we explore the areas most at risk to such a contagion. We also consider the recent volatility in the oil price, which makes it difficult for monetary authorities to distinguish signal from noise. If too much emphasis is placed on what subsequently turns out to be noise, policy settings could turn out to be overly lax or stringent.
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Moore, Robert J. "Emerging from war: Public policy and patterns of foreign direct investment recovery in postwar environments." Journal of International Business Policy, January 7, 2021. http://dx.doi.org/10.1057/s42214-020-00084-4.
Повний текст джерелаАнотація:
AbstractThe postwar environment is different from those of active war and established peace, with risks of violence and political volatility existing alongside renewed commitments to stability and development. International aid organizations join governing institutions in guiding policies for postwar growth. Though investments here are risky, I argue that governments can clarify key uncertainties and accelerate the process of recovering FDI by strengthening policy in areas of information transparency, governing accountability, and engagement with international aid. These ideas are tested with a survival analysis of inbound FDI recovery using a worldwide sample of postwar periods from 1970 to 2008. I find that while transparency and accountability accelerate FDI recovery as expected, foreign aid tends to be associated with slower rates of recovery. Rather than encourage postwar FDI with a commitment to development, aid may be an indirect signal that the environment is yet unfit for private sector investment. Policymakers and aid organizations should not rely on aid alone to attract foreign investment in postwar environments. Structures that encourage investment for social responsibility, with a long-term market outlook, may be more successful in these contexts.
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Hüther, Michael, Norbert Szyperski, and Andreas Freytag. "Was ist wirklich neu an der “New Economy”?" Zeitschrift für Wirtschaftspolitik 49, no. 3 (January 1, 2000). http://dx.doi.org/10.1515/zfwp-2000-0306.
Повний текст джерелаАнотація:
AbstractThis economic policy forum is assigned to the question “What is really new about the New Economy”? Michael Wither argues that the truly novel element of the New economy is the close interaction of three aspects: structural change, innovation and economic policy. This new facet adds to the increasing improvement of economic performance, accompanied by levelled inflation rates. The current process can be observed especially in the US. The author demonstrates that the revolution of information technology is a necessary explanation for the phenomenon “New Economy”, which however does not deal with all the relevant aspects. Furthermore, Hüther refers to the coherences between technological change and reduced volatility of macro-economic indicators in the US. He then states that an appropriate economic policy, in particular a monetary policy, is needed to describe the outstanding economic performance associated with the New Economy.Norbert Szyperski shows in his article that the New Economy is basically the consequence of the revolution of information technology. The main effect of the latter is the infrastructural change taking place in three areas: transport, finance and information. According to the author, this new infrastructure is accessible for everyone and induces new products and services. Due to this change, the IT revolution also affects competition. Hence, the author concludes that there really is a new aspect to the New Economy.In his contribution, Andreas Freytag starts by discussing the elements of the New Economy. In particular, the Information Technology (IT) sector is new and possesses the potential of having positive effects on economic growth. However the author argues that there is more to the New Economy than merely the IT sector. To concentrate economic policy on fostering IT could inflict the danger of creating structural problems for the future. Thus, the New Economy seems to be a macro-economic phenomenon: the economy is growing rapidly with small fluctuation and low inflation. Furthermore, Freytag demonstrates that although the elements of the New Economy are novel, the policy implications are not. To be able to implement it in Germany, old policies, as e.g. deregulation, opening markets, etc. are called for - the exact measures which ensured the prosperity of the Old Economy.